UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, DC 20549
FORM 10-Q
x | QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
For the Period Ended JuneSeptember 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 3 Units;
Equinox Frontier Winton Fund Class 1, Class 2 and Class 3 Units;
Equinox Frontier Heritage Fund Class 1, Class 2 and Class 3 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 inRule 1 2b-212b-2 of the Exchange Act). Yes ¨ No x
Item 1. | |||||||||
Statements of Financial Condition as of | 4 | ||||||||
Condensed Schedules of Investments as of | 7 | ||||||||
13 | |||||||||
19 | |||||||||
Statements of Cash Flows for the | 23 | ||||||||
26 | |||||||||
Trust Financial Statements (1) | |||||||||
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Item 2. | Management’s Discussion and Analysis of Financial Condition and Results of Operations | ||||||||
Item 3. | |||||||||
Item 4. | |||||||||
Item 1. | 114 | ||||||||
Item 1A. | Risk Factors | 114 | |||||||
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | 114 | |||||||
Item 3. | Defaults Upon Senior Securities | 115 | |||||||
Item | 115 | ||||||||
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(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 JUNESEPTEMBER 30, 2015, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.
ITEM 1. | Financial Statements |
The Series of Equinox Frontier Funds
Statements of Financial Condition
JuneSeptember 30, 2015 (Unaudited) and December 31, 2014
Equinox Frontier | Equinox Frontier | Equinox Frontier | ||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | Diversified Fund | Masters Fund | Long/Short Commodity Fund | |||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | 12/31/2014 | 6/30/2015 | 12/31/2014 | 6/30/2015 | 12/31/2014 | 9/30/2015 | 12/31/2014 | 9/30/2015 | 12/31/2014 | 9/30/2015 | 12/31/2014 | |||||||||||||||||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 4,827,779 | $ | 4,210,638 | $ | 1,978,484 | $ | 2,199,066 | $ | 1,119,846 | $ | 1,110,779 | $ | 3,591,176 | $ | 4,210,638 | $ | 1,494,586 | $ | 2,199,066 | $ | 710,253 | $ | 1,110,779 | ||||||||||||||||||||||||
U.S. Treasury securities, at fair value | 29,071,240 | 31,051,659 | 11,913,754 | 16,217,173 | 6,743,330 | 8,191,519 | 30,988,988 | 31,051,659 | 12,897,080 | 16,217,173 | 6,128,920 | 8,191,519 | ||||||||||||||||||||||||||||||||||||
Open trade equity, at fair value | — | 3,215,206 | — | — | — | — | — | 3,215,206 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Options purchased, at fair value | 374,470 | 288,413 | — | — | — | — | — | 288,413 | — �� | — | — | — | ||||||||||||||||||||||||||||||||||||
Receivable from futures commission merchants | 14,670,707 | 22,731,129 | — | — | — | — | — | 22,731,129 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Swap contracts, at fair value | 7,615,169 | 6,570,408 | — | — | 4,304,209 | 3,633,060 | 8,146,792 | 6,570,408 | — | — | 4,249,370 | 3,633,060 | ||||||||||||||||||||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | 6,198,464 | 6,594,379 | 8,767,520 | 7,901,978 | 3,896,994 | 3,814,854 | 14,144,664 | 6,594,379 | 8,898,009 | 7,901,978 | 3,120,500 | 3,814,854 | ||||||||||||||||||||||||||||||||||||
Prepaid service fees - Class 1 | 23,618 | 9,534 | 5,889 | 6,003 | 410 | 505 | 20,769 | 9,534 | 9,493 | 6,003 | 777 | 505 | ||||||||||||||||||||||||||||||||||||
Interest receivable | 498,272 | 477,250 | 204,198 | 249,250 | 115,577 | 125,900 | 177,077 | 477,250 | 73,696 | 249,250 | 35,020 | 125,900 | ||||||||||||||||||||||||||||||||||||
Receivable from related parties | — | — | 2,976 | 3,050 | 2,082 | 2,612 | — | — | 2,056 | 3,050 | 1,964 | 2,612 | ||||||||||||||||||||||||||||||||||||
Other assets | — | 249,997 | — | — | — | — | — | 249,997 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
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Total Assets | $ | 63,279,719 | $ | 75,398,613 | $ | 22,872,821 | $ | 26,576,520 | $ | 16,182,448 | $ | 16,879,229 | $ | 57,069,466 | $ | 75,398,613 | $ | 23,374,920 | $ | 26,576,520 | $ | 14,246,804 | $ | 16,879,229 | ||||||||||||||||||||||||
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LIABILITIES & CAPITAL | ||||||||||||||||||||||||||||||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||||||||||||||||||||||
Open trade deficit, at fair value | $ | 571,551 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
Options written, at fair value | 219,660 | 253,018 | — | — | — | — | — | 253,018 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Pending owner additions | 1,320 | 1,527 | 1,566 | 2,056 | — | — | 1,443 | 1,527 | 1,227 | 2,056 | — | — | ||||||||||||||||||||||||||||||||||||
Owner redemptions payable | — | 57,953 | — | — | 796 | 19,578 | — | 57,953 | 27,485 | — | 23,682 | 19,578 | ||||||||||||||||||||||||||||||||||||
Incentive fees payable to Managing Owner | 4,000 | 2,387,825 | 41,071 | 722,043 | 40,149 | 158,660 | 225,279 | 2,387,825 | — | 722,043 | 14,316 | 158,660 | ||||||||||||||||||||||||||||||||||||
Management fees payable to Managing Owner | 83,476 | 86,486 | 60,312 | 64,497 | 45,710 | 45,361 | 84,533 | 86,486 | 55,706 | 64,497 | 49,112 | 45,361 | ||||||||||||||||||||||||||||||||||||
Interest payable to Managing Owner | 15,798 | 16,168 | 5,738 | 6,898 | 3,616 | 3,713 | 11,525 | 16,168 | 5,466 | 6,898 | 2,162 | 3,713 | ||||||||||||||||||||||||||||||||||||
Service fees payable to Managing Owner | 36,650 | 34,905 | 15,452 | 17,260 | 9,149 | 10,562 | 19,817 | 34,905 | 14,991 | 17,260 | 7,629 | 10,562 | ||||||||||||||||||||||||||||||||||||
Trading fees payable to Managing Owner | 124,327 | 132,984 | 50,813 | 55,912 | 21,626 | 24,436 | 113,967 | 132,984 | 46,349 | 55,912 | 17,938 | 24,436 | ||||||||||||||||||||||||||||||||||||
Payables to related parties | 3,544 | 2,371 | — | — | — | — | 3,247 | 2,371 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Other liabilities | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
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Total Liabilities | 1,060,326 | 2,973,237 | 174,952 | 868,666 | 121,046 | 262,310 | 459,811 | 2,973,237 | 151,224 | 868,666 | 114,839 | 262,310 | ||||||||||||||||||||||||||||||||||||
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CAPITAL | ||||||||||||||||||||||||||||||||||||||||||||||||
Managing Owner Units - Class 1 | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Managing Owner Units - Class 2 | 2,594,028 | 2,516,879 | 688,269 | 723,207 | 456,774 | 426,377 | 2,638,100 | 2,516,879 | 712,020 | 723,207 | 420,916 | 426,377 | ||||||||||||||||||||||||||||||||||||
Managing Owner Units - Class 2a | — | — | — | — | 264,519 | 247,434 | — | — | — | — | 243,709 | 247,434 | ||||||||||||||||||||||||||||||||||||
Managing Owner Units - Class 3 | 32,642 | 31,632 | 31,198 | 32,741 | — | — | 33,218 | 31,632 | 32,295 | 32,741 | — | — | ||||||||||||||||||||||||||||||||||||
Managing Owner Units - Class 3a | — | — | — | — | 13,088 | 12,228 | — | — | — | — | 12,066 | 12,228 | ||||||||||||||||||||||||||||||||||||
Limited Owner Units - Class 1 | 15,940,760 | 19,195,036 | 9,077,720 | 11,850,911 | — | — | 13,680,285 | 19,195,036 | 8,796,204 | 11,850,911 | — | — | ||||||||||||||||||||||||||||||||||||
Limited Owner Units - Class 1a | — | — | — | — | 5,306,714 | 5,776,906 | — | — | — | — | 4,551,061 | 5,776,906 | ||||||||||||||||||||||||||||||||||||
Limited Owner Units - Class 2 | 29,124,659 | 32,707,413 | 7,316,511 | 8,145,536 | 705,224 | 820,104 | 30,883,964 | 32,707,413 | 7,575,662 | 8,145,536 | 626,435 | 820,104 | ||||||||||||||||||||||||||||||||||||
Limited Owner Units - Class 2a | — | — | — | — | 1,284,389 | 1,455,117 | — | — | — | — | 1,130,770 | 1,455,117 | ||||||||||||||||||||||||||||||||||||
Limited Owner Units - Class 3 | 7,434,967 | 5,556,649 | 5,584,171 | 4,955,459 | 7,309,331 | 7,233,099 | 9,374,088 | 5,556,649 | 6,107,515 | 4,955,459 | 6,261,568 | 7,233,099 | ||||||||||||||||||||||||||||||||||||
Limited Owner Units - Class 3a | — | — | — | — | 721,363 | 645,654 | — | — | — | — | 885,440 | 645,654 | ||||||||||||||||||||||||||||||||||||
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Total Owners’ Capital | 55,127,056 | 60,007,609 | 22,697,869 | 25,707,854 | 16,061,402 | 16,616,919 | 56,609,655 | 60,007,609 | 23,223,696 | 25,707,854 | 14,131,965 | 16,616,919 | ||||||||||||||||||||||||||||||||||||
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Non-Controlling Interests | 7,092,337 | 12,417,767 | — | — | — | — | — | 12,417,767 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
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Total Capital | 62,219,393 | 72,425,376 | 22,697,869 | 25,707,854 | 16,061,402 | 16,616,919 | 56,609,655 | 72,425,376 | 23,223,696 | 25,707,854 | 14,131,965 | 16,616,919 | ||||||||||||||||||||||||||||||||||||
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Total Liabilities and Capital | $ | 63,279,719 | $ | 75,398,613 | $ | 22,872,821 | $ | 26,576,520 | $ | 16,182,448 | $ | 16,879,229 | $ | 57,069,466 | $ | 75,398,613 | $ | 23,374,920 | $ | 26,576,520 | $ | 14,246,804 | $ | 16,879,229 | ||||||||||||||||||||||||
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Units Outstanding | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1 | 137,951 | 169,725 | 82,514 | 101,632 | N/A | N/A | 116,925 | 169,725 | 77,630 | 101,632 | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Class 1a | N/A | N/A | N/A | N/A | 49,518 | 57,130 | N/A | N/A | N/A | N/A | 46,297 | 57,130 | ||||||||||||||||||||||||||||||||||||
Class 2 | 246,850 | 282,534 | 65,443 | 69,003 | 7,843 | 9,013 | 256,526 | 282,534 | 65,495 | 69,003 | 7,671 | 9,013 | ||||||||||||||||||||||||||||||||||||
Class 2a | N/A | N/A | N/A | N/A | 13,013 | 15,291 | N/A | N/A | N/A | N/A | 12,534 | 15,291 | ||||||||||||||||||||||||||||||||||||
Class 3 | 62,912 | 48,583 | 49,497 | 41,897 | 49,320 | 52,285 | 77,881 | 48,583 | 52,282 | 41,897 | 45,850 | 52,285 | ||||||||||||||||||||||||||||||||||||
Class 3a | N/A | N/A | N/A | N/A | 6,139 | 5,886 | N/A | N/A | N/A | N/A | 8,137 | 5,886 | ||||||||||||||||||||||||||||||||||||
Net Asset Value per Unit | ||||||||||||||||||||||||||||||||||||||||||||||||
Class 1 | $ | 115.55 | $ | 113.09 | $ | 110.01 | $ | 116.61 | N/A | N/A | $ | 117.00 | $ | 113.09 | $ | 113.31 | $ | 116.61 | N/A | N/A | ||||||||||||||||||||||||||||
Class 1a | N/A | N/A | N/A | N/A | $ | 107.17 | $ | 101.12 | N/A | N/A | N/A | N/A | $ | 98.30 | $ | 101.12 | ||||||||||||||||||||||||||||||||
Class 2 | $ | 128.49 | $ | 124.67 | $ | 122.32 | $ | 128.53 | $ | 148.16 | $ | 138.30 | $ | 130.68 | $ | 124.67 | $ | 126.54 | $ | 128.53 | $ | 136.53 | $ | 138.30 | ||||||||||||||||||||||||
Class 2a | N/A | N/A | N/A | N/A | $ | 119.03 | $ | 111.35 | N/A | N/A | N/A | N/A | $ | 109.67 | $ | 111.35 | ||||||||||||||||||||||||||||||||
Class 3 | $ | 118.70 | $ | 115.03 | $ | 113.45 | $ | 119.06 | $ | 148.20 | $ | 138.34 | $ | 120.79 | $ | 115.03 | $ | 117.44 | $ | 119.06 | $ | 136.57 | $ | 138.34 | ||||||||||||||||||||||||
Class 3a | N/A | N/A | N/A | N/A | $ | 119.64 | $ | 111.77 | N/A | N/A | N/A | N/A | $ | 110.30 | $ | 111.77 |
The accompanying notes are an integral part of these financial statements.
The Series of Equinox Frontier Funds
Statements of Financial Condition
September 30, 2015 (Unaudited) and December 31, 2014
Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | |||||||||||||||
9/30/2015 | 12/31/2014 | 9/30/2015 | 12/31/2014 | |||||||||||||
ASSETS | ||||||||||||||||
Cash and cash equivalents | $ | 5,423,487 | $ | 5,644,510 | $ | 279,820 | $ | 878,280 | ||||||||
U.S. Treasury securities, at fair value | 46,800,362 | 41,625,860 | 2,414,623 | 6,476,939 | ||||||||||||
Receivable from futures commission merchants | 7,726,194 | 22,689,948 | 12,505,084 | — | ||||||||||||
Open trade equity, at fair value | 1,196,480 | 3,297,549 | 1,363,715 | — | ||||||||||||
Options purchased, at fair value | — | — | — | — | ||||||||||||
Swap contracts, at fair value | 18,009,494 | 18,246,954 | — | — | ||||||||||||
Investments in unconsolidated trading companies, at fair value | 14,732,972 | 18,343,927 | 3,979,655 | 8,102,141 | ||||||||||||
Interest receivable | 267,426 | 639,769 | 13,798 | 99,547 | ||||||||||||
Prepaid service fees | — | — | — | — | ||||||||||||
Other assets | 9 | 250,013 | 188 | — | ||||||||||||
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Total Assets | $ | 94,156,424 | $ | 110,738,530 | $ | 20,556,883 | $ | 15,556,907 | ||||||||
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LIABILITIES & CAPITAL | ||||||||||||||||
LIABILITIES | ||||||||||||||||
Open trade deficit, at fair value | $ | — | $ | — | $ | — | $ | — | ||||||||
Options written, at fair value | — | — | — | — | ||||||||||||
Pending owner additions | 15,141 | 18,002 | 1,331 | 1,485 | ||||||||||||
Owner redemptions payable | 15,081 | 22,793 | 3,828 | 15,432 | ||||||||||||
Incentive fees payable to Managing Owner | 104,130 | 1,793,318 | — | 185,791 | ||||||||||||
Management fees payable to Managing Owner | 84,605 | 101,208 | 24,625 | 27,835 | ||||||||||||
Interest payable to Managing Owner | 83,283 | 84,976 | 5,312 | 13,263 | ||||||||||||
Service fees payable to Managing Owner | 144,134 | 167,151 | 28,912 | 32,520 | ||||||||||||
Trading fees payable to Managing Owner | 56,360 | 66,037 | 8,436 | 10,119 | ||||||||||||
Payables to related parties | 21,758 | 14,934 | 1,345 | 984 | ||||||||||||
Other liabilities | — | — | — | — | ||||||||||||
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Total Liabilities | 524,492 | 2,268,419 | 73,789 | 287,429 | ||||||||||||
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CAPITAL | ||||||||||||||||
Managing Owner Units - Class 2 | 1,439,590 | 1,425,355 | 9,019 | 9,052 | ||||||||||||
Managing Owner Units - Class 2a | 192,555 | 189,344 | — | — | ||||||||||||
Limited Owner Units - Class 1 | 65,260,739 | 72,098,275 | 12,507,560 | 13,663,563 | ||||||||||||
Limited Owner Units - Class 1AP | 719,770 | 748,275 | 48,471 | 47,785 | ||||||||||||
Limited Owner Units - Class 2 | 21,699,662 | 22,125,342 | 1,367,112 | 1,549,078 | ||||||||||||
Limited Owner Units - Class 2a | 358,118 | 410,943 | — | — | ||||||||||||
Limited Owner Units - Class 3a | 2,494,852 | 2,528,303 | — | — | ||||||||||||
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Total Owners’ Capital | 92,165,286 | 99,525,837 | 13,932,162 | 15,269,478 | ||||||||||||
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Non-Controlling Interests | 1,466,646 | 8,944,274 | 6,550,932 | — | ||||||||||||
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Total Capital | 93,631,932 | 108,470,111 | 20,483,094 | 15,269,478 | ||||||||||||
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Total Liabilities and Capital | $ | 94,156,424 | $ | 110,738,530 | $ | 20,556,883 | $ | 15,556,907 | ||||||||
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Units Outstanding | ||||||||||||||||
Class 1 | 502,378 | 548,117 | 134,258 | 142,913 | ||||||||||||
Class 1AP | 5,351 | 5,618 | 503 | 494 | ||||||||||||
Class 2 | 127,874 | 131,447 | 10,749 | 12,128 | ||||||||||||
Class 2a | 3,539 | 3,923 | N/A | N/A | ||||||||||||
Class 3a | 16,085 | 16,577 | N/A | N/A | ||||||||||||
Net Asset Value per Unit | ||||||||||||||||
Class 1 | $ | 129.90 | $ | 131.54 | $ | 93.16 | $ | 95.61 | ||||||||
Class 1AP | $ | 134.53 | $ | 133.20 | $ | 96.48 | $ | 96.82 | ||||||||
Class 2 | $ | 180.95 | $ | 179.16 | $ | 128.03 | $ | 128.48 | ||||||||
Class 2a | $ | 155.62 | $ | 153.02 | N/A | N/A | ||||||||||
Class 3a | $ | 155.11 | $ | 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
JuneSeptember 30, 2015 (Unaudited) and December 31, 2014
Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||||||||||||||||
6/30/2015 | 12/31/2014 | 6/30/2015 | 12/31/2014 | 9/30/2015 | 12/31/2014 | 9/30/2015 | 12/31/2014 | |||||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||||||||||
Cash and cash equivalents | $ | 7,863,320 | $ | 5,644,510 | $ | 401,143 | $ | 878,280 | $ | 3,057,132 | $ | 4,012,974 | $ | 676,160 | $ | 921,598 | ||||||||||||||||
U.S. Treasury securities, at fair value | 47,350,232 | 41,625,860 | 2,415,549 | 6,476,939 | 26,380,619 | 29,593,974 | 5,834,721 | 6,796,392 | ||||||||||||||||||||||||
Receivable from futures commission merchants | 9,422,019 | 22,689,948 | 12,410,448 | — | 9,958,867 | |||||||||||||||||||||||||||
Open trade equity, at fair value | — | 3,297,549 | 55,956 | — | 2,653,675 | |||||||||||||||||||||||||||
Options purchased, at fair value | — | — | — | — | ||||||||||||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | 315,331 | 7,479,658 | 1,340,744 | 1,543,386 | ||||||||||||||||||||||||||||
Swap contracts, at fair value | 18,491,634 | 18,246,954 | — | — | — | — | 8,232,841 | 7,540,465 | ||||||||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | 14,333,796 | 18,343,927 | 4,013,269 | 8,102,141 | ||||||||||||||||||||||||||||
Interest receivable | 811,568 | 639,769 | 41,402 | 99,547 | 150,744 | 454,845 | 33,340 | 104,457 | ||||||||||||||||||||||||
Prepaid service fees | — | — | — | — | ||||||||||||||||||||||||||||
Other assets | 10 | 250,013 | — | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Assets | $ | 98,272,579 | $ | 110,738,530 | $ | 19,337,767 | $ | 15,556,907 | $ | 42,516,368 | $ | 41,541,451 | $ | 16,117,806 | $ | 16,906,298 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
LIABILITIES & CAPITAL | ||||||||||||||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||||||
Open trade deficit, at fair value | $ | 778,963 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||
Options written, at fair value | — | — | — | — | ||||||||||||||||||||||||||||
Pending owner additions | 17,442 | 18,002 | 1,411 | 1,485 | $ | 12,925 | $ | 15,503 | $ | 3,178 | $ | 3,381 | ||||||||||||||||||||
Owner redemptions payable | 9,088 | 22,793 | — | 15,432 | — | 21,902 | 19,548 | 21,408 | ||||||||||||||||||||||||
Incentive fees payable to Managing Owner | 9,517 | 1,793,318 | — | 185,791 | — | 1,178,364 | — | 239,327 | ||||||||||||||||||||||||
Management fees payable to Managing Owner | 91,646 | 101,208 | 26,065 | 27,835 | 93,487 | 114,823 | 21,674 | 27,944 | ||||||||||||||||||||||||
Interest payable to Managing Owner | 101,040 | 84,976 | 6,451 | 13,263 | 50,749 | 63,722 | 11,260 | 14,543 | ||||||||||||||||||||||||
Service fees payable to Managing Owner | 156,201 | 167,151 | 29,617 | 32,520 | 43,684 | 52,753 | 18,749 | 20,964 | ||||||||||||||||||||||||
Trading fees payable to Managing Owner | 65,193 | 66,037 | 9,285 | 10,119 | 21,718 | 26,690 | 7,376 | 8,676 | ||||||||||||||||||||||||
Payables to related parties | 19,434 | 14,934 | 1,195 | 984 | 28,063 | 16,461 | 4,087 | 3,178 | ||||||||||||||||||||||||
Other liabilities | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Liabilities | 1,248,524 | 2,268,419 | 74,024 | 287,429 | 250,626 | 1,490,218 | 85,872 | 339,421 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
CAPITAL | ||||||||||||||||||||||||||||||||
Managing Owner Units - Class 2 | 1,449,802 | 1,425,355 | 8,389 | 9,052 | 46,031 | 46,764 | 76,664 | 75,621 | ||||||||||||||||||||||||
Managing Owner Units - Class 2a | 193,476 | 189,344 | — | — | ||||||||||||||||||||||||||||
Limited Owner Units - Class 1 | 68,562,471 | 72,098,275 | 12,000,655 | 13,663,563 | 24,100,220 | 26,870,878 | 9,113,122 | 9,761,819 | ||||||||||||||||||||||||
Limited Owner Units - Class 1AP | 724,876 | 748,275 | 45,084 | 47,785 | 37,446 | 38,042 | 60,363 | 58,378 | ||||||||||||||||||||||||
Limited Owner Units - Class 2 | 22,025,164 | 22,125,342 | 1,298,229 | 1,549,078 | 12,118,744 | 13,095,549 | 2,980,009 | 3,131,561 | ||||||||||||||||||||||||
Limited Owner Units - Class 2a | 359,830 | 410,943 | — | — | ||||||||||||||||||||||||||||
Limited Owner Units - Class 3a | 2,534,161 | 2,528,303 | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Owners’ Capital | 95,849,780 | 99,525,837 | 13,352,357 | 15,269,478 | 36,302,441 | 40,051,233 | 12,230,158 | 13,027,379 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Non-Controlling Interests | 1,174,275 | 8,944,274 | 5,911,386 | — | 5,963,301 | — | 3,801,776 | 3,539,498 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Capital | 97,024,055 | 108,470,111 | 19,263,743 | 15,269,478 | 42,265,742 | 40,051,233 | 16,031,934 | 16,566,877 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Liabilities and Capital | $ | 98,272,579 | $ | 110,738,530 | $ | 19,337,767 | $ | 15,556,907 | $ | 42,516,368 | $ | 41,541,451 | $ | 16,117,806 | $ | 16,906,298 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Units Outstanding | ||||||||||||||||||||||||||||||||
Class 1 | 520,129 | 548,117 | 137,450 | 142,913 | 142,311 | 152,717 | 70,563 | 74,927 | ||||||||||||||||||||||||
Class 1AP | 5,351 | 5,618 | 503 | 494 | 214 | 214 | 452 | 443 | ||||||||||||||||||||||||
Class 2 | 128,815 | 131,447 | 10,973 | 12,128 | 54,629 | 58,093 | 17,076 | 18,164 | ||||||||||||||||||||||||
Class 2a | 3,539 | 3,923 | N/A | N/A | ||||||||||||||||||||||||||||
Class 3a | 16,261 | 16,577 | N/A | N/A | ||||||||||||||||||||||||||||
Net Asset Value per Unit | ||||||||||||||||||||||||||||||||
Class 1 | $ | 131.82 | $ | 131.54 | $ | 87.31 | $ | 95.61 | $ | 169.35 | $ | 175.95 | $ | 129.15 | $ | 130.28 | ||||||||||||||||
Class 1AP | $ | 135.49 | $ | 133.20 | $ | 89.74 | $ | 96.82 | $ | 175.39 | $ | 178.18 | $ | 133.75 | $ | 131.93 | ||||||||||||||||
Class 2 | $ | 182.24 | $ | 179.16 | $ | 119.09 | $ | 128.48 | $ | 222.68 | $ | 226.23 | $ | 178.99 | $ | 176.56 | ||||||||||||||||
Class 2a | $ | 156.36 | $ | 153.02 | N/A | N/A | ||||||||||||||||||||||||||
Class 3a | $ | 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
June 30, 2015 (Unaudited) and December 31, 2014
Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||
6/30/2015 | 12/31/2014 | 6/30/2015 | 12/31/2014 | |||||||||||||
ASSETS | ||||||||||||||||
Cash and cash equivalents | $ | 4,254,223 | $ | 4,012,974 | $ | 947,643 | $ | 921,598 | ||||||||
U.S. Treasury securities, at fair value | 25,617,478 | 29,593,974 | 5,706,384 | 6,796,392 | ||||||||||||
Investments in unconsolidated trading companies, at fair value | 6,749,039 | 7,479,658 | 1,398,043 | 1,543,386 | ||||||||||||
Swap contracts, at fair value | — | — | 7,809,251 | 7,540,465 | ||||||||||||
Interest receivable | 439,076 | 454,845 | 97,804 | 104,457 | ||||||||||||
Other assets | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | $ | 37,059,816 | $ | 41,541,451 | $ | 15,959,125 | $ | 16,906,298 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES & CAPITAL | ||||||||||||||||
LIABILITIES | ||||||||||||||||
Pending owner additions | $ | 14,095 | $ | 15,503 | $ | 3,334 | $ | 3,381 | ||||||||
Owner redemptions payable | — | 21,902 | — | 21,408 | ||||||||||||
Incentive fees payable to Managing Owner | — | 1,178,364 | — | 239,327 | ||||||||||||
Management fees payable to Managing Owner | 102,252 | 114,823 | 23,699 | 27,944 | ||||||||||||
Interest payable to Managing Owner | 61,319 | 63,722 | 13,738 | 14,543 | ||||||||||||
Service fees payable to Managing Owner | 46,288 | 52,753 | 19,744 | 20,964 | ||||||||||||
Trading fees payable to Managing Owner | 24,963 | 26,690 | 8,305 | 8,676 | ||||||||||||
Payables to related parties | 24,445 | 16,461 | 3,773 | 3,178 | ||||||||||||
Other liabilities | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 273,362 | 1,490,218 | 72,593 | 339,421 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL | ||||||||||||||||
Managing Owner Units - Class 2 | 44,739 | 46,764 | 74,291 | 75,621 | ||||||||||||
Limited Owner Units - Class 1 | 24,319,904 | 26,870,878 | 9,141,028 | 9,761,819 | ||||||||||||
Limited Owner Units - Class 1AP | 36,395 | 38,042 | 58,494 | 58,378 | ||||||||||||
Limited Owner Units - Class 2 | 12,385,416 | 13,095,549 | 2,973,068 | 3,131,561 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Owners’ Capital | 36,786,454 | 40,051,233 | 12,246,881 | 13,027,379 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Non-Controlling Interests | — | — | 3,639,651 | 3,539,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital | 36,786,454 | 40,051,233 | 15,886,532 | 16,566,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities and Capital | $ | 37,059,816 | $ | 41,541,451 | $ | 15,959,125 | $ | 16,906,298 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Units Outstanding | ||||||||||||||||
Class 1 | 146,641 | 152,717 | 72,489 | 74,927 | ||||||||||||
Class 1AP | 214 | 214 | 452 | 443 | ||||||||||||
Class 2 | 57,432 | 58,093 | 17,568 | 18,164 | ||||||||||||
Net Asset Value per Unit | ||||||||||||||||
Class 1 | $ | 165.85 | $ | 175.95 | $ | 126.10 | $ | 130.28 | ||||||||
Class 1AP | $ | 170.46 | $ | 178.18 | $ | 129.61 | $ | 131.93 | ||||||||
Class 2 | $ | 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
ConsolidatedCondensed Schedule of Investments
September 30, 2015 (Unaudited)
June 30, 2015
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 | % | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||||||||
Description | 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* | LONG FUTURES CONTRACTS* |
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Various base metals futures contracts (Europe) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
Various base metals futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various currency futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various energy futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various energy futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various precious metal futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contracts (Africa) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
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Total Long Futures Contracts | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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SHORT FUTURES CONTRACTS* | SHORT FUTURES CONTRACTS* |
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Various base metals futures contracts (Europe) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
Various base metals futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various currency futures contracts (Singapore) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various currency futures contracts (U.S.) | — | 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 (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various precious metal futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various precious metal futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contract (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various soft futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Africa) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Mexico) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Various stock index futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
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Total Short Futures Contracts | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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CURRENCY FORWARDS* | CURRENCY FORWARDS* |
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Various currency forwards contracts (NA) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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Total Currency Forwards | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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Total Open Trade Equity (Deficit) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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OPTIONS PURCHASED* | OPTIONS PURCHASED* |
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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.) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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Total Options Purchased | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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OPTIONS WRITTEN* | OPTIONS WRITTEN* |
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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.) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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Total Options Written | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
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SWAPS (1) | SWAPS (1) |
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Frontier XXXIV Balanced select swap (U.S.) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
Frontier Brevan Howard swap (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||
Frontier XXXV Diversified select swap (U.S.) | $ | 8,146,792 | 14.39 | % | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||||||||||
Frontier XXXVII L/S select swap (U.S.) | — | 0.00 | % | — | 0.00 | % | 4,249,369 | 30.07 | % | |||||||||||||||||||||||||||||||
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Total Swaps | $ | 8,146,792 | 14.39 | % | $ | — | 0.00 | % | $ | 4,249,369 | 30.07 | % | ||||||||||||||||||||||||||||
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U.S. TREASURY SECURITIES (2) | U.S. TREASURY SECURITIES (2) |
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FACE VALUE | FACE VALUE | Fair Value | Fair Value | Fair Value | ||||||||||||||||||||||||||||||||||||
$75,000,000 | US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764) | $ | 24,207,326 | 42.76 | % | $ | 10,074,670 | 43.38 | % | $ | 4,787,661 | 33.88 | % | |||||||||||||||||||||||||||
$20,000,000 | US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500) | 6,781,662 | 11.98 | % | 2,822,410 | 12.15 | % | 1,341,259 | 9.49 | % | ||||||||||||||||||||||||||||||
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$ | 30,988,988 | 54.74 | % | $ | 12,897,080 | 55.53 | % | $ | 6,128,920 | 43.37 | % | |||||||||||||||||||||||||||||
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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 6.000% due 02/15/2026 (2) | $ | 17,681,682 | $ | 7,358,809 | $ | 3,497,036 | ||||||||||||||||||||||||||||||||||
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) | 4,715,115 | 1,962,349 | 932,543 | ||||||||||||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (2) | 4,513,538 | 1,849,704 | 1,046,955 | — | — | — | ||||||||||||||||||||||||||||||||||
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$ | 21,439,307 | $ | 8,786,093 | $ | 4,973,036 | $ | 22,396,797 | $ | 9,321,158 | $ | 4,429,579 | |||||||||||||||||||||||||||||
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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 6.000% due 02/15/2026 (2) | $ | 25,533,667 | $ | 10,464,012 | $ | 5,922,759 | US Treasury Note 6.000% due 02/15/2026 (2) | $ | 23,560,195 | $ | 9,805,345 | $ | 4,659,673 | |||||||||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (2) | 6,321,774 | 2,590,741 | 1,466,391 | US Treasury Note 6.875% due 08/15/2025 (2) | 6,604,108 | 2,748,515 | 1,306,143 | |||||||||||||||||||||||||||||||||
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| — | — | — | |||||||||||||||||||||||||||||||||||
$ | 31,855,441 | $ | 13,054,753 | $ | 7,389,150 |
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| $ | 30,164,303 | $ | 12,553,860 | $ | 5,965,816 | ||||||||||||||||||||||||||||||||
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* | 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
ConsolidatedCondensed Schedule of Investments
September 30, 2015 (Unaudited)
June 30, 2015
Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | |||||||||||||||||||||||||||||||||
Description | Description | Fair Value | % of Total Capital (Net Asset Value) | Fair 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* | LONG FUTURES CONTRACTS* |
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Various base metals futures contracts (Europe) | $ | (59,676 | ) | -0.06 | % | $ | (1,183,422 | ) | -5.78 | % | ||||||||||||||||||||||||||
Various base metals futures contracts (U.S.) | — | 0.00 | % | (1,696 | ) | -0.01 | % | |||||||||||||||||||||||||||||
Various currency futures contracts (U.S.) | (103,178 | ) | -0.11 | % | (15,498 | ) | -0.08 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (Europe) | — | 0.00 | % | (11,755 | ) | -0.06 | % | |||||||||||||||||||||||||||||
Various energy futures contracts (U.S.) | (194,057 | ) | -0.21 | % | 1,807 | 0.01 | % | |||||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | (42,246 | ) | -0.05 | % | (113 | ) | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Europe) | 494,716 | 0.53 | % | 209,844 | 1.02 | % | ||||||||||||||||||||||||||||||
Various interest rates futures contracts (Far East) | 77,744 | 0.08 | % | 25,934 | 0.13 | % | ||||||||||||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | 47,107 | 0.05 | % | 1,645 | 0.01 | % | ||||||||||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | 717,816 | 0.77 | % | 167,481 | 0.82 | % | ||||||||||||||||||||||||||||||
Various precious metal futures contracts (U.S.) | (9,810 | ) | -0.01 | % | — | 0.00 | % | |||||||||||||||||||||||||||||
Various soft futures contracts (Africa) | — | 0.00 | % | 7,348 | 0.04 | % | ||||||||||||||||||||||||||||||
Various soft futures contracts (Europe) | (13,267 | ) | -0.01 | % | (1,634 | ) | -0.01 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Oceanic) | — | 0.00 | % | 473 | 0.00 | % | ||||||||||||||||||||||||||||||
Various soft futures contracts (U.S.) | 20,953 | 0.02 | % | (16,607 | ) | -0.08 | % | |||||||||||||||||||||||||||||
Various stock index futures contracts (Canada) | 2,689 | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||||
Various stock index futures contracts (Europe) | (16,863 | ) | -0.02 | % | (5,033 | ) | -0.02 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (Far East) | (22,206 | ) | -0.02 | % | — | 0.00 | % | |||||||||||||||||||||||||||||
Various stock index futures contracts (Oceanic) | 1,438 | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||||
Various stock index futures contracts (U.S.) | (124,223 | ) | -0.13 | % | (2,449 | ) | -0.01 | % | ||||||||||||||||||||||||||||
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Total Long Futures Contracts | $ | 776,937 | 0.83 | % | $ | (823,675 | ) | -4.02 | % | |||||||||||||||||||||||||||
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SHORT FUTURES CONTRACTS* | SHORT FUTURES CONTRACTS* |
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Various base metals futures contracts (Europe) | $ | (527,678 | ) | -0.54 | % | $ | (945,175 | ) | -4.91 | % | Various base metals futures contracts (Europe) | $ | 98,041 | 0.10 | % | $ | 1,446,479 | 7.06 | % | |||||||||||||||||
Various currency futures contracts (Singapore) | — | 0.00 | % | (364 | ) | 0.00 | % | Various base metals futures contracts (U.S.) | (12,638 | ) | -0.01 | % | (12,738 | ) | -0.06 | % | ||||||||||||||||||||
Various currency futures contracts (U.S.) | (46,926 | ) | -0.05 | % | (31,965 | ) | -0.17 | % | Various currency futures contracts (Singapore) | — | 0.00 | % | (1,104 | ) | -0.01 | % | ||||||||||||||||||||
Various energy futures contracts (Europe) | — | 0.00 | % | 7,576 | 0.04 | % | Various currency futures contracts (U.S.) | 140,515 | 0.15 | % | 4,941 | 0.02 | % | |||||||||||||||||||||||
Various energy futures contracts (Far East) | (2,367 | ) | 0.00 | % | — | 0.00 | % | Various energy futures contracts (Europe) | — | 0.00 | % | 23,991 | 0.12 | % | ||||||||||||||||||||||
Various energy futures contracts (U.S.) | (153,601 | ) | -0.16 | % | 10,841 | 0.06 | % | Various energy futures contracts (Far East) | (24,819 | ) | -0.03 | % | 2,440 | 0.01 | % | |||||||||||||||||||||
Various interest rates futures contracts (Canada) | 44,461 | 0.05 | % | — | 0.00 | % | Various energy futures contracts (U.S.) | 288,578 | 0.31 | % | 536,491 | 2.62 | % | |||||||||||||||||||||||
Various interest rates futures contracts (Europe) | 12,519 | 0.01 | % | 2,616 | 0.01 | % | Various interest rates futures contracts (Canada) | — | 0.00 | % | 423 | 0.00 | % | |||||||||||||||||||||||
Various interest rates futures contracts (Far East) | 21,602 | 0.02 | % | 4,188 | 0.02 | % | Various interest rates futures contracts (Europe) | (38,975 | ) | -0.04 | % | (13,661 | ) | -0.07 | % | |||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | 636 | 0.00 | % | (3,153 | ) | -0.02 | % | Various interest rates futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | 121,458 | 0.13 | % | 45,209 | 0.23 | % | Various interest rates futures contracts (Oceanic) | (1,960 | ) | 0.00 | % | (22,083 | ) | -0.11 | % | |||||||||||||||||||||
Various precious metal futures contracts (Far East) | (3,224 | ) | 0.00 | % | (906 | ) | 0.00 | % | Various interest rates futures contracts (U.S.) | (10,941 | ) | -0.01 | % | 25,732 | 0.13 | % | ||||||||||||||||||||
Various precious metal futures contracts (U.S.) | (35,955 | ) | -0.04 | % | — | 0.00 | % | Various precious metal futures contracts (Far East) | 10,836 | 0.01 | % | — | 0.00 | % | ||||||||||||||||||||||
Various soft futures contract (Europe) | (970 | ) | 0.00 | % | — | 0.00 | % | Various precious metal futures contracts (U.S.) | 3,595 | 0.00 | % | (21,205 | ) | -0.10 | % | |||||||||||||||||||||
Various soft futures contracts (Africa) | — | 0.00 | % | (454 | ) | 0.00 | % | Various soft futures contract (Europe) | 8,530 | 0.01 | % | 12,040 | 0.06 | % | ||||||||||||||||||||||
Various soft futures contracts (Canada) | 12,047 | 0.01 | % | 1,178 | 0.01 | % | Various soft futures contracts (Canada) | (13,776 | ) | -0.01 | % | (318 | ) | 0.00 | % | |||||||||||||||||||||
Various soft futures contracts (Europe) | 28,604 | 0.03 | % | 29,280 | 0.15 | % | Various soft futures contracts (Europe) | (14,265 | ) | -0.02 | % | 1,728 | 0.01 | % | ||||||||||||||||||||||
Various soft futures contracts (Oceanic) | — | 0.00 | % | (431 | ) | 0.00 | % | Various soft futures contracts (Far East) | 10,102 | 0.01 | % | 2,860 | 0.01 | % | ||||||||||||||||||||||
Various soft futures contracts (U.S.) | 479,697 | 0.49 | % | 76,239 | 0.40 | % | Various soft futures contracts (U.S.) | 68,454 | 0.07 | % | 99,937 | 0.49 | % | |||||||||||||||||||||||
Various stock index futures contracts (Africa) | — | 0.00 | % | (1,893 | ) | -0.01 | % | Various stock index futures contracts (Africa) | (3,817 | ) | 0.00 | % | (3,796 | ) | -0.02 | % | ||||||||||||||||||||
Various stock index futures contracts (Canada) | (16,733 | ) | -0.02 | % | — | 0.00 | % | Various stock index futures contracts (Canada) | 3,951 | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||
Various stock index futures contracts (Europe) | (169,832 | ) | -0.18 | % | (8,607 | ) | -0.04 | % | Various stock index futures contracts (Europe) | 25,923 | 0.03 | % | 6,994 | 0.03 | % | |||||||||||||||||||||
Various stock index futures contracts (Far East) | (162,496 | ) | -0.17 | % | (25,716 | ) | -0.13 | % | Various stock index futures contracts (Far East) | 16,734 | 0.02 | % | 13,146 | 0.06 | % | |||||||||||||||||||||
Various stock index futures contracts (Mexico) | 184 | 0.00 | % | 118 | 0.00 | % | Various stock index futures contracts (Mexico) | 4,075 | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||
Various stock index futures contracts (Oceanic) | (6,474 | ) | -0.01 | % | — | 0.00 | % | Various stock index futures contracts (Oceanic) | 877 | 0.00 | % | 2,947 | 0.01 | % | ||||||||||||||||||||||
Various stock index futures contracts (U.S.) | (413,569 | ) | -0.43 | % | (113,462 | ) | -0.59 | % | Various stock index futures contracts (U.S.) | 28,580 | 0.03 | % | 76,187 | 0.37 | % | |||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Long Futures Contracts | $ | (818,617 | ) | -0.86 | % | $ | (954,881 | ) | -4.95 | % | Total Short Futures Contracts | $ | 587,600 | 0.62 | % | $ | 2,181,431 | 10.63 | % | |||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
SHORT FUTURES CONTRACTS | ||||||||||||||||||||||||||||||||||||
CURRENCY FORWARDS* | CURRENCY FORWARDS* |
| ||||||||||||||||||||||||||||||||||
Various base metals futures contracts (Europe) | $ | 472,034 | 0.49 | % | $ | 1,098,409 | 5.70 | % | Various currency forwards contracts (NA) | $ | (168,057 | ) | -0.18 | % | $ | 5,959 | 0.03 | % | ||||||||||||||||||
Various base metals futures contracts (U.S.) | 7,838 | 0.01 | % | 20,730 | 0.11 | % |
|
|
|
| ||||||||||||||||||||||||||
Various currency futures contracts (U.S.) | 97,275 | 0.10 | % | (92,798 | ) | -0.48 | % | Total Currency Forwards | $ | (168,057 | ) | -0.18 | % | $ | 5,959 | 0.03 | % | |||||||||||||||||||
Various energy futures contracts (Europe) | — | 0.00 | % | (149 | ) | 0.00 | % |
|
|
|
| |||||||||||||||||||||||||
Various energy futures contracts (Far East) | 4,164 | 0.00 | % | (1,740 | ) | -0.01 | % | Total Open Trade Equity (Deficit) | $ | 1,196,480 | 1.27 | % | $ | 1,363,715 | 6.64 | % | ||||||||||||||||||||
Various energy futures contracts (U.S.) | 38,884 | 0.04 | % | (43,047 | ) | -0.22 | % |
|
|
|
| |||||||||||||||||||||||||
OPTIONS PURCHASED* | OPTIONS PURCHASED* |
| ||||||||||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | (1,393 | ) | 0.00 | % | (5,002 | ) | -0.03 | % | Various energy futures contracts (U.S.) | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||
Various interest rates futures contracts (Europe) | 8,798 | 0.01 | % | 11,917 | 0.06 | % | Various soft futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||
Various interest rates futures contracts (Far East) | 214 | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | 13,172 | 0.01 | % | (1,504 | ) | -0.01 | % |
|
|
|
| |||||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | (44,189 | ) | -0.05 | % | 54,062 | 0.28 | % | Total Options Purchased | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||
Various precious metal futures contracts (Far East) | 4,829 | 0.00 | % | — | 0.00 | % |
|
|
|
| ||||||||||||||||||||||||||
OPTIONS WRITTEN* | OPTIONS WRITTEN* |
| ||||||||||||||||||||||||||||||||||
Various precious metal futures contracts (U.S.) | 19,350 | 0.02 | % | 180,010 | 0.93 | % | Various energy futures contracts (U.S.) | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||
Various soft futures contract (Europe) | — | 0.00 | % | (800 | ) | 0.00 | % | Various soft futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||
Various soft futures contracts (Europe) | (33,452 | ) | -0.03 | % | (5,913 | ) | -0.03 | % | Various stock index futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||
Various soft futures contracts (Far East) | 2,939 | 0.00 | % | — | 0.00 | % |
|
|
|
| ||||||||||||||||||||||||||
Various soft futures contracts (U.S.) | (385,677 | ) | -0.40 | % | (275,325 | ) | -1.43 | % | Total Options Written | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||
Various stock index futures contracts (Africa) | 389 | 0.00 | % | — | 0.00 | % |
|
|
|
| ||||||||||||||||||||||||||
Various stock index futures contracts (Canada) | 5,688 | 0.01 | % | — | 0.00 | % | ||||||||||||||||||||||||||||||
Various stock index futures contracts (Europe) | 871 | 0.00 | % | 88 | 0.00 | % | ||||||||||||||||||||||||||||||
Various stock index futures contracts (Far East) | 3,125 | 0.00 | % | 8,561 | 0.04 | % | ||||||||||||||||||||||||||||||
Various stock index futures contracts (Oceanic) | 26,744 | 0.03 | % | 6,243 | 0.03 | % | ||||||||||||||||||||||||||||||
Various stock index futures contracts (U.S.) | 25,654 | 0.03 | % | 31,562 | 0.16 | % | ||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Total Short Futures Contracts | $ | 267,257 | 0.27 | % | $ | 985,304 | 5.10 | % | ||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
CURRENCY FORWARDS | ||||||||||||||||||||||||||||||||||||
Various currency forwards contracts (NA) | $ | (227,603 | ) | -0.23 | % | $ | 25,533 | 0.13 | % | |||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Total Currency Forwards | $(227,603) | -0.23% | $25,533 | 0.13% | ||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Total Open Trade Equity (Deficit) | $(778,963) | -0.82% | $55,956 | 0.28% | ||||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
SWAPS (1) | ||||||||||||||||||||||||||||||||||||
SWAPS (1) | SWAPS (1) |
| ||||||||||||||||||||||||||||||||||
Frontier XXXIV Balanced select swap (U.S.) | $18,491,634 | 19.06% | $— | 0.00% | Frontier XXXIV Balanced select swap (U.S.) | $ | 18,009,494 | 19.23 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Swaps | $18,491,634 | 19.06% | $— | 0.00% | Total Swaps | $ | 18,009,494 | 19.23 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
U.S. TREASURY SECURITIES (2) | U.S. TREASURY SECURITIES (2) | U.S. TREASURY SECURITIES (2) |
| |||||||||||||||||||||||||||||||||
FACE VALUE | FACE VALUE | Fair Value | Fair 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 | % | US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764) | $ | 36,558,524 | 39.04 | % | $ | 1,886,205 | 9.21 | % | ||||||||||||||||||
$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 | % | US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500) | 10,241,838 | 10.94 | % | 528,418 | 2.58 | % | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 47,350,232 | 48.81 | % | $ | 2,415,549 | 12.54 | % | $ | 46,800,362 | 49.98 | % | $ | 2,414,623 | 11.79 | % | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
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 6.000% due 02/15/2026 (2) | $27,568,106 | $1,406,374 | US Treasury Note 6.000% due 02/15/2026 (2) | $ | 26,703,327 | $ | 1,377,735 | |||||||||||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (2) | 7,351,495 | 375,033 | US Treasury Note 6.875% due 08/15/2025 (2) | 7,120,887 | 367,396 | |||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 34,919,601 | $ | 1,781,407 | $ | 33,824,214 | $ | 1,745,131 | |||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
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 6.000% due 02/15/2026 (2) | $41,588,353 | $2,121,610 | US Treasury Note 6.000% due 02/15/2026 (2) | $ | 35,581,208 | $ | 1,835,781 | |||||||||||||||||||||||||||||
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) | 9,973,693 | 514,584 | |||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 51,885,041 | $ | 2,646,891 | $ | 45,554,901 | $ | 2,350,365 | |||||||||||||||||||||||||||||
|
|
|
|
* | 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
Consolidated Schedule of Investments (Unaudited)
June 30, 2015
Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||||
Description | Fair Value | % of Total Capital (Net Asset Value) | Fair Value | % of Total Capital (Net Asset Value) | ||||||||||||||
SWAPS (1) | ||||||||||||||||||
Frontier Brevan Howard swap (U.S.) | $— | 0.00% | $7,809,251 | 49.16% | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Swaps | $— | 0.00% | $7,809,251 | 49.16% | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
U.S. TREASURY SECURITIES (2) | ||||||||||||||||||
FACE VALUE | Fair Value | Fair Value | ||||||||||||||||
$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 | % | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
$ | 25,617,478 | 69.64 | % | $ | 5,706,384 | 35.92 | % | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Additional Disclosure on U.S. Treasury Securities | Face Value | Face Value | ||||||||||||||||
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) | 3,977,314 | 885,961 | ||||||||||||||||
|
|
|
| |||||||||||||||
$ | 18,892,243 | $ | 4,208,315 | |||||||||||||||
|
|
|
| |||||||||||||||
Additional Disclosure on U.S. Treasury Securities | Cost | Cost | ||||||||||||||||
US Treasury Note 6.000% due 02/15/2026 (2) | $ | 22,500,180 | $ | 5,011,996 | ||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (2) | 5,570,726 | 1,240,899 | ||||||||||||||||
|
|
|
| |||||||||||||||
$ | 28,070,906 | $ | 6,252,895 | |||||||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements.
The Series of Equinox Frontier Funds
Condensed Schedule of Investments
December 31, 2014September 30, 2015 (Unaudited)
Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | Equinox Frontier Winton Fund | Equinox Frontier Frontier Heritage 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 | Fair Value | % of Total Capital (Net Asset Value) | Fair Value | % of Total Capital (Net Asset Value) | ||||||||||||||||||||||||||||||||
LONG FUTURES CONTRACTS * | ||||||||||||||||||||||||||||||||||||||||||||
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 (Europe) | $ | (25,735 | ) | -0.06 | % | $ | — | 0.00 | % | |||||||||||||||||||||
Various base metals futures contracts (U.S.) | (48,075 | ) | -0.07 | % | — | 0.00 | % | — | 0.00 | % | Various base metals futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various currency futures contracts (U.S.) | 560,666 | 0.77 | % | — | 0.00 | % | — | 0.00 | % | Various currency futures contracts (U.S.) | 111,151 | 0.26 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various energy futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various energy futures contracts (U.S.) | 11,932 | 0.03 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (U.S.) | 10,206 | 0.01 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Canada) | (21,385 | ) | -0.05 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | 79,701 | 0.11 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Europe) | 940,161 | 2.22 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Europe) | 676,493 | 0.93 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Far East) | 96,690 | 0.23 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Far East) | 208,691 | 0.29 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Oceanic) | 46,271 | 0.11 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | 299,804 | 0.41 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (U.S.) | 1,708,194 | 4.04 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | 289,361 | 0.40 | % | — | 0.00 | % | — | 0.00 | % | Various precious metal futures contracts (U.S.) | — | 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 | % | ||||||||||||||||||||||||||||
Various precious metal futures contracts (U.S.) | (60,655 | ) | -0.08 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (Europe) | (348 | ) | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||
Various soft futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Europe) | 2,809 | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (U.S.) | (23,070 | ) | -0.05 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various soft futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (U.S.) | (89,038 | ) | -0.12 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (Canada) | 33,439 | 0.08 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Far East) | (853 | ) | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (Europe) | (44,720 | ) | -0.06 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (Far East) | 14,786 | 0.02 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (U.S.) | (2,295 | ) | -0.01 | % | — | 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 | $ | 2,840,713 | 6.72 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
Total Long Futures Contracts | $ | 2,026,528 | 2.85 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||||||
|
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|
|
| |||||||||||||||||||||||||||||||||||||||
SHORT FUTURES CONTRACTS * | ||||||||||||||||||||||||||||||||||||||||||||
SHORT FUTURES CONTRACTS* | SHORT FUTURES CONTRACTS* | |||||||||||||||||||||||||||||||||||||||||||
Various base metals futures contracts (Europe) | $ | 251,789 | 0.35 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Various base metals futures contracts (Europe) | $ | 6,683 | 0.02 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
Various base metals futures contracts (U.S.) | 50,963 | 0.07 | % | — | 0.00 | % | — | 0.00 | % | Various base metals futures contracts (U.S.) | (13,450 | ) | -0.03 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various currency futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various currency futures contracts (Singapore) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various currency futures contracts (U.S.) | 360,124 | 0.50 | % | — | 0.00 | % | — | 0.00 | % | Various currency futures contracts (U.S.) | 40,049 | 0.09 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various energy futures contracts (Europe) | — | 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 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (U.S.) | 356,351 | 0.49 | % | — | 0.00 | % | — | 0.00 | % | Various energy futures contracts (U.S.) | 274,967 | 0.65 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | 12,112 | 0.02 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Europe) | (14,958 | ) | -0.02 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various interest rates futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | (128 | ) | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (U.S.) | — | 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 | % | ||||||||||||||||||||||||||||
Various precious metal futures contracts (U.S.) | 7,685 | 0.01 | % | — | 0.00 | % | — | 0.00 | % | Various precious metal futures contracts (U.S.) | 27,380 | 0.06 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contract (Europe) | 13,120 | 0.03 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Europe) | 92,535 | 0.13 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (Europe) | (1,956 | ) | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various soft futures contracts (U.S.) | 78,930 | 0.11 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (Africa) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (U.S.) | (27,530 | ) | -0.07 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (Europe) | (24,501 | ) | -0.03 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Africa) | (7,081 | ) | -0.02 | % | — | 0.00 | % | ||||||||||||||||||||||||||
Various stock index futures contracts (Far East) | (28,299 | ) | -0.04 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Canada) | 1,154 | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (Mexico) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Europe) | 79,164 | 0.19 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Far East) | 16,137 | 0.04 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (U.S.) | 2,837 | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Mexico) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
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| Various stock index futures contracts (Oceanic) | 5,280 | 0.01 | % | — | 0.00 | % | ||||||||||||||||||||||||||||||||
Total Short Futures Contracts | $ | 1,145,440 | 1.59 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Various stock index futures contracts (U.S.) | 69,011 | 0.16 | % | — | 0.00 | % | |||||||||||||||||||||||||
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CURRENCY FORWARDS * | ||||||||||||||||||||||||||||||||||||||||||||
Total Short Futures Contracts | $ | 482,928 | 1.13 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||||||||||
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CURRENCY FORWARDS* | CURRENCY FORWARDS* | |||||||||||||||||||||||||||||||||||||||||||
Various currency forwards contracts (NA) | $ | 43,238 | 0.06 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Various currency forwards contracts (NA) | $ | (669,966 | ) | -1.59 | % | $ | — | 0.00 | % | ||||||||||||||||||||||
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Total Currency Forwards | $ | 43,238 | 0.06 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Total Currency Forwards | $ | (669,966 | ) | -1.59 | % | $ | — | 0.00 | % | ||||||||||||||||||||||
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Total Open Trade Equity (Deficit) | $ | 3,215,206 | 4.50 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Total Open Trade Equity (Deficit) | $ | 2,653,675 | 6.26 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
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OPTIONS PURCHASED * | ||||||||||||||||||||||||||||||||||||||||||||
OPTIONS PURCHASED* | OPTIONS PURCHASED* | |||||||||||||||||||||||||||||||||||||||||||
Various energy futures contracts (U.S.) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Various energy futures contracts (U.S.) | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
Various soft futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (U.S.) | 288,413 | 0.40 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
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Total Options Purchased | $ | 288,413 | 0.40 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Total Options Purchased | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
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OPTIONS WRITTEN * | ||||||||||||||||||||||||||||||||||||||||||||
OPTIONS WRITTEN* | OPTIONS WRITTEN* | |||||||||||||||||||||||||||||||||||||||||||
Various energy futures contracts (U.S.) | $ | — | 0.00 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Various energy futures contracts (U.S.) | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
Various soft futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (U.S.) | (253,018 | ) | -0.35 | % | — | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (U.S.) | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
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Total Options Written | $ | (253,018 | ) | -0.35 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | Total Options Written | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||
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SWAPS (1) | SWAPS (1) | SWAPS (1) | ||||||||||||||||||||||||||||||||||||||||||
Frontier XXXV Diversified select swap (U.S.) | $ | 6,570,408 | 9.07 | % | — | 0.00 | % | $ | — | 0.00 | % | Frontier Brevan Howard swap (U.S.) | $ | — | 0.00 | % | $ | 8,232,841 | 51.35 | % | ||||||||||||||||||||||||
Frontier XXXVII L/S select swap (U.S.) | — | 0.00 | % | — | 0.00 | % | 3,633,060 | 21.86 | % |
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| Total Swaps | $ | — | 0.00 | % | $ | 8,232,841 | 51.35 | % | ||||||||||||||||||||||||||||||
Total Swaps | $ | 6,570,408 | 9.07 | % | $ | — | 0.00 | % | $ | 3,633,060 | 21.86 | % |
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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 | |||||||||||||||||||||||||||||||||||||
$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 | % | US Treasury Note 6.000% due 02/15/2026 (Cost $99,934,764) | $ | 20,607,458 | 48.76 | % | $ | 4,557,845 | 28.43 | % | |||||||||||||||||||||||||
$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 | % | US Treasury Note 6.875% due 08/15/2025 (Cost $28,012,500) | 5,773,161 | 13.66 | % | 1,276,876 | 7.96 | % | |||||||||||||||||||||||||||
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$ | 31,051,659 | 42.88 | % | $ | 16,217,173 | 63.08 | % | $ | 8,191,519 | 49.30 | % | $ | 26,380,619 | 62.42 | % | $ | 5,834,721 | 36.39 | % | |||||||||||||||||||||||||
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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 | |||||||||||||||||||||||||||||||||||||
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) | $ | 15,052,240 | $ | 3,329,172 | |||||||||||||||||||||||||||||||||
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) | 4,013,931 | 887,779 | ||||||||||||||||||||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (2) | 3,328,068 | 1,738,131 | 877,954 |
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| $ | 19,066,171 | $ | 4,216,951 | ||||||||||||||||||||||||||||||||||||||
$ | 24,405,836 | $ | 12,746,296 | $ | 6,438,332 |
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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 | |||||||||||||||||||||||||||||||||||||
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) | $ | 20,056,561 | $ | 4,436,002 | |||||||||||||||||||||||||||||||||
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) | 5,622,012 | 1,243,446 | ||||||||||||||||||||||||||||||||||||||
US Treasury Note 6.875% due 08/15/2025 (2) | 3,320,679 | 1,734,272 | 876,005 |
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| $ | 25,678,573 | $ | 5,679,448 | ||||||||||||||||||||||||||||||||||||||
$ | 31,698,420 | $ | 16,554,953 | $ | 8,362,136 |
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* | 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 | |||||||||||||||||||||||||||||||||||||||||||
% of Total Capital | % of Total Capital | Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||||||||||
Description | Description | Value | (Net Asset Value) | Value | (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 * | LONG FUTURES CONTRACTS * |
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Various base metals futures contracts (Europe) | $ | (3,493,625 | ) | -3.22 | % | $ | — | 0.00 | % | Various base metals futures contracts (Europe) | $ | (312,320 | ) | -0.43 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||
Various base metals futures contracts (U.S.) | (13,775 | ) | -0.01 | % | — | 0.00 | % | Various base metals futures contracts (U.S.) | (48,075 | ) | -0.07 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||
Various currency futures contracts (U.S.) | (254,409 | ) | -0.23 | % | — | 0.00 | % | Various currency futures contracts (U.S.) | 560,666 | 0.77 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various energy futures contracts (Europe) | (12,920 | ) | -0.01 | % | — | 0.00 | % | Various energy futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various energy futures contracts (Far East) | (2,738 | ) | 0.00 | % | — | 0.00 | % | Various energy futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various energy futures contracts (U.S.) | (1,406,837 | ) | -1.30 | % | — | 0.00 | % | Various energy futures contracts (U.S.) | 10,206 | 0.01 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | 84,291 | 0.08 | % | — | 0.00 | % | Various interest rates futures contracts (Canada) | 79,701 | 0.11 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Europe) | 1,312,057 | 1.21 | % | — | 0.00 | % | Various interest rates futures contracts (Europe) | 676,493 | 0.93 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Far East) | 217,701 | 0.20 | % | — | 0.00 | % | Various interest rates futures contracts (Far East) | 208,691 | 0.29 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | 164,422 | 0.15 | % | — | 0.00 | % | Various interest rates futures contracts (Oceanic) | 299,804 | 0.41 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | 298,985 | 0.28 | % | — | 0.00 | % | Various interest rates futures contracts (U.S.) | 289,361 | 0.40 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various precious metal futures contracts (Far East) | 6,195 | 0.01 | % | — | 0.00 | % | Various precious metal futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various precious metal futures contracts (U.S.) | (57,380 | ) | -0.05 | % | — | 0.00 | % | Various precious metal futures contracts (U.S.) | (60,655 | ) | -0.08 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||
Various soft futures contracts (Canada) | (1,360 | ) | 0.00 | % | — | 0.00 | % | Various soft futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various soft futures contracts (Europe) | 8,013 | 0.01 | % | — | 0.00 | % | Various soft futures contracts (Europe) | 2,809 | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Oceanic) | (864 | ) | 0.00 | % | — | 0.00 | % | Various soft futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various soft futures contracts (U.S.) | (208,634 | ) | -0.19 | % | — | 0.00 | % | Various soft futures contracts (U.S.) | (89,038 | ) | -0.12 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||
Various stock index futures contracts (Canada) | 17,918 | 0.02 | % | — | 0.00 | % | Various stock index futures contracts (Canada) | 33,439 | 0.08 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (Europe) | 231,293 | 0.21 | % | — | 0.00 | % | Various stock index futures contracts (Europe) | (44,720 | ) | -0.06 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (Far East) | (6,494 | ) | -0.01 | % | — | 0.00 | % | Various stock index futures contracts (Far East) | 14,786 | 0.02 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (Oceanic) | (1,389 | ) | 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.) | 337,695 | 0.31 | % | — | 0.00 | % | Various stock index futures contracts (U.S.) | 370,308 | 0.51 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
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Total Long Futures Contracts | $ | (2,781,855 | ) | -2.54 | % | $ | — | 0.00 | % | Total Long Futures Contracts | $ | 2,026,528 | 2.85 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||
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SHORT FUTURES CONTRACTS * | SHORT FUTURES CONTRACTS * | SHORT FUTURES CONTRACTS * |
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Various base metals futures contracts (Europe) | $ | 3,165,035 | 2.92 | % | $ | — | 0.00 | % | Various base metals futures contracts (Europe) | $ | 251,789 | 0.35 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
Various base metals futures contracts (U.S.) | 19,963 | 0.02 | % | — | 0.00 | % | Various base metals futures contracts (U.S.) | 50,963 | 0.07 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various currency futures contracts (Far East) | (3,383 | ) | 0.00 | % | — | 0.00 | % | Various currency futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various currency futures contracts (U.S.) | 462,616 | 0.43 | % | — | 0.00 | % | Various currency futures contracts (U.S.) | 360,124 | 0.50 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (Europe) | 49,517 | 0.05 | % | — | 0.00 | % | Various energy futures contracts (Europe) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (Far East) | 5,389 | 0.00 | % | — | 0.00 | % | Various energy futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various energy futures contracts (U.S.) | 2,602,685 | 2.40 | % | — | 0.00 | % | Various energy futures contracts (U.S.) | 356,351 | 0.49 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | 12,112 | 0.02 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||||||||||
Various interest rates futures contracts (Canada) | 11 | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Europe) | (14,958 | ) | -0.02 | % | — | 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 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various interest rates futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various interest rates futures contracts (Oceanic) | (1,673 | ) | 0.00 | % | — | 0.00 | % | Various interest rates futures contracts (U.S.) | (128 | ) | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||
Various interest rates futures contracts (U.S.) | (20,699 | ) | -0.02 | % | — | 0.00 | % | Various precious metal futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various precious metal futures contracts (Far East) | (1,052 | ) | 0.00 | % | — | 0.00 | % | Various precious metal futures contracts (U.S.) | 7,685 | 0.01 | % | — | 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 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Canada) | — | 0.00 | % | — | 0.00 | % | Various soft futures contracts (Europe) | 92,535 | 0.13 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Europe) | 19,813 | 0.02 | % | — | 0.00 | % | Various soft futures contracts (Far East) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various soft futures contracts (Far East) | (4,709 | ) | 0.00 | % | — | 0.00 | % | Various soft futures contracts (U.S.) | 78,930 | 0.11 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various soft futures contracts (U.S.) | 438,427 | 0.40 | % | — | 0.00 | % | Various stock index futures contracts (Africa) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (Africa) | (4,181 | ) | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Europe) | (24,501 | ) | -0.03 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||
Various stock index futures contracts (Europe) | (13,338 | ) | -0.01 | % | — | 0.00 | % | Various stock index futures contracts (Far East) | (28,299 | ) | -0.04 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||
Various stock index futures contracts (Far East) | 129 | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Mexico) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | ||||||||||||||||||||||||||||
Various stock index futures contracts (Mexico) | (4,380 | ) | 0.00 | % | — | 0.00 | % | Various stock index futures contracts (Oceanic) | — | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (Oceanic) | (9,866 | ) | -0.01 | % | — | 0.00 | % | Various stock index futures contracts (U.S.) | 2,837 | 0.00 | % | — | 0.00 | % | — | 0.00 | % | |||||||||||||||||||||||||||
Various stock index futures contracts (U.S.) | (51,856 | ) | -0.05 | % | — | 0.00 | % |
|
|
|
|
|
| |||||||||||||||||||||||||||||||
|
|
|
| Total Short Futures Contracts | $ | 1,145,440 | 1.59 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||||||||
Total Short Futures Contracts | $ | 6,499,146 | 6.01 | % | $ | — | 0.00 | % |
|
|
|
|
|
| ||||||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||||||||||
CURRENCY FORWARDS * | CURRENCY FORWARDS * | CURRENCY FORWARDS * |
| |||||||||||||||||||||||||||||||||||||||||
Various currency forwards contracts (NA) | $ | (419,742 | ) | -0.39 | % | $ | — | 0.00 | % | Various currency forwards contracts (NA) | $ | 43,238 | 0.06 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
Total Currency Forwards | $ | (419,742 | ) | -0.39 | % | $ | — | 0.00 | % | Total Currency Forwards | $ | 43,238 | 0.06 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
Total Open Trade Equity (Deficit) | $ | 3,297,549 | 3.08 | % | $ | — | 0.00 | % | Total Open Trade Equity (Deficit) | $ | 3,215,206 | 4.50 | % | $ | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
OPTIONS PURCHASED * | OPTIONS PURCHASED * | 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 * | 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) | SWAPS (1) |
| ||||||||||||||||||||||||||||||||||||||||||
Frontier XXXV Diversified select swap (U.S.) | $ | 6,570,408 | 9.07 | % | — | 0.00 | % | $ | — | 0.00 | % | |||||||||||||||||||||||||||||||||
Frontier XXXIV Balanced Select Swap (U.S.) | $ | 18,246,954 | 16.82 | % | $ | — | 0.00 | % | Frontier XXXVII L/S select swap (U.S.) | — | 0.00 | % | — | 0.00 | % | 3,633,060 | 21.86 | % | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
Total Swaps | $ | 18,246,954 | 16.82 | % | $ | — | 0.00 | % | 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 | Value | 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) | $ | 28,539,451 | 26.31 | % | $ | 4,440,708 | 29.08 | % | 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) | 8,594,691 | 7.92 | % | 1,337,325 | 8.76 | % | 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) | 4,491,718 | 4.14 | % | 698,906 | 4.58 | % | 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 | % | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
$ | 41,625,860 | 38.37 | % | $ | 6,476,939 | 42.42 | % | $ | 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 | Additional Disclosure on U.S. Treasury Securities | Face Value | Face Value | Face Value | |||||||||||||||||||||||||||||||||||||
US Treasury Note 2.250% due 11/15/2024 (2) | $ | 22,306,974 | $ | 3,470,942 | 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) | 5,948,526 | 925,584 | 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) | 4,461,395 | 694,188 | US Treasury Note 6.875% due 08/15/2025 (2) | 3,328,068 | 1,738,131 | 877,954 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||
$ | 32,716,895 | $ | 5,090,714 | $ | 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 | Additional Disclosure on U.S. Treasury Securities | Cost | Cost | Cost | |||||||||||||||||||||||||||||||||||||
US Treasury Note 2.250% due 11/15/2024 (2) | $ | 29,617,482 | $ | 4,608,448 | 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) | 8,423,893 | 1,310,749 | 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) | 4,451,489 | 692,647 | US Treasury Note 6.875% due 08/15/2025 (2) | 3,320,679 | 1,734,272 | 876,005 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||
$ | 42,492,864 | $ | 6,611,844 | $ | 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 | |||||||||||||||||
% 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 | Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||||||||||||||||||||
% of Total Capital | % of Total Capital | % of Total Capital | % of Total Capital | |||||||||||||||||||||||||||||||||
Description | Description | Value | (Net Asset Value) | Value | (Net Asset Value) | Value | (Net Asset Value) | Value | (Net Asset Value) | |||||||||||||||||||||||||||
Swaps (1) | Swaps (1) | |||||||||||||||||||||||||||||||||||
Brevan Howard Total Return Swap | $ | — | 0.00 | % | $ | 7,540,465 | 45.52 | % | Brevan Howard Total Return Swap | $ | — | 0.00 | % | $ | 7,540,465 | 45.52 | % | |||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Swaps | $ | — | 0.00 | % | $ | 7,540,465 | 45.52 | % | Total Swaps | $ | — | 0.00 | % | $ | 7,540,465 | 45.52 | % | |||||||||||||||||||
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| |||||||||||||||||||||||||||||
U.S. TREASURY SECURITIES (2) | U.S. TREASURY SECURITIES (2) | U.S. TREASURY SECURITIES (2) |
| |||||||||||||||||||||||||||||||||
FACE VALUE | FACE VALUE | Fair Value | Fair Value | 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 | % | |||||||||||||||||||||||||||||
$ 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 | % | |||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||||
$ | 29,593,974 | 73.89 | % | $ | 6,796,392 | 41.03 | % | $ | 29,593,974 | 73.89 | % | $ | 6,796,392 | 41.03 | % | |||||||||||||||||||||
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|
| |||||||||||||||||||||||||||||
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) | $ | 15,859,181 | $ | 3,642,134 | 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 6.000% 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 | US Treasury Note 6.875% due 08/15/2025 (2) | 3,171,836 | 728,427 | |||||||||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||||||||||||
$ | 23,260,132 | $ | 5,341,797 | $ | 23,260,132 | $ | 5,341,797 | |||||||||||||||||||||||||||||
|
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| |||||||||||||||||||||||||||||||||
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) | $ | 21,056,599 | $ | 4,835,746 | 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 6.000% 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 | US Treasury Note 6.875% due 08/15/2025 (2) | 3,164,794 | 726,809 | |||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||
$ | 30,210,374 | $ | 6,937,952 | $ | 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 JuneSeptember 30, 2015 and 2014
(Unaudited)
Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | |||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | 6/30/2014 | 6/30/2015 | 6/30/2014 | 6/30/2015 | 6/30/2014 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||||||||||||||||||
Interest - net | $ | 155,143 | $ | 135,499 | $ | 68,655 | $ | 71,429 | $ | 43,133 | $ | 47,605 | $ | 142,006 | $ | 134,263 | $ | 62,881 | $ | 62,263 | $ | 29,827 | $ | 51,721 | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Total Income | 155,143 | 135,499 | 68,655 | 71,429 | 43,133 | 47,605 | 142,006 | 134,263 | 62,881 | 62,263 | 29,827 | 51,721 | ||||||||||||||||||||||||||||||||||||
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|
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| |||||||||||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||||||||||||||
Incentive Fees | 4,000 | 954,829 | 41,072 | 168,094 | 40,149 | — | 225,279 | 686,627 | — | 219,695 | 14,316 | 94,518 | ||||||||||||||||||||||||||||||||||||
Management Fees | 243,004 | 271,073 | 182,496 | 230,233 | 131,237 | 223,050 | 247,879 | 258,715 | 173,088 | 233,608 | 135,721 | 176,097 | ||||||||||||||||||||||||||||||||||||
Service Fees - Class 1 | 108,250 | 125,184 | 60,813 | 76,310 | 29,629 | 30,304 | 97,034 | 113,027 | 52,129 | 64,776 | 25,703 | 31,049 | ||||||||||||||||||||||||||||||||||||
Trading Fees | 351,096 | 307,242 | 147,701 | 147,195 | 65,150 | 64,027 | 338,055 | 305,002 | 141,248 | 136,886 | 58,174 | 65,769 | ||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Expenses | 706,350 | 1,658,328 | 432,082 | 621,832 | 266,165 | 317,381 | 908,247 | 1,363,371 | 366,465 | 654,965 | 233,914 | 367,433 | ||||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Investment (loss) - net | (551,207 | ) | (1,522,829 | ) | (363,427 | ) | (550,403 | ) | (223,032 | ) | (269,776 | ) | (766,241 | ) | (1,229,108 | ) | (303,584 | ) | (592,702 | ) | (204,087 | ) | (315,712 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Realized and unrealized gain/(loss) on investments: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized gain/(loss) on futures, forwards and options | 480,498 | — | — | — | — | (144,365 | ) | (281,983 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||||
Net change in open trade equity/(deficit) | (3,084,315 | ) | — | — | — | — | 1,767,132 | 3,662,607 | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
Net realized gain/(loss) on swap contracts | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Net unrealized gain/(loss) on swap contracts | (1,943,955 | ) | 188,167 | — | — | (997,763 | ) | 186,322 | 531,624 | 2,147,690 | — | — | (54,840 | ) | 620,752 | |||||||||||||||||||||||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | 133,349 | (17,129 | ) | 56,105 | (9,105 | ) | 33,884 | (6,059 | ) | — | 42,934 | — | 20,359 | — | 18,266 | |||||||||||||||||||||||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | (1,267,982 | ) | 535,347 | (572,666 | ) | 284,576 | (345,884 | ) | 192,801 | 782,556 | 134,076 | 319,185 | 66,727 | 139,071 | 54,026 | |||||||||||||||||||||||||||||||||
Trading commissions | (182,250 | ) | — | — | — | — | (8,038 | ) | (77,125 | ) | — | — | — | — | — | |||||||||||||||||||||||||||||||||
Change in fair value of investments in unconsolidated trading companies | (1,411,843 | ) | 3,363,720 | (2,913,886 | ) | 1,844,351 | (512,304 | ) | (466,714 | ) | (1,480,364 | ) | 4,165,902 | 730,420 | 2,470,823 | (1,131,595 | ) | 3,524,528 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
Net gain/(loss) on investments | (7,276,498 | ) | 4,070,105 | (3,430,447 | ) | 2,119,822 | (1,822,067 | ) | 1,521,079 | 3,137,315 | 6,490,602 | 1,049,605 | 2,557,909 | (1,047,364 | ) | 4,217,572 | ||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | 2,371,074 | 5,261,494 | 746,021 | 1,965,207 | (1,251,451 | ) | 3,901,860 | |||||||||||||||||||||||||||||||||||||||||
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|
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|
| |||||||||||||||||||||||||||||||||||||
Less: Operations attributable to non-controlling interests | (322,342 | ) | — | — | — | — | 1,139,624 | 1,485,532 | — | — | — | — | — | |||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
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 | $ | 885,542 | $ | 5,261,494 | $ | 746,021 | $ | 1,965,207 | $ | (1,251,451 | ) | $ | 3,901,860 | |||||||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||||||||
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 | $ | (16.11 | ) | $ | 4.00 | $ | (18.37 | ) | $ | 5.67 | N/A | N/A | $ | 1.45 | $ | 9.12 | $ | 3.30 | $ | 8.12 | N/A | N/A | ||||||||||||||||||||||||||
Class 1a | N/A | N/A | N/A | N/A | $ | (13.53 | ) | $ | 0.34 | N/A | N/A | N/A | N/A | $ | (8.87 | ) | $ | 21.24 | ||||||||||||||||||||||||||||||
Class 2 | $ | (17.27 | ) | $ | 4.76 | $ | (19.80 | ) | $ | 6.61 | $ | (18.04 | ) | $ | 0.69 | $ | 2.19 | $ | 10.43 | $ | 4.22 | $ | 9.36 | $ | (11.63 | ) | $ | 29.33 | ||||||||||||||||||||
Class 2a | N/A | N/A | N/A | N/A | $ | (14.46 | ) | $ | 0.76 | N/A | N/A | N/A | N/A | $ | (9.36 | ) | $ | 23.70 | ||||||||||||||||||||||||||||||
Class 3 | $ | (15.87 | ) | $ | 4.45 | $ | (18.28 | ) | $ | 6.17 | $ | (17.86 | ) | $ | 0.69 | $ | 2.09 | $ | 9.67 | $ | 3.99 | $ | 8.73 | $ | (11.63 | ) | $ | 29.34 | ||||||||||||||||||||
Class 3a | N/A | N/A | N/A | N/A | $ | (14.45 | ) | $ | 0.82 | N/A | N/A | N/A | N/A | $ | (9.34 | ) | $ | 23.82 |
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 September 30, 2015 and 2014
(Unaudited)
Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | |||||||||||||||
9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||
Investment income: | ||||||||||||||||
Interest - net | $ | 7,127 | $ | 6,458 | $ | — | $ | — | ||||||||
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|
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|
|
| |||||||||
Total Income/(loss) | 7,127 | 6,458 | — | — | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Incentive Fees | 104,130 | 373,778 | — | 150,674 | ||||||||||||
Management Fees | 254,315 | 265,015 | 76,094 | 143,102 | ||||||||||||
Service Fees - Class 1 | 510,140 | 479,441 | 95,067 | 94,517 | ||||||||||||
Trading Fees | 179,140 | 164,674 | 26,464 | 26,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 1,047,725 | 1,282,908 | 197,625 | 414,633 | ||||||||||||
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|
|
|
|
| |||||||||
Investment (loss) - net | (1,040,598 | ) | (1,276,450 | ) | (197,625 | ) | (414,633 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Realized and unrealized gain/(loss) on investments: | ||||||||||||||||
Net realized gain/(loss) on futures, forwards and options | (3,537,771 | ) | 4,434,404 | 345,106 | — | |||||||||||
Net change in open trade equity/(deficit) | 1,975,443 | (2,653,804 | ) | 1,307,759 | — | |||||||||||
Net realized gain/(loss) on swap contracts | — | — | — | — | ||||||||||||
Net unrealized gain/(loss) on swap contracts | (482,140 | ) | 5,253,082 | — | — | |||||||||||
Net realized gain/(loss) on U.S. Treasury securities | — | 73,182 | — | 9,208 | ||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | 1,204,756 | 199,352 | 58,154 | 21,973 | ||||||||||||
Trading commissions | (111,459 | ) | (375,773 | ) | (32,220 | ) | — | |||||||||
Change in fair value of investments in unconsolidated trading companies | 935,070 | 3,535,154 | 129,507 | 1,588,195 | ||||||||||||
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|
|
|
|
|
| |||||||||
Net gain/(loss) on investments | (16,101 | ) | 10,465,597 | 1,808,306 | 1,619,376 | |||||||||||
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|
|
|
|
| |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | (1,056,699 | ) | 9,189,147 | 1,610,681 | 1,204,743 | |||||||||||
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|
|
|
|
|
| |||||||||
Less: Operations attributable to non-controlling interests | 105,139 | 711,053 | 714,830 | — | ||||||||||||
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|
|
| |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | (1,161,838 | ) | $ | 8,478,094 | $ | 895,851 | $ | 1,204,743 | |||||||
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| |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | ||||||||||||||||
Class 1 | $ | (1.92 | ) | $ | 10.39 | $ | 5.85 | $ | 7.09 | |||||||
Class 1AP (1) | $ | (0.96 | ) | $ | 12.20 | $ | 6.74 | $ | 10.22 | |||||||
Class 2 | $ | (1.29 | ) | $ | 15.10 | $ | 8.94 | $ | 12.23 | |||||||
Class 2a | $ | (0.74 | ) | $ | 13.16 | N/A | N/A | |||||||||
Class 3a | $ | (0.74 | ) | $ | 13.12 | 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 Three Months Ended September 30, 2015 and 2014
(Unaudited)
Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||
9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||
Investment income: | ||||||||||||||||
Interest - net | $ | 1 | $ | — | $ | 1 | $ | — | ||||||||
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|
|
|
|
| |||||||||
Total Income | 1 | — | 1 | — | ||||||||||||
|
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|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Incentive Fees | — | 206,495 | — | 44,124 | ||||||||||||
Management Fees | 289,752 | 294,474 | 67,180 | 83,810 | ||||||||||||
Service Fees - Class 1 | 184,196 | 174,044 | 69,701 | 63,543 | ||||||||||||
Trading Fees | 69,319 | 63,974 | 23,325 | 21,020 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 543,267 | 738,987 | 160,206 | 212,497 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment (loss) - net | (543,266 | ) | (738,987 | ) | (160,205 | ) | (212,497 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Realized and unrealized gain/(loss) on investments: | ||||||||||||||||
Net realized gain/(loss) on futures, forwards and options | 557,530 | — | — | — | ||||||||||||
Net change in open trade equity/(deficit) | (73,306 | ) | — | — | — | |||||||||||
Net realized gain/(loss) on swap contracts | — | — | — | — | ||||||||||||
Net unrealized gain/(loss) on swap contracts | — | 38,217 | 423,590 | 867,812 | ||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | — | 107,247 | — | 9,465 | ||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | 672,319 | — | 148,545 | 27,787 | ||||||||||||
Trading commissions | (22,381 | ) | — | — | — | |||||||||||
Change in fair value of investments in unconsolidated trading companies | 512,666 | 1,605,937 | 105,347 | 370,678 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain/(loss) on investments | 1,646,828 | 1,751,401 | 677,482 | 1,275,742 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | 1,103,562 | 1,012,414 | 517,277 | 1,063,245 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less: Operations attributable to non-controlling interests | 218,499 | — | 197,559 | 385,694 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | 885,063 | $ | 1,012,414 | $ | 319,718 | $ | 677,551 | ||||||||
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|
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|
| |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | ||||||||||||||||
Class 1 | $ | 3.50 | $ | 4.10 | $ | 3.05 | $ | 6.37 | ||||||||
Class 1AP | $ | 4.93 | $ | 10.99 | $ | 4.14 | $ | 10.70 | ||||||||
Class 2 | $ | 6.25 | $ | 6.62 | $ | 5.54 | $ | 9.60 |
The accompanying notes are an integral part of these financial statements.
The Series of Equinox Frontier Funds
Statements of Operations
For the ThreeNine Months Ended JuneSeptember 30, 2015 and 2014
(Unaudited)
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 | 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 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||||||||||||||||||
Interest - net | $ | 324,401 | $ | 300,377 | $ | 139,819 | $ | 166,701 | $ | 90,191 | $ | 116,852 | $ | 466,407 | $ | 434,640 | $ | 202,700 | $ | 228,964 | $ | 120,018 | $ | 168,573 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Income | 324,401 | 300,377 | 139,819 | 166,701 | 90,191 | 116,852 | 466,407 | 434,640 | 202,700 | 228,964 | 120,018 | 168,573 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||||||||||||||
Incentive Fees | 1,638,242 | 1,386,913 | 576,374 | 181,806 | 279,366 | — | 1,863,521 | 2,073,540 | 576,374 | 401,501 | 293,682 | 94,518 | ||||||||||||||||||||||||||||||||||||
Management Fees | 489,308 | 547,629 | 361,156 | 507,313 | 254,273 | 509,680 | 737,187 | 806,344 | 534,244 | 740,921 | 389,994 | 685,777 | ||||||||||||||||||||||||||||||||||||
Service Fees - Class 1 | 230,168 | 273,595 | 125,991 | 180,593 | 61,529 | 68,868 | 327,202 | 386,622 | 178,120 | 245,369 | 87,232 | 99,917 | ||||||||||||||||||||||||||||||||||||
Trading Fees | 721,898 | 649,807 | 301,334 | 323,110 | 134,078 | 146,001 | 1,059,953 | 954,809 | 442,582 | 459,996 | 192,252 | 211,770 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Total Expenses | 3,079,616 | 2,857,944 | 1,364,855 | 1,192,822 | 729,246 | 724,549 | 3,987,863 | 4,221,315 | 1,731,320 | 1,847,787 | 963,160 | 1,091,982 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Investment (loss) - net | (2,755,215 | ) | (2,557,567 | ) | (1,225,036 | ) | (1,026,121 | ) | (639,055 | ) | (607,697 | ) | (3,521,456 | ) | (3,786,675 | ) | (1,528,620 | ) | (1,618,823 | ) | (843,142 | ) | (923,409 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Realized and unrealized gain/(loss) on investments: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net realized gain/(loss) on futures, forwards and options | 8,881,667 | 325,885 | — | — | — | (2,580,860 | ) | 8,599,684 | 325,885 | — | — | — | (2,580,860 | ) | ||||||||||||||||||||||||||||||||||
Net change in open trade equity/(deficit) | (3,212,206 | ) | (83,337 | ) | — | — | — | 961,346 | 450,401 | (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 | ) | 1,576,384 | 1,756,454 | — | — | (383,691 | ) | 382,291 | ||||||||||||||||||||||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | 133,349 | (127,713 | ) | 56,105 | (71,630 | ) | 33,884 | (54,879 | ) | 133,349 | (84,779 | ) | 56,108 | (51,271 | ) | 33,886 | (36,613 | ) | ||||||||||||||||||||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | (583,896 | ) | 1,883,962 | (228,422 | ) | 1,060,897 | (217,116 | ) | 774,729 | 198,660 | 2,018,038 | 90,763 | 1,127,624 | (78,046 | ) | 828,755 | ||||||||||||||||||||||||||||||||
Trading commissions | (366,567 | ) | (6,386 | ) | — | — | — | (415,314 | ) | (443,692 | ) | (6,385 | ) | — | — | — | (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 | ) | 580,502 | 5,050,301 | 912,290 | 2,461,737 | 290,624 | 2,512,168 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Net gain/(loss) on investments | 7,957,973 | 2,485,576 | 9,556 | 980,182 | 910,138 | (2,565,800 | ) | 11,095,288 | 8,976,177 | 1,059,161 | 3,538,090 | (137,227 | ) | 1,651,773 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | 5,202,758 | (71,992 | ) | (1,215,480 | ) | (45,939 | ) | 271,083 | (3,173,497 | ) | 7,573,832 | 5,189,502 | (469,459 | ) | 1,919,267 | (980,369 | ) | 728,364 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
Less: Operations attributable to non-controlling interests | 2,991,055 | 325,371 | — | — | — | (766,822 | ) | 4,476,587 | 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 | ) | $ | 3,097,245 | $ | 4,864,131 | $ | (469,459 | ) | $ | 1,919,267 | $ | (980,369 | ) | $ | 1,495,186 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||
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 | $ | 3.91 | $ | 8.79 | $ | (3.30 | ) | $ | 9.26 | N/A | N/A | |||||||||||||||||||||||||
Class 1a | N/A | N/A | N/A | N/A | $ | 6.05 | $ | (9.97 | ) | N/A | N/A | N/A | N/A | $ | (2.82 | ) | $ | 11.27 | ||||||||||||||||||||||||||||||
Class 2 | $ | 3.82 | $ | 0.46 | $ | (6.21 | ) | $ | 2.11 | $ | 9.86 | $ | (13.09 | ) | $ | 6.01 | $ | 10.89 | $ | (1.99 | ) | $ | 11.47 | $ | (1.77 | ) | $ | 16.24 | ||||||||||||||||||||
Class 2a | N/A | N/A | N/A | N/A | $ | 7.68 | $ | (10.02 | ) | N/A | N/A | N/A | N/A | $ | (1.68 | ) | $ | 13.68 | ||||||||||||||||||||||||||||||
Class 3 | $ | 3.67 | $ | 3.16 | $ | (5.61 | ) (1) | $ | 2.06 | $ | 9.86 | $ | (13.10 | ) | $ | 5.76 | $ | 12.83 | $ | (1.62 | )(1) | $ | 10.79 | $ | (1.77 | ) | $ | 16.24 | ||||||||||||||||||||
Class 3a | N/A | N/A | N/A | N/A | $ | 7.87 | $ | (9.91 | ) | N/A | N/A | N/A | N/A | $ | (1.47 | ) | $ | 13.91 |
(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 Six Months Ended June 30, 2015 and 2014
(Unaudited)
Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | |||||||||||||||
6/30/2015 | 6/30/2014 | 6/30/2015 | 6/30/2014 | |||||||||||||
Investment income: | ||||||||||||||||
Interest - net | $ | 15,193 | $ | 15,073 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Income/(loss) | 15,193 | 15,073 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses: | ||||||||||||||||
Incentive Fees | 1,496,474 | 1,453,340 | 158,971 | 26,677 | ||||||||||||
Management Fees | 526,972 | 554,537 | 158,278 | 278,724 | ||||||||||||
Service Fees - Class 1 | 1,118,882 | 1,041,703 | 208,868 | 203,387 | ||||||||||||
Trading Fees | 389,488 | 355,157 | 58,347 | 56,552 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 3,531,816 | 3,404,737 | 584,464 | 565,340 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment (loss) - net | (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 | 244,680 | (630,474 | ) | — | — | |||||||||||
Net realized gain/(loss) on U.S. Treasury securities | 215,325 | (225,870 | ) | 12,618 | (34,988 | ) | ||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | (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 | 4,668,213 | (3,884,435 | ) | 175,736 | (328,501 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net gain/(loss) on investments | 4,651,795 | 4,237,671 | (1,329,889 | ) | 132,564 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | 1,135,172 | 848,007 | (1,914,353 | ) | (432,776 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less: Operations attributable to non-controlling interests | 356,146 | 3,307,859 | (684,237 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | 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 | $ | 0.28 | $ | (2.43 | ) | $ | (8.30 | ) | $ | (1.63 | ) | |||||
Class 1AP (1) | $ | 2.29 | N/A | $ | (7.08 | ) | N/A | |||||||||
Class 2 | $ | 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 |
The accompanying notes are an integral part of these financial statements.
The Series of the Equinox Frontier Funds
Statements of Operations
For the SixNine Months Ended JuneSeptember 30, 2015 and 2014
(Unaudited)
Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | |||||||||||||||||||||||||||||
6/30/2015 | 6/30/2014 | 6/30/2015 | 6/30/2014 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||
Interest - net | $ | 27 | $ | 41 | $ | — | $ | — | $ | 22,320 | $ | 21,531 | $ | — | $ | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total Income | 27 | 41 | — | — | ||||||||||||||||||||||||||||
Total Income/(loss) | 22,320 | 21,531 | — | — | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Incentive Fees | 715,409 | 415,629 | 132,676 | 86,999 | 1,600,604 | 1,827,118 | 158,971 | 177,351 | ||||||||||||||||||||||||
Management Fees | 630,317 | 568,021 | 148,884 | 161,975 | 781,287 | 819,552 | 234,372 | 421,826 | ||||||||||||||||||||||||
Service Fees - Class 1 | 403,462 | 360,945 | 151,991 | 138,600 | 1,629,022 | 1,521,144 | 303,935 | 297,904 | ||||||||||||||||||||||||
Trading Fees | 151,960 | 128,644 | 50,754 | 44,378 | 568,628 | 519,831 | 84,811 | 82,892 | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Total Expenses | 1,901,148 | 1,473,239 | 484,305 | 431,952 | 4,579,541 | 4,687,645 | 782,089 | 979,973 | ||||||||||||||||||||||||
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Investment (loss) - net | (1,901,121 | ) | (1,473,198 | ) | (484,305 | ) | (431,952 | ) | (4,557,221 | ) | (4,666,114 | ) | (782,089 | ) | (979,973 | ) | ||||||||||||||||
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Realized and unrealized gain/(loss) on investments: | ||||||||||||||||||||||||||||||||
Net realized gain/(loss) on futures, forwards and options | — | — | — | — | 55,049 | 12,165,000 | 466,761 | — | ||||||||||||||||||||||||
Net change in open trade equity/(deficit) | — | — | — | — | (438,313 | ) | (4,189,205 | ) | (298,984 | ) | — | |||||||||||||||||||||
Net realized gain/(loss) on swap contracts | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Net unrealized gain/(loss) on swap contracts | — | — | 268,786 | (462,653 | ) | (237,460 | ) | 4,627,411 | — | — | ||||||||||||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | 111,546 | (97,349 | ) | 25,632 | (28,835 | ) | 215,325 | (152,688 | ) | 12,618 | (25,780 | ) | ||||||||||||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | (616,192 | ) | 1,429,792 | (139,125 | ) | 422,594 | (184,293 | ) | 3,614,127 | 90,894 | 518,026 | |||||||||||||||||||||
Trading commissions | — | — | — | (3,500 | ) | (377,892 | ) | (1,012,206 | ) | (98,114 | ) | — | ||||||||||||||||||||
Change in fair value of investments in unconsolidated trading companies | 381,989 | 1,560,816 | 122,347 | 254,158 | 5,603,283 | (349,281 | ) | 305,243 | 1,259,694 | |||||||||||||||||||||||
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Net gain/(loss) on investments | (122,657 | ) | 2,893,259 | 277,640 | 181,764 | 4,635,699 | 14,703,158 | 478,418 | 1,751,940 | |||||||||||||||||||||||
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NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | (2,023,778 | ) | 1,420,061 | (206,665 | ) | (250,188 | ) | 78,478 | 10,037,044 | (303,671 | ) | 771,967 | ||||||||||||||||||||
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Less: Operations attributable to non-controlling interests | — | — | 127,516 | (208,034 | ) | 461,285 | 4,018,912 | 30,593 | — | |||||||||||||||||||||||
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NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | (2,023,778 | ) | $ | 1,420,061 | $ | (334,181 | ) | $ | (42,154 | ) | $ | (382,807 | ) | $ | 6,018,132 | $ | (334,264 | ) | $ | 771,967 | |||||||||||
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NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | ||||||||||||||||||||||||||||||||
Class 1 | $ | (10.10 | ) | $ | 5.48 | $ | (4.18 | ) | $ | 0.53 | $ | (1.64 | ) | $ | 7.96 | $ | (2.45 | ) | $ | 5.46 | ||||||||||||
Class 1AP | $ | (7.72 | ) | N/A | $ | (2.32 | ) | N/A | $ | 1.33 | $ | 12.21 | $ | (0.34 | ) | $ | 10.22 | |||||||||||||||
Class 2 | $ | (9.80 | ) | $ | 9.55 | $ | (3.11 | ) | $ | 2.72 | $ | 1.79 | $ | 13.96 | $ | (0.45 | ) | $ | 9.65 | |||||||||||||
Class 2a | $ | 2.60 | $ | 12.84 | N/A | N/A | ||||||||||||||||||||||||||
Class 3a | $ | 2.59 | $ | 12.80 | N/A | N/A |
The accompanying notes are an integral part of these financial statements.
The Series of the Equinox Frontier Funds
Statements of Operations
For the Nine Months Ended September 30, 2015 and 2014
(Unaudited)
Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||
9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||
Investment income: | ||||||||||||||||
Interest - net | $ | 28 | $ | 41 | $ | 1 | $ | — | ||||||||
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Total Income | 28 | 41 | 1 | — | ||||||||||||
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Expenses: | ||||||||||||||||
Incentive Fees | 715,409 | 622,124 | 132,676 | 131,123 | ||||||||||||
Management Fees | 920,069 | 862,495 | 216,064 | 245,785 | ||||||||||||
Service Fees - Class 1 | 587,658 | 534,989 | 221,692 | 202,143 | ||||||||||||
Trading Fees | 221,279 | 192,618 | 74,079 | 65,398 | ||||||||||||
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Total Expenses | 2,444,415 | 2,212,226 | 644,511 | 644,449 | ||||||||||||
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Investment (loss) - net | (2,444,387 | ) | (2,212,185 | ) | (644,510 | ) | (644,449 | ) | ||||||||
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Realized and unrealized gain/(loss) on investments: | ||||||||||||||||
Net realized gain/(loss) on futures, forwards and options | 557,530 | — | — | — | ||||||||||||
Net change in open trade equity/(deficit) | (73,306 | ) | — | — | — | |||||||||||
Net realized gain/(loss) on swap contracts | — | — | — | — | ||||||||||||
Net unrealized gain/(loss) on swap contracts | — | — | 692,376 | 401,659 | ||||||||||||
Net realized gain/(loss) on U.S. Treasury securities | 111,554 | (59,132 | ) | 25,634 | (19,370 | ) | ||||||||||
Net unrealized gain/(loss) on U.S. Treasury securities | 56,127 | 1,537,039 | 9,419 | 450,381 | ||||||||||||
Trading commissions | (22,389 | ) | — | — | — | |||||||||||
Change in fair value of investments in unconsolidated trading companies | 894,655 | 3,166,754 | 227,692 | 624,835 | ||||||||||||
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Net gain/(loss) on investments | 1,524,171 | 4,644,661 | 955,121 | 1,457,505 | ||||||||||||
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NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS | (920,216 | ) | 2,432,476 | 310,611 | 813,056 | |||||||||||
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Less: Operations attributable to non-controlling interests | 218,499 | — | 325,075 | 177,660 | ||||||||||||
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NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS | $ | (1,138,715 | ) | $ | 2,432,476 | $ | (14,464 | ) | $ | 635,396 | ||||||
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NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT | ||||||||||||||||
Class 1 | $ | (6.60 | ) | $ | 9.58 | $ | (1.13 | ) | $ | 6.90 | ||||||
Class 1AP | $ | (2.79 | ) | $ | 10.99 | $ | 1.82 | $ | 10.70 | |||||||
Class 2 | $ | (3.55 | ) | $ | 16.17 | $ | 2.43 | $ | 12.32 |
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 SixNine Months Ended JuneSeptember 30, 2015
(Unaudited)
Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | 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 | 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 | Limited Owners | Managing Owner | Limited Owners | Managing Owner | Limited Owners | Non- Controlling | Total | Limited Owners | Managing Owner | Limited Owners | Managing Owner | Limited Owners | 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 | 1,270,579 | — | 1,189,861 | — | 3,413,792 | — | 5,874,232 | 989,895 | — | 10,000 | — | 2,498,048 | — | 3,497,943 | 1,565,148 | — | 2,663,196 | — | 5,792,953 | — | 10,021,297 | 1,430,989 | — | 140,000 | — | 3,003,452 | 4,574,441 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (5,313,927 | ) | — | (6,218,435 | ) | — | (1,578,475 | ) | — | (13,110,837 | ) | (3,183,426 | ) | — | (483,171 | ) | — | (1,625,851 | ) | — | (5,292,448 | ) | (8,115,334 | ) | — | (6,440,389 | ) | — | (2,105,122 | ) | — | (16,660,845 | ) | (4,174,158 | ) | — | (604,562 | ) | — | (1,810,420 | ) | (6,589,140 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in control of ownership - Trading Companies | — | — | — | — | — | (8,316,485 | ) | (8,316,485 | ) | — | — | — | — | — | — | — | — | — | — | — | — | (16,894,354 | ) | (16,894,354 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations attributable to non-controlling interests | — | — | — | — | — | 2,991,055 | 2,991,055 | — | — | — | — | — | — | — | — | — | — | — | — | 4,476,587 | 4,476,587 | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | 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 | ) | 988,301 | 121,221 | 1,871,328 | 1,586 | 114,809 | — | 3,097,245 | (311,538 | ) | (11,187 | ) | (105,312 | ) | (446 | ) | (40,976 | ) | (469,459 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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, September 30, 2015 | $ | 13,680,285 | $ | 2,638,100 | $ | 30,883,964 | $ | 33,218 | $ | 9,374,088 | $ | — | $ | 56,609,655 | $ | 8,796,204 | $ | 712,020 | $ | 7,575,662 | $ | 32,295 | $ | 6,107,515 | $ | 23,223,696 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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 | 10,551 | — | 8,618 | — | 26,878 | 7,886 | — | 77 | — | 20,733 | 13,000 | — | 20,004 | — | 46,203 | 11,793 | — | 1,094 | — | 25,075 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (42,325 | ) | — | (44,302 | ) | — | (12,549 | ) | (27,004 | ) | — | (3,637 | ) | — | (13,133 | ) | (65,800 | ) | — | (46,012 | ) | — | (16,905 | ) | (35,795 | ) | — | (4,602 | ) | — | (14,690 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Owners’ Capital - Units, June 30, 2015 | 137,951 | 14,576 | 232,274 | 275 | 62,637 | 82,514 | 5,627 | 59,816 | 275 | 49,222 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, September 30, 2015 | 116,925 | 14,576 | 241,950 | 275 | 77,606 | 77,630 | 5,627 | 59,868 | 275 | 52,007 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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(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 six months ended June 30, 2015 | 2.46 | 3.82 | 3.67 | (6.60 | ) | (6.21 | ) | (5.61 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in net asset value per unit for the nine months ended September 30, 2015 | 3.91 | 6.01 | 5.76 | (3.30 | ) | (1.99 | ) | (1.62 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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 September 30, 2015 | $ | 117.00 | $ | 130.68 | $ | 120.79 | $ | 113.31 | $ | 126.54 | $ | 117.44 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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(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 Nine Months Ended September 30, 2015
(Unaudited)
Equinox Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||
Sale of Units | — | — | — | 52,800 | — | 5,000 | — | 375,475 | 433,275 | |||||||||||||||||||||||||||
Redemption of Units | — | (206,430 | ) | (950,138 | ) | (1,241,984 | ) | — | (336,333 | ) | — | (110,137 | ) | (2,845,022 | ) | |||||||||||||||||||||
Payment made by the Managing Owner | — | 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 | (5,461 | ) | (56,603 | ) | (419,333 | ) | (349,054 | ) | (3,725 | ) | (83,874 | ) | (162 | ) | (62,157 | ) | (980,369 | ) | ||||||||||||||||||
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Owners’ Capital, September 30, 2015 | $ | 420,916 | $ | 626,435 | $ | 6,261,568 | $ | 4,551,061 | $ | 243,709 | $ | 1,130,770 | $ | 12,066 | $ | 885,440 | $ | 14,131,965 | ||||||||||||||||||
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Owners’ Capital - Units, December 31, 2014 | 3,083 | 5,930 | 52,285 | 57,130 | 2,222 | 13,069 | 109 | 5,777 | ||||||||||||||||||||||||||||
Sale of Units | — | — | — | 493 | — | 40 | — | 3,143 | ||||||||||||||||||||||||||||
Redemption of Units | — | (1,342 | ) | (6,435 | ) | (11,326 | ) | — | (2,797 | ) | — | (892 | ) | |||||||||||||||||||||||
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Owners’ Capital - Units, September 30, 2015 | 3,083 | 4,588 | 45,850 | 46,297 | 2,222 | 10,312 | 109 | 8,028 | ||||||||||||||||||||||||||||
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(1 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2014 | $ | 138.30 | $ | 138.34 | $ | 101.12 | $ | 111.35 | $ | 111.77 | ||||||||||||||||||||||||||
Change in net asset value per unit for the nine months ended September 30, 2015 | (1.77 | ) | (1.77 | ) | (2.82 | ) | (1.68 | ) | (1.47 | ) | ||||||||||||||||||||||||||
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Net asset value per unit at September 30, 2015 | $ | 136.53 | $ | 136.57 | $ | 98.30 | $ | 109.67 | $ | 110.30 | ||||||||||||||||||||||||||
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(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 SixNine Months Ended JuneSeptember 30, 2015
(Unaudited)
Equinox Frontier Long/Short Commodity Fund | Equinox Frontier Balanced Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class 2 | Class 3 | Class 1a | Class 2a | Class 3a | Class 1 | Class 1AP | Class 2 | Class 2a | Class 3a | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Managing Owner | Limited Owners | Limited Owners | Limited Owners | Managing Owner | Limited Owners | Managing Owner | Limited Owners | Total | Limited Owners | Limited Owners | Managing Owner | Limited Owners | Managing Owner | Limited Owners | Limited Owners | Non-Controlling Interests | 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 | $ | 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 | — | — | — | 23,000 | — | 5,000 | — | 120,785 | 148,785 | 169,324 | 1,457 | — | 14,514 | — | — | — | — | 185,295 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | — | (181,144 | ) | (454,734 | ) | (874,536 | ) | — | (281,680 | ) | — | (90,453 | ) | (1,882,547 | ) | (6,440,301 | ) | (39,001 | ) | — | (703,450 | ) | — | (60,850 | ) | (79,536 | ) | — | (7,323,138 | ) | ||||||||||||||||||||||||||||||||||||||||||
Change in control of ownership - Trading Companies | — | — | — | — | — | — | — | (7,938,913 | ) | (7,938,913 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Payment made by the Managing Owner | — | 69,364 | 397,940 | 312,393 | — | 90,860 | — | 36,605 | 907,162 | 115,486 | 1,222 | — | 38,375 | — | 885 | 4,131 | — | 160,099 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations attributable to non-controlling interests | — | — | — | — | — | — | — | 461,285 | 461,285 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (682,045 | ) | 7,817 | 14,235 | 224,881 | 3,211 | 7,140 | 41,954 | — | (382,807 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||
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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, September 30, 2015 | $ | 65,260,739 | $ | 719,770 | $ | 1,439,590 | $ | 21,699,662 | $ | 192,555 | $ | 358,118 | $ | 2,494,852 | $ | 1,466,646 | $ | 93,631,932 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Owners’ Capital - Units, December 31, 2014 | 3,083 | 5,930 | 52,285 | 57,130 | 2,222 | 13,069 | 109 | 5,777 | 548,117 | 5,618 | 7,956 | 123,491 | 1,237 | 2,686 | 16,577 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units | — | — | — | 211 | — | 40 | — | 969 | 1,227 | 10 | — | 75 | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | — | (1,170 | ) | (2,965 | ) | (7,823 | ) | — | (2,318 | ) | — | (716 | ) | (46,966 | ) | (277 | ) | — | (3,648 | ) | — | (384 | ) | (492 | ) | |||||||||||||||||||||||||||||||||||||||||||||||
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Owners’ Capital - Units, June 30, 2015 | 3,083 | 4,760 | 49,320 | 49,518 | 2,222 | 10,791 | 109 | 6,030 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Owners’ Capital - Units, September 30, 2015 | 502,378 | 5,351 | 7,956 | 119,918 | 1,237 | 2,302 | 16,085 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(1) | (1) | (1) |
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(1 | ) | (1 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2014 | $ | 138.30 | $ | 138.34 | $ | 101.12 | $ | 111.35 | $ | 111.77 | $ | 131.54 | $ | 133.20 | $ | 179.16 | $ | 153.02 | $ | 152.52 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in net asset value per unit for the nine months ended September 30, 2015 | (1.64 | ) | 1.33 | 1.79 | 2.60 | 2.59 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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 September 30, 2015 | $ | 129.90 | $ | 134.53 | $ | 180.95 | $ | 155.62 | $ | 155.11 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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(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 SixNine Months Ended JuneEnding September 30, 2015
(Unaudited)
Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class 1 | Class 1AP | Class 2 | Class 2a | Class 3a | 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 | Managing Owner | Limited Owners | Limited Owners | Non-Controlling Interests | Total | Limited Owners | Limited Owners | Managing Owner | Limited Owners | Non-Controlling Interests | Total | Limited Owners | Limited Owners | Managing Owner | Limited Owners | Non-Controlling Interests | Total | Limited Owners | Limited Owners | Managing Owner | 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 | $ | 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 | 117,365 | 1,457 | — | 9,409 | — | — | — | — | 128,231 | 14,422 | 930 | — | — | — | 15,352 | 136,211 | — | — | — | — | 136,211 | 32,115 | 1,288 | — | — | — | 33,403 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (4,065,683 | ) | (39,001 | ) | — | (524,931 | ) | — | (60,850 | ) | (52,948 | ) | — | (4,743,413 | ) | (838,061 | ) | — | — | (180,343 | ) | — | (1,018,404 | ) | (1,958,907 | ) | — | — | (787,381 | ) | — | (2,746,288 | ) | (613,947 | ) | — | — | (202,213 | ) | — | (816,160 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Change in control of ownership - Trading Companies | — | — | — | — | — | — | — | (8,126,145 | ) | (8,126,145 | ) | — | — | — | — | 6,520,339 | 6,520,339 | — | — | — | — | 5,744,802 | 5,744,802 | — | — | — | — | (62,797 | ) | (62,797 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Contributions | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distributions | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Payment made by the Managing Owner | 115,486 | 1,222 | — | 38,375 | — | 885 | 4,131 | — | 160,099 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations attributable to non-controlling interests | — | — | — | — | — | — | — | 356,146 | 356,146 | — | — | — | — | 30,593 | 30,593 | — | — | — | — | 218,499 | 218,499 | — | — | — | — | 325,075 | 325,075 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | (332,364 | ) | (244 | ) | (33 | ) | (1,623 | ) | — | (334,264 | ) | (947,962 | ) | (596 | ) | (733 | ) | (189,424 | ) | — | (1,138,715 | ) | (66,865 | ) | 697 | 1,043 | 50,661 | — | (14,464 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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, September 30, 2015 | $ | 12,507,560 | $ | 48,471 | $ | 9,019 | $ | 1,367,112 | $ | 6,550,932 | $ | 20,483,094 | $ | 24,100,220 | $ | 37,446 | $ | 46,031 | $ | 12,118,744 | $ | 5,963,301 | $ | 42,265,742 | $ | 9,113,122 | $ | 60,363 | $ | 76,664 | $ | 2,980,009 | $ | 3,801,776 | $ | 16,031,934 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Owners’ Capital - Units, December 31, 2014 | 548,117 | 5,618 | 7,956 | 123,491 | 1,237 | 2,686 | 16,577 | 142,913 | 494 | 70 | 12,058 | 152,717 | 214 | 207 | 57,886 | 74,927 | 443 | 428 | 17,736 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Sale of Units | 830 | 10 | — | 48 | — | — | — | 149 | 9 | — | — | (771 | ) | — | — | — | 238 | 9 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Redemption of Units | (28,818 | ) | (277 | ) | — | (2,680 | ) | — | (384 | ) | (316 | ) | (8,804 | ) | — | — | (1,379 | ) | (11,177 | ) | — | — | (3,464 | ) | (4,602 | ) | — | — | (1,088 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Owners’ Capital - Units, June 30, 2015 | 520,129 | 5,351 | 7,956 | 120,859 | 1,237 | 2,302 | 16,261 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Owners’ Capital - Units, September 30, 2015 | 134,258 | 503 | 70 | 10,679 | 142,311 | 214 | 207 | 54,422 | 70,563 | 452 | 428 | 16,648 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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(1 | ) | (1 | ) | (1 | ) | (1 | ) | (1 | ) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value per unit at December 31, 2014 | $ | 131.54 | $ | 133.20 | $ | 179.16 | $ | 153.02 | $ | 152.52 | $ | 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 nine months ended September 30, 2015 | (2.45 | ) | (0.34 | ) | (0.45 | ) | (6.60 | ) | (2.79 | ) | (3.55 | ) | (1.13 | ) | 1.82 | 2.43 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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 September 30, 2015 | $ | 93.16 | $ | 96.48 | $ | 128.03 | $ | 169.35 | $ | 175.39 | $ | 222.68 | $ | 129.15 | $ | 133.75 | $ | 178.99 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Net asset value per unit at June 30, 2015 | $ | 131.82 | $ | 135.49 | $ | 182.24 | $ | 156.36 | $ | 155.85 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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(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 Six Months Ending June 30, 2015
(Unaudited)
Equinox Frontier Select Fund | Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class 1 | Class 1AP | Class 2 | Non- Controlling | Class 1 | Class 1AP | Class 2 | Class 1 | Class 1AP | Class 2 | Non- Controlling | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||||||||||||
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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 | ||||||||||||||||||||||||||||||||||
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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 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
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Owners’ Capital - Units, June 30, 2015 | 137,450 | 503 | 70 | 10,903 | 146,641 | 214 | 207 | 57,225 | 72,489 | 452 | 428 | 17,140 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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(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 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||||
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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 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
The Series of Equinox Frontier Funds
Statements of Cash Flows
For the SixNine Months Ended JuneSeptember 30, 2015
(Unaudited)
Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | |||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | 6/30/2014 | 6/30/2015 | 6/30/2014 | 6/30/2015 | 6/30/2014 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||||||||||||||||||||||||||
Cash Flows from Operating Activities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net increase/(decrease) in capital resulting from operations | $ | 2,211,703 | $ | (71,992 | ) | $ | (1,215,480 | ) | $ | (45,939 | ) | $ | 271,083 | $ | (3,173,497 | ) | $ | 7,573,832 | $ | 5,189,502 | $ | (469,459 | ) | $ | 1,919,267 | $ | (980,369 | ) | $ | 728,364 | ||||||||||||||||||
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Change in: | ||||||||||||||||||||||||||||||||||||||||||||||||
Net change in open trade equity/(deficit), at fair value | 3,786,757 | — | — | — | — | (191,069 | ) | 3,215,203 | — | — | — | — | (191,069 | ) | ||||||||||||||||||||||||||||||||||
Net change in options purchased, at fair value | (86,056 | ) | — | — | — | — | 98,740 | 288,413 | — | — | — | — | 98,740 | |||||||||||||||||||||||||||||||||||
Net change in options written, at fair value | (33,358 | ) | — | — | — | — | (172,650 | ) | (253,018 | ) | — | — | — | — | (172,650 | ) | ||||||||||||||||||||||||||||||||
Net change in ownership allocation of U.S. Treasury securities | 102,792 | (3,148,617 | ) | 3,692,889 | 3,061,783 | 947,060 | 2,706,178 | (1,032,399 | ) | (1,680,901 | ) | 3,028,748 | 4,042,114 | 1,700,543 | (526,726 | ) | ||||||||||||||||||||||||||||||||
Net realized (gain) on swap contracts | — | — | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Net unrealized (gain)/loss on swap contracts | (1,044,760 | ) | 391,235 | — | — | 328,851 | 238,462 | (1,576,384 | ) | (1,756,454 | ) | — | — | 383,691 | (382,291 | ) | ||||||||||||||||||||||||||||||||
Net unrealized (gain)/loss on U.S. Treasury securities | 583,896 | (1,883,962 | ) | 228,422 | (1,060,897 | ) | 217,117 | (774,729 | ) | (198,660 | ) | (2,018,038 | ) | (90,763 | ) | (1,127,624 | ) | 78,046 | (828,755 | ) | ||||||||||||||||||||||||||||
Net realized (gain)/loss on U.S. Treasury securities | (133,349 | ) | 127,713 | (56,105 | ) | 71,630 | (33,884 | ) | 54,879 | (133,349 | ) | 84,779 | (56,105 | ) | 51,271 | (33,886 | ) | 36,613 | ||||||||||||||||||||||||||||||
(Purchases) sales of: | ||||||||||||||||||||||||||||||||||||||||||||||||
Sales of U.S. Treasury securities | 6,214,322 | 14,517,974 | 2,729,817 | 8,028,811 | 1,713,661 | 5,971,219 | 6,214,322 | 15,921,359 | 2,729,817 | 8,685,478 | 1,713,661 | 6,563,688 | ||||||||||||||||||||||||||||||||||||
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 | 8,060,422 | — | — | — | — | 7,836,808 | 22,731,129 | — | — | — | — | 7,836,808 | ||||||||||||||||||||||||||||||||||||
Change in control of ownership - trading companies | (5,325,430 | ) | (325,371 | ) | — | — | — | (2,462,220 | ) | (16,894,354 | ) | (325,371 | ) | — | — | — | (2,462,220 | ) | ||||||||||||||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | 395,915 | 3,087,509 | (865,542 | ) | (172,000 | ) | (82,140 | ) | (2,457,886 | ) | (7,550,285 | ) | 130,919 | (996,031 | ) | (1,240,976 | ) | 694,354 | (2,353,354 | ) | ||||||||||||||||||||||||||||
Prepaid service fees - Class 1 | (14,084 | ) | (1,665 | ) | 114 | 9,544 | 95 | 2,002 | (11,235 | ) | 414 | (3,490 | ) | 10,949 | (272 | ) | 2,719 | |||||||||||||||||||||||||||||||
Interest receivable | (21,022 | ) | 32,060 | 45,052 | 91,642 | 10,323 | 77,778 | 300,173 | 370,644 | 175,554 | 252,121 | 90,880 | 163,095 | |||||||||||||||||||||||||||||||||||
Receivable from related parties | — | 1,035 | 74 | (1,206 | ) | 530 | (128 | ) | — | 1,035 | 994 | (1,270 | ) | 648 | 137 | |||||||||||||||||||||||||||||||||
Other assets | 249,997 | — | — | — | — | — | 249,997 | — | — | — | (1 | ) | 1 | |||||||||||||||||||||||||||||||||||
Incentive fees payable to Managing Owner | (2,383,825 | ) | 379,279 | (680,972 | ) | 168,094 | (118,511 | ) | — | (2,162,546 | ) | 110,502 | (722,043 | ) | 219,695 | (144,344 | ) | 94,519 | ||||||||||||||||||||||||||||||
Management fees payable to Managing Owner | (3,010 | ) | (15,618 | ) | (4,185 | ) | (28,933 | ) | 349 | (44,175 | ) | (1,953 | ) | (10,902 | ) | (8,791 | ) | (24,796 | ) | 3,751 | (52,738 | ) | ||||||||||||||||||||||||||
Interest payable to Managing Owner | (370 | ) | (4,543 | ) | (1,160 | ) | (3,798 | ) | (97 | ) | (3,948 | ) | (4,643 | ) | (4,961 | ) | (1,432 | ) | (4,559 | ) | (1,551 | ) | (3,565 | ) | ||||||||||||||||||||||||
Trading fees payable to Managing Owner | (8,657 | ) | (25,282 | ) | (5,099 | ) | (21,589 | ) | (2,810 | ) | (14,458 | ) | (19,017 | ) | (21,049 | ) | (9,563 | ) | (24,177 | ) | (6,498 | ) | (10,968 | ) | ||||||||||||||||||||||||
Service fees payable to Managing Owner | 1,745 | (11,281 | ) | (1,808 | ) | (16,297 | ) | (1,413 | ) | (5,090 | ) | (15,088 | ) | (17,712 | ) | (2,269 | ) | (18,603 | ) | (2,933 | ) | (4,880 | ) | |||||||||||||||||||||||||
Payables to related parties | 1,172 | — | — | — | — | — | 879 | 2,229 | — | — | — | — | ||||||||||||||||||||||||||||||||||||
Other liabilities | — | 1,813 | — | — | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||
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Net cash provided by (used in) operating activities | 7,767,557 | 13,050,287 | 1,574,413 | 10,080,825 | 854,449 | 7,686,216 | 5,933,774 | 15,975,995 | 1,283,563 | 12,738,890 | 1,099,955 | 8,535,468 | ||||||||||||||||||||||||||||||||||||
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Cash Flows from Financing Activities: | ||||||||||||||||||||||||||||||||||||||||||||||||
Proceeds from sale of units | 5,874,232 | 2,717,767 | 3,497,943 | 2,939,625 | 148,785 | 401,977 | 10,021,297 | 5,889,487 | 4,574,441 | 3,930,219 | 433,275 | 598,915 | ||||||||||||||||||||||||||||||||||||
Payment for redemption of units | (13,110,837 | ) | (13,973,647 | ) | (5,292,448 | ) | (12,287,701 | ) | (1,882,547 | ) | (7,567,551 | ) | (16,660,845 | ) | (21,102,902 | ) | (6,589,140 | ) | (16,726,825 | ) | (2,845,022 | ) | (8,825,714 | ) | ||||||||||||||||||||||||
Payment made by the Managing Owner | 144,349 | — | — | — | 907,162 | — | 144,349 | — | — | — | 907,162 | — | ||||||||||||||||||||||||||||||||||||
Pending owner additions | (207 | ) | (1,463 | ) | (490 | ) | (18 | ) | — | — | (84 | ) | (1,373 | ) | (829 | ) | 75 | — | (2 | ) | ||||||||||||||||||||||||||||
Owner redemptions payable | (57,953 | ) | 335,367 | — | (3,102 | ) | (18,782 | ) | (91,056 | ) | (57,953 | ) | (271,689 | ) | 27,485 | (7,155 | ) | 4,104 | (72,579 | ) | ||||||||||||||||||||||||||||
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Net cash provided by (used in) financing activities | (7,150,416 | ) | (10,921,976 | ) | (1,794,995 | ) | (9,351,196 | ) | (845,382 | ) | (7,256,630 | ) | (6,553,236 | ) | (15,486,477 | ) | (1,988,043 | ) | (12,803,686 | ) | (1,500,481 | ) | (8,299,380 | ) | ||||||||||||||||||||||||
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Net increase (decrease) in cash and cash equivalents | 617,141 | 2,128,311 | (220,582 | ) | 729,629 | 9,067 | 429,586 | (619,462 | ) | 489,518 | (704,480 | ) | (64,796 | ) | (400,526 | ) | 236,088 | |||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||
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Cash and cash equivalents, end of period | $ | 4,827,779 | $ | 3,956,208 | $ | 1,978,484 | $ | 1,855,563 | $ | 1,119,846 | $ | 1,240,004 | $ | 3,591,176 | $ | 2,317,415 | $ | 1,494,586 | $ | 1,061,158 | $ | 710,253 | $ | 1,046,506 | ||||||||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
The Series of Equinox Frontier Funds
Statements of Cash Flows
For the SixNine Months Ended JuneSeptember 30, 2015 and 2014
(Unaudited)
Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | Equinox Frontier Balanced Fund | Equinox Frontier Select Fund | |||||||||||||||||||||||||||||
6/30/2015 | 6/30/2014 | 6/30/2015 | 6/30/2014 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||||||||||||||
Cash Flows from Operating Activities: | ||||||||||||||||||||||||||||||||
Net increase/(decrease) in capital resulting from operations | $ | 779,026 | $ | 848,007 | $ | (1,230,116 | ) | $ | (432,776 | ) | $ | 78,478 | $ | 10,037,044 | $ | (303,671 | ) | $ | 771,967 | |||||||||||||
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 | 4,076,512 | 1,631,455 | (55,956 | ) | — | 2,101,069 | 4,284,093 | (1,363,715 | ) | — | ||||||||||||||||||||||
Net change in options purchased, at fair value | — | 165,915 | — | — | — | 165,915 | 4,477,249 | — | ||||||||||||||||||||||||
Net change in options written, at fair value | — | (183,856 | ) | — | — | — | (183,056 | ) | — | — | ||||||||||||||||||||||
Net change in ownership allocation of U.S. Treasury securities | (10,786,387 | ) | 1,384,849 | 4,418,169 | 551,952 | (9,031,761 | ) | 2,882,510 | — | 1,955,964 | ||||||||||||||||||||||
Net unrealized (gain)/loss on swap contracts | (244,680 | ) | — | — | — | 237,460 | (4,627,411 | ) | — | — | ||||||||||||||||||||||
Net realized (gain)/loss on swap contracts | — | 630,474 | — | — | — | — | — | — | ||||||||||||||||||||||||
Net unrealized (gain)/loss on U.S. Treasury securities | 1,389,049 | (3,414,775 | ) | (32,740 | ) | (496,053 | ) | 184,293 | (3,614,127 | ) | (90,894 | ) | (518,026 | ) | ||||||||||||||||||
Net realized (gain)/loss on U.S. Treasury securities | (215,325 | ) | 225,870 | (12,618 | ) | 34,988 | (215,325 | ) | 152,688 | (12,618 | ) | 25,780 | ||||||||||||||||||||
(Purchases) sales of: | ||||||||||||||||||||||||||||||||
Sales of U.S. Treasury securities | 10,249,014 | 26,111,089 | 600,508 | 3,956,690 | 10,249,014 | 28,506,883 | 600,508 | 4,254,841 | ||||||||||||||||||||||||
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 | 13,267,929 | 10,787,977 | (12,410,448 | ) | — | 14,963,754 | 12,657,317 | (12,505,084 | ) | — | ||||||||||||||||||||||
Change in control of ownership - trading companies | (7,769,999 | ) | (8,927,933 | ) | 5,911,386 | — | (7,938,913 | ) | (11,489,237 | ) | 6,520,339 | — | ||||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | 4,010,131 | (5,848,870 | ) | 4,088,872 | (455,524 | ) | 3,610,955 | (11,119,409 | ) | 4,122,486 | (2,531,158 | ) | ||||||||||||||||||||
Prepaid service fees - Class 1 | — | 234 | — | — | — | 234 | — | — | ||||||||||||||||||||||||
Interest receivable | (171,799 | ) | 178,389 | 58,145 | 33,530 | 372,343 | 701,720 | 85,749 | 114,319 | |||||||||||||||||||||||
Receivable from other series | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Receivable from related parties | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other assets | 250,003 | 45 | — | — | 250,004 | 42 | (188 | ) | — | |||||||||||||||||||||||
Incentive fees payable to Managing Owner | (1,783,801 | ) | 210,121 | (185,791 | ) | 26,677 | (1,689,188 | ) | (318,139 | ) | (185,791 | ) | 150,674 | |||||||||||||||||||
Management fees payable to Managing Owner | (9,562 | ) | (24,391 | ) | (1,770 | ) | (1,557 | ) | (16,603 | ) | (20,463 | ) | (3,210 | ) | 725 | |||||||||||||||||
Interest payable to Managing Owner | 16,064 | (51,818 | ) | (6,812 | ) | (8,194 | ) | (1,693 | ) | (58,108 | ) | (7,951 | ) | (10,359 | ) | |||||||||||||||||
Trading fees payable to Managing Owner | (844 | ) | (17,116 | ) | (834 | ) | (2,307 | ) | (9,677 | ) | (14,886 | ) | (1,683 | ) | (2,291 | ) | ||||||||||||||||
Service fees payable to Managing Owner | (10,950 | ) | (43,842 | ) | (2,903 | ) | (7,625 | ) | (23,017 | ) | (45,405 | ) | (3,608 | ) | (8,922 | ) | ||||||||||||||||
Payables to related parties | 4,500 | 5,004 | 211 | 269 | 6,824 | 6,021 | 361 | 383 | ||||||||||||||||||||||||
Other liabilities | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
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Net cash provided by (used in) operating activities | 6,688,158 | 23,666,828 | 225,374 | 3,200,070 | 6,767,294 | 27,904,226 | 416,350 | 4,203,897 | ||||||||||||||||||||||||
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Cash Flows from Financing Activities: | ||||||||||||||||||||||||||||||||
Proceeds from sale of units | 128,231 | 83,053 | 10,998 | 4,943 | 185,295 | 1,135,017 | 15,352 | 201,914 | ||||||||||||||||||||||||
Payment for redemption of units | (4,743,413 | ) | (20,064,605 | ) | (698,003 | ) | (2,846,634 | ) | (7,323,138 | ) | (27,947,683 | ) | (1,018,404 | ) | (4,521,440 | ) | ||||||||||||||||
Payment made by the Managing Owner | 160,099 | — | — | — | 160,099 | — | — | — | ||||||||||||||||||||||||
Pending owner additions | (560 | ) | (2,731 | ) | (74 | ) | (153 | ) | (2,861 | ) | (1,449 | ) | (154 | ) | (64 | ) | ||||||||||||||||
Owner redemptions payable | (13,705 | ) | (821,324 | ) | (15,432 | ) | 17,098 | (7,712 | ) | (726,722 | ) | (11,604 | ) | 33,473 | ||||||||||||||||||
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Net cash provided by (used in) financing activities | (4,469,348 | ) | (20,805,607 | ) | (702,511 | ) | (2,824,746 | ) | (6,988,317 | ) | (27,540,837 | ) | (1,014,810 | ) | (4,286,117 | ) | ||||||||||||||||
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Net increase (decrease) in cash and cash equivalents | 2,218,810 | 2,861,221 | (477,137 | ) | 375,324 | (221,023 | ) | 363,389 | (598,460 | ) | (82,220 | ) | ||||||||||||||||||||
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 | ||||||||||||||||||||||||
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Cash and cash equivalents, end of period | $ | 7,863,320 | $ | 6,153,791 | $ | 401,143 | $ | 870,255 | $ | 5,423,487 | $ | 3,655,959 | $ | 279,820 | $ | 412,711 | ||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
The Series of Equinox Frontier Funds
Statements of Cash Flows
For the SixNine Months Ended JuneSeptember 30, 2015 and 2014
(Unaudited)
Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | Equinox Frontier Winton Fund | Equinox Frontier Heritage Fund | |||||||||||||||||||||||||||||
6/30/2015 | 6/30/2014 | 6/30/2015 | 6/30/2014 | 9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | |||||||||||||||||||||||||
Cash Flows from Operating Activities: | ||||||||||||||||||||||||||||||||
Net increase/(decrease) in capital resulting from operations | $ | (2,023,778 | ) | $ | 1,420,061 | $ | (334,181 | ) | $ | (250,188 | ) | $ | (920,216 | ) | $ | 2,432,476 | $ | 310,611 | $ | 813,056 | ||||||||||||
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 | — | — | — | — | (2,653,675 | ) | — | — | — | |||||||||||||||||||||||
Net change in ownership allocation of U.S. Treasury securities | 2,175,647 | (3,994,960 | ) | 687,650 | 302,509 | 2,084,833 | (5,844,640 | ) | 707,858 | 481,524 | ||||||||||||||||||||||
Net unrealized (gain)/loss on swap contracts | — | — | (268,786 | ) | 462,653 | — | — | (692,376 | ) | — | ||||||||||||||||||||||
Net realized (gain)/loss on swap contracts | — | — | — | — | — | — | — | (401,659 | ) | |||||||||||||||||||||||
Net unrealized (gain) loss on U.S. Treasury securities, at fair value | 616,192 | (1,429,792 | ) | 139,126 | (422,594 | ) | (56,127 | ) | (1,537,039 | ) | (9,419 | ) | (450,381 | ) | ||||||||||||||||||
Net realized (gain) loss on U.S. Treasury securities, at fair value | (111,546 | ) | 97,349 | (25,632 | ) | 28,835 | (111,554 | ) | 59,132 | (25,632 | ) | 19,370 | ||||||||||||||||||||
(Purchases) sale of: | ||||||||||||||||||||||||||||||||
Sales of U.S. Treasury Securities | 5,740,839 | 11,348,872 | 1,293,839 | 3,316,905 | 5,740,839 | 12,579,837 | 1,293,839 | 3,621,880 | ||||||||||||||||||||||||
Purchases of U.S. Treasury Securities | (4,444,636 | ) | — | (1,004,975 | ) | — | (4,444,636 | ) | — | (1,004,975 | ) | — | ||||||||||||||||||||
Increase and/or decrease in: | ||||||||||||||||||||||||||||||||
Receivable from futures commission merchants | (9,958,867 | ) | — | — | — | |||||||||||||||||||||||||||
Change in control of ownership of trading companies | — | — | 100,153 | 855 | 5,744,802 | — | (62,797 | ) | 921 | |||||||||||||||||||||||
Investments in unconsolidated trading companies, at fair value | 730,619 | (2,247,207 | ) | 145,343 | (480,022 | ) | 7,164,327 | (2,552,999 | ) | 202,642 | (550,448 | ) | ||||||||||||||||||||
Interest receivable | 15,769 | 6,900 | 6,653 | 24,563 | 304,101 | 247,358 | 71,117 | 90,759 | ||||||||||||||||||||||||
Receivable from related parties | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Other assets | — | — | — | — | — | (33,200 | ) | — | — | |||||||||||||||||||||||
Incentive fees payable to Managing Owner | (1,178,364 | ) | 315,369 | (239,327 | ) | 71,588 | (1,178,364 | ) | 106,235 | (239,327 | ) | 28,713 | ||||||||||||||||||||
Management fees payable to Managing Owner | (12,571 | ) | (28,976 | ) | (4,245 | ) | (384 | ) | (21,336 | ) | (24,853 | ) | (6,270 | ) | 752 | |||||||||||||||||
Interest payable to Managing Owner | (2,403 | ) | (10,769 | ) | (805 | ) | (6,906 | ) | (12,973 | ) | (10,510 | ) | (3,283 | ) | (8,062 | ) | ||||||||||||||||
Trading fees payable to Managing Owner | (1,727 | ) | (2,019 | ) | (371 | ) | (1,961 | ) | (4,972 | ) | (1,377 | ) | (1,300 | ) | (1,857 | ) | ||||||||||||||||
Service fees payable to Managing Owner | (6,465 | ) | (4,913 | ) | (1,220 | ) | (6,039 | ) | (9,069 | ) | (8,144 | ) | (2,215 | ) | (7,247 | ) | ||||||||||||||||
Payables to related parties | 7,984 | 5,133 | 595 | 1,386 | 11,602 | 9,997 | 909 | 1,651 | ||||||||||||||||||||||||
Other liabilities | — | — | — | 3,500 | — | — | — | — | ||||||||||||||||||||||||
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Net cash provided by (used in) operating activities | 1,505,560 | 5,475,048 | 493,817 | 3,044,700 | 1,678,715 | 5,422,273 | 539,382 | 3,638,972 | ||||||||||||||||||||||||
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Cash Flows from Financing Activities: | ||||||||||||||||||||||||||||||||
Proceeds from sale of units | 93,346 | 67,734 | 23,193 | 11,982 | 136,211 | 421,695 | 33,403 | 263,058 | ||||||||||||||||||||||||
Payment for redemption of units | (1,334,347 | ) | (3,788,762 | ) | (469,510 | ) | (2,700,710 | ) | (2,746,288 | ) | (5,152,986 | ) | (816,160 | ) | (3,936,147 | ) | ||||||||||||||||
Pending owner additions | (1,408 | ) | (1,268 | ) | (47 | ) | (796 | ) | (2,578 | ) | (992 | ) | (203 | ) | (422 | ) | ||||||||||||||||
Owner redemptions payable | (21,902 | ) | (76,900 | ) | (21,408 | ) | — | (21,902 | ) | (4,748 | ) | (1,860 | ) | 74,502 | ||||||||||||||||||
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Net cash provided by (used in) financing activities | (1,264,311 | ) | (3,799,196 | ) | (467,772 | ) | (2,689,524 | ) | (2,634,557 | ) | (4,737,031 | ) | (784,820 | ) | (3,599,009 | ) | ||||||||||||||||
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Net increase (decrease) in cash and cash equivalents | 241,249 | 1,675,852 | 26,045 | 355,176 | (955,842 | ) | 685,242 | (245,438 | ) | 39,963 | ||||||||||||||||||||||
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 | ||||||||||||||||||||||||
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Cash and cash equivalents, end of period | $ | 4,254,223 | $ | 3,001,583 | $ | 947,643 | $ | 779,177 | $ | 3,057,132 | $ | 2,010,973 | $ | 676,160 | $ | 463,964 | ||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
The Series of the Frontier Fund
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:
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
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 JuneSeptember 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 remaindersremainder of each Series’ assets areis 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 JuneSeptember 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 $1,211,610 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 JuneSeptember 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 sixnine months ended JuneSeptember 30, 2015, the consolidated income statement of operations of Equinox Frontier Balanced Fund included the earnings of its majority owned Trading Companies listed above.
As of JuneSeptember 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 sixnine months ended JuneSeptember 30, 2015, the consolidated income statement of operations of Equinox Frontier Long/Short Commodity Fund included the earnings of its majority owned Trading CompaniesCompany listed above.
As of JuneSeptember 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 sixnine months ended JuneSeptember 30, 2015, the consolidated income statement of operations of Equinox Frontier Diversified Fund included the earnings of its majority owned Trading CompaniesCompany listed above.above and the earnings of Frontier Trading Company I, LLC from January 1, 2015 to August 10, 2015.
As of and for the sixnine months ended JuneSeptember 30, 2015, the consolidated balance sheet and income statement of operations of Equinox Frontier Heritage Fund included the assets and liabilities, and earnings, respectively, of its majority owned Trading Company, Frontier Trading Company XXXIX, LLC.
As of and for the sixnine months ended JuneSeptember 30, 2015, the consolidated balance sheet and income statement of operations of Equinox Frontier Select Fund included the assets and liabilities, and earnings, respectively, of its majority owned Trading Company, Frontier Trading Company XV, LLC except for the earnings from January 1, 2015 to January 2, 2015.
From January 1, 2015 to July 16, 2015, the consolidated balance sheet and statement of operations of Equinox Frontier Winton Fund included the assets and liabilities, and earnings, respectively, of its majority owned Trading Company, Frontier Trading Company XXXIX, LLC.
Each of the Series has invested in Frontier Trading Company XXXVIII, LLC on the same basis as its ownership in the cash pool. Frontier Trading Company XXXVIII, LLCLLC’s assets, liabilities and earnings are allocated to all of the Series of the Trust based on their proportionate share of the cash pool.
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 six 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 counterpartyManaging Owner values the investments based on the CTA’s estimated position information on a same-trading day basis. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts. This fair value is corroborated by valuations provided by a third party pricing service on
a daily basis. The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail 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 classes—sub-classes—Class 1, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of any Series are charged a service fee of up to three percent (3.0%) annually of the NAV of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 or Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the NAV at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Equinox Frontier Diversified Fund and Equinox Frontier Masters Fund or Class 2a Units of the Equinox Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series 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 Pronouncements—In May of 2015, the Financial Accounting Standards Board (FASB)FASB issued Accounting Standards Update (ASU)ASU No. 2015-07,Fair “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 No. 2015-07 removes the requirement to categorize withininclude investments in the fair value hierarchy investments for which the fair values arevalue is measured at NAV using the practical expedient. Theexpedient under “Fair Value Measurements and Disclosures (Topic 820).” 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 ASUNo. 2015-07 is effective for public business entities for fiscal yearsannual reporting periods beginning after December 15, 2015, andincluding interim periods within those fiscal years. For all other entities, thethat reporting period. ASU No. 2015-07 is effective for fiscal years beginning after December 15, 2016 and interim periods within those fiscal years. A reporting entity should apply the amendmentsrequired to be applied retrospectively to all periods presented. Earlier applicationpresented beginning in the year of adoption. Early adoption is permitted. Since ASU No. 2015-07 will only impact the Trust’s disclosures, adoption will not affect the Trust’s financial condition, results of operations, or cash flows.
In February, 2015, the FASB issued Accounting Standards Update (ASU)No. 2015-02, Consolidation (Topic 810): Amendments to the Consolidation Analysis. ASU 2015-02 provides 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 asset 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 asset 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 basis upon daily reports from the counterparty. The counterpartyManaging Owner values the investments based on the CTA’s estimated position information on a same-trading day basis. The Managing Owner reviews and approves current day pricing of the CTA positions, as received from the
counterparty which includes intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap contracts. 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 (“pricing service”). The pricing service, utilizing proprietary model-intensive methodologies, selects and implements the pricing model appropriate for each swap valuation. The pricing service does not provide detail of the pricing model to management. The Managing Owner engages, via inquiry and review of methodology documentation, with the service provider to gain an understanding of the valuation model selected, the components of the model, both observable and unobservable; and quality control testing procedures in place. The pricing service’s methodology includes performance of tolerance testing on its valuation models to ensure consistency and reasonableness of the values derived. The tolerance testing includes valuing the components of the product separately, i.e. underlying asset, volatility, financing rates, and so forth. The tolerance testing is part of the initial valuation setup and the ongoing daily valuation process. The pricing service also has several layers of quality control including: engineering / reverse engineering process to understand each Swap and its subcomponent parts fully; comparative analysis against other valuations performed with similar composition and characteristics; review of output valuation against expectations based on observable price movements of underlying futures; and lastly, periodic review by a senior a financial engineer to ensure the design and function of the model is stable and performs as expected.
The Managing Owner has chartered a valuation committee to provide oversight of the valuation process for the Series. The valuation committee meets at least monthly to discuss the valuation process and any valuation issues that may arise. The valuation committee is comprised of senior members of the Managing Owner’s management team with varying areas of expertise that add value to the committee. The valuation committee reports to both the Managing Owner’s Management CommiteeInvestment Oversight and Risk Committee and the Trust’s Executive Committee. The valuation committee further remains in communication with the Managing Owner’s Due Diligence Committee that provides ongoing counterparty risk monitoring of the swap counterparties. The valuation committee monitors daily pricing provided by the swap counterparty and daily valuation provided by the third party pricing service. The valuation committee may request a price challenge if the daily valuation provided by the counterparty valuations differs significantly from the valuation obtained by the pricing service. The Managing Owner’s valuation committee monitors some additional input factors such as liquidity, volatility, and counterparty risk in order to further review the valuations provided by the pricing service.
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. TheA Series may redeem theirits investment in any of the trading companiesTrading Companies on a daily basis at the Trading Company’s stated net asset value and thereforevalue. Each of the inputs qualify for Level 2. However, as the Series, all of which are under the same management as the Trading Companies, havehas access to the underlying positions of the Trading Companies, and as such, the level determination areis reflected on that look-through basis. Any redemption of an investment in a Trading Company classified as Level 3 will reflect that classification of the underlying investment owned by the Trading Company. As such, the Series report investments in unconsolidated Trading Companies at fair value using the corresponding inputs of the underlying securities of the Trading Companies which results in the Series reporting the corresponding Levellevel 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 JuneSeptember 30, 2015 and December 31, 2014 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:
June 30, 2015 | Level 1 Inputs | Level 2 Inputs | Level 3 Inputs | Total Fair Value | ||||||||||||||||||||||||||||
September 30, 2015 | Level 1 Inputs | Level 2 Inputs | Level 3 Inputs | Total Fair Value | ||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund | ||||||||||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | $ | 5,899,789 | $ | 298,675 | $ | — | $ | 6,198,464 | $ | 14,123,221 | $ | 21,443 | $ | — | $ | 14,144,664 | ||||||||||||||||
Open Trade Equity (Deficit) | (571,551 | ) | — | — | (571,551 | ) | ||||||||||||||||||||||||||
Options Purchased | — | 374,470 | — | 374,470 | ||||||||||||||||||||||||||||
Options Written | — | (219,660 | ) | — | (219,660 | ) | ||||||||||||||||||||||||||
Swap Contracts | — | — | 7,615,169 | 7,615,169 | — | — | 8,146,792 | 8,146,792 | ||||||||||||||||||||||||
U.S. Treasury Securities | 29,071,240 | — | — | 29,071,240 | 30,988,988 | — | — | 30,988,988 | ||||||||||||||||||||||||
Equinox Frontier Masters Fund | ||||||||||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 8,598,866 | 168,654 | — | 8,767,520 | 8,922,799 | (24,790 | ) | — | 8,898,009 | |||||||||||||||||||||||
U.S. Treasury Securities | 11,913,754 | — | — | 11,913,754 | 12,897,080 | — | — | 12,897,080 | ||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 3,093,096 | 27,404 | — | 3,120,500 | ||||||||||||||||||||||||||||
Swap Contracts | — | — | 4,304,209 | 4,304,209 | — | — | 4,249,370 | 4,249,370 | ||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 3,516,988 | 380,006 | — | 3,896,994 | ||||||||||||||||||||||||||||
U.S. Treasury Securities | 6,743,330 | — | — | 6,743,330 | 6,128,920 | — | — | 6,128,920 | ||||||||||||||||||||||||
Equinox Frontier Balanced Fund | ||||||||||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 14,724,358 | 8,614 | — | 14,732,972 | ||||||||||||||||||||||||||||
Open Trade Equity (Deficit) | (778,963 | ) | — | — | (778,963 | ) | 1,196,480 | — | — | 1,196,480 | ||||||||||||||||||||||
Swap Contracts | — | — | 18,491,634 | 18,491,634 | — | — | 18,009,494 | 18,009,494 | ||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 13,892,904 | 440,892 | — | 14,333,796 | ||||||||||||||||||||||||||||
U.S. Treasury Securities | 47,350,232 | — | — | 47,350,232 | 46,800,362 | — | — | 46,800,362 | ||||||||||||||||||||||||
Equinox Frontier Select Fund | — | |||||||||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 177,880 | — | 3,801,775 | 3,979,655 | ||||||||||||||||||||||||||||
Open Trade Equity (Deficit) | 55,956 | — | — | 55,956 | 1,363,715 | — | — | 1,363,715 | ||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 373,618 | — | 3,639,651 | 4,013,269 | ||||||||||||||||||||||||||||
U.S. Treasury Securities | 2,415,549 | — | — | 2,415,549 | 2,414,623 | — | — | 2,414,623 | ||||||||||||||||||||||||
Equinox Frontier Winton Fund | ||||||||||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 6,544,957 | 204,082 | — | 6,749,039 | 315,331 | — | — | 315,331 | ||||||||||||||||||||||||
Open Trade Equity (Deficit) | 2,653,675 | — | — | 2,653,675 | ||||||||||||||||||||||||||||
U.S. Treasury Securities | 25,617,478 | — | 25,617,478 | 26,380,619 | — | — | 26,380,619 | |||||||||||||||||||||||||
Equinox Frontier Heritage Fund | ||||||||||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 1,386,197 | (45,453 | ) | — | 1,340,744 | |||||||||||||||||||||||||||
Swap Contracts | — | — | 7,809,251 | 7,809,251 | — | — | 8,232,841 | 8,232,841 | ||||||||||||||||||||||||
Investment in Unconsolidated Trading Companies | 1,361,243 | 36,800 | — | 1,398,043 | ||||||||||||||||||||||||||||
U.S. Treasury Securities | 5,706,384 | — | — | 5,706,384 | 5,834,721 | — | — | 5,834,721 |
December 31, 2014 | Level 1 Inputs | Level 2 Inputs | Level 3 Inputs | Total Fair Value | 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 | $ | 6,631,887 | $ | (37,508 | ) | $ | — | $ | 6,594,379 | ||||||||||||||
Open Trade Equity (Deficit) | 3,171,968 | 43,238 | — | 3,215,206 | 3,171,968 | 43,238 | — | 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 | ||||||||||||||||||||||||
U.S. Treasury Securities | 31,051,659 | — | — | 31,051,659 | 31,051,659 | — | — | 31,051,659 | ||||||||||||||||||||||||
Equinox Frontier Masters Fund | ||||||||||||||||||||||||||||||||
Investments in Unconsolidated Trading Companies | 7,942,166 | (40,188 | ) | — | 7,901,978 | 7,942,166 | (40,188 | ) | — | 7,901,978 | ||||||||||||||||||||||
U.S. Treasury Securities | 16,217,173 | — | — | 16,217,173 | 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 | 3,789,466 | 25,388 | — | 3,814,854 | ||||||||||||||||||||||||
Swap Contracts | — | — | 3,633,060 | 3,633,060 | — | — | 3,633,060 | 3,633,060 | ||||||||||||||||||||||||
U.S. Treasury Securities | 8,191,519 | — | — | 8,191,519 | 8,191,519 | — | — | 8,191,519 | ||||||||||||||||||||||||
Equinox Frontier Balanced Fund | ||||||||||||||||||||||||||||||||
Open Trade Equity (Deficit) | 3,717,291 | (419,742 | ) | — | 3,297,549 | 3,717,291 | (419,742 | ) | — | 3,297,549 | ||||||||||||||||||||||
Investments in Unconsolidated Trading Companies | 18,354,685 | (10,758 | ) | — | 18,343,927 | 18,354,685 | (10,758 | ) | — | 18,343,927 | ||||||||||||||||||||||
Swap Contracts | — | — | 18,246,954 | 18,246,954 | — | — | 18,246,954 | 18,246,954 | ||||||||||||||||||||||||
U.S. Treasury Securities | 41,625,860 | — | — | 41,625,860 | 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 | 4,591,569 | (28,926 | ) | 3,539,498 | 8,102,141 | ||||||||||||||||||||||
U.S. Treasury Securities | 6,476,939 | — | — | 6,476,939 | 6,476,939 | — | — | 6,476,939 | ||||||||||||||||||||||||
Equinox Frontier Winton Fund | ||||||||||||||||||||||||||||||||
Investments in Unconsolidated Trading Companies | 7,656,170 | (176,512 | ) | — | 7,479,658 | 7,656,170 | (176,512 | ) | — | 7,479,658 | ||||||||||||||||||||||
U.S. Treasury Securities | 29,593,974 | — | 29,593,974 | 29,593,974 | — | 29,593,974 | ||||||||||||||||||||||||||
Equinox Frontier Heritage Fund | ||||||||||||||||||||||||||||||||
Investments in Unconsolidated Trading Companies | 1,576,952 | (33,566 | ) | — | 1,543,386 | 1,576,952 | (33,566 | ) | — | 1,543,386 | ||||||||||||||||||||||
Swap Contracts | — | — | 7,540,465 | 7,540,465 | — | — | 7,540,465 | 7,540,465 | ||||||||||||||||||||||||
U.S. Treasury Securities | 6,796,392 | — | 6,796,392 | 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 sixnine months ended JuneSeptember 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 SixNine Months Ended JuneSeptember 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 | 1,044,761 | (328,851 | ) | 244,680 | 1,576,384 | (383,690 | ) | (237,460 | ) | |||||||||||||||
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 | — | — | — | — | — | — | ||||||||||||||||||
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Balance of recurring Level 3 assets as of June 30, 2015 | $ | 7,615,169 | $ | 4,304,209 | $ | 18,491,634 | ||||||||||||||||||
Balance of recurring Level 3 assets as of September 30, 2015 | $ | 8,146,792 | $ | 4,249,370 | $ | 18,009,494 | ||||||||||||||||||
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|
|
|
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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 | 268,786 | 692,376 | ||||||
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 June 30, 2015 | $ | 7,809,251 | ||||||
Balance of recurring Level 3 assets as of September 30, 2015 | $ | 8,232,841 | ||||||
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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 | 100,153 | 262,277 | ||||||
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 June 30, 2015 | $ | 3,639,651 | ||||||
Balance of recurring Level 3 assets as of September 30, 2015 | $ | 3,801,775 | ||||||
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For the Year Ended December 31, 2014
Swaps:
Equinox Frontier Diversified Fund | Equinox Frontier Long/Short Commodity Fund | Equinox Frontier Balanced Fund | ||||||||||
Balance of recurring Level 3 assets as of January 1, 2014 | $ | 3,437,632 | $ | 2,456,546 | $ | 10,122,003 | ||||||
Total gains or losses (realized/unrealized): | ||||||||||||
Included in earnings-realized | — | — | ||||||||||
Included in earnings-unrealized | 3,132,776 | 1,176,514 | 8,124,951 | |||||||||
Purchases of investments | — | — | — | |||||||||
Sales of investments | — | — | ||||||||||
Change in ownership allocation of total return swaps | — | — | — | |||||||||
Transfers in and/or out of Level 3 | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance of recurring Level 3 assets as of December 31, 2014 | $ | 6,570,408 | $ | 3,633,060 | $ | 18,246,954 | ||||||
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|
|
|
|
Equinox Frontier Heritage Fund | ||||
Balance of recurring Level 3 assets as of January 1, 2014 | $ | 5,435,184 | ||
Total gains or losses (realized/unrealized): | ||||
Included in earnings-realized | — | |||
Included in earnings-unrealized | 2,105,281 | |||
Purchases of investments | — | |||
Sales of investments | — | |||
Change in ownership allocation of total return swaps | — | |||
Transfers in and/or out of Level 3 | — | |||
|
| |||
Balance of recurring Level 3 assets as of December 31, 2014 | $ | 7,540,465 | ||
|
|
Investments in Unconsolidated Trading Companies:
Equinox Frontier Select Fund | ||||
Balance of recurring Level 3 assets as of January 1, 2014 | $ | 2,415,637 | ||
Change in fair value of investments in unconsolidated trading companies | 1,123,861 | |||
Proceeds from sales of investments of unconsolidated trading companies | — | |||
Purchases of investments of unconsolidated trading companies | — | |||
Change in ownership allocation | — | |||
Transfers in and/or out of Level 3 | — | |||
|
| |||
Balance of recurring Level 3 assets as of December 31, 2014 | $ | 3,539,498 | ||
|
|
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 sixnine months ended JuneSeptember 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 JuneSeptember 30, 2015.
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 |
Equinox Frontier Diversified Fund | Equinox Frontier Long/Short Commodity Fund | Equinox Frontier Balanced Fund | Equinox Frontier Heritage Fund | |||||||||||||
Swaps | $ | 1,576,383 | $ | (383,690 | ) | $ | (237,460 | ) | $ | 692,376 |
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 | 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 JuneSeptember 30, 2015 and December 31, 2014, approximately 8.3%6.1% and 7.0%, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain Swaps and is recorded as cash and cash equivalents on the Statements of Financial Condition of the Trust.
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 sixnine months ended JuneSeptember 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 | $ | 62,910,098 | $ | 30,500,000 | $ | 10,090,513 | $ | 15,663,283 | $27,149,349 | $17,500,000 | $3,377,692 | $13,663,283 | ||||||||||||
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 | $ | 8,891,634 | $ | 4,215,169 | $ | 424,209 | $ | 1,816,251 | $8,409,494 | $4,746,792 | $369,370 | $2,239,841 | ||||||||||||
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 | ||||||||||||
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Change in Unrealized Gain/(Loss) | $ | 244,680 | $ | 1,044,760 | ($ | 328,851 | ) | $ | 268,786 | ($237,460) | $1,576,382 | ($383,690) | $692,376 | |||||||||||
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Fair Value as of 6/30/2015 | $ | 18,491,634 | $ | 7,615,169 | $ | 4,304,209 | $ | 7,809,251 | ||||||||||||||||
Fair Value as of 9/30/2015 | $18,009,494 | $8,146,792 | $4,249,370 | $8,232,841 | ||||||||||||||||||||
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The Series hadhave 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 | ||||||||||||
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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 | ||||||||||||
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Fair Value as of 12/31/2014 | $ | 18,246,955 | $ | 6,570,409 | $ | 3,633,060 | $ | 7,540,466 | $18,246,955 | $6,570,409 | $3,633,060 | $7,540,466 | ||||||||||||
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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 JuneSeptember 30, 2015 and December 31, 2014:
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 — | 9.96 | % | $ | 6,198,464 | 9.11 | % | $ | 6,594,379 | ||||||||
Equinox Frontier Masters Fund — | 38.63 | % | $ | 8,767,520 | 30.74 | % | $ | 7,901,978 | ||||||||
Equinox Frontier Long/Short Commodity Fund — | 24.26 | % | $ | 3,896,994 | 22.96 | % | $ | 3,814,854 | ||||||||
Equinox Frontier Balanced Fund — | 14.77 | % | $ | 14,333,796 | 16.92 | % | $ | 18,343,927 | ||||||||
Equinox Frontier Select Fund — | 20.83 | % | $ | 4,013,269 | 53.06 | % | $ | 8,102,141 | ||||||||
Equinox Frontier Winton Fund — | 18.35 | % | $ | 6,749,039 | 18.68 | % | $ | 7,479,658 | ||||||||
Equinox Frontier Heritage Fund — | 8.80 | % | $ | 1,398,043 | 9.32 | % | $ | 1,543,386 |
As of September 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, XXXIII, XXXVIII | 24.99 | % | $ | 14,144,664 | 9.11 | % | $ | 6,594,379 | ||||||||
Equinox Frontier Masters Fund — | ||||||||||||||||
Frontier Trading Companies I, VII, XV, VII and XXXVIII | 38.31 | % | $ | 8,898,009 | 30.74 | % | $ | 7,901,978 | ||||||||
Equinox Frontier Long/Short Commodity Fund — | ||||||||||||||||
Frontier Trading Company I, VII and XXXVIII | 22.08 | % | $ | 3,120,500 | 22.96 | % | $ | 3,814,854 | ||||||||
Equinox Frontier Balanced Fund — | ||||||||||||||||
Frontier Trading Companies I, II, VII, XV, and XXXVIII | 15.73 | % | $ | 14,732,972 | 16.92 | % | $ | 18,343,927 | ||||||||
Equinox Frontier Select Fund — | ||||||||||||||||
Frontier Trading Companies XV, XXXIX and XXXVIII | 19.43 | % | $ | 3,979,655 | 53.06 | % | $ | 8,102,141 | ||||||||
Equinox Frontier Winton Fund — | ||||||||||||||||
Frontier Trading Company II and XXXVIII | 0.75 | % | $ | 315,311 | 18.68 | % | $ | 7,479,658 | ||||||||
Equinox Frontier Heritage Fund — | ||||||||||||||||
Frontier Trading Companies II and XXXVIII | 8.36 | % | $ | 1,340,744 | 9.32 | % | $ | 1,543,386 |
The following tables summarize each of the Series’Series; equity in earnings from unconsolidated Trading Companies for the three and sixnine months ended JuneSeptember 30, 2015 and 2014.
Three Months Ended September 30, 2015 | Three Months Ended September 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 | $ | (78,515 | ) | $ | (220,511 | ) | $ | (338,672 | ) | $ | (637,698 | ) | $ | (77,165 | ) | $ | 2,064,671 | $ | 313,955 | $ | 2,301,461 | |||||||||||
Frontier Trading Company II LLC | (3,387 | ) | 9,334 | 402,656 | 408,603 | — | — | — | — | |||||||||||||||||||||||
Frontier Trading Company VII, LLC | (75,686 | ) | 1,085,897 | (1,498,186 | ) | (487,975 | ) | — | (841,020 | ) | 24,571 | (816,449 | ) | |||||||||||||||||||
Frontier Trading Company XIV, LLC | — | — | — | — | (75,438 | ) | 831,185 | (522,722 | ) | 233,025 | ||||||||||||||||||||||
Frontier Trading Company XV, LLC | — | — | — | — | (7,559 | ) | 175,911 | 77,675 | 246,027 | |||||||||||||||||||||||
Frontier Trading Company XXIII, LLC | (20,756 | ) | (234,424 | ) | 360,320 | 105,140 | (14,139 | ) | 536,312 | (237,308 | ) | 284,865 | ||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | (7,408 | ) | (1,049,003 | ) | 187,977 | (868,434 | ) | (10,805 | ) | 1,506,182 | 421,596 | 1,916,973 | ||||||||||||||||||||
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Total | $ | (185,752 | ) | $ | (408,707 | ) | $ | (885,905 | ) | $ | (1,480,364 | ) | $ | (185,106 | ) | $ | 4,273,241 | $ | 77,767 | $ | 4,165,902 | |||||||||||
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Equinox Frontier Masters Fund | ||||||||||||||||||||||||||||||||
Frontier Trading Company I LLC | $ | (4,901 | ) | $ | (21,609 | ) | $ | 449,957 | $ | 423,447 | $ | (6,769 | ) | $ | 561,435 | $ | 353,566 | $ | 908,232 | |||||||||||||
Frontier Trading Company II LLC | (2,298 | ) | 11,918 | 242,567 | $ | 252,187 | (3,169 | ) | 304,028 | (123,993 | ) | 176,866 | ||||||||||||||||||||
Frontier Trading Company XIV, LLC | 28,979 | (148,053 | ) | 801,924 | 682,850 | (62,524 | ) | 688,864 | (433,176 | ) | 193,164 | |||||||||||||||||||||
Frontier Trading Company XV, LLC | 43,323 | (2,343,896 | ) | 1,731,594 | (568,979 | ) | (25,631 | ) | 355,855 | 436,277 | 766,501 | |||||||||||||||||||||
Frontier Trading Company VII, LLC | (131,329 | ) | 3,279,001 | (2,840,507 | ) | 307,165 | — | — | — | — | ||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | (3,184 | ) | (451,930 | ) | 88,864 | (366,250 | ) | (4,893 | ) | 229,712 | 201,241 | 426,060 | ||||||||||||||||||||
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Total | $ | (69,410 | ) | $ | 325,431 | $ | 474,399 | $ | 730,420 | $ | (102,986 | ) | $ | 2,139,894 | $ | 433,915 | $ | 2,470,823 | ||||||||||||||
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Equinox Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||
Frontier Trading Company I LLC | $ | (963 | ) | $ | 34,635 | $ | 47,108 | $ | 80,780 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||
Frontier Trading Companies VII, LLC | (50,635 | ) | 35,765 | (1,017,519 | ) | (1,032,389 | ) | (90,599 | ) | 3,535,545 | (308,854 | ) | 3,136,092 | |||||||||||||||||||
Frontier Trading Companies XVIII, LLC | — | — | — | — | (4,016 | ) | 188,184 | 204,268 | 388,436 | |||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | (1,577 | ) | (234,308 | ) | 55,899 | (179,986 | ) | — | — | — | — | |||||||||||||||||||||
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Total | $ | (53,175 | ) | $ | (163,908 | ) | $ | (914,512 | ) | $ | (1,131,595 | ) | $ | (94,615 | ) | $ | 3,723,729 | $ | (104,586 | ) | $ | 3,524,528 | ||||||||||
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Equinox Frontier Balanced Fund | ||||||||||||||||||||||||||||||||
Frontier Trading Company I LLC | $ | (118,520 | ) | $ | 1,560,943 | $ | 824,704 | $ | 2,267,127 | $ | (65,685 | ) | $ | 1,397,918 | $ | 113,481 | $ | 1,445,714 | ||||||||||||||
Frontier Trading Company II LLC | (4,454 | ) | 6,644 | 560,644 | 562,834 | (5,526 | ) | 529,926 | (215,316 | ) | 309,084 | |||||||||||||||||||||
Frontier Trading Company VII, LLC | (84,201 | ) | 1,195,982 | (1,643,819 | ) | (532,038 | ) | (19,578 | ) | 137,102 | 201,186 | 318,710 | ||||||||||||||||||||
Frontier Trading Company XIV, LLC | — | — | — | — | (88,814 | ) | 933,958 | (952,064 | ) | (106,920 | ) | |||||||||||||||||||||
Frontier Trading Company XV, LLC | (4 | ) | 18,900 | (18,900 | ) | (4 | ) | — | — | — | — | |||||||||||||||||||||
Frontier Trading Company XVIII, LLC | — | — | — | — | (17,299 | ) | 855,349 | 730,516 | 1,568,566 | |||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | (11,649 | ) | (1,691,751 | ) | 340,551 | (1,362,849 | ) | — | — | — | — | |||||||||||||||||||||
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Total | $ | (218,828 | ) | $ | 1,090,718 | $ | 63,180 | $ | 935,070 | $ | (196,902 | ) | $ | 3,854,253 | $ | (122,197 | ) | $ | 3,535,154 | |||||||||||||
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Equinox Frontier Select Fund | ||||||||||||||||||||||||||||||||
Frontier Trading Company XV, LLC | $ | — | $ | — | $ | — | $ | — | $ | (33,732 | ) | $ | 459,981 | $ | 572,640 | $ | 998,889 | |||||||||||||||
Frontier Trading Company XXXVIII, LLC | (603 | ) | (85,196 | ) | 17,765 | (68,034 | ) | (2,304 | ) | 120,391 | 85,525 | 203,612 | ||||||||||||||||||||
Frontier Trading Company XXXIX, LLC | — | — | 197,541 | 197,541 | — | — | 385,694 | 385,694 | ||||||||||||||||||||||||
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Total | $ | (603 | ) | $ | (85,196 | ) | $ | 215,306 | $ | 129,507 | $ | (36,036 | ) | $ | 580,372 | $ | 1,043,859 | $ | 1,588,195 | |||||||||||||
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Equinox Frontier Winton Fund | ||||||||||||||||||||||||||||||||
Frontier Trading Company II LLC | $ | (2,057 | ) | $ | (222,263 | ) | $ | 1,501,901 | $ | 1,277,581 | $ | (14,106 | ) | $ | 1,352,944 | $ | (551,808 | ) | $ | 787,030 | ||||||||||||
Frontier Trading Company XXXVIII ,LLC | (6,643 | ) | (964,311 | ) | 206,039 | $ | (764,915 | ) | (9,079 | ) | 482,453 | 345,533 | 818,907 | |||||||||||||||||||
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Total | $ | (8,700 | ) | $ | (1,186,574 | ) | $ | 1,707,940 | $ | 512,666 | $ | (23,185 | ) | $ | 1,835,397 | $ | (206,275 | ) | $ | 1,605,937 | ||||||||||||
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Equinox Frontier Heritage Fund | ||||||||||||||||||||||||||||||||
Frontier Trading Company II LLC | $ | (2,498 | ) | $ | 12,952 | $ | 263,699 | $ | 274,153 | $ | (3,154 | ) | $ | 302,460 | $ | (123,396 | ) | $ | 175,910 | |||||||||||||
Frontier Trading Company XXXVIII, LLC | (1,471 | ) | (212,891 | ) | 45,556 | (168,806 | ) | (2,218 | ) | 110,045 | 86,941 | 194,768 | ||||||||||||||||||||
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Total | $ | (3,969 | ) | $ | (199,939 | ) | $ | 309,255 | $ | 105,347 | $ | (5,372 | ) | $ | 412,505 | $ | (36,455 | ) | $ | 370,678 | ||||||||||||
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Equinox Frontier Diversified Fund Frontier Trading Company I LLC Frontier Trading Company II LLC Frontier Trading Company V LLC Frontier Trading Company VI LLC Frontier Trading Company VII, LLC Frontier Trading Company IX, LLC Frontier Trading Company XIV, LLC Frontier Trading Company XV, LLC Frontier Trading Company XVIII, LLC Frontier Trading Company XXI, LLC Frontier Trading Company XXIII, LLC Frontier Trading Company XXXVIII, LLC Frontier Trading Company XXXIX, LLC Total Equinox Frontier Masters Fund Frontier Trading Company I LLC Frontier Trading Company II LLC Frontier Trading Company XIV, LLC Frontier Trading Company XV, LLC Frontier Trading Company VII, LLC Frontier Trading Company XXXVIII, LLC Total Equinox Frontier Long/Short Commodity Fund Frontier Trading Company I LLC Frontier Trading Companies VII, LLC Frontier Trading Companies XVIII, LLC Frontier Trading Companies XXIII, LLC Frontier Trading Company XXXVIII, LLC Total Equinox Frontier Balanced Fund Frontier Trading Company I LLC Frontier Trading Company II LLC Frontier Trading Company V LLC Frontier Trading Company VII, LLC Frontier Trading Company XIV, LLC Frontier Trading Company XV, LLC Frontier Trading Company XVI, LLC Frontier Trading Company XVIII, LLC Frontier Trading Company XXIII, LLC Frontier Trading Company XXXVIII, LLC Frontier Trading Company XXXIX, LLC Total Equinox Frontier Select Fund Frontier Trading Company V LLC Frontier Trading Company VI LLC Frontier Trading Company XV, LLC Frontier Trading Company XXI, LLC Frontier Trading Company XXXVIII, LLC Frontier Trading Company XXXIX, LLC Total Equinox Frontier Winton Fund Frontier Trading Company II LLC Frontier Trading Company XXXVIII ,LLC Total Equinox Frontier Heritage Fund Frontier Trading Company II LLC Frontier Trading Company V LLC Frontier Trading Company XXXVIII, LLC Frontier Trading Company XXXIX, LLC Total 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) $ — $ — $ — $ — $ (77,867 ) $ 950,477 $ 1,028,045 $ 1,900,655 (4,246 ) (685,823 ) (420,717 ) (1,110,786 ) (4,241 ) 865,388 (8,894 ) 852,253 — — — — — — — — — — — — — — — — (85,942 ) (1,382,324 ) 1,810,489 342,223 (96,234 ) (663,204 ) 608,781 (150,657 ) — — — — — — — — — — — (41,516 ) 249,214 263,796 471,494 — — — — (12,052 ) (487,276 ) 155,923 (343,405 ) — — — — — — — — — — — — — — — — (17,919 ) (151,523 ) (304,555 ) (473,997 ) (11,949 ) 789,665 92,152 869,868 (10,482 ) 77,904 (236,705 ) (169,283 ) — — — — — — — (11,766 ) (127,320 ) (97,402 ) (236,488 ) $ (118,589 ) $ (2,141,766 ) $ 848,512 $ (1,411,843 ) $ (255,625 ) $ 1,576,944 $ 2,042,401 $ 3,363,720 $ (6,561 ) $ (78,343 ) $ (920,425 ) $ (1,005,329 ) $ (8,994 ) $ 441,002 $ 166,625 $ 598,633 (2,613 ) (420,988 ) (264,127 ) $ (687,728 ) (3,095 ) 627,805 (8,751 ) 615,959 — — — — (36,029 ) 189,278 214,868 368,117 (14,857 ) (979,930 ) (372,004 ) (1,366,791 ) (24,092 ) 125,464 287,803 389,175 (50,573 ) (775,283 ) 1,063,371 237,515 (4,586 ) 35,342 (122,309 ) (91,553 ) (6,083 ) (78,704 ) (42,756 ) (127,533 ) $ (79,190 ) $ (2,219,202 ) $ (615,494 ) $ (2,913,886 ) $ (78,293 ) $ 1,304,845 $ 617,789 $ 1,844,351 $ — $ — $ — $ — $ — $ — $ — $ — (63,635 ) (1,450,691 ) 1,054,760 (459,566 ) (79,249 ) (199,250 ) 450,592 172,093 — — — — (9,017 ) (338,735 ) (291,055 ) (638,807 ) — — — — — — — — (2,865 ) 19,681 (69,554 ) (52,738 ) — — — — $ (66,500 ) $ (1,431,010 ) $ 985,206 $ (512,304 ) $ (88,266 ) $ (537,985 ) $ 159,537 $ (466,714 ) $ (83,797 ) $ 975,639 $ (208,851 ) 682,991 $ (263,573 ) $ 1,115,464 $ (362,505 ) 489,386 (5,791 ) (937,794 ) (560,595 ) (1,504,180 ) (12,088 ) (686,492 ) 1,317,845 619,265 — — — — — (97,027 ) (1,669,662 ) 2,061,923 295,234 36,410 685,775 (1,108,643 ) (386,458 ) — — — — (23,141 ) 99,184 (416,179 ) (340,136 ) (231 ) (492,925 ) 493,274 118 22,806 (867,989 ) 1,231,415 386,232 — — — — — — — — — — — — — — — (17,308 ) 134,812 (445,903 ) (328,399 ) (768,673 ) 1,833,086 (991,089 ) 73,324 — — — — (75,543 ) (1,180,680 ) 612,399 (643,824 ) $ (204,154 ) $ (1,989,930 ) $ 1,339,848 $ (854,236 ) $ (1,083,802 ) $ 998,348 $ 283,243 $ 197,789 $ — $ — $ — $ — $ — $ — $ — $ — — — — — — — — — — (2 ) (2 ) (31,676 ) 106,074 415,981 490,379 (967,125 ) (967,125 ) — — — (2,577 ) 7,618 (23,723 ) (17,104 ) (2,970 ) (33,431 ) (15,011 ) (51,412 ) 127,518 127,518 (1,556 ) — 331,515 329,959 $ (2,577 ) $ 7,618 $ (863,332 ) $ (856,713 ) $ (36,202 ) $ 72,643 $ 732,485 $ 768,926 $ (14,911 ) $ (2,419,574 ) $ (1,407,788 ) $ (3,842,273 ) $ (13,657 ) $ 2,787,074 $ (31,073 ) $ 2,742,344 (9,599 ) 73,551 (282,923 ) $ (218,971 ) (9,787 ) (105,773 ) (73,711 ) (189,271 ) $ (24,510 ) $ (2,346,023 ) $ (1,690,711 ) $ (4,061,244 ) $ (23,444 ) $ 2,681,301 $ (104,784 ) $ 2,553,073 $ (2,685 ) $ (435,646 ) $ (252,853 ) $ (691,184 ) $ (3,057 ) $ 623,800 $ (6,880 ) $ 613,593 — — — — — — — — (2,163 ) 16,512 (62,218 ) (47,870 ) (2,639 ) (32,058 ) (21,536 ) (56,233 ) — — — — — — — — $ (4,848 ) $ (419,134 ) $ (315,071 ) $ (739,054 ) $ (5,696 ) $ 591,742 $ (28,416 ) $ 557,360
Six Months Ended June 30, 2015 | Six Months Ended June 30, 2014 | Nine Months Ended September 30, 2015 | Nine Months Ended September 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) | |||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company I LLC | $ | — | $ | — | $ | — | $ | — | $ | (148,260 | ) | $ | 2,095,105 | $ | 421,786 | $ | 2,368,631 | $ | (78,515 | ) | $ | (220,511 | ) | $ | (338,672 | ) | $ | (637,698 | ) | $ | (225,425 | ) | $ | 4,159,776 | $ | 735,741 | $ | 4,670,092 | ||||||||||||||||||||||||||
Frontier Trading Company II LLC | (8,329 | ) | 647,469 | (548,028 | ) | 91,112 | (8,992 | ) | 1,132,028 | (293,721 | ) | 829,315 | (11,716 | ) | 656,803 | (145,372 | ) | 499,715 | (8,992 | ) | 1,132,028 | (293,721 | ) | 829,315 | ||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company V LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company VI LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company VII, LLC | (168,323 | ) | 726,185 | 587,363 | 1,145,225 | (248,337 | ) | (1,280,664 | ) | 370,672 | (1,158,329 | ) | (244,009 | ) | 1,812,082 | (910,823 | ) | 657,250 | (248,337 | ) | (2,121,684 | ) | 400,248 | (1,969,773 | ) | |||||||||||||||||||||||||||||||||||||||
Frontier Trading Company IX, LLC | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XIV, LLC | — | — | — | — | (101,125 | ) | (378,786 | ) | 323,498 | (156,413 | ) | — | — | — | — | (176,563 | ) | 452,399 | (194,219 | ) | 81,617 | |||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XV, LLC | — | — | — | — | (27,763 | ) | 172,591 | (786,997 | ) | (642,169 | ) | — | — | — | — | (35,322 | ) | 348,502 | (719,332 | ) | (406,152 | ) | ||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XVIII, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XXI, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XXIII, LLC | (37,701 | ) | 721,086 | (330,774 | ) | 352,611 | (24,150 | ) | 1,073,089 | 187,658 | 1,236,597 | (58,457 | ) | 486,662 | 29,546 | 457,751 | (38,289 | ) | 1,609,401 | (49,650 | ) | 1,521,462 | ||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | (17,490 | ) | 952,971 | (463,563 | ) | 471,918 | (24,173 | ) | (894,004 | ) | (675,056 | ) | (1,593,233 | ) | (24,898 | ) | (96,032 | ) | (275,586 | ) | (396,516 | ) | (34,978 | ) | 612,178 | (253,460 | ) | 323,740 | ||||||||||||||||||||||||||||||||||||
Frontier Trading Company XXXIX, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Total | $ | (231,843 | ) | $ | 3,047,711 | $ | (755,002 | ) | $ | 2,060,866 | $ | (582,800 | ) | $ | 1,919,359 | $ | (452,160 | ) | $ | 884,399 | $ | (417,595 | ) | $ | 2,639,004 | $ | (1,640,907 | ) | $ | 580,502 | $ | (767,906 | ) | $ | 6,192,600 | $ | (374,393 | ) | $ | 5,050,301 | ||||||||||||||||||||||||
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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 | $ | (15,436 | ) | $ | 1,159,085 | $ | (608,890 | ) | $ | 534,759 | $ | (21,419 | ) | $ | 645,920 | $ | 1,011,560 | $ | 1,636,061 | ||||||||||||||||||||||||||
Frontier Trading Company II LLC | (4,942 | ) | 331,851 | (335,234 | ) | $ | (8,325 | ) | (6,805 | ) | 841,881 | (248,924 | ) | 586,152 | (7,240 | ) | 343,769 | (92,667 | ) | 243,862 | (9,974 | ) | 1,145,909 | (374,223 | ) | 761,712 | ||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XIV, LLC | (28,979 | ) | 148,053 | (801,924 | ) | (682,850 | ) | (95,138 | ) | (433,918 | ) | 213,162 | (315,894 | ) | — | — | — | — | (157,662 | ) | 254,946 | (220,014 | ) | (122,730 | ) | |||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XV, LLC | (86,516 | ) | 2,635,986 | (1,948,507 | ) | 600,963 | (53,547 | ) | 805,913 | (875,590 | ) | (123,224 | ) | (43,193 | ) | 292,090 | (216,913 | ) | 31,984 | (79,178 | ) | 1,161,768 | (439,313 | ) | 643,277 | |||||||||||||||||||||||||||||||||||||||
Frontier Trading Company VII, LLC | (131,329 | ) | 3,279,001 | (2,840,510 | ) | 307,162 | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | (7,391 | ) | 333,664 | (165,500 | ) | 160,773 | (13,153 | ) | (497,344 | ) | (372,146 | ) | (882,643 | ) | (10,575 | ) | (118,266 | ) | (76,636 | ) | (205,477 | ) | (18,046 | ) | (267,632 | ) | (170,905 | ) | (456,583 | ) | ||||||||||||||||||||||||||||||||||
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Total | $ | (138,363 | ) | $ | 4,630,248 | $ | (4,310,012 | ) | $ | 181,873 | $ | (183,293 | ) | $ | 801,017 | $ | (626,809 | ) | $ | (9,085 | ) | $ | (207,773 | ) | $ | 4,955,679 | $ | (3,835,616 | ) | $ | 912,290 | $ | (286,279 | ) | $ | 2,940,911 | $ | (192,895 | ) | $ | 2,461,737 | |||||||||||||||||||||||
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Equinox Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company I LLC | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (963 | ) | $ | 34,635 | $ | 47,108 | $ | 80,780 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||||||||||||||||
Frontier Trading Companies VII, LLC | (148,403 | ) | 1,306,637 | 125,916 | 1,284,150 | (84,192 | ) | (492,410 | ) | 202,711 | (373,891 | ) | (199,038 | ) | 1,342,402 | (891,605 | ) | 251,759 | (174,791 | ) | 3,043,135 | (105,805 | ) | 2,762,539 | ||||||||||||||||||||||||||||||||||||||||
Frontier Trading Companies XVIII, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Companies XXIII, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | (4,833 | ) | 276,057 | (133,153 | ) | 138,071 | (9,017 | ) | (338,735 | ) | (290,717 | ) | (638,469 | ) | (6,410 | ) | 41,749 | (77,254 | ) | (41,915 | ) | (13,033 | ) | (150,551 | ) | (86,787 | ) | (250,371 | ) | |||||||||||||||||||||||||||||||||||
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Total | $ | (153,236 | ) | $ | 1,582,694 | $ | (7,237 | ) | $ | 1,422,221 | $ | (93,209 | ) | $ | (831,145 | ) | $ | (88,006 | ) | $ | (1,012,360 | ) | $ | (206,411 | ) | $ | 1,418,786 | $ | (921,751 | ) | $ | 290,624 | $ | (187,824 | ) | $ | 2,892,584 | $ | (192,592 | ) | $ | 2,512,168 | ||||||||||||||||||||||
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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 | $ | (292,176 | ) | $ | 4,585,527 | $ | 853,523 | $ | 5,146,874 | $ | (86,875 | ) | $ | 1,357,779 | $ | 1,003,695 | $ | 2,274,599 | |||||||||||||||||||||||||||||
Frontier Trading Company II LLC | (10,988 | ) | 749,066 | (720,413 | ) | 17,665 | (12,125 | ) | 1,514,527 | (547,779 | ) | 954,623 | (15,442 | ) | 755,710 | (159,769 | ) | 580,499 | (17,651 | ) | 2,044,453 | (763,095 | ) | 1,263,707 | ||||||||||||||||||||||||||||||||||||||||
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 | ) | (273,280 | ) | 1,842,624 | (929,479 | ) | 639,865 | (326,306 | ) | (838,548 | ) | (267,307 | ) | (1,432,161 | ) | ||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XIV, LLC | — | — | — | — | (75,543 | ) | (1,180,680 | ) | 610,861 | (645,362 | ) | — | — | — | — | (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 | ) | (128 | ) | (198,125 | ) | 198,418 | 165 | (63,893 | ) | (162,081 | ) | (379,890 | ) | (605,864 | ) | ||||||||||||||||||||||||||||||||||||
Frontier Trading Company XVI, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XVIII, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XXIII, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Frontier Trading Company XXXVIII, LLC | (27,010 | ) | 1,355,729 | (729,990 | ) | 598,729 | (42,486 | ) | (1,584,456 | ) | (1,141,801 | ) | (2,768,743 | ) | (38,659 | ) | (336,022 | ) | (389,439 | ) | (764,120 | ) | (59,785 | ) | (729,107 | ) | (413,770 | ) | (1,202,662 | ) | ||||||||||||||||||||||||||||||||||
Frontier Trading Company XXXIX, LLC | — | — | — | — | — | — | (1,538 | ) | (1,538 | ) | — | — | — | — | — | — | (1,538 | ) | (1,538 | ) | ||||||||||||||||||||||||||||||||||||||||||||
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Total | $ | (400,857 | ) | $ | 5,558,996 | $ | (489,926 | ) | $ | 4,668,213 | $ | (433,151 | ) | $ | (3,362,437 | ) | $ | (88,847 | ) | $ | (3,884,435 | ) | $ | (619,685 | ) | $ | 6,649,714 | $ | (426,746 | ) | $ | 5,603,283 | $ | (630,053 | ) | $ | 491,816 | $ | (211,044 | ) | $ | (349,281 | ) | |||||||||||||||||||||
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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 | $ | — | $ | (195 | ) | $ | 2,173 | $ | 1,978 | $ | (94,658 | ) | $ | 1,279,032 | $ | 89,125 | $ | 1,273,499 | |||||||||||||||||||||||||||||||||||
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 | ) | (2,400 | ) | (20,889 | ) | 1,477 | (21,812 | ) | (8,538 | ) | (106,932 | ) | (77,639 | ) | (193,109 | ) | |||||||||||||||||||||||||||||||||||
Frontier Trading Company XXXIX, LLC | 127,536 | 127,536 | (1,556 | ) | — | (204,940 | ) | (206,496 | ) | — | — | 325,077 | 325,077 | (1,556 | ) | — | 180,860 | 179,304 | ||||||||||||||||||||||||||||||||||||||||||||||
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Total | $ | (1,797 | ) | $ | 64,112 | $ | 113,421 | $ | 175,736 | $ | (68,716 | ) | $ | 591,728 | $ | (851,513 | ) | $ | (328,501 | ) | $ | (2,400 | ) | $ | (21,084 | ) | $ | 328,727 | $ | 305,243 | $ | (104,752 | ) | $ | 1,172,100 | $ | 192,346 | $ | 1,259,694 | |||||||||||||||||||||||||
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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 | $ | (30,241 | ) | $ | 1,667,629 | $ | (315,582 | ) | $ | 1,321,806 | $ | (41,713 | ) | $ | 5,017,076 | $ | (1,469,085 | ) | $ | 3,506,278 | ||||||||||||||||||||||||
Frontier Trading Company XXXVIII ,LLC | (15,485 | ) | 748,101 | (394,852 | ) | $ | 337,764 | (19,326 | ) | (670,668 | ) | (468,437 | ) | (1,158,431 | ) | (22,128 | ) | (216,210 | ) | (188,813 | ) | (427,151 | ) | (28,405 | ) | (188,215 | ) | (122,904 | ) | (339,524 | ) | |||||||||||||||||||||||||||||||||
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Total | $ | (43,669 | ) | $ | 2,637,993 | $ | (2,212,335 | ) | $ | 381,989 | $ | (46,933 | ) | $ | 2,993,464 | $ | (1,385,715 | ) | $ | 1,560,816 | $ | (52,369 | ) | $ | 1,451,419 | $ | (504,395 | ) | $ | 894,655 | $ | (70,118 | ) | $ | 4,828,861 | $ | (1,591,989 | ) | $ | 3,166,754 | ||||||||||||||||||||||||
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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 | $ | (7,685 | ) | $ | 393,849 | $ | (67,233 | ) | $ | 318,931 | $ | (9,336 | ) | $ | 1,122,748 | $ | (328,982 | ) | $ | 784,430 | ||||||||||||||||||||||||
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 | ) | (4,959 | ) | (45,529 | ) | (40,751 | ) | (91,239 | ) | (7,662 | ) | (89,231 | ) | (62,702 | ) | (159,595 | ) | ||||||||||||||||||||||||||||||||||
Frontier Trading Company XXXIX, LLC | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Total | $ | (8,676 | ) | $ | 548,259 | $ | (417,236 | ) | $ | 122,347 | $ | (11,626 | ) | $ | 621,012 | $ | (355,228 | ) | $ | 254,158 | $ | (12,644 | ) | $ | 348,320 | $ | (107,984 | ) | $ | 227,692 | $ | (16,998 | ) | $ | 1,033,517 | $ | (391,684 | ) | $ | 624,835 | ||||||||||||||||||||||||
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The statements of financial condition as of JuneSeptember 30, 2015 and December 31, 2014 and the Condensed Statement of Income for the three and sixnine months ended JuneSeptember 30, 2015 and 2014 for the unconsolidated Trading Companies are as follows:
Statements of Financial Condition - September 30, 2015 Receivable from commission merchants Open trade equity/(deficit) Interest receivable/(payable) Total assets Members’ equity Statements of Financial Condition - December 31, 2014 Receivable from commission merchants Open trade equity/(deficit) Interest receivable/(payable) Total assets Members’ equity Condensed Statement of Income - For the Three Months Ended September 30, 2015 Interest income Net realized gain/(loss) on investments, less commissions Change in open trade equity/(deficit) Net income/(loss) Frontier Trading
Company I LLC Frontier Trading
Company II LLC Frontier Trading
Company VII LLC Frontier Trading
Company XXXVIII LLC $ 12,119,225 $ 9,958,867 $ 7,338,709 $ 2,392,214 6,850,246 2,653,675 (270,542 ) 322,038 (2,630 ) (134 ) (12 ) (26 ) $ 18,966,841 $ 12,612,408 $ 7,068,155 $ 2,714,227 $ 18,966,841 $ 12,612,408 $ 7,068,155 $ 2,714,227 Frontier Trading
Company I LLC Frontier Trading
Company II LLC Frontier Trading
Company VII LLC Frontier Trading
Company XXXVIII LLC $ 22,731,129 $ 10,851,261 $ 6,694,318 $ 2,944,692 3,250,601 3,473,284 3,545,991 1,369,042 (2,027 ) 421 (170 ) (52 ) $ 25,979,702 $ 14,324,966 $ 10,240,139 $ 4,313,682 $ 25,979,702 $ 14,324,966 $ 10,240,139 $ 4,313,682 Frontier Trading
Company I LLC Frontier Trading
Company II LLC Frontier Trading
Company VII LLC Frontier Trading
Company XXXVIII LLC $ 85,698 $ (2,034 ) $ 627 $ 944 (8,312,138 ) (3,939,535 ) (2,887,537 ) (2,218,456 ) 2,286,800 4,967,962 (2,252,530 ) (1,511,455 ) $ (5,939,640 ) $ 1,026,393 $ (5,139,440 ) $ (3,728,967 )
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 | $ | 12,124,771 | $ | 6,069,994 | $ | 6,984,925 | ||||||
Open trade equity/(deficit) | (278,805 | ) | 3,259,443 | (620,620 | ) | |||||||
Interest receivable/(payable) | 78 | (40 | ) | 277 | ||||||||
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Total assets | $ | 11,846,044 | $ | 9,329,397 | $ | 6,364,582 | ||||||
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Members’ equity | $ | 11,846,044 | $ | 9,329,397 | $ | 6,364,582 | ||||||
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Condensed Statement of Income - For the Three Months | 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 | ||||||||
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Net income/(loss) | $ | (4,388,194 | ) | $ | (4,822,846 | ) | $ | (1,445,375 | ) | |||
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Condensed Statement of Income - For the Six Months | 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 | |||||||||
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Net income/(loss) | $ | (191,078 | ) | $ | (5,413,258 | ) | $ | (1,830,357 | ) | |||
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Condensed Statement of Income - For the Three Months Ended September 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 | $ | 4,768 | $ | (1,779 | ) | $ | 520 | $ | (11 | ) | $ | 299 | ||||||||
Net realized gain/(loss) on investments, less commissions | (3,871,073 | ) | (2,894,702 | ) | (5,132,095 | ) | (898,453 | ) | (2,487,366 | ) | ||||||||||
Change in open trade equity/(deficit) | (784,337 | ) | 1,200,574 | 2,083,107 | (1,308,660 | ) | (2,071,467 | ) | ||||||||||||
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Net income/(loss) | $ | (4,650,642 | ) | $ | (1,695,907 | ) | $ | (3,048,468 | ) | $ | (2,207,124 | ) | $ | (4,558,534 | ) | |||||
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Condensed Statement of Income - For the Three Months Ended September 30, 2014 | Frontier Trading Company XIV LLC | Frontier Trading Company XXXIX LLC | ||||||
Interest income | $ | (6,289 | ) | $ | — | |||
Net realized gain/(loss) on investments, less commissions | (12,615,137 | ) | (3,500 | ) | ||||
Change in open trade equity/(deficit) | 5,229,959 | (554,809 | ) | |||||
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Net income/(loss) | $ | (7,391,467 | ) | $ | (558,309 | ) | ||
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Condensed Statement of Income - For the Nine Months Ended September 30, 2015 | Frontier Trading Company I LLC | Frontier Trading Company VII LLC | Frontier Trading Company XXXVIII LLC | |||||||||
Interest income | $ | 96,038 | $ | 627 | $ | 973 | ||||||
Net realized gain/(loss) on investments, less commissions | (8,770,608 | ) | (8,641,411 | ) | (2,487,150 | ) | ||||||
Change in open trade equity/(deficit) | (559,775 | ) | 5,573,767 | 788,713 | ||||||||
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Net income/(loss) | $ | (9,234,345 | ) | $ | (3,067,018 | ) | $ | (1,697,464 | ) | |||
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Condensed Statement of Income - For the Nine Months Ended September 30, 2014 | Frontier Trading Company I LLC | Frontier Trading Company II LLC | Frontier Trading Company VII LLC | Frontier Trading Company XXXVIII LLC | ||||||||||||
Interest income | $ | 17,288 | $ | (4,299 | ) | $ | 1,377 | $ | 2,215 | |||||||
Net realized gain/(loss) on investments, less commissions | (8,088,411 | ) | (10,804,286 | ) | 322,277 | 2,043,776 | ||||||||||
Change in open trade equity/(deficit) | (1,096,824 | ) | 3,414,408 | 753,749 | 1,192,319 | |||||||||||
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Net income/(loss) | $ | (9,167,947 | ) | $ | (7,394,177 | ) | $ | 1,077,403 | $ | 3,238,310 | ||||||
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Condensed Statement of Income - For the Nine Months Ended September 30, 2014 | Frontier Trading Company XIV LLC | Frontier Trading Company XXXIX LLC | ||||||
Interest income | $ | (11,934 | ) | $ | — | |||
Net realized gain/(loss) on investments, less commissions | (31,744,045 | ) | (3,500 | ) | ||||
Change in open trade equity/(deficit) | 441,921 | (1,490,149 | ) | |||||
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Net income/(loss) | $ | (31,314,058 | ) | $ | (1,493,649 | ) | ||
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Statements of Financial Condition - December 31, 2014 Receivable from commission merchants Open trade equity/(deficit) Interest receivable/(payable) Total assets Members’ equity Condensed Statement of Income - For the Three Months Ended June 30, 2014 Interest income Net realized gain/(loss) on investments, less Change in open trade equity/(deficit) Net income/(loss) Condensed Statement of Income - For the Six Months Ended June 30, 2014 Interest income Net realized gain/(loss) on investments, less Change in open trade equity/(deficit) Net income/(loss) 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 $
13,015,321
$ 18,121,232 $ 1,834,790 $ 11,072,355 $ 4,826,699 2,937,971 2,107,459 3,617,656 3,510,148 256,729 (2,291 ) 607 (160 ) 817 7 $
15,951,001
$ 20,229,298 $ 5,452,286 $ 14,583,320 $ 5,083,435 $
15,951,001
$ 20,229,298 $ 5,452,286 $ 14,583,320 $ 5,083,435 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 $ 12,520 $ (1,560 ) $ 857 $ 2,012 $ 497 (4,217,338 ) (5,965,412 ) 5,454,372 1,510,226 735,318 (312,487 ) 69,697 (1,329,358 ) (1,504,440 ) 431,576 $ (4,517,305 ) $ (5,897,275 ) $ 4,125,871 $ 7,798 $ 1,167,391 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 $ 12,520 $ (2,520 ) $ 857 $ 2,237 $ 1,916 (4,217,338 ) (7,909,584 ) 5,454,372 (1,313,834 ) 4,531,142 (312,487 ) 2,213,834 (1,329,358 ) 2,737,190 3,263,786 $ (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,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, 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 2a and 3a)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 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 months and sixnine months ended JuneSeptember 30, 2015 and 2014:
Three Months Ended June 30, 2015 | Incentive Fee | Management Fee | Service Fee | Trading Fee | ||||||||||||||||||||||||||||
Three Months Ended September 30, 2015 | Incentive Fee | Management Fee | Service Fee | Trading Fee | ||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund | $ | 4,000 | $ | 243,004 | $ | 108,250 | $ | 351,096 | $ | 225,279 | $ | 247,879 | $ | 97,034 | $ | 338,055 | ||||||||||||||||
Equinox Frontier Masters Fund | 41,072 | 182,496 | 60,813 | 147,701 | — | 173,088 | 52,129 | 141,248 | ||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund | 40,149 | 131,237 | 29,629 | 65,150 | 14,316 | 135,721 | 25,703 | 58,174 | ||||||||||||||||||||||||
Equinox Frontier Balanced Fund | 9,517 | 267,377 | 556,081 | 194,144 | 104,130 | 254,315 | 510,140 | 179,140 | ||||||||||||||||||||||||
Equinox Frontier Select Fund | — | 78,206 | 101,967 | 28,454 | — | 76,094 | 95,067 | 26,464 | ||||||||||||||||||||||||
Equinox Frontier Winton Fund | — | 307,212 | 198,125 | 74,984 | — | 289,752 | 184,196 | 69,319 | ||||||||||||||||||||||||
Equinox Frontier Heritage Fund | — | 70,986 | 74,974 | 25,063 | — | 67,180 | 69,701 | 23,325 | ||||||||||||||||||||||||
Three Months Ended June 30, 2014 | Incentive Fee | Management Fee | Service Fee | Trading Fee | ||||||||||||||||||||||||||||
Three Months Ended September 30, 2014 | Incentive Fee | Management Fee | Service Fee | Trading Fee | ||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund | $ | 954,829 | $ | 271,073 | $ | 125,184 | $ | 307,242 | $ | 686,627 | $ | 258,715 | $ | 113,027 | $ | 305,002 | ||||||||||||||||
Equinox Frontier Masters Fund | 168,094 | 230,233 | 76,310 | 147,195 | 219,695 | 233,608 | 64,776 | 136,886 | ||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund | — | 223,050 | 30,304 | 64,027 | 94,518 | 176,097 | 31,049 | 65,769 | ||||||||||||||||||||||||
Equinox Frontier Balanced Fund | 902,054 | 264,152 | 492,255 | 167,758 | 373,778 | 265,015 | 479,441 | 164,674 | ||||||||||||||||||||||||
Equinox Frontier Select Fund | 26,677 | 140,286 | 97,799 | 27,150 | 150,674 | 143,102 | 94,517 | 26,340 | ||||||||||||||||||||||||
Equinox Frontier Winton Fund | 415,629 | 287,648 | 177,981 | 64,049 | 206,495 | 294,474 | 174,044 | 63,974 | ||||||||||||||||||||||||
Equinox Frontier Heritage Fund | 86,999 | 81,966 | 65,875 | 21,279 | 44,124 | 83,810 | 63,543 | 21,020 | ||||||||||||||||||||||||
Six Months Ended June 30, 2015 | Incentive Fee | Management Fee | Service Fee | Trading Fee | ||||||||||||||||||||||||||||
Nine Months Ended September 30, 2015 | Incentive Fee | Management Fee | Service Fee | Trading Fee | ||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund | $ | 1,638,242 | $ | 489,308 | $ | 230,168 | $ | 721,898 | $ | 1,863,521 | $ | 737,187 | $ | 327,202 | $ | 1,059,953 | ||||||||||||||||
Equinox Frontier Masters Fund | 576,374 | 361,156 | 125,991 | 301,334 | 576,374 | 534,244 | 178,120 | 442,582 | ||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund | 279,366 | 254,273 | 61,529 | 134,078 | 293,682 | 389,994 | 87,232 | 192,252 | ||||||||||||||||||||||||
Equinox Frontier Balanced Fund | 1,496,474 | 526,972 | 1,118,882 | 389,488 | 1,600,604 | 781,287 | 1,629,022 | 568,628 | ||||||||||||||||||||||||
Equinox Frontier Select Fund | 158,971 | 158,278 | 208,868 | 58,347 | 158,971 | 234,372 | 303,935 | 84,811 | ||||||||||||||||||||||||
Equinox Frontier Winton Fund | 715,409 | 630,317 | 403,462 | 151,960 | 715,409 | 920,069 | 587,658 | 221,279 | ||||||||||||||||||||||||
Equinox Frontier Heritage Fund | 132,676 | 148,884 | 151,991 | 50,754 | 132,676 | 216,064 | 221,692 | 74,079 | ||||||||||||||||||||||||
Six Months Ended June 30, 2014 | Incentive Fee | Management Fee | Service Fee | Trading Fee | ||||||||||||||||||||||||||||
Nine Months Ended September 30, 2014 | Incentive Fee | Management Fee | Service Fee | Trading Fee | ||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund | $ | 1,386,913 | $ | 547,629 | $ | 273,595 | $ | 649,807 | $ | 2,073,540 | $ | 806,344 | $ | 386,622 | $ | 954,809 | ||||||||||||||||
Equinox Frontier Masters Fund | 181,806 | 507,313 | 180,593 | 323,110 | 401,501 | 740,921 | 245,369 | 459,996 | ||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund | — | 509,680 | 68,868 | 146,001 | 94,518 | 685,777 | 99,917 | 211,770 | ||||||||||||||||||||||||
Equinox Frontier Balanced Fund | 1,453,340 | 554,537 | 1,041,703 | 355,157 | 1,827,118 | 819,552 | 1,521,144 | 519,831 | ||||||||||||||||||||||||
Equinox Frontier Select Fund | 26,677 | 278,724 | 203,387 | 56,552 | 177,351 | 421,826 | 297,904 | 82,892 | ||||||||||||||||||||||||
Equinox Frontier Winton Fund | 415,629 | 568,021 | 360,945 | 128,644 | 622,124 | 862,495 | 534,989 | 192,618 | ||||||||||||||||||||||||
Equinox Frontier Heritage Fund | 86,999 | 161,975 | 138,600 | 44,378 | 131,123 | 245,785 | 202,143 | 65,398 |
The following table summarizes fees payable to the Managing Owner as of JuneSeptember 30, 2015 and December 31, 2014:
As of June 30, 2015 | ||||||||||||||||||||||||||||||||||||||||
As of September 30, 2015 | ||||||||||||||||||||||||||||||||||||||||
Incentive Fees | Management Fees | Interest Fees | Service Fees | Trading Fees | Incentive Fees | Management Fees | Interest Fees | Service Fees | Trading Fees | |||||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund | $ | 4,000 | $ | 83,476 | $ | 15,798 | $ | 36,650 | $ | 124,327 | $ | 225,279 | $ | 84,533 | $ | 11,525 | $ | 19,817 | $ | 113,967 | ||||||||||||||||||||
Equinox Frontier Masters Fund | 41,071 | 60,312 | 5,738 | 15,452 | 50,813 | — | 55,706 | 5,466 | 14,991 | 46,349 | ||||||||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund | 40,149 | 45,710 | 3,616 | 9,149 | 21,626 | 14,316 | 49,112 | 2,162 | 7,629 | 17,938 | ||||||||||||||||||||||||||||||
Equinox Frontier Balanced Fund | 9,517 | 91,646 | 101,040 | 156,201 | 65,193 | 104,130 | 84,605 | 83,283 | 144,134 | 56,360 | ||||||||||||||||||||||||||||||
Equinox Frontier Select Fund | — | 26,065 | 6,451 | 29,617 | 9,285 | — | 24,625 | 5,312 | 28,912 | 8,436 | ||||||||||||||||||||||||||||||
Equinox Frontier Winton Fund | — | 102,252 | 61,319 | 46,288 | 24,963 | — | 93,487 | 50,749 | 43,684 | 21,718 | ||||||||||||||||||||||||||||||
Equinox Frontier Heritage Fund | — | 23,699 | 13,738 | 19,744 | 8,305 | — | 21,674 | 11,260 | 18,749 | 7,376 | ||||||||||||||||||||||||||||||
As of December 31, 2014 | ||||||||||||||||||||||||||||||||||||||||
Incentive Fees | Management Fees | Interest Fees | Service Fees | Trading Fees | 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 | $ | 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 | 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 | 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 | 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 | 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 | 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 | 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 sixnine months ended JuneSeptember 30, 2015, amounts paid or owed to the Managing Owner for the difference in monthly service fees from prepaid initial service fees were $4,500$6,824 for the Equinox Frontier Balanced Fund, $530$648 for the Equinox Frontier Long/Short Commodity Fund, $1,173$876 for the Equinox Frontier Diversified Fund, $211$361 for the Equinox Frontier Select Fund, $595$990 for the Equinox Frontier Heritage Fund, $7,984$11,602 for the Equinox Frontier Winton Fund and $74$994 for the Equinox Frontier Masters Fund.
For the sixnine months ended JuneSeptember 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)6,816) for the Equinox Frontier Balanced Fund, $21($139) for the Equinox Frontier Long/Short Commodity Fund, ($2,476)2,689) for the Equinox Frontier Diversified Fund, ($160)383) for the Equinox Frontier Select Fund, ($1,171)1,650) for the Equinox Frontier Heritage Fund, ($3,280)9,996) for the Equinox Frontier Winton Fund and $1,264$1,270 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 sixnine months ended JuneSeptember 30, 2015 and 2014:
Three Months Ended
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9/30/2015 | 9/30/2014 | 9/30/2015 | 9/30/2014 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Gross Amount Paid to the Managing Owner | Ratio to Average Net Assets | Ratio to Average Net Assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund Class 1 | $ | 47,478 | $ | 12,432 | 0.27 | % | 0.07 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund Class 2 | 103,124 | 18,915 | 0.30 | % | 0.07 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Diversified Fund Class 3 | 26,905 | 2,219 | 0.34 | % | 0.06 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Masters Fund Class 1 | 30,886 | 8,047 | 0.29 | % | 0.07 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Masters Fund Class 2 | 27,704 | 5,519 | 0.31 | % | 0.07 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Masters Fund Class 3 | 20,012 | 2,000 | 0.38 | % | 0.07 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund Class 2 | 2,708 | 1,002 | 0.22 | % | 0.08 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund Class 3 | 16,758 | 5,647 | 0.22 | % | 0.08 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund Class 1a | 12,113 | 4,527 | 0.22 | % | 0.08 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund Class 2a | 3,611 | 1,346 | 0.23 | % | 0.08 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Long/Short Commodity Fund Class 3a | 2,093 | 408 | 0.27 | % | 0.08 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Balanced Fund | 193,959 | 194,396 | 0.27 | % | 0.31 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Balanced Fund Class 1AP | 2,092 | 1,554 | 0.01 | % | 0.01 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Balanced Fund Class 2 | 67,482 | 62,990 | 0.27 | % | 0.31 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Balanced Fund Class 2a | 1,599 | 309 | 0.28 | % | 0.06 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Balanced Fund Class 3a | 7,310 | 1,302 | 0.27 | % | 0.06 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Select Fund Class 1 | 13,463 | 32,917 | 0.10 | % | 0.26 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Select Fund Class 1AP | 51 | 120 | 0.00 | % | 0.01 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Select Fund Class 2 | 1,476 | 3,642 | 0.10 | % | 0.26 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Winton Fund Class 1 | 106,747 | 97,703 | 0.41 | % | 0.42 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Winton Fund Class 1AP | 163 | 293 | 0.00 | % | 0.00 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Winton Fund Class 2 | 53,775 | 45,639 | 0.41 | % | 0.42 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Heritage Fund Class 1 | 26,544 | 26,825 | 0.27 | % | 0.32 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Heritage Fund Class 1AP | 173 | 177 | 0.01 | % | 0.01 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Equinox Frontier Heritage Fund Class 2 | 8,814 | 8,490 | 0.27 | % | 0.32 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 777,040 | $ | 538,419 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended Equinox Frontier Diversified Fund Class 1 Equinox Frontier Diversified Fund Class 2 Equinox Frontier Diversified Fund Class 3 Equinox Frontier Masters Fund Class 1 Equinox Frontier Masters Fund Class 2 Equinox Frontier Masters Fund Class 3 Equinox Frontier Long/Short Commodity Fund Class 2 Equinox Frontier Long/Short Commodity Fund Class 3 Equinox Frontier Long/Short Commodity Fund Class 1a Equinox Frontier Long/Short Commodity Fund Class 2a Equinox Frontier Long/Short Commodity Fund Class 3a Equinox Frontier Balanced Fund Class 1 Equinox Frontier Balanced Fund Class 1AP Equinox Frontier Balanced Fund Class 2 Equinox Frontier Balanced Fund Class 2a Equinox Frontier Balanced Fund Class 3a Equinox Frontier Select Fund Class 1 Equinox Frontier Select Fund Class 1AP Equinox Frontier Select Fund Class 2 Equinox Frontier Winton Fund Class 1 Equinox Frontier Winton Fund Class 1AP Equinox Frontier Winton Fund Class 2 Equinox Frontier Heritage Fund Class 1 Equinox Frontier Heritage Fund Class 1AP Equinox Frontier Heritage Fund Class 2 Total 9/30/2015 9/30/2014 9/30/2015 9/30/2014 Gross Amount
Paid to the
Managing
Owner Gross Amount
Paid to the
Managing
Owner Ratio to
Average Net
Assets Ratio to
Average Net
Assets $ 34,336 $ 44,722 0.20 % 0.24 % 67,171 60,858 0.20 % 0.21 % 15,095 3,079 0.19 % 0.09 % 21,959 34,021 0.20 % 0.29 % 17,885 19,543 0.20 % 0.24 % 10,832 3,677 0.20 % 0.12 % 2,237 3,858 0.18 % 0.29 % 13,363 17,673 0.18 % 0.24 % 10,050 14,727 0.18 % 0.25 % 2,985 4,891 0.19 % 0.28 % 1,368 995 0.18 % 0.18 % 564,041 674,385 0.78 % 1.06 % 6,719 1,554 0.03 % 0.01 % 213,004 219,618 0.86 % 1.07 % 1,000 959 0.17 % 0.19 % 4,580 4,241 0.17 % 0.20 % 54,786 122,796 0.40 % 0.98 % 200 120 0.00 % 0.00 % 6,178 13,734 0.41 % 0.99 % 348,467 311,680 1.33 % 1.36 % 516 293 0.02 % 0.01 % 157,203 136,562 1.19 % 1.27 % 88,009 94,524 0.89 % 1.13 % 554 177 0.02 % 0.01 % 29,061 27,439 0.89 % 1.03 % $ 1,671,599 $ 1,816,126
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 September 30, 2015 and 2014, respectively. These amounts have no impact on the Series’ financial statements. This contract ended April 30, 2015.
Equinox Financial Group, LLC, an affiliate of the Trust, provides management services for the Managing Owner who paid $955,000 and $850,000, respectively, for the nine months ended September 30, 2015 and 2014, and $225,000 and $285,000 for the three months ended September 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, $623,715 and $849,510, respectively, for the nine months ended September 30, 2015 and 2014 and $0 and $268,448 for the nine months ended September 30, 2015 and 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 nine months ended September 30, 2015 and 2014.
Equinox Frontier Diversified Fund | Equinox Frontier Masters Fund | Equinox Frontier Long/Short Commodity Fund | ||||||||||||||||||||||||||||||||||||||||||
Class 1 | Class 2 | Class 3 | Class 1 | Class 2 | Class 3 | Class 2 | Class 3 | Class 1a | Class 2a | Class 3a | ||||||||||||||||||||||||||||||||||
Per unit operating performance (1) | ||||||||||||||||||||||||||||||||||||||||||||
Net asset value, 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 | ||||||||||||||||||||||
Net operating results: | ||||||||||||||||||||||||||||||||||||||||||||
Interest income | 0.30 | 0.33 | 0.31 | 0.30 | 0.34 | 0.31 | 0.28 | 0.28 | 0.20 | 0.23 | 0.23 | |||||||||||||||||||||||||||||||||
Expenses | (2.46 | ) | (1.89 | ) | (1.75 | ) | (2.16 | ) | (1.69 | ) | (1.57 | ) | (1.97 | ) | (1.97 | ) | (1.96 | ) | (1.58 | ) | (1.59 | ) | ||||||||||||||||||||||
Net gain/(loss) on investments, net of non-controlling interests | 3.61 | 3.75 | 3.53 | 5.16 | 5.57 | 5.25 | (9.94 | ) | (9.94 | ) | (7.11 | ) | (8.01 | ) | (7.98 | ) | ||||||||||||||||||||||||||||
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Net income/(loss) | 1.45 | 2.19 | 2.09 | 3.30 | 4.22 | 3.99 | (11.63 | ) | (11.63 | ) | (8.87 | ) | (9.36 | ) | (9.34 | ) | ||||||||||||||||||||||||||||
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Net asset value, September 30, 2015 | $ | 117.00 | $ | 130.68 | $ | 120.79 | $ | 113.31 | $ | 126.54 | $ | 117.44 | $ | 136.53 | $ | 136.57 | $ | 98.30 | $ | 109.67 | $ | 110.30 | ||||||||||||||||||||||
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Ratios to average net assets (3) | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income/(loss) | -6.06 | % | -3.51 | % | -3.51 | % | -6.45 | % | -4.22 | % | -4.22 | % | -4.40 | % | -4.40 | % | -6.47 | % | -4.40 | % | -4.38 | % | ||||||||||||||||||||||
Expenses before incentive fees (4) | 6.66 | % | 4.11 | % | 4.11 | % | 7.50 | % | 5.28 | % | 5.28 | % | 5.08 | % | 5.08 | % | 7.16 | % | 5.08 | % | 5.06 | % | ||||||||||||||||||||||
Expenses after incentive fees (4) | 7.05 | % | 4.51 | % | 4.51 | % | 7.50 | % | 5.28 | % | 5.28 | % | 5.18 | % | 5.18 | % | 7.25 | % | 5.18 | % | 5.16 | % | ||||||||||||||||||||||
Total return before incentive fees (2) | 1.65 | % | 2.10 | % | 2.16 | % | 3.00 | % | 3.45 | % | 3.52 | % | -7.76 | % | -7.75 | % | -8.18 | % | -7.77 | % | -7.71 | % | ||||||||||||||||||||||
Total return after incentive fees (2) | 1.25 | % | 1.70 | % | 1.76 | % | 3.00 | % | 3.45 | % | 3.52 | % | -7.85 | % | -7.85 | % | -8.28 | % | -7.86 | % | -7.81 | % | ||||||||||||||||||||||
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, June 30, 2015 | $ | 131.82 | $ | 135.49 | $ | 182.24 | $ | 156.36 | $ | 155.85 | $ | 87.31 | $ | 89.74 | $ | 119.09 | ||||||||||||||||||||||||||||
Net operating results: | ||||||||||||||||||||||||||||||||||||||||||||
Interest income | 0.01 | 0.01 | 0.01 | 0.01 | 0.01 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||
Expenses | (1.75 | ) | (0.77 | ) | (1.04 | ) | (0.89 | ) | (0.89 | ) | (1.45 | ) | (0.72 | ) | (0.96 | ) | ||||||||||||||||||||||||||||
Net gain/(loss) on investments, net of non-controlling interests | (0.18 | ) | (0.20 | ) | (0.26 | ) | 0.14 | 0.14 | 7.30 | 7.46 | 9.90 | |||||||||||||||||||||||||||||||||
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Net income/(loss) | (1.92 | ) | (0.96 | ) | (1.29 | ) | (0.74 | ) | (0.74 | ) | 5.85 | 6.74 | 8.94 | |||||||||||||||||||||||||||||||
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Net asset value, September 30, 2015 | $ | 129.90 | $ | 134.53 | $ | 180.95 | $ | 155.62 | $ | 155.11 | $ | 93.16 | $ | 96.48 | $ | 128.03 | ||||||||||||||||||||||||||||
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Ratios to average net assets (3) | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income/(loss) | -4.90 | % | -1.90 | % | -1.90 | % | -1.90 | % | -1.90 | % | -6.24 | % | -3.02 | % | -3.02 | % | ||||||||||||||||||||||||||||
Expenses before incentive fees (4) | 4.82 | % | 1.82 | % | 1.82 | % | 1.82 | % | 1.82 | % | 6.24 | % | 3.02 | % | 3.02 | % | ||||||||||||||||||||||||||||
Expenses after incentive fees (4) | 4.93 | % | 1.93 | % | 1.93 | % | 1.93 | % | 1.93 | % | 6.24 | % | 3.02 | % | 3.02 | % | ||||||||||||||||||||||||||||
Total return before incentive fees (2) | -1.35 | % | -0.60 | % | -0.60 | % | -0.36 | % | -0.36 | % | 6.70 | % | 7.51 | % | 7.51 | % | ||||||||||||||||||||||||||||
Total return after incentive fees (2) | -1.46 | % | -0.71 | % | -0.71 | % | -0.47 | % | -0.47 | % | 6.70 | % | 7.51 | % | 7.51 | % | ||||||||||||||||||||||||||||
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, June 30, 2015 | $ | 165.85 | $ | 170.46 | $ | 216.43 | $ | 126.10 | $ | 129.61 | $ | 173.45 | ||||||||||||||||||||||||||||||||
Net operating results: | ||||||||||||||||||||||||||||||||||||||||||||
Interest income | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | ||||||||||||||||||||||||||||||||||||||
Expenses | (2.92 | ) | (1.70 | ) | (2.16 | ) | (2.40 | ) | (1.10 | ) | (1.48 | ) | ||||||||||||||||||||||||||||||||
Net gain/(loss) on investments, net of non-controlling interests | 6.42 | 6.63 | 8.41 | 5.45 | 5.24 | 7.02 | ||||||||||||||||||||||||||||||||||||||
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Net income/(loss) | 3.50 | 4.93 | 6.25 | 3.05 | 4.14 | 5.54 | ||||||||||||||||||||||||||||||||||||||
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Net asset value, September 30, 2015 | $ | 169.35 | $ | 175.39 | $ | 222.68 | $ | 129.15 | $ | 133.75 | $ | 178.99 | ||||||||||||||||||||||||||||||||
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Ratios to average net assets (3) | ||||||||||||||||||||||||||||||||||||||||||||
Net investment income/(loss) | -6.89 | % | -3.89 | % | -3.89 | % | -7.39 | % | -3.30 | % | -3.30 | % | ||||||||||||||||||||||||||||||||
Expenses before incentive fees (4) | 6.89 | % | 3.89 | % | 3.89 | % | 7.39 | % | 3.30 | % | 3.30 | % | ||||||||||||||||||||||||||||||||
Expenses after incentive fees (4) | 6.89 | % | 3.89 | % | 3.89 | % | 7.39 | % | 3.30 | % | 3.30 | % | ||||||||||||||||||||||||||||||||
Total return before incentive fees (2) | 2.11 | % | 2.89 | % | 2.89 | % | 2.42 | % | 3.19 | % | 3.19 | % | ||||||||||||||||||||||||||||||||
Total return after incentive fees (2) | 2.11 | % | 2.89 | % | 2.89 | % | 2.42 | % | 3.19 | % | 3.19 | % |
(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 |
Per unit operating performance (1) Net asset value, December 31, 2014 Net operating results: Interest income Expenses Net gain/(loss) on investments, net of non-controlling interests Net income/(loss) Net asset value, September 30, 2015 Ratios to average net assets (3) Net investment income/(loss) Expenses before incentive fees (4) Expenses after incentive fees (4) Total return before incentive fees (2) Total return after incentive fees (2) Per unit operating performance (1) Net asset value, December 31, 2014 Net operating results: Interest income Expenses Net gain/(loss) on investments, net of non-controlling interests Net income/(loss) Net asset value, September 30, 2015 Ratios to average net assets (3) Net investment income/(loss) Expenses before incentive fees (4) Expenses after incentive fees (4) Total return before incentive fees (2) Total return after incentive fees (2) Per unit operating performance (1) Net asset value, December 31, 2014 Net operating results: Interest income Expenses Net gain/(loss) on investments, net of non-controlling interests Net income/(loss) Net asset value, September 30, 2015 Ratios to average net assets (3) Net investment income/(loss) Expenses before incentive fees (4) Expenses after incentive fees (4) Total return before incentive fees (2) Total return after incentive fees (2) 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 $ 113.09 $ 124.67 $ 115.03 $ 116.61 $ 128.53 $ 119.06 $ 138.30 $ 138.34 $ 101.12 $ 111.35 $ 111.77 0.96 1.06 0.98 0.97 1.08 0.99 1.08 1.08 0.78 0.87 0.87 (9.83 ) (8.35 ) (7.70 ) (9.43 ) (8.24 ) (7.60 ) (7.88 ) (7.88 ) (7.42 ) (6.34 ) (6.32 ) 12.78 13.30 12.48 5.16 5.17 4.99 5.03 5.03 3.82 3.79 3.98 3.91 6.01 5.76 (3.30 ) (1.99 ) (1.62 ) (1.77 ) (1.77 ) (2.82 ) (1.68 ) (1.47 ) $ 117.00 $ 130.68 $ 120.79 $ 113.31 $ 126.54 $ 117.44 $ 136.53 $ 136.57 $ 98.30 $ 109.67 $ 110.30 -8.63 % -6.13 % -6.13 % -8.69 % -6.48 % -6.48 % -5.44 % -5.44 % -7.52 % -5.44 % -5.41 % 6.54 % 4.04 % 4.04 % 7.46 % 5.25 % 5.25 % 4.64 % 4.64 % 6.73 % 4.64 % 4.53 % 9.68 % 7.18 % 7.18 % 9.78 % 7.56 % 7.56 % 6.40 % 6.40 % 8.48 % 6.40 % 6.37 % 6.59 % 7.95 % 8.14 % -0.51 % 0.77 % 0.96 % 0.47 % 0.47 % -1.04 % 0.24 % 0.52 % 3.46 % 4.82 % 5.01 % -2.83 % -1.55 % -1.36 % -1.28 % -1.28 % -2.79 % -1.51 % -1.32 % Equinox Frontier Balanced Fund Equinox Frontier Select Fund Class 1 Class 1AP Class 2 Class 2a Class 3a Class 1 Class 1AP Class 2 $ 131.54 $ 133.20 $ 179.16 $ 153.02 $ 152.52 $ 95.61 $ 96.82 $ 128.48 0.03 0.03 0.04 0.04 0.04 0.00 0.00 0.00 (7.16 ) (4.14 ) (5.57 ) (4.77 ) (4.76 ) (16.20 ) (12.25 ) (16.28 ) 5.49 5.44 7.32 7.33 7.31 13.75 11.91 15.83 (1.64 ) 1.33 1.79 2.60 2.59 (2.45 ) (0.34 ) (0.45 ) $ 129.90 $ 134.53 $ 180.95 $ 155.62 $ 155.11 $ 93.16 $ 96.48 $ 128.03 -6.34 % -3.34 % -3.34 % -3.34 % -3.34 % -20.64 % -14.84 % -14.84 % 4.79 % 1.78 % 1.78 % 1.78 % 1.78 % 15.90 % 10.10 % 10.10 % 6.37 % 3.37 % 3.37 % 3.37 % 3.37 % 20.64 % 14.84 % 14.84 % 0.34 % 2.58 % 2.58 % 3.28 % 3.28 % 2.17 % 4.38 % 4.38 % -1.25 % 1.00 % 1.00 % 1.70 % 1.70 % -2.56 % -0.35 % -0.35 % Equinox Frontier Winton Fund Equinox Frontier Heritage Fund Class 1 Class 1AP Class 2 Class 1 Class 1AP Class 2 $ 175.95 $ 178.18 $ 226.23 $ 130.28 $ 131.93 $ 176.56 0.00 0.00 0.00 0.00 0.00 0.00 (9.48 ) (6.90 ) (8.77 ) (7.39 ) (4.44 ) (5.95 ) 2.88 4.11 5.22 6.26 6.26 8.38 (6.60 ) (2.79 ) (3.55 ) (1.13 ) 1.82 2.43 $ 169.35 $ 175.39 $ 222.68 $ 129.15 $ 133.75 $ 178.99 -6.53 % -4.47 % -4.47 % -6.95 % -3.95 % -3.95 % 4.71 % 2.65 % 2.65 % 5.95 % 2.94 % 2.94 % 6.53 % 4.47 % 4.47 % 6.95 % 3.95 % 3.95 % -1.94 % 0.25 % 0.25 % 0.14 % 2.39 % 2.38 % -3.75 % -1.57 % -1.57 % -0.87 % 1.38 % 1.38 %
(1) | Interest income and |
(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
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(3) | Annualized with the |