Frontier Funds 10-Q 2021 Q1 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2021

or

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

Commission File Number 000-51274

FRONTIER FUNDS

FRONTIER DIVERSIFIED FUND;  

FRONTIER LONG/SHORT COMMODITY FUND;

FRONTIER MASTERS FUND; 

FRONTIER BALANCED FUND;

FRONTIER SELECT FUND;

FRONTIER GLOBAL FUND;

FRONTIER HERITAGE FUND

(Exact Name of Registrant as specified in Its Charter)

Delaware	36-6815533
(State or Other Jurisdiction of Incorporation or Organization)	(IRS Employer Identification No.)

c/o Frontier Fund Management, LLC

25568 Genesee Trail Road

Golden, Colorado 80401

(Address of Principal Executive Offices)

Registrant’s Telephone Number, Including Area Code: (303) 454-5500

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

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

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

Title of Each Class

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

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

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

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

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

Frontier Global Fund Class 1 and Class 2 Units;

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

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

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

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

Large Accelerated Filer	☐	Accelerated Filer	☐
Non–Accelerated Filer	☒	Smaller Reporting Company	☐
		Emerging Growth Company	☐

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

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

Table of Contents

		Pages
PART I – FINANCIAL INFORMATION
Item 1.	Series Financial Statements	1
	Statements of Financial Condition as of March 31, 2021 (Unaudited) and December 31, 2020	1
	Condensed Schedules of Investments as of March 31, 2021 (Unaudited) and December 31, 2020	4
	Statements of Operations for the three months ended March 31, 2021 and 2020 (Unaudited)	10
	Statements of Changes in Owners’ Capital for the three months ended March 31, 2021 (Unaudited)	13
	Statements of Cash Flows for the three months ended March 31, 2021 and 2020 (Unaudited)	17
	Notes to Financial Statements (Unaudited)	20
	Trust Financial Statements (1)
	Consolidated Statements of Financial Condition as of March 31, 2021 (Unaudited) and December 31, 2020	46
	Consolidated Condensed Schedules of Investments as of March 31, 2021 (Unaudited) and December 31, 2020	47
	Consolidated Statements of Operations for the three months ended March 31, 2021 and 2020 (Unaudited)	50
	Consolidated Statement of Changes in Owners’ Capital for the three months ended March 31, 2021 (Unaudited)	51
	Consolidated Statements of Cash Flows for the three months ended March 31, 2021 and 2020 (Unaudited)	52
	Notes to Consolidated Financial Statements (Unaudited)	53
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	71
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	109
Item 4.	Controls and Procedures	114
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	116
Item 1A.	Risk Factors	116
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	116
Item 3.	Defaults Upon Senior Securities	116
Item 4.	Mine Safety Disclosures	116
Item 5.	Other Information	116
Item 6.	Exhibits	116
SIGNATURES		117

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

i

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 SEVERAL RISKS, UNCERTAINTIES AND OTHER FACTORS, BOTH KNOWN, SUCH AS THOSE DESCRIBED IN THE “RISK FACTORS” SECTION UNDER PART II. ITEM 1A AND ELSEWHERE IN THIS REPORT AND UNKNOWN, THAT COULD CAUSE THE TRUST’S ACTUAL RESULTS, PERFORMANCE, PROSPECTS OR OPPORTUNITIES TO DIFFER MATERIALLY FROM THOSE EXPRESSED IN, OR IMPLIED BY, THESE FORWARD-LOOKING STATEMENTS.

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

UNLESS EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF MARCH 31, 2021, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

ii

Part I. FINANCIAL INFORMATION

Item 1. Series Financial Statements

The Series of Frontier Funds

Statements of Financial Condition

March 31, 2021 (Unaudited) and December 31, 2020

	Frontier				Frontier				Frontier
	Diversified Fund				Masters Fund				Long/Short Commodity Fund
	3/31/2021		12/31/2020		3/31/2021		12/31/2020		3/31/2021		12/31/2020
ASSETS
Cash and cash equivalents	$	73,527	$	87,715	$	42,138	$	4,771	$	48,324	$	93,327
U.S. Treasury securities, at fair value		121,604		427,393		69,690		23,245		79,922		454,738
Investments in private investment companies, at fair value		3,817,118		3,644,603		883,076		1,014,591		1,200,790		738,053
Investments in unconsolidated trading companies, at fair value		23,731		16,669		13,600		907		15,597		17,736
Interest receivable		823		8,534		472		464		541		9,080
Receivable from related parties		-		4,892		-		266		-		5,205
Redemptions receivable from private investment companies		30,863		31,886		23,149		24,837		-		1,251
Total Assets	$	4,067,666	$	4,221,692	$	1,032,125	$	1,069,081	$	1,345,174	$	1,319,390
LIABILITIES & CAPITAL
						��
LIABILITIES
Interest payable to Managing Owner	$	-	$	-	$	-	$	-	$	53	$	87
Redemptions payable		-		-		-		38,128		196		-
Service fees payable to Managing Owner		365		385		74		70		-		18
Trading fees payable to Managing Owner		12,341		12,576		5,235		5,460		3,174		2,281
Subscriptions in advance for service fee rebates		22,650		22,650		31,725		31,725		411		393
Other liabilities		2,590		3,110		1,485		171		1,703		3,308
Total Liabilities	$	37,946	$	38,721	$	38,519	$	75,554	$	5,537	$	6,087
CAPITAL
Managing Owner - Class 2		2,280		2,212		2,826		6,265		4,140		3,939
Managing Owner - Class 2a		-		-		-		-		8,751		8,274
Managing Owner - Class 3		40,437		54,405		7,498		7,167		-		-
Managing Owner - Class 3a		-		-		-		-		1,109		1,048
Limited Owner - Class 1		158,366		154,260		10,139		9,740		-		-
Limited Owner - Class 2		409,718		464,012		261,837		257,673		31,447		30,334
Limited Owner - Class 2a		-		-		-		-		75,906		76,583
Limited Owner - Class 3		3,418,919		3,508,082		711,306		712,682		1,008,041		976,771
Limited Owner - Class 3a		-		-		-		-		210,243		216,354
Total Owners’ Capital		4,029,720		4,182,971		993,606		993,527		1,339,637		1,313,303
Non-Controlling Interests		-		-		-		-		-		-
Total Capital		4,029,720		4,182,971		993,606		993,527		1,339,637		1,313,303
Total Liabilities and Capital	$	4,067,666	$	4,221,692	$	1,032,125	$	1,069,081	$	1,345,174	$	1,319,390
Units Outstanding
Class 1		2,122		2,122		177		177		N/A		N/A
Class 2		4,492		5,241		3,748		3,908		394		399
Class 2a		N/A		N/A		N/A		N/A		1,448		1,535
Class 3		40,241		42,754		10,818		11,333		10,631		10,828
Class 3a		N/A		N/A		N/A		N/A		3,422		3,725
Net Asset Value per Unit
Class 1	$	74.62	$	72.68	$	57.44	$	55.18		N/A		N/A
Class 2	$	91.71	$	88.95	$	70.61	$	67.54	$	90.39	$	85.99
Class 2a		N/A		N/A		N/A		N/A	$	58.49	$	55.29
Class 3	$	85.97	$	83.33	$	66.45	$	63.52	$	94.82	$	90.21
Class 3a		N/A		N/A		N/A		N/A	$	61.77	$	58.37

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

1

The Series of Frontier Funds

Statements of Financial Condition

March 31, 2021 (Unaudited) and December 31, 2020

	Frontier Balanced Fund				Frontier Select Fund
	3/31/2021		12/31/2020		3/31/2021		12/31/2020
ASSETS
Cash and cash equivalents	$	104,891	$	261,803	$	29,713	$	-
U.S. Treasury securities, at fair value		173,475		1,275,641		49,141		-
Open trade equity, at fair value		53,107		100,440		-		-
Receivable from futures commission merchants		741,397		233,973		-		-
Investments in private investment companies, at fair value		10,485,508		10,528,252		1,520,376		1,638,665
Investments in unconsolidated trading companies, at fair value		33,854		49,755		9,590		-
Interest receivable		1,200		25,471		333		-
Receivable from related parties		-		14,602		-		-
Redemptions receivable from private investment companies		40,018		55,473		65,735		67,876
Total Assets	$	11,633,450	$	12,545,410	$	1,674,888	$	1,706,541
LIABILITIES & CAPITAL
LIABILITIES
Interest payable	$	-	$	-	$	-	$	179
Redemptions payable		-		-		16,207		-
Incentive fees payable to Managing Owner		49,840		-		-		-
Management fees payable to Managing Owner		1,629		8,854		-		-
Interest payable to Managing Owner		-		1,376		359		-
Service fees payable to Managing Owner		20,826		21,381		3,803		3,709
Trading fees payable to Managing Owner		38,152		37,894		3,915		3,933
Risk analysis fees payable		10,898		9,513		-		-
Payables to related parties		-		-		-		26,129
Subscriptions in advance for service fee rebates		352,411		346,855		19,904		19,463
Other liabilities		8,210		9,258		1,047		-
Total Liabilities		481,966		435,131		45,235		53,413
CAPITAL
Managing Owner - Class 2		54,455		51,810		17,653		17,210
Managing Owner - Class 2a		71,749		75,416		-		-
Limited Owner - Class 1		8,737,092		9,430,532		1,547,969		1,575,328
Limited Owner - Class 1AP		112,571		108,053		9,897		9,821
Limited Owner - Class 2		1,639,784		1,906,359		54,134		50,769
Limited Owner - Class 2a		32,543		30,961		-		-
Limited Owner - Class 3a		503,290		507,148		-		-
Total Owners’ Capital		11,151,484		12,110,279		1,629,653		1,653,128
Non-Controlling Interests		-		-		-		-
Total Capital		11,151,484		12,110,279		1,629,653		1,653,128
Total Liabilities and Capital	$	11,633,450	$	12,545,410	$	1,674,888	$	1,706,541
Units Outstanding
Class 1		104,778		117,991		24,745		26,906
Class 1AP		1,106		1,116		130		138
Class 2		12,348		15,000		708		722
Class 2a		877		940		N/A		N/A
Class 3a		4,244		4,495		N/A		N/A
Net Asset Value per Unit
Class 1	$	83.39	$	79.93	$	62.56	$	58.55
Class 1AP	$	101.75	$	96.81	$	76.41	$	70.99
Class 2	$	137.21	$	130.54	$	101.40	$	94.20
Class 2a	$	118.98	$	113.20		N/A		N/A
Class 3a	$	118.58	$	112.81		N/A		N/A

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

2

The Series of Frontier Funds

Statements of Financial Condition

March 31, 2021 (Unaudited) and December 31, 2020

	Frontier Global Fund				Frontier Heritage Fund
	3/31/2021		12/31/2020		3/31/2021		12/31/2020
ASSETS
Cash and cash equivalents	$	86,051	$	5,694	$	71,027	$	15,156
U.S. Treasury securities, at fair value		142,316		27,742		117,469		73,847
Investments in private investment companies, at fair value		2,799,957		3,068,656		2,332,983		2,367,462
Investments in unconsolidated trading companies, at fair value		27,774		1,083		22,925		2,880
Interest receivable		963		554		795		1,475
Receivable from related parties		-		319		-		845
Total Assets	$	3,057,061	$	3,104,048	$	2,545,199	$	2,461,665
LIABILITIES & CAPITAL
LIABILITIES
Redemptions payable	$	1,174	$	-	$	704	$	-
Interest payable to Managing Owner		499		326		563		139
Service fees payable to Managing Owner		6,559		6,348		5,169		4,794
Trading fees payable to Managing Owner		12,310		11,849		8,360		7,705
Subscriptions in advance for service fee rebates		155,675		154,671		64,729		63,205
Other liabilities		3,032		205		2,504		540
Total Liabilities		179,249		173,399		82,029		76,383
CAPITAL
Managing Owner - Class 2		30,498		31,366		26,223		24,105
Limited Owner - Class 1		2,683,941		2,741,972		2,229,166		2,169,152
Limited Owner - Class 1AP		-		-		8,085		8,460
Limited Owner - Class 2		163,373		157,311		199,696		183,565
Total Owners’ Capital		2,877,812		2,930,649		2,463,170		2,385,282
Non-Controlling Interests		-		-		-		-
Total Capital		2,877,812		2,930,649		2,463,170		2,385,282
Total Liabilities and Capital	$	3,057,061	$	3,104,048	$	2,545,199	$	2,461,665
Units Outstanding
Class 1		23,477		24,725		21,481		22,572
Class 1AP		-		N/A		64		73
Class 2		1,114		1,126		1,332		1,332
Net Asset Value per Unit
Class 1	$	114.32	$	110.90	$	103.77	$	96.10
Class 1AP		N/A		N/A	$	126.74	$	116.50
Class 2	$	174.01	$	167.56	$	169.62	$	155.92

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

3

The Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2021 (Unaudited)

			Frontier					Frontier					Frontier Long/Short
			Diversified Fund					Masters Fund					Commodity Fund
					% of Total Capital					% of Total Capital					% of Total Capital
Description			Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	1,124,813		27.91	%	$	-		0.00	%	$	-		0.00	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		259,304		6.43	%		-		0.00	%		-		0.00	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		763,095		18.94	%		-		0.00	%		-		0.00	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		836,526		20.76	%		380,085		38.25	%		-		0.00	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		476,246		11.82	%		253,710		25.53	%		456,484		34.08	%
		Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		357,134		8.86	%		249,281		25.09	%		-		0.00	%
		Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC)		-		0.00	%		-		0.00	%		247,924		18.51	%
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		-		0.00	%		-		0.00	%		496,382		37.05	%
		Total Private Investment Companies	$	3,817,118		94.72	%	$	883,076		88.88	%	$	1,200,790		89.64	%
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	23,731		0.59	%	$	13,600		1.37	%	$	15,597		1.16	%
		Total Investment in Unconsolidated Trading Companies	$	23,731		0.59	%	$	13,600		1.37	%	$	15,597		1.16	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value					Fair Value					Fair Value
$	596,500	US Treasury Note 6.875% due 08/15/2025 (Cost $756,828)	$	121,604		3.02	%	$	69,690		7.01	%	$	79,922		5.97	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	96,251				$	55,161				$	63,259
Additional Disclosure on U.S. Treasury Securities			Cost					Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	122,122				$	69,987				$	80,262

(1) See Note 4 to the Financial Statements.

(2) See Note 2 to the Financial Statements.

(3) See Note 5 to the Financial Statements.

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

4

The Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2021 (Unaudited)

			Frontier						Frontier
			Balanced Fund						Select Fund
						% of Total Capital					% of Total Capital
Description			Fair Value			(Net Asset Value)			Fair Value		(Net Asset Value)
LONG FUTURES CONTRACTS*
		Various agriculture futures contracts (Far East)	$	1,068			0.01	%	$	-		0.00	%
		Various agriculture futures contracts (Europe)		2,468			0.02	%		-		0.00	%
		Various agriculture futures contracts (U.S.)		75,491			0.68	%		-		0.00	%
		Various base metals futures contracts (U.S.)		(25,796	)		-0.23	%		-		0.00	%
		Various currency futures contracts (Europe)		(7,381	)		-0.07	%		-		0.00	%
		Various currency futures contracts (Far East)		4,564			0.04	%		-		0.00	%
		Various currency futures contracts (Latin America)		744			0.01	%		-		0.00	%
		Various currency futures contracts (U.S.)		(8,850	)		-0.08	%		-		0.00	%
		Various energy futures contracts (U.S.)		6,740			0.06	%		-		0.00	%
		Various interest rates futures contracts (Europe)		(166,167	)		-1.49	%		-		0.00	%
		Various interest rates futures contracts (Far East)		(1,298	)		-0.01	%		-		0.00	%
		Various interest rates futures contracts (U.S.)		(1,563	)		-0.01	%		-		0.00	%
		Various precious metal futures contracts (U.S.)		21,705			0.19	%		-		0.00	%
		Various soft futures contracts (U.S.)		19,624			0.18	%		-		0.00	%
		Various stock index futures contracts (Africa)		117			0.00	%		-		0.00	%
		Various stock index futures contracts (Europe)		10,124			0.09	%		-		0.00	%
		Various stock index futures contracts (Far East)		3,993			0.04	%		-		0.00	%
		Various stock index futures contracts (Oceanic)		393			0.00	%		-		0.00	%
		Various stock index futures contracts (U.S.)		1,354			0.01	%		-		0.00	%
		Various stock index futures contracts (Canada)		(1,270	)		-0.01	%				0.00	%
		Total Long Futures Contracts	$	(63,940	)		-0.57	%	$	-		0.00	%
SHORT FUTURES CONTRACTS*
		Various agriculture futures contracts (Far East)	$	1,299			0.01	%	$	-		0.00	%
		Various agriculture futures contracts (Europe)		2,952			0.03	%		-		0.00	%
		Various agriculture futures contracts (U.S.)		(49,181	)		-0.44	%		-		0.00	%
		Various base metals futures contracts (U.S.)		(1,547	)		-0.01	%		-		0.00	%
		Various currency futures contracts (Europe)		16,450			0.15	%		-		0.00	%
		Various currency futures contracts (Far East)		(524	)		0.00	%		-		0.00	%
		Various currency futures contracts (Latin America)		4,736			0.04	%		-		0.00	%
		Various currency futures contracts (U.S.)		3,488			0.03	%		-		0.00	%
		Various energy futures contracts (U.S.)		9,860			0.09	%		-		0.00	%
		Various interest rates futures contracts (Europe)		100,326			0.90	%		-		0.00	%
		Various interest rates futures contracts (Far East)		9,758			0.09	%		-		0.00	%
		Various interest rates futures contracts (U.S.)		21,563			0.19	%		-		0.00	%
		Various precious metal futures contracts (U.S.)		5,550			0.05	%		-		0.00	%
		Various soft futures contracts (U.S.)		(2,431	)		-0.02	%		-		0.00	%
		Various stock index futures contracts (Africa)		890			0.01	%		-		0.00	%
		Various stock index futures contracts (Canada)		(414	)		0.00	%		-		0.00	%
		Various stock index futures contracts (Europe)		449			0.00	%		-		0.00	%
		Various stock index futures contracts (Far East)		(1,444	)		-0.01	%		-		0.00	%
		Various stock index futures contracts (U.S.)		(4,733	)		-0.04	%		-		0.00	%
		Total Short Futures Contracts	$	117,047			1.07	%	$	-		0.00	%
		Total Open Trade Equity (Deficit)	$	53,107			0.50	%	$	-		0.00	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	2,182,781			19.57	%	$	-		0.00	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,038,047			9.31	%		-		0.00	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		1,314,523			11.79	%		-		0.00	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,584,459			14.21	%		-		0.00	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		2,829,148			25.37	%		862,314		52.91	%
		Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		1,536,550			13.78	%		658,062		40.38	%
		Total Private Investment Companies	$	10,485,508			94.03	%	$	1,520,376		93.29	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	33,854			0.30	%	$	9,590		0.59	%
		Total Investment in Unconsolidated Trading Companies	$	33,854			0.30	%	$	9,590		0.59	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value						Fair Value
$	596,500	US Treasury Note 6.875% due 08/15/2025 (Cost $756,828)	$	173,475			1.56	%	$	49,141		3.02	%
Additional Disclosure on U.S. Treasury Securities			Face Value						Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	137,308					$	38,896
Additional Disclosure on U.S. Treasury Securities			Cost						Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	174,214					$	49,351

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

(1) See Note 4 to the Financial Statements.

(2) See Note 2 to the Financial Statements.

(3) See Note 5 to the Financial Statements.

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

5

The Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2021 (Unaudited)

			Frontier Global					Frontier
			Fund					Heritage Fund
					% of Total Capital					% of Total Capital
Description			Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	2,799,957		97.29	%	$	1,520,090		61.71	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		-		-			812,892		33.00	%
		Total Private Investment Companies	$	2,799,957		97.29	%	$	2,332,982		94.71	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	27,774		0.97	%	$	22,925		0.93	%
		Total Investment in Unconsolidated Trading Companies	$	27,774		0.97	%	$	22,925		0.93	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value					Fair Value
$	596,500	US Treasury Note 6.875% due 08/15/2025 (Cost $756,828)	$	142,316		4.95	%	$	117,469		4.77	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	112,646				$	92,979
Additional Disclosure on U.S. Treasury Securities			Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	142,923				$	117,970

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

(1) See Note 4 to the Financial Statements.

(2) See Note 2 to the Financial Statements.

(3) See Note 5 to the Financial Statements.

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

6

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2020

			Frontier					Frontier					Frontier
			Diversified Fund					Masters Fund					Long/Short Commodity Fund
					% of Total Capital					% of Total Capital					% of Total Capital
Description			Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	1,066,074		25.49	%	$	-		0.00	%	$	-		0.00	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		414,692		9.91	%		-		0.00	%		-		0.00	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		672,766		16.08	%		-		0.00	%		-		0.00	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		732,066		17.50	%		486,659		48.98	%		-		0.00	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		435,119		10.40	%		258,609		26.03	%		272,294		20.73	%
		Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		323,886		7.74	%		269,323		27.11	%		-		0.00	%
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		-		0.00	%		-		0.00	%		465,759		35.46	%
		Total Private Investment Companies	$	3,644,603		87.12	%	$	1,014,591		102.12	%	$	738,053		56.19	%
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	16,669		0.40	%	$	907		0.09	%	$	17,736		1.35	%
		Total Investment in Unconsolidated Trading Companies	$	16,669		0.40	%	$	907		0.09	%	$	17,736		1.35	%
U.S. TREASURY SECURITIES (2) FACE VALUE			Fair Value					Fair Value					Fair Value
$	1,755,000	US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228)	$	427,393		10.22	%	$	23,245		2.34	%	$	454,738		34.63	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	328,604				$	17,872				$	349,629
Additional Disclosure on U.S. Treasury Securities			Cost					Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	427,509				$	23,251				$	454,862

(1) See Note 4 to the Financial Statements.

(2) See Note 2 to the Financial Statements.

(3) See Note 5 to the Financial Statements.

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

7

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2020

			Frontier						Frontier
			Balanced Fund						Select Fund
						% of Total Capital					% of Total Capital
Description			Fair Value			(Net Asset Value)			Fair Value		(Net Asset Value)
LONG FUTURES CONTRACTS*
		Various agriculture futures contracts (Far East)	$	72,005			0.59	%	$	-		0.00	%
		Various agriculture futures contracts (Europe)		9,803			0.08	%		-		0.00	%
		Various agriculture futures contracts (U.S.)		87,496			0.72	%		-		0.00	%
		Various base metals futures contracts (U.S.)		22,858			0.19	%		-		0.00	%
		Various currency futures contracts (Europe)		10,573			0.09	%		-		0.00	%
		Various currency futures contracts (Latin America)		5,833			0.05	%		-		0.00	%
		Various currency futures contracts (U.S.)		(100	)		0.00	%		-		0.00	%
		Various interest rates futures contracts (Europe)		148,949			1.23	%		-		0.00	%
		Various interest rates futures contracts (Far East)		2,882			0.02	%		-		0.00	%
		Various interest rates futures contracts (U.S.)		2,438			0.02	%		-		0.00	%
		Various precious metal futures contracts (U.S.)		28,625			0.24	%		-		0.00	%
		Various soft futures contracts (U.S.)		52,349			0.43	%		-		0.00	%
		Various stock index futures contracts (Far East)		5,312			0.04	%		-		-
		Total Long Futures Contracts	$	449,023			3.70	%	$	-		0.00	%
SHORT FUTURES CONTRACTS*
		Various agriculture futures contracts (Far East)	$	(30,963	)		-0.26	%	$	-		0.00	%
		Various agriculture futures contracts (Europe)		(10,797	)		-0.09	%		-		0.00	%
		Various agriculture futures contracts (U.S.)		(92,738	)		-0.77	%		-		0.00	%
		Various base metals futures contracts (U.S.)		(10,289	)		-0.08	%		-		0.00	%
		Various currency futures contracts (Europe)		(10,381	)		-0.09	%		-		0.00	%
		Various currency futures contracts (Latin America)		2,512			0.02	%		-		0.00	%
		Various currency futures contracts (U.S.)		2,300			0.02	%		-		0.00	%
		Various interest rates futures contracts (Europe)		(127,832	)		-1.06	%		-		0.00	%
		Various interest rates futures contracts (Far East)		(2,482	)		-0.02	%		-		0.00	%
		Various interest rates futures contracts (U.S.)		3,656			0.03	%		-		0.00	%
		Various precious metal futures contracts (U.S.)		(25,560	)		-0.21	%		-		0.00	%
		Various soft futures contracts (U.S.)		(42,669	)		-0.35	%		-		0.00	%
		Various stock index futures contracts (Far East)		(3,340	)		-0.03	%		-		0.00	%
		Total Short Futures Contracts	$	(348,583	)		-2.89	%	$	-		0.00	%
		Total Open Trade Equity (Deficit)	$	100,440			0.81	%	$	-		0.00	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	2,311,240			19.08	%	$	-		0.00	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,581,941			13.06	%		-		0.00	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		982,020			8.11	%		-		0.00	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,600,611			13.22	%		-		0.00	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		2,612,336			21.57	%		956,968		57.89	%
		Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		1,440,104			11.89	%		681,697		41.24	%
		Total Private Investment Companies	$	10,528,252			86.93	%	$	1,638,665		99.13	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	49,755			0.41	%	$	-		0.00	%
		Total Investment in Unconsolidated Trading Companies	$	49,755			0.41	%	$	-		0.00	%
U.S. TREASURY SECURITIES (2)
FACE VALUE				Fair Value						Fair Value
$	1,755,000	US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228)	$	1,275,641			10.53	%	$	-		0.00	%
Additional Disclosure on U.S. Treasury Securities				Face Value						Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	980,787					$	-
Additional Disclosure on U.S. Treasury Securities			Cost						Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	1,275,989					$	-

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

(1) See Note 4 to the Financial Statements.

(2) See Note 2 to the Financial Statements.

(3) See Note 5 to the Financial Statements.

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

8

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2020 

			Frontier Global					Frontier
			Fund					Heritage Fund
					% of Total Capital					% of Total Capital
Description			Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	3,068,656		104.71	%	$	1,539,331		64.53	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		-		-			828,131		34.72	%
		Total Private Investment Companies	$	3,068,656		104.71	%	$	2,367,462		99.25	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	1,083		0.04	%	$	2,880		0.12	%
		Total Investment in Unconsolidated Trading Companies	$	1,083		0.04	%	$	2,880		0.12	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value					Fair Value
$	1,755,000	US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228)	$	27,742		0.95	%	$	73,847		3.10	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	21,330				$	56,778
Additional Disclosure on U.S. Treasury Securities			Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	27,750				$	73,867

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

(1) See Note 4 to the Financial Statements.

(2) See Note 2 to the Financial Statements.

(3) See Note 5 to the Financial Statements.

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

9

The Series of Frontier Funds

Statements of Operations

For the Three Months Ended March 31, 2021 (Unaudited) and 2020

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	3/31/2021			3/31/2020			3/31/2021			3/31/2020			3/31/2021			3/31/2020
Investment income:
Interest - net	$	1,587		$	34		$	855		$	990		$	1,279	��	$	647
Total Income		1,587			34			855			990			1,279			647
Expenses:
Service Fees - Class 1		1,049			7,707			210			595			54			111
Due Diligence Fees		1,202			3,383			291			656			90			93
Trading Fees		34,937			100,550			14,863			32,399			8,765			9,547
Total Expenses		37,188			111,640			15,364			33,650			8,909			9,751
Investment (loss) - net		(35,601	)		(111,606	)		(14,509	)		(32,660	)		(7,630	)		(9,104	)
Realized and unrealized gain/(loss) on investments:
Net unrealized gain/(loss) on private investment companies		184,708			115,286			34,339			246,694			64,279			(59,841	)
Net realized gain/(loss) on private investment companies		(36,972	)		(149,796	)		12,685			(235,137	)		1,305			(67,371	)
Net unrealized gain/(loss) on swap contracts		-			(2,111,698	)		-			-			-			251,441
Net realized gain/(loss) on U.S. Treasury securities		(1,741	)		(16,266	)		(1,004	)		7,304			(1,950	)		5,194
Net unrealized gain/(loss) on U.S. Treasury securities		(440	)		23,218			(250	)		(1,929	)		(25	)		(1,916	)
Change in fair value of investments in unconsolidated trading companies		10,245			(1,009	)		12,761			(6,482	)		12,123			(4,706	)
Net gain/(loss) on investments		155,800			(2,140,265	)		58,531			10,450			75,732			122,801
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		120,199			(2,251,871	)		44,022			(22,210	)		68,102			113,697
Less: Operations attributable to non-controlling interests		-			-			-			-						-
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	120,199		$	(2,251,871	)	$	44,022		$	(22,210	)	$	68,102		$	113,697
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	1.94		$	(21.95	)	$	2.26		$	(0.95	)		N/A			N/A
Class 1a		N/A			N/A			N/A			N/A			N/A		$	3.49
Class 2	$	2.76		$	(25.98	)	$	3.07		$	(1.00	)	$	4.40		$	7.06
Class 2a		N/A			N/A			N/A			N/A		$	3.20		$	4.42
Class 3	$	2.64		$	(24.22	)	$	2.93		$	(0.89	)	$	4.61		$	7.36
Class 3a		N/A			N/A			N/A			N/A		$	3.40		$	4.71

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

10

The Series of the Frontier Funds

Statements of Operations

For the Three Months Ended March 31, 2021 (Unaudited) and 2020

	Frontier Balanced Fund						Frontier Select Fund
	3/31/2021			3/31/2020			3/31/2021			3/31/2020
Investment income:
Interest - net	$	-		$	6,311		$	-		$	-
Total Income/(loss)		-			6,311			-			-
Expenses:
Incentive Fees (rebate)		49,840			-			-			-
Management Fees		4,619			5,020			-			-
Service Fees - Class 1		67,267			125,308			11,438			20,160
Risk analysis Fees		1,386			1,506			-			-
Trading Fees		114,439			198,985			11,355			16,955
Other Fees		-			-			-			-
Total Expenses		237,551			330,819			22,793			37,115
Investment (loss) - net		(237,551	)		(324,508	)		(22,793	)		(37,115	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		371,559			642,235			-			-
Net unrealized gain/(loss) on private investment companies		388,609			(93,693	)		10,019			(22,952	)
Net realized gain/(loss) on private investment companies		48,862			(93,600	)		114,434			7,923
Net change in open trade equity/(deficit)		(47,335	)		(25,719	)		-			-
Net unrealized gain/(loss) on swap contracts		-			(5,837,508	)		-			-
Net realized gain/(loss) on U.S. Treasury securities		(621	)		20,156			(1,017	)		5,292
Net unrealized gain/(loss) on U.S. Treasury securities		(252	)		1,596			(190	)		(2,216	)
Trading commissions		(6,017	)		(8,375	)		-			-
Change in fair value of investments in unconsolidated trading companies		(14,281	)		(23,301	)		8,540			93,757
Net gain/(loss) on investments		740,524			(5,418,209	)		131,786			81,804
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		502,973			(5,742,717	)		108,993			44,689
Less: Operations attributable to non-controlling interests		-			-			-			-
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	502,973		$	(5,742,717	)	$	108,993		$	44,689
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	3.46		$	(31.21	)	$	4.01		$	0.92
Class 1AP	$	4.94		$	(35.94	)	$	5.42		$	1.49
Class 2	$	6.67		$	(48.45	)	$	7.20		$	2.21
Class 2a	$	5.78		$	(41.97	)		N/A			N/A
Class 3a	$	5.77		$	(41.84	)		N/A			N/A

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

11

The Series of the Frontier Funds

Statements of Operations

For the Three Months Ended March 31, 2021 (Unaudited) and 2020

	Frontier Global Fund						Frontier Heritage Fund
	3/31/2021			3/31/2020			3/31/2021			3/31/2020
Investment income:
Interest - net	$	-		$	-		$	-		$	-
Total Income		-			-			-			-
Expenses:
Service Fees - Class 1		19,938			30,441			16,157			18,013
Trading Fees		35,130			55,555			23,676			29,905
Total Expenses		55,068			85,996			39,833			47,918
Investment (loss) - net		(55,068	)		(85,996	)		(39,833	)		(47,918	)
Realized and unrealized gain/(loss) on investments:
Net unrealized gain/(loss) on private investment companies		47,148			249,122			183,803			416,114
Net realized gain/(loss) on private investment companies		82,686			309,658			32,372			4,371
Net unrealized gain/(loss) on swap contracts		-			-			-			206,847
Net realized gain/(loss) on U.S. Treasury securities		(1,735	)		11,493			(1,201	)		6,794
Net unrealized gain/(loss) on U.S. Treasury securities		(526	)		(5,491	)		(484	)		(951	)
Change in fair value of investments in unconsolidated trading companies		16,133			(5,077	)		12,628			(6,103	)
Net gain/(loss) on investments		143,706			559,705			227,118			627,072
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		88,638			473,709			187,285			579,154
Less: Operations attributable to non-controlling interests		-			-			-			100,287
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	88,638		$	473,709		$	187,285		$	478,867
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	3.42		$	14.46		$	7.67		$	16.67
Class 1AP		N/A		$	18.66		$	10.24		$	21.22
Class 2	$	6.45		$	22.82		$	13.70		$	27.58

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

12

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2021 (Unaudited)

	Frontier Diversified Fund																		Frontier Masters Fund
	Class 1		Class 2		Class 2			Class 3			Class 3			Non-					Class 1		Class 2			Class 2			Class 3		Class 3			Non-
	Limited Owners		Managing Owner		Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total			Limited Owners		Managing Owner			Limited Owners			Managing Owner		Limited Owners			Controlling Interests		Total
Owners’ Capital, December 31, 2020	$	154,260	$	2,212	$	464,012		$	54,405		$	3,508,082		$	-	$	4,182,971		$	9,740	$	6,265		$	257,673		$	7,167	$	712,682		$	-	$	993,527
Sale of Units		-		-		-			-			-			-		-			-		-			-			-		-			-		-
Redemption of Units		-		-		(65,868	)		(15,000	)		(192,582	)		-		(273,450	)		-		(3,500	)		(7,344	)		-		(33,099	)		-		(43,943	)
Transfer of Units In(Out)		-		-		-			-			-			-		-			-		-			-			-		-			-		-
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		4,106		68		11,574			1,032			103,419			-		120,199			399		61			11,508			331		31,723			-		44,022
Owners’ Capital, March 31, 2021	$	158,366	$	2,280	$	409,718		$	40,437		$	3,418,919		$	-	$	4,029,720		$	10,139	$	2,826		$	261,837		$	7,498	$	711,306			-	$	993,606
Owners’ Capital - Units, December 31, 2020		2,122		25		5,216			654			42,100								177		93			3,815			113		11,220
Sale of Units (including transfers)		-		-		-			-			-								-		-			-			-		-
Redemption of Units (including transfers)		-				(749	)		(183	)		(2,330	)									(53	)		(107	)		-		(515	)
Owners’ Capital - Units, March 31, 2021		2,122		25		4,467			471			39,770								177		40			3,708			113		10,705
Net asset value per unit at December 31, 2020	$	72.68			$	88.95					$	83.33							$	55.18				$	67.54				$	63.52
Change in net asset value per unit for the three months ended March 31, 2021		1.94				2.76						2.64								2.26					3.07				$	2.93
Net asset value per unit at March 31, 2021	$	74.62			$	91.71					$	85.97							$	57.44				$	70.61				$	66.45

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

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

13

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2021 (Unaudited)

	Frontier Long/Short Commodity Fund
	Class 2					Class 3			Class 2a					Class 3a					Non-
	Managing Owner		Limited Owners			Limited Owners			Managing Owner		Limited Owners			Managing Owner		Limited Owners			Controlling Interests		Total
Owners’ Capital, December 31, 2020	$	3,939	$	30,334		$	976,771		$	8,274	$	76,583		$	1,048	$	216,354		$	-	$	1,313,303
Sale of Units		-		-			-			-		-			-		-			-		-
Redemption of Units		-		(423	)		(18,296	)		-		(4,963	)		-		(18,086	)		-		(41,768	)
Transfer of Units In(Out)		-		-			-			-		-			-		-			-		-
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		201		1,536			49,566			477		4,286			61		11,975			-		68,102
Owners’ Capital, March 31, 2021	$	4,140	$	31,447		$	1,008,041		$	8,751	$	75,906		$	1,109	$	210,243		$	-	$	1,339,637
Owners’ Capital - Units, December 31, 2020		46		353			10,828			149		1,386			18		3,707
Sale of Units (including transfers)		-		-			-			-		-			-		-
Redemption of Units (including transfers)		-		(5	)		(197	)		-		(87	)		-		(303	)
Owners’ Capital - Units, March 31, 2021		46		348			10,631			149		1,299			18		3,404
Net asset value per unit at December 31, 2020			$	85.99		$	90.21				$	55.29				$	58.37
Change in net for the three months ended March 31, 2021				4.40			4.61					3.20					3.40
Net asset value per unit at March 31, 2021			$	90.39		$	94.82				$	58.49		��		$	61.77

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

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

14

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2021 (Unaudited)

	Frontier Balanced Fund
	Class 1			Class 1AP			Class 2					Class 2a					Class 3a			Non-
	Limited Owners			Limited Owners			Managing Owner		Limited Owners			Managing Owner			Limited Owners		Limited Owners			Controlling Interests		Total
Owners’ Capital, December 31, 2020	$	9,430,532		$	108,053		$	51,810	$	1,906,359		$	75,416		$	30,961	$	507,148		$	-	$	12,110,279
Sale of Units		-			-			-		-			-			-		-			-		-
Redemption of Units		(1,073,816	)		(966	)		-		(351,644	)		(7,000	)		-		(28,342	)		-		(1,461,768	)
Transfer of Units In (Out)		-			-			-		-			-			-		-			-		-
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		380,376			5,484			2,645		85,069			3,333			1,582		24,484			-		502,973
Owners’ Capital, March 31, 2021	$	8,737,092		$	112,571		$	54,455	$	1,639,784		$	71,749		$	32,543	$	503,290		$	-	$	11,151,484
Owners’ Capital - Units, December 31, 2020		117,991			1,116			397		14,603			666			274		4,495
Sale of Units (including transfers)		-			-			-		-			-			-		-
Redemption of Units (including transfers)		(13,213	)		(10	)		-		(2,652	)		(63	)		-		(251	)
Owners’ Capital - Units, March 31, 2021		104,778			1,106			397		11,951			603			274		4,244
Net asset value per unit at December 31, 2020	$	79.93		$	96.81				$	130.54					$	113.20	$	112.81
Change in net asset value for the three months ended March 31, 2021		3.46			4.94					6.67						5.78		5.77
Net asset value per unit at March 31, 2021	$	83.39		$	101.75				$	137.21					$	118.98	$	118.58

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

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

15

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2021 (Unaudited)

	Frontier Select Fund																	Frontier Global Fund													Frontier Heritage Fund
	Class 1			Class 1AP			Class 2						Non-					Class 1			Class 2					Non-					Class 1			Class 1AP			Class 2				Non-
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total			Limited Owners			Managing Owner			Limited Owners		Controlling Interests		Total			Limited Owners			Limited Owners			Managing Owner		Limited Owners		Controlling Interests		Total
Owners’ Capital, December 31, 2020	$	1,575,328		$	9,821		$	17,210		$	50,769		$	-	$	1,653,128		$	2,741,972		$	31,366		$	157,311	$	-	$	2,930,649		$	2,169,152		$	8,460		$	24,105	$	183,565	$	-	$	2,385,282
Sale of Units		-			-			-			-			-		-			-			-			-		-		-			-			-			-		-		-		-
Redemption of Units		(130,530	)		(656	)		(800	)		(482	)		-		(132,468	)		(139,475	)		(2,000	)		-		-		(141,475	)		(108,298	)		(1,099	)		-		-		-		(109,397	)
Transfer of Units In(Out)		-			-			-						-		-			-			-			-		-		-			-			-			-		-		-		-
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		103,171			732			1,243			3,847			-		108,993			81,444			1,132			6,062		-		88,638			168,312			724			2,118		16,131		-		187,285
Owners’ Capital, March 31, 2021	$	1,547,969		$	9,897		$	17,653		$	54,134		$	-	$	1,629,653		$	2,683,941		$	30,498		$	163,373	$	-	$	2,877,812		$	2,229,166		$	8,085		$	26,223	$	199,696	$	-	$	2,463,170
Owners’ Capital - Units, December 31, 2020		26,906			138			183			539								24,725			187			939							22,572			73			155		1,177
Sale of Units (including transfers)		-			-			-			-								-			-			-							-			-			-		-
Redemption of Units (including transfers)		(2,161	)		(8	)		(9	)		(5	)							(1,248	)		(12	)		-							(1,091	)		(9	)		-		-
Owners’ Capital - Units, March 31, 2021		24,745			130			174			534								23,477			175			939							21,481			64			155		1,177
Net asset value per unit at December 31, 2020	$	58.55		$	70.99					$	94.20							$	110.90					$	167.56						$	96.10		$	116.50				$	155.92
Change in net asset value per for the three months ended March 31, 2021		4.01			5.42						7.20								3.42						6.45							7.67			10.24					13.70
Net asset value per unit at March 31, 2021	$	62.56		$	76.41					$	101.40							$	114.32					$	174.01						$	103.77		$	126.74				$	169.62

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

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

16

The Series of Frontier Funds

Statements of Cash Flows

For the Three Months Ended March 31, 2021 and March 31, 2020 (Unaudited)

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	3/31/2021			3/31/2020			3/31/2021			3/31/2020			3/31/2021			3/31/2020
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	120,199		$	(2,251,871	)	$	44,022		$	(22,210	)	$	68,102		$	113,697
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in ownership allocation of U.S. Treasury securities		110,091			464,949			(114,658	)		(124,907	)		(37,595	)		(139,395	)
Net unrealized (gain)/loss on swap contracts		-			2,111,698			-			-			-			(251,441	)
Net unrealized (gain)/loss on U.S. Treasury securities		440			(23,218	)		250			1,929			25			1,916
Net realized (gain)/loss on U.S. Treasuries securities		1,741			16,266			1,004			(7,304	)		1,950			(5,194	)
Net unrealized (gain)/loss on private investment companies		(184,708	)		(115,286	)		(34,339	)		(246,694	)		(64,279	)		59,841
Net realized (gain)/loss on private investment companies		36,972			149,796			(12,685	)		(235,137	)		(1,305	)		67,371
(Purchases) sales of:
Sales of U.S. Treasury securities		311,471			171,210			139,801			468,240			480,065			404,529
(Purchases) of U.S. Treasury securities		(119,541	)		(550,460	)		(73,698	)		(309,637	)		(70,909	)		(213,319	)
U.S. Treasury interest and premium paid/amortized		1,587			-			855			990			1,279			647
(Purchases) of Private Investment Companies		(731,683	)		(387,849	)		(82,850	)		333,863			(556,236	)		(36,300	)
Reduction of collateral in Swap contracts		-			(469,147	)		-			-			-			-
Sale of Private Investment Companies		706,904			2,546,860			261,389			410,024			159,083			96,524
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		(7,062	)		13,738			(12,693	)		2,978			2,139			8,976
Interest receivable		7,711			1,829			(8	)		771			8,539			1,172
Receivable from related parties		4,892			-			266			-			5,205			-
Other assets		-			(463	)		-			-			-			-
Redemptions receivable from private investment companies		1,023			-			1,688			-			1,251			-
Interest payable to Managing Owner		-			-			-			-			(34	)		-
Trading fees payable to Managing Owner		(235	)		(8,152	)		(225	)		(2,332	)		893			(421	)
Service fees payable to Managing Owner		(20	)		(1,531	)		4			(5	)		(18	)		-
Subscriptions in advance for service fee rebates		-			98			-			184			18			76
Other liabilities		(520	)		-			1,314			(14	)		(1,605	)		(321	)
Net cash provided by (used in) operating activities		259,262			1,668,467			119,437			270,739			(3,432	)		108,358
Cash Flows from Financing Activities:
Payment for redemption of units		(273,449	)		(1,495,298	)		(43,942	)		(119,501	)		(41,767	)		(9,670	)
Change in owner redemptions payable		-			-			(38,128	)		-			196			(6,585	)
Net cash provided by (used in) financing activities		(273,449	)		(1,495,298	)		(82,070	)		(119,501	)		(41,571	)		(16,255	)
Net increase (decrease) in cash and cash equivalents		(14,188	)		173,169			37,367			151,238			(45,003	)		92,103
Cash and cash equivalents, beginning of period		87,715			56,263			4,771			25,639			93,327			34,272
Cash and cash equivalents, end of period	$	73,527		$	229,432		$	42,138		$	176,877		$	48,324		$	126,375

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

17

The Series of Frontier Funds

Statements of Cash Flows

For the Three Months Ended March 31, 2021 and March 31, 2020 (Unaudited)

	Frontier Balanced Fund						Frontier Select Fund
	3/31/2021			3/31/2020			3/31/2021			3/31/2020
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	502,973		$	(5,742,717	)	$	108,993		$	44,689
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		47,333			114,076			-			-
Net change in ownership allocation of U.S. Treasury securities		553,920			(125,149	)		(130,085	)		(103,949	)
Net unrealized (gain)/loss on swap contracts		-			5,837,508			-			-
Net unrealized (gain)/loss on U.S. Treasury securities		252			(1,596	)		190			2,216
Net realized (gain)/loss on U.S. Treasury securities		621			(20,156	)		1,017			(5,292	)
Net unrealized (gain)/loss on private investment companies		(388,609	)		93,693			(10,019	)		22,952
Net realized (gain)/loss on private investment companies		(48,862	)		93,600			(114,434	)		(7,923	)
(Purchases) sales of:
Sales of U.S. Treasury securities		698,194			1,199,775			160,121			501,211
(Purchases) of U.S. Treasury securities		(150,822	)		(959,751	)		(80,385	)		(298,083	)
U.S. Treasury interest and premium paid/amortized		-			6,311			-			-
(Purchases) of Private Investment Companies		(1,695,539	)		(937,631	)		(142,915	)		(115,441	)
Sale of Private Investment Companies		2,175,754			2,403,311			385,657			290,105
Increase and/or decrease in:
Receivable from futures commission merchants		(507,424	)		2,380,910			-			-
Control of ownership of trading companies		-			(1,178,697	)		-			-
Investments in unconsolidated trading companies, at fair value		15,901			(4,227	)		(9,590	)		(80,195	)
Interest receivable		24,271			3,223			(333	)		2,149
Receivable from related parties		14,602			-			-			-
Other assets		-			(1,100,000	)		-			-
Redemptions receivable from private investment companies		15,455			-			2,141			-
Incentive fees payable to Managing Owner		49,840			-			-			-
Management fees payable to Managing Owner		(7,225	)		320			-			-
Interest payable to Managing Owner		(1,376	)		939			180			132
Trading fees payable to Managing Owner		258			(11,898	)		(18	)		(856	)
Service fees payable to Managing Owner		(555	)		(9,006	)		94			(562	)
Risk analysis fees payable		1,385			1,506			-			-
Payables to related parties		-			-			(26,129	)		-
Subscriptions in advance for service fee rebates		5,556			9,481			441			882
Other liabilities		(1,048	)		1,031			1,047			(819	)
Net cash provided by (used in) operating activities		1,304,855			2,054,856			145,973			251,216
Cash Flows from Financing Activities:
Proceeds from sale of units		-			-			-			-
Payment for redemption of units		(1,461,767	)		(920,299	)		(132,467	)		(168,184	)
Payment made by the Managing Owner		-			-			-			-
Pending owner additions		-			-			-			-
Advance on unrealized Swap Appreciation		-			-			-			-
Change in owner redemptions payable		-			(39,059	)		16,207			(6,875	)
Net cash provided by (used in) financing activities		(1,461,767	)		(959,358	)		(116,260	)		(175,059	)
Net increase (decrease) in cash and cash equivalents		(156,912	)		1,095,498			29,713			76,157
Cash and cash equivalents, beginning of period		261,803			118,506			-			61,345
Cash and cash equivalents, end of period	$	104,891		$	1,214,004		$	29,713		$	137,502

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

18

The Series of Frontier Funds

Statements of Cash Flows

For the Three Months Ended March 31, 2021 and March 31, 2020 (Unaudited)

	Frontier Global Fund						Frontier Heritage Fund
	3/31/2021			3/31/2020			3/31/2021			3/31/2020
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	88,638		$	473,709		$	187,285		$	579,154
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in ownership allocation of U.S. Treasury securities		(296,241	)		(279,777	)		(93,697	)		(39,622	)
Net unrealized (gain)/loss on swap contracts		-			-			-			(83,006	)
Net unrealized (gain)/loss on U.S. Treasury securities		526			5,491			484			6,631
Net realized (gain)/loss on U.S. Treasuries securities		1,735			(11,493	)		1,201			(10,916	)
Net unrealized (gain)/loss on private investment companies		(47,148	)		(249,122	)		(183,803	)		(741,499	)
Net realized (gain)/loss on private investment companies		(82,686	)		(309,658	)		(32,372	)		125,925
(Purchases) sale of:
Sales of U.S. Treasury Securities		309,139			647,979			152,163			1,980,729
(Purchases) of U.S. Treasury securities		(129,732	)		(336,006	)		(103,772	)		(1,446,573	)
U.S. Treasury interest and premium paid/amortized		-			-			-			(6	)
(Purchases) of Private Investment Companies		(273,856	)		(120,247	)		(213,319	)		(750,704	)
Sale of Private Investment Companies		672,389			1,305,756			463,973			1,293,592
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		(26,691	)		563			(20,045	)		687,202
Interest receivable		(409	)		778			680			5,634
Receivable from related parties		319			-			845			-
Management fees payable to Managing Owner		-			-			-			(9,201	)
Interest payable to Managing Owner		173			788			424			(764	)
Trading fees payable to Managing Owner		461			(5,030	)		655			2,200
Service fees payable to Managing Owner		211			(1,476	)		375			(350	)
Payables to related parties		-			-			-			697
Subscriptions in advance for service fee rebates		1,004			1,502			1,524			9,185
Other liabilities		2,827			140			1,964			2,165
Net cash provided by (used in) operating activities		220,659			1,123,897			164,565			1,610,473
Cash Flows from Financing Activities:
Payment for redemption of units		(141,476	)		(832,035	)		(109,398	)		(1,003,869	)
Change in owner redemptions payable		1,174			(71,379	)		704			7,210
Net cash provided by (used in) financing activities		(140,302	)		(903,414	)		(108,694	)		(996,659	)
Net increase (decrease) in cash and cash equivalents		80,357			220,483			55,871			613,814
Cash and cash equivalents, beginning of period		5,694			27,532			15,156			135,096
Cash and cash equivalents, end of period	$	86,051		$	248,015		$	71,027		$	748,910

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

19

Notes to Financial Statements

1. Organization and Purpose

Frontier Funds, which is referred to in this report as the “Trust”, was formed on August 8, 2003, as a Delaware statutory trust. Please refer to the consolidated financial statements of the Trust included within this periodic report. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission (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 Frontier Fund Management LLC (the “Managing Owner”).

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

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

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, and Frontier Heritage Fund, (each a “Series” and collectively, the “Series”). The Trust, with respect to the Series, may issue additional Series of Units.

The Trust, with respect to each Series:

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

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

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

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

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

20

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

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

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

As of March 31, 2021, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund (formerly Frontier Winton Fund) and Frontier Heritage Fund separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes—Class 1A, Class 2A, Class 2, Class 3A and Class 3. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus, their assets are split between investments in Trading Companies and investments in the pooled cash management account.

21

Each of the Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.

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

2. Significant Accounting Policies

The following are the significant accounting policies of the Series of the Trust.

Basis of Presentation—The Series of the Trust follow U.S. Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows. The Trust is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) 946. 

Consolidation—The Series, through investing in the Trading Companies and Galaxy Plus, authorize certain Trading Advisors to place trades and manage assets at predetermined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses and a risk analysis fee (for closed Series only), all of which is allocated to the Series if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Trading Companies in which a Series has a controlling and majority interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling and majority interest and all interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company or Galaxy Plus entity. The equity interest held by Series of the Trust is shown as investments in unconsolidated Trading Companies or investments in private investment companies in the statements of financial condition. The income or loss attributable thereto in proportion of investment level is shown in the statements of operations as change in fair value of investments in unconsolidated Trading Companies or net unrealized gain/(loss) on private investment companies.

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

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

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

22

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

Interest Income—U.S. Treasury Securities are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Aggregate interest income from all sources, including U.S. Treasuries and assets held at a futures commission merchant (“FCM”), of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Frontier Balanced Fund (Class 1, and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series and shown net on the statement of operations. The amount reflected in the financial statements of the Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those Series may be zero. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.

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

Receivable From Futures Commission Merchants—The Series of the Trust deposit assets with an FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, with respect to the Series, earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of March 31, 2021 and December 31, 2020 included restricted cash for margin requirements of $308,895 and $321,638 respectively, for the Frontier Balanced Fund.

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

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

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

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

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

23

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

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

Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740 Income 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 2017 through 2020 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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

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

24

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

Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2018, 2019 and 2020 the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2021 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,650, $411, $31,725, $352,411, $19,904, $155,675, and $64,729 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of March 31, 2021.

These service fees are part of the offering costs of the Trust, with respect to the Series, which include registration and filing fees, legal and blue sky expenses, accounting and audit, printing, marketing support and other offering costs which are borne by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.

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

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

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

Subsequent Events—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. Refer to Note 11.

25

3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

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

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

Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. Swap contracts are reported at fair value using Level 3 inputs.

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

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

26

The following table summarizes investment in each Series measured at fair value on a recurring basis as of March 31, 2021 and December 31, 2020 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value.

March 31, 2021	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value
Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	23,731	$	-	$	-	$	23,731
U.S. Treasury Securities		121,604		-		-		121,604
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		13,600		-		-		13,600
U.S. Treasury Securities		69,690		-		-		69,690
Frontier Long/Short Commodity Fund
Investment in Unconsolidated Trading Companies		15,597		-		-		15,597
U.S. Treasury Securities		79,922		-		-		79,922
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		33,854		-		-		33,854
Open Trade Equity (Deficit)		53,107		-		-		53,107
U.S. Treasury Securities		173,475		-		-		173,475
Frontier Select Fund				-
Investment in Unconsolidated Trading Companies		9,590		-		-		9,590
U.S. Treasury Securities		49,141		-		-		49,141
Frontier Global Fund				-
Investment in Unconsolidated Trading Companies		27,774		-		-		27,774
U.S. Treasury Securities		142,316		-		-		142,316
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		22,925		-		-		22,925
U.S. Treasury Securities		117,469		-		-		117,469

December 31, 2020	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value
Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	16,669	$	-	$	-	$	16,669
U.S. Treasury Securities		427,393		-		-		427,393
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		907		-		-		907
U.S. Treasury Securities		23,245		-		-		23,245
Frontier Long/Short Commodity Fund
Investment in Unconsolidated Trading Companies		17,736		-		-		17,736
U.S. Treasury Securities		454,738		-		-		454,738
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		49,755		-		-		49,755
Open Trade Equity (Deficit)		100,440		-		-		100,440
U.S. Treasury Securities		1,275,641		-		-		1,275,641
Frontier Global Fund
Investment in Unconsolidated Trading Companies		1,083		-		-		1,083
U.S. Treasury Securities		27,742		-		-		27,742
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		2,880		-		-		2,880
U.S. Treasury Securities		73,847		-		-		73,847

27

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

For the Year Ended December 31, 2020

Swaps 

	Frontier Balanced Fund			Frontier Long/Short Commodity Fund
Balance of recurring Level 3 assets as of January 1, 2020	$	11,944,753		$	362,521
Total gains or losses (realized/unrealized):
Included in earnings-realized		(2,448,166	)		188,100
Included in earnings-unrealized		(3,088,917	)		44,277
Proceeds from collateral reduction		(6,176,555	)		(115,000	)
Sale of investments		(7,586,366	)		(594,898	)
Purchase of investments		7,355,251			115,000
Change in ownership allocation		-			-
Transfers in and/or out of Level 3		-			-
Balance of recurring Level 3 assets as of December 31, 2020	$	-		$	-
		Frontier Diversified Fund			Frontier Heritage Fund
Balance of recurring Level 3 assets as of January 1, 2020	$	6,384,583		$	2,888,009
Total gains or losses (realized/unrealized):
Included in earnings-realized		(446,306	)		(97,745	)
Included in earnings-unrealized		(1,537,399	)		197,829
Proceeds from collateral reduction		(4,000,000	)		(2,474,937	)
Sale of investments		(4,870,025	)		(1,491,965	)
Purchase of investments		4,469,147			978,809
Change in ownership allocation		-			-
Transfers in and/or out of Level 3		-			-
Balance of recurring Level 3 assets as of December 31, 2020	$	-		$	-

Investments in Unconsolidated Trading Companies

	Frontier Select Fund
Balance of recurring Level 3 assets as of  January 1, 2020	$	479,024
Change in fair value of investments in unconsolidated trading companies		95,915
Proceeds from sales of investments of unconsolidated trading companies		(574,939	)
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, 2020	$	-

28

The Series of the Trust assess the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Series’ accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the three months ended March 31, 2021, the Trust did not transfer any assets between Levels 1, 2 or 3.

The amounts reflected in the change in ownership allocation result from changes in ownership in the underlying Trading Companies at the Series level, which have resulted in changes in consolidation or de-consolidation by the Series. The ownership in the Trading Companies is accounted for under the equity method, which approximates fair value. The Frontier Heritage Fund and the Frontier Select Fund jointly own the Frontier Brevan Howard swap. The Frontier Heritage Fund owns the majority interest in the Frontier Brevan Howard swap. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020.

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

	Frontier Diversified Fund			Frontier Long/Short Commodity Fund		Frontier Balanced Fund			Frontier Heritage Fund
Swap Contracts	$	(1,537,399	)	$	44,277	$	(3,088,917	)	$	197,829

	Frontier Select Fund
Investments in Unconsolidated Trading Companies	$	(91,989	)

4. Swap Contracts

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As December 31, 2020, approximately 0.00%, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as collateral within the swap fair value within the Statements of Financial Condition. The cash held with the counterparty is not restricted.

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

To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020.

29

The Series have invested in the following swaps as of and for the year ended December 31, 2020:

	Frontier Balanced Fund			Frontier Diversified Fund			Frontier Long/Short Commodity Fund		Frontier Heritage Fund
	Total Return Swap			Total Return Swap			Total Return Swap		Total Return Swap
Counterparty	Deutsche Bank AG			Deutsche Bank AG			Deutsche Bank AG		Deutsche Bank AG
Realized Gain/(Loss)	$	(2,448,166	)	$	(446,306	)	$	188,100	$	(97,745	)
Change in Unrealized Gain/(Loss)	$	(3,088,917	)	$	(1,537,399	)	$	44,277	$	197,829
Fair Value as of December 31, 2020	$	0		$	0		$	0	$	0
Advance on swap appreciation	$	0		$	0		$	0	$	0

5. Investments in Unconsolidated Trading Companies and Private Investment Companies

Investments in unconsolidated Trading Companies and private investment companies represent cash and open trade equity invested in the Trading Companies and private investment companies and cumulative trading profits or losses allocated to each Series by the Trading Companies and private investment companies. Trading Companies and private investment companies allocate trading profits or losses on the basis of the proportion of each Series’ capital allocated for trading to each respective Trading Company, which bears no relationship to the amount of cash invested by a Series in the Trading Company and private investment companies. The Trading Companies are valued using the equity method of accounting, which approximates fair value. Investments in private investment companies are valued using the NAV provided by the underlying private investment.

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

The following table summarizes each of the Series’ investments in unconsolidated Trading Companies as of March 31, 2021 and December 31, 2020:

	As of March 31, 2021					As of December 31, 2020
	Percentage of					Percentage of
	Series Total					Series Total
	Capital Invested in					Capital Invested in
Series	Unconsolidated Trading Companies			Fair Value		Unconsolidated Trading Companies			Fair Value
Frontier Diversified Series —
Frontier Trading Company XXXVIII		0.59	%	$	23,731		0.40	%	$	16,669
Frontier Masters Fund ---
Frontier Trading Company XXXVIII		1.37	%	$	13,600		0.09	%	$	907
Frontier Long/Short Commodity Fund ---
Frontier Trading Company XXXVIII		1.16	%	$	15,597		1.35	%	$	17,736
Frontier Balanced Fund ---
Frontier Trading Company XXXVIII		0.30	%	$	33,854		0.41	%	$	49,755
Frontier Select Fund  ---
Frontier Trading Companies XXXVIII		0.59	%	$	9,590		0.00	%	$	0
Frontier Global Fund  ---
Frontier Trading Company XXXVIII		0.97	%	$	27,774		0.04	%	$	1,083
Frontier Heritage Fund ---
Frontier Trading Company XXXVIII		0.93	%	$	22,925		0.12	%	$	2,880

30

The following tables summarize each of the Series’ equity in earnings from unconsolidated Trading Companies and private investment companies for the three months ended March 31, 2021 and March 31, 2020.

	Three Months Ended March, 2021												Three Months Ended March, 2020
							Change in			Net								Change in			Net
	Trading			Realized			Unrealized			Income			Trading		Realized			Unrealized			Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions		Gain/(Loss)			Gain/(Loss)			(Loss)
Frontier Balanced Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	(15,154	)	$	(15,154	)	$	-	$	-		$	(23,301	)	$	(23,301	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(1,608	)		105,068			4,402			107,862			-		101,444			260,300			361,744
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		-			-			-			-			-		(6,308	)		(41,608	)		(47,916	)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		-			-			-			-			-		(310,754	)		(332,663	)		(643,417	)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(6,767	)		96,963			(211,084	)		(120,888	)		-		78,918			(356,986	)		(278,068	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		-			-			-			-			-		7,506			(259,157	)		(251,651	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(2,499	)		(183,383	)		7,536			(178,346	)		-		25,548			(298,885	)		(273,337	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(4,323	)		49,066			109,945			154,688			-		(23,195	)		166,919			143,724
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(11,862	)		665,706			(74,900	)		578,944			-		33,241			768,387			801,628
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		(940	)		(501,183	)		394,602			(107,521	)		-		-			-			-
Total	$	(27,999	)	$	232,237		$	215,347		$	419,585		$	-	$	(93,600	)	$	(116,994	)	$	(210,594	)
Frontier Global Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	13,872		$	13,872		$	-	$	-		$	(5,077	)	$	(5,077	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(2,508	)		172,894			(40,552	)		129,834			-		309,658			249,122			558,780
Total	$	(2,508	)	$	172,894		$	(26,680	)	$	143,706		$	-	$	309,658		$	244,045		$	553,703
Frontier Select Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	7,332		$	7,332		$	-	$	-		$	(6,529	)	$	(6,529	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(3,497	)		198,489			(21,623	)		173,369			-		24,954			236,122			261,076
Galaxy Plus Fund - TT Feeder Fund (531) LLC		-			-			-			-			-		(17,031	)		(259,074	)		(276,105	)
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		(392	)		(215,079	)		166,556			(48,915	)		-		-			-			-
Total	$	(3,889	)	$	(16,590	)	$	152,265		$	131,786		$	-	$	7,923		$	(29,481	)	$	(21,558	)
Frontier Heritage Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	10,944		$	10,944		$	-	$	-		$	(6,103	)	$	(6,103	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(1,340	)		93,684			(29,457	)		62,887			-		33,962			142,571			176,533
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(3,124	)		179,878			(23,467	)		153,287			-		(29,591	)		273,543			243,952
Total	$	(4,464	)	$	273,562		$	(41,980	)	$	227,118		$	-	$	4,371		$	410,011		$	414,382
Frontier Long/Short Commodity Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	10,148		$	10,148		$	-	$	-		$	(4,706	)	$	(4,706	)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		-			-			-			-			-		(61,736	)		(33,649	)		(95,385	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(229	)		23,549			(18,332	)		4,988			-		820			(137,741	)		(136,921	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(1,861	)		105,715			(12,891	)		90,963			-		(6,455	)		111,549			105,094
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC)		(1,808	)		-			(28,559	)		(30,367	)		-		-			-			-
Total	$	(3,898	)	$	129,264		$	(49,634	)	$	75,732		$	-	$	(67,371	)	$	(64,547	)	$	(131,918	)
Frontier Diversified Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	8,063		$	8,063		$	-	$	-		$	(1,009	)	$	(1,009	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(753	)		52,525			(1,159	)		50,613			-		88,315			152,312			240,627
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		-			-			-			-			-		(10,522	)		(20,678	)		(31,200	)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		-			-			-			-			-		(268,381	)		(144,944	)		(413,325	)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(3,231	)		47,548			(95,237	)		(50,920	)		-		109,016			(298,106	)		(189,090	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		-			-			-			-			-		3,721			(159,251	)		(155,530	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(640	)		(46,172	)		(2,167	)		(48,979	)		-		(53,371	)		(32,636	)		(86,007	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(2,763	)		30,374			90,227			117,838			-		(12,007	)		134,066			122,059
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(2,011	)		110,869			(5,456	)		103,402			-		(6,567	)		484,523			477,956
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		(219	)		(118,037	)		94,039			(24,217	)		-		-			-			-
Total	$	(9,617	)	$	77,107		$	88,310		$	155,800		$	-	$	(149,796	)	$	114,277		$	(35,519	)
Frontier Masters Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	11,507		$	11,507		$	-	$	-		$	(6,482	)	$	(6,482	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(353	)		23,632			(5,892	)		17,387			-		28,637			104,600			133,237
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		-			-			-			-			-		(248,608	)		88,339			(160,269	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(1,062	)		60,348			(7,732	)		51,554			-		(21,114	)		156,235			135,121
Galaxy Plus Fund - TT Feeder Fund (531) LLC		-			-			-			-			-		5,948			(102,480	)		(96,532	)
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		(156	)		(83,540	)		61,779			(21,917	)		-		-			-			-
Total	$	(1,571	)	$	440		$	59,662		$	58,531		$	-	$	(235,137	)	$	240,212		$	5,075

31

The Series’ investments in private investment companies as of March 31, 2021 have certain redemption and liquidity restrictions which are described in the following table:

	Redemptions	Redemptions	Liquidity
	Notice Period	Permitted	Restrictions
Frontier Diversified Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	24 hours	Daily	None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC	24 hours	Daily	None
Frontier Masters Fund
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Weekly	None
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC	24 hours	Daily	None
Frontier Long/Short Commodity Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC	24 hours	Daily	None
Frontier Balanced Fund
Multi-Strategy
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC	24 hours	Daily	None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	24 hours	Daily	None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC	24 hours	Daily	None
Frontier Select Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC	24 hours	Daily	None
Frontier Global Fund
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Frontier Heritage Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None

Effective January 4, 2021, Volt Capital Management AB accessed through Galaxy Plus Fund — Volt Diversified Alpha Feeder Fund (550) LLC became a new commodity trading advisor for Frontier Long/Short Commodity Fund.

32

6. Transactions with Affiliates

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

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management fee equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 0.5% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a, and Class 3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund, and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner.

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

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

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

33

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

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

34

The Managing Owner has determined that the purchase of additional units of the relevant series will commence in 2021. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,650, $411, $31,725, $352,411, $19,904, $155,675 and $64,729 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively  

The following table summarizes fees earned by the Managing Owner and the Former Managing Owner for the three months ended March 31, 2021 and 2020.

Three Months Ended March 31, 2021	Incentive (Rebate) Fees		Management Fee		Service Fee		Trading Fee
Frontier Diversified Fund	$	-	$	-	$	1,049	$	34,937
Frontier Masters Fund		-		-		210		14,863
Frontier Long/Short Commodity Fund		-		-		54		8,765
Frontier Balanced Fund		49,840		4,619		67,267		114,439
Frontier Select Fund		-		-		11,438		11,355
Frontier Global Fund		-		-		19,938		35,130
Frontier Heritage Fund		-		-		16,157		23,676

Three Months Ended March 31, 2020	Incentive (Rebate) Fees		Management Fee		Service Fee		Trading Fee
Frontier Diversified Fund	$	-	$	-	$	7,707	$	100,550
Frontier Masters Fund		-		-		595		32,399
Frontier Long/Short Commodity Fund		-		-		111		9,547
Frontier Balanced Fund		-		5,020		125,308		198,985
Frontier Select Fund		-		-		20,160		16,955
Frontier Global Fund		-		-		30,441		55,555
Frontier Heritage Fund		-		-		18,013		29,905

The following table summarizes fees payable to the Managing Owner and Former Managing Owner as of March 31, 2021 and December 31, 2020.

As of March 31, 2021	Incentive Fees		Management Fees		Interest Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	-	$	-	$	-	$	365	$	12,341
Frontier Masters Fund		-		-		-		74		5,235
Frontier Long/Short Commodity Fund		-		-		53		-		3,174
Frontier Balanced Fund		49,840		1,629		-		20,826		38,152
Frontier Select Fund		-		-		359		3,803		3,915
Frontier Global Fund		-		-		499		6,559		12,310
Frontier Heritage Fund		-		-		563		5,169		8,360

As of December 31, 2020	Incentive Fees		Management Fees		Interest Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	-	$	-	$	-	$	385	$	12,576
Frontier Masters Fund		-		-		-		70		5,460
Frontier Long/Short Commodity Fund		-		-		87		18		2,281
Frontier Balanced Fund		-		8,854		1,376		21,381		37,894
Frontier Select Fund		-		-		179		3,709		3,933
Frontier Global Fund		-		-		326		6,348		11,849
Frontier Heritage Fund		-		-		139		4,794		7,705

35

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

Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) of average net assets less any fair market value related to swaps is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series.

Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020. All swaps were sold as of December 31, 2020.

The following table outlines the interest paid by each Series to the Managing Owner and its ratio to average net assets for the three months ended March 31, 2021 and 2020.

Three Months Ended	March 31, 2021		March 31, 2020		March 31, 2021			March 31, 2020
	Gross Amount Paid to the Managing Owner		Gross Amount Paid to the Managing Owner		Ratio to Average Net Assets			Ratio to Average Net Assets
Frontier Diversified Fund Class 1	$	-	$	-		0.00	%		0.00	%
Frontier Diversified Fund Class 2		-		-		0.00	%		0.00	%
Frontier Diversified Fund Class 3		-		-		0.00	%		0.00	%
Frontier Masters Fund Class 1		-		-		0.00	%		0.00	%
Frontier Masters Fund Class 2		-		-		0.00	%		0.00	%
Frontier Masters Fund Class 3		-		-		0.00	%		0.00	%
Frontier Long/Short Commodity Fund Class 2		8		5		0.02	%		0.01	%
Frontier Long/Short Commodity Fund Class 3		226		114		0.02	%		0.01	%
Frontier Long/Short Commodity Fund Class 1a		-		-		0.00	%		0.00	%
Frontier Long/Short Commodity Fund Class 2a		-		-		0.00	%		0.00	%
Frontier Long/Short Commodity Fund Class 3a		-		-		0.00	%		0.00	%
Frontier Balanced Fund Class 1		301		2,221		0.00	%		0.01	%
Frontier Balanced Fund Class 1AP		3		31		0.00	%		0.01	%
Frontier Balanced Fund Class 2		69		425		0.00	%		0.01	%
Frontier Balanced Fund Class 2a		1		5		0.00	%		0.00	%
Frontier Balanced Fund Class 3a		3		23		0.00	%		0.00	%
Frontier Select Fund Class 1		790		779		0.05	%		0.03	%
Frontier Select Fund Class 1AP		5		3		0.05	%		0.03	%
Frontier Select Fund Class 2		35		26		0.05	%		0.03	%
Frontier Global Fund Class 1		1,455		1,217		0.05	%		0.03	%
Frontier Global Fund Class 1AP		-		11		0.00	%		0.03	%
Frontier Global Fund Class 2		103		111		0.05	%		0.03	%
Frontier Heritage Fund Class 1		1,038		728		0.05	%		0.03	%
Frontier Heritage Fund Class 1AP		4		3		0.05	%		0.03	%
Frontier Heritage Fund Class 2		104		170		0.05	%		0.03	%
Total	$	4,145	$	5,872

36

7. Financial Highlights

The following information presents the financial highlights of the Series, for the three months ended March 31, 2021 and 2020. This data has been derived from the information presented in the financial statements.

For the three months ended March 31, 2021.

	Frontier Diversified Fund									Frontier Masters Fund									Frontier Long/Short Commodity Fund
	Class 1			Class 2			Class 3			Class 1			Class 2			Class 3			Class 2			Class 2a			Class 3			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2020	$	72.68		$	88.95		$	83.33		$	55.18		$	67.54		$	63.52		$	85.99		$	55.29		$	90.21		$	58.37
Net operating results:
Interest income		0.03			0.03			0.03			0.05			0.06			0.06			0.09			0.06			0.09			0.06
Expenses		(1.14	)		(0.80	)		(0.75	)		(2.05	)		(1.05	)		(0.99	)		(0.59	)		(0.38	)		(0.62	)		(0.40	)
Net gain/(loss) on investments, net of non-controlling interests		3.05			3.53			3.35			4.26			4.07			3.86			4.91			3.51			5.15			3.74
Net income/(loss)		1.94			2.76			2.64			2.26			3.07			2.93			4.40			3.20			4.61			3.40
Net asset value, March 31, 2021	$	74.62		$	91.71		$	85.97		$	57.44		$	70.61		$	66.45		$	90.39		$	58.49		$	94.82		$	61.77
Ratios to average net assets
Net investment income/(loss)		-6.16	%		-3.43	%		-3.43	%		-14.43	%		-5.85	%		-5.85	%		-2.26	%		-2.26	%		-2.26	%		-2.26	%
Expenses before incentive fees (3)(4)		6.31	%		3.59	%		3.59	%		14.78	%		6.20	%		6.20	%		2.65	%		2.65	%		2.65	%		2.65	%
Expenses after incentive fees (3)(4)		6.31	%		3.59	%		3.59	%		14.78	%		6.20	%		6.20	%		2.65	%		2.65	%		2.65	%		2.65	%
Total return before incentive fees (2)		2.67	%		3.11	%		3.16	%		4.10	%		4.55	%		4.61	%		5.12	%		5.79	%		5.11	%		5.82	%
Total return after incentive fees (2)		2.67	%		3.11	%		3.16	%		4.10	%		4.55	%		4.61	%		5.12	%		5.79	%		5.11	%		5.82	%

	Frontier Balanced Fund															Frontier Select Fund
	Class 1			Class 1AP			Class 2			Class 2a			Class 3a			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2020	$	79.93		$	96.81		$	130.54		$	113.20		$	112.81		$	58.55		$	70.99		$	94.20
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00			0.00			0.00			0.00
Expenses		(1.78	)		(1.44	)		(1.94	)		(1.69	)		(1.68	)		(0.86	)		(0.51	)		(0.68	)
Net gain/(loss) on investments, net of non-controlling interests		5.24			6.38			8.61			7.47			7.45			4.87			5.93			7.88
Net income/(loss)		3.46			4.94			6.67			5.78			5.77			4.01			5.42			7.20
Net asset value, March 31, 2021	$	83.39		$	101.75		$	137.21		$	118.98		$	118.58		$	62.56		$	76.41		$	101.40
Ratios to average net assets
Net investment income/(loss)		-7.61	%		-4.62	%		-4.62	%		-4.62	%		-4.62	%		-5.80	%		-2.82	%		-2.82	%
Expenses before incentive fees (3)(4)		7.18	%		4.19	%		4.19	%		4.19	%		4.19	%		5.80	%		2.82	%		2.82	%
Expenses after incentive fees (3)(4)		7.61	%		4.62	%		4.62	%		4.62	%		4.62	%		5.80	%		2.82	%		2.82	%
Total return before incentive fees (2)		4.76	%		5.53	%		5.54	%		5.54	%		5.54	%		6.84	%		7.64	%		7.64	%
Total return after incentive fees (2)		4.32	%		5.10	%		5.11	%		5.11	%		5.11	%		6.84	%		7.64	%		7.64	%

37

	Frontier Global Fund						Frontier Heritage Fund
	Class 1			Class 2			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2020	$	110.90		$	167.56		$	96.10		$	116.50		$	155.92
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00
Expenses		(2.21	)		(2.08	)		(1.74	)		(1.20	)		(1.61	)
Net gain/(loss) on investments, net of non-controlling interests		5.63			8.54			9.41			11.44			15.31
Net income/(loss)		3.42			6.45			7.67			10.24			13.70
Net asset value, March 31, 2021	$	114.32		$	174.01		$	103.77		$	126.74		$	169.62
Ratios to average net assets
Net investment income/(loss)		-7.88	%		-4.90	%		-6.94	%		-3.96	%		-3.96	%
Expenses before incentive fees (3)(4)		7.88	%		4.90	%		6.94	%		3.96	%		3.96	%
Expenses after incentive fees (3)(4)		7.88	%		4.90	%		6.94	%		3.96	%		3.96	%
Total return before incentive fees (2)		3.09	%		3.85	%		7.99	%		8.79	%		8.79	%
Total return after incentive fees (2)		3.09	%		3.85	%		7.99	%		8.79	%		8.79	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2) Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

(3) Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6.

(4) Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees are included in the total return.

38

For the three months ended March 31, 2020

	Frontier Diversified Fund									Frontier Masters Fund									Frontier Long/Short Commodity Fund
	Class 1			Class 2			Class 3			Class 1			Class 2			Class 3			Class 1a			Class 2			Class 2a			Class 3			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2019	$	101.10		$	121.58		$	113.61		$	72.28		$	87.18		$	81.78		$	44.20		$	81.60		$	52.55		$	85.64		$	55.31
Net operating results:
Interest income		0.00			0.00			0.00			0.03			0.04			0.04			0.02			0.04			0.03			0.04			0.03
Expenses		(1.77	)		(1.11	)		(1.02	)		(4.46	)		(1.32	)		(1.24	)		(0.75	)		(0.59	)		(0.38	)		(0.62	)		(0.40	)
Net gain/(loss) on investments, net of non-controlling interests		(20.18	)		(24.87	)		(23.20	)		3.49			0.27			0.31			4.21			7.61			4.77			7.94			5.08
Net income/(loss)		(21.95	)		(25.98	)		(24.22	)		(0.95	)		(1.01	)		(0.89	)		3.49			7.06			4.42			7.36			4.71
Net asset value, March 31, 2020	$	79.15		$	95.60		$	89.39		$	71.34		$	86.18		$	80.89		$	47.69		$	88.66		$	56.98		$	93.01		$	60.02
Ratios to average net assets
Net investment income/(loss)		-7.11	%		-3.68	%		-3.68	%		-24.52	%		-5.87	%		-5.87	%		-6.43	%		-2.64	%		-2.64	%		-2.64	%		-2.64	%
Expenses before incentive fees (3)(4)		7.11	%		3.68	%		3.68	%		24.70	%		6.05	%		6.05	%		6.62	%		2.83	%		2.83	%		2.83	%		2.83	%
Expenses after incentive fees (3)(4)		7.11	%		3.68	%		3.68	%		24.70	%		6.05	%		6.05	%		6.62	%		2.83	%		2.83	%		2.83	%		2.83	%
Total return before incentive fees (2)		-21.71	%		-21.37	%		-21.32	%		-1.31	%		-1.15	%		-1.09	%		7.89	%		8.65	%		8.40	%		8.60	%		8.52	%
Total return after incentive fees (2)		-21.71	%		-21.37	%		-21.32	%		-1.31	%		-1.15	%		-1.09	%		7.89	%		8.65	%		8.40	%		8.60	%		8.52	%
Incentive fee per share		-			-			-			-			-			-
Incentive Fee to ANA		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%

	Frontier Balanced Fund															Frontier Select Fund
	Class 1			Class 1AP			Class 2			Class 2a			Class 3a			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2019	$	117.23		$	137.81		$	185.82		$	161.04		$	160.50		$	66.56		$	78.51		$	103.94
Net operating results:
Interest income		0.03			0.04			0.05			0.05			0.05			0.00			0.00			0.00
Expenses		(1.94	)		(1.29	)		(1.73	)		(1.50	)		(1.50	)		(0.93	)		(0.49	)		(0.65	)
Net gain/(loss) on investments, net of non-controlling interests		(29.31	)		(34.70	)		(46.77	)		(40.51	)		(40.39	)		1.85			1.97			2.86
Net income/(loss)		(31.21	)		(35.94	)		(48.45	)		(41.97	)		(41.84	)		0.92			1.49			2.21
Net asset value, March 31, 2020	$	86.02		$	101.87		$	137.37		$	119.07		$	118.66		$	67.48		$	79.99		$	106.15
Ratios to average net assets
Net investment income/(loss)		-6.74	%		-3.75	%		-3.75	%		-3.75	%		-3.75	%		-5.44	%		-2.43	%		-2.43	%
Expenses before incentive fees (3)(4)		6.86	%		3.87	%		3.87	%		3.87	%		3.87	%		5.44	%		2.43	%		2.43	%
Expenses after incentive fees (3)(4)		6.86	%		3.87	%		3.87	%		3.87	%		3.87	%		5.44	%		2.43	%		2.43	%
Total return before incentive fees (2)		-26.62	%		-26.08	%		-26.08	%		-26.06	%		-26.07	%		1.39	%		1.89	%		2.13	%
Total return after incentive fees (2)		-26.62	%		-26.08	%		-26.08	%		-26.06	%		-26.07	%		1.39	%		1.89	%		2.13	%
Incentive fee per share		-			-			-			-			-			-			-			-
Incentive Fee to ANA		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%

39

	Frontier Global Fund									Frontier Heritage Fund
	Class 1			Class 1AP			Class 2			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2019	$	131.52		$	154.43		$	192.82		$	97.54		$	114.15		$	153.59
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00			0.00
Expenses		(2.73	)		(2.02	)		(2.51	)		(1.82	)		(1.24	)		(1.65	)
Net gain/(loss) on investments, net of non-controlling interests		17.19			20.67			25.33			18.50			22.46			29.23
Net income/(loss)		14.46			18.66			22.82			16.67			21.22			27.58
Net asset value, March 31, 2020	$	145.97		$	173.08		$	215.64		$	114.21		$	135.37		$	181.17
Ratios to average net assets
Net investment income/(loss)		-8.01	%		-5.01	%		-5.01	%		-7.05	%		-4.04	%		-4.04	%
Expenses before incentive fees (3)(4)		8.01	%		5.01	%		5.01	%		7.05	%		4.04	%		4.04	%
Expenses after incentive fees (3)(4)		8.01	%		5.01	%		5.01	%		7.05	%		4.04	%		4.04	%
Total return before incentive fees (2)		10.99	%		12.08	%		11.83	%		17.09	%		18.59	%		17.96	%
Total return after incentive fees (2)		10.99	%		12.08	%		11.83	%		17.09	%		18.59	%		17.96	%

(1) Interest income and expenses per unit are calculated by dividing these amounts by the average number of units outstanding during the period. The net gain/(loss) on investments, net of non-controlling interests is a balancing amount necessary to reconcile the change in net asset value per unit with the other per unit information.

(2) Impact of incentive fee computed using average net assets, otherwise computed using average units outstanding during the period prior to the effects of any non-controlling transactions. An owner’s total returns may vary from the above returns based on the timing of contributions and withdrawals. Total returns are not annualized.

(3)	Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, see footnote 6.
(4)	Expense ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses been included. The impact of those fees are included in the total return.

40

8. Derivative Instruments and Hedging Activities

The Series’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not enter into or hold positions for hedging purposes as defined under ASC 815, Derivatives and Hedging (“ASC 815”). The detail of the fair value of the Series’ derivatives by instrument types as of March 31, 2021 and December 31, 2020 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.

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

For the Three Months ended March 31, 2021

Monthly average contracts:
	Bought		Sold
Frontier Balanced Fund		788		787

For the Three Months ended March 31, 2020

Monthly average contracts:
	Bought		Sold
Frontier Balanced Fund		628		625

The following tables summarize the trading revenues for the three months ended March 31, 2021 and March 31, 2020 by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2021

Type of contract	Frontier Balanced Fund
Agriculturals	$	63,312
Currencies		(27,812	)
Energies		34,820
Interest rates		106,786
Metals		23,335
Stock indices		171,118
Realized trading income/(loss)(1)	$	371,559

41

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2020

Type of contract	Frontier Balanced Fund
Agriculturals	$	75,122
Currencies		106,325
Energies		35,710
Interest rates		88,571
Metals		313,738
Stock indices		22,768
Realized trading income/(loss)(1)	$	642,234

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

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

for the Three Months Ended March 31, 2021

Type of contract	Frontier Balanced Fund
Agriculturals	$	6,802
Currencies		17,052
Energies		16,600
Interest rates		(76,782	)
Metals		(15,723	)
Stock indices		4,716
Change in unrealized trading income/(loss)(1)	$	(47,335	)

42

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

for the Three Months Ended March 31, 2020

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

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

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

The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the statements of financial condition as of March 31, 2021 and December 31, 2020.

As of March 31, 2021

Frontier Balanced Fund		Gross Amounts of recognized Derivative Assets/ Liabilities		Gross Amounts offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
Open Trade Equity/(Deficit)	$	597,031	$	(543,924	)	$	53,107

As of December 31, 2020

Frontier Balanced Fund	Gross Amounts of recognized Derivative Assets		Gross Amounts offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
Open Trade Equity/(Deficit)	$	814,743	$	(714,303	)	$	100,440

43

9. Trading Activities and Related Risks

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

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

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

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

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

44

10. Indemnifications and Guarantees noted in Management Discussion and Analysis

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

11. Subsequent Events

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

From April 1, 2021 through May 10, 2021, Frontier Balanced Fund, Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, and Frontier Global Fund paid $386,076, $396,487, $192,359, $34,782, and $152,295, respectively, in redemptions.

45

Frontier Funds

Consolidated Statements of Financial Condition

March 31, 2021 (Unaudited) and December 31, 2020

	March 31, 2021		December 31, 2020
ASSETS
Cash and cash equivalents	$	455,671	$	468,466
U.S. Treasury securities, at fair value		753,617		2,282,606
Receivable from futures commission merchants		741,397		233,973
Open trade equity, at fair value		53,107		100,440
Investments in private investment companies, at fair value		23,186,879		23,089,312
Interest receivable		5,127		45,578
Receivable from related parties		-		26,129
Redemptions receivable from private investment companies		159,765		181,323
Total Assets	$	25,355,563	$	26,427,827
LIABILITIES & CAPITAL
LIABILITIES
Redemptions payable	$	18,281	$	38,128
Incentive fees payable to Managing Owner		49,840		-
Management fees payable to Managing Owner		1,629		8,854
Interest payable to Managing Owner		1,474		2,107
Trading fees payable to Managing Owner		83,487		81,698
Service fees payable to Managing Owner		36,796		36,705
Risk analysis fees payable		10,898		9,513
Subscriptions in advance for service fee rebates		647,505		638,962
Payables to related parties		-		26,129
Other liabilities		20,571		16,592
Total Liabilities		870,481		858,688
OWNERS’ CAPITAL
Managing Owner Units		267,619		283,217
Limited Owner Units		24,217,463		25,285,922
Total Owners’ Capital		24,485,082		25,569,139
Total Liabilities and Owners’ Capital	$	25,355,563	$	26,427,827

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

46

Frontier Funds

Consolidated Condensed Schedule of Investments

March 31, 2021 (Unaudited)

					% of Total Capital
Description		Fair Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
	Various agriculture futures contracts (Far East)	$	1,068			0.00	%
	Various agriculture futures contracts (Europe)		2,468			0.01	%
	Various agriculture futures contracts (U.S.)		75,491			0.31	%
	Various base metals futures contracts (U.S.)		(25,796	)		-0.11	%
	Various currency futures contracts (Europe)		(7,381	)		-0.03	%
	Various currency futures contracts (Far East)		4,564			0.02	%
	Various currency futures contracts (Latin America)		744			0.00	%
	Various currency futures contracts (U.S.)		(8,850	)		-0.04	%
	Various energy futures contracts (U.S.)		6,740			0.03	%
	Various interest rates futures contracts (Europe)		(166,167	)		-0.68	%
	Various interest rates futures contracts (Far East)		(1,298	)		-0.01	%
	Various interest rates futures contracts (U.S.)		(1,563	)		-0.01	%
	Various precious metal futures contracts (U.S.)		21,705			0.09	%
	Various soft futures contracts (U.S.)		19,624			0.08	%
	Various stock index futures contracts (Africa)		117			0.00	%
	Various stock index futures contracts (Europe)		10,124			0.04	%
	Various stock index futures contracts (Far East)		3,993			0.02	%
	Various stock index futures contracts (Oceanic)		393			0.00	%
	Various stock index futures contracts (U.S.)		1,354			0.01	%
	Various stock index futures contracts (Canada)		(1,270	)		-0.01	%
	Total Long Futures Contracts	$	(63,940	)		-0.28	%
SHORT FUTURES CONTRACTS *
	Various agriculture futures contracts (Far East)	$	1,299			0.01	%
	Various agriculture futures contracts (Europe)		2,952			0.01	%
	Various agriculture futures contracts (U.S.)		(49,181	)		-0.20	%
	Various base metals futures contracts (U.S.)		(1,547	)		-0.01	%
	Various currency futures contracts (Europe)		16,450			0.07	%
	Various currency futures contracts (Far East)		(524	)		0.00	%
	Various currency futures contracts (Latin America)		4,736			0.02	%
	Various currency futures contracts (U.S.)		3,488			0.01	%
	Various energy futures contracts (U.S.)		9,860			0.04	%
	Various interest rates futures contracts (Europe)		100,326			0.41	%
	Various interest rates futures contracts (Far East)		9,758			0.04	%
	Various interest rates futures contracts (U.S.)		21,563			0.09	%
	Various precious metal futures contracts (U.S.)		5,550			0.02	%
	Various soft futures contracts (U.S.)		(2,431	)		-0.01	%
	Various stock index futures contracts (Africa)		890			0.00	%
	Various stock index futures contracts (Canada)		(414	)		0.00	%
	Various stock index futures contracts (Europe)		449			0.00	%
	Various stock index futures contracts (Far East)		(1,444	)		-0.01	%
	Various stock index futures contracts (U.S.)		(4,733	)		-0.02	%
	Total Short Futures Contracts	$	117,047			0.47	%
	Total Open Trade Equity (Deficit)	$	53,107			0.19	%

47

Frontier Funds

Consolidated Condensed Schedule of Investments

March 31, 2021 (Unaudited)

					% of Total Capital
			Fair Value		(Net Asset Value)
PRIVATE INVESTMENT COMPANIES (2)
		Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC)	$	247,924		1.01	%
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		3,307,594		13.51	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,297,351		5.30	%
		Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC		147,071		0.60	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		2,077,618		8.49	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		7,121,118		29.08	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		5,690,794		23.24	%
		Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		2,801,027		11.44	%
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		496,382		2.03	%
		Total Private Investment Companies	$	23,186,879		94.70	%
U.S. TREASURY SECURITIES
FACE VALUE
$	596,500	US Treasury Note 6.875% due 08/15/2025 (Cost $756,828)	$	753,617		3.08	%
		Total U.S. Treasury Securities	$	753,617		3.08	%

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

(1) See Notes to Consolidated Financial Statements, Note 4.

(2) See Notes to Consolidated Financial Statements, Note 5.

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

48

Frontier Funds

Consolidated Condensed Schedule of Investments

December 31, 2020

						% of Total Capital
Description			Fair Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
		Various agriculture futures contracts (Far East)	$	72,005			0.28	%
		Various agriculture futures contracts (Europe)		9,803			0.04	%
		Various agriculture futures contracts (U.S.)		87,496			0.34	%
		Various base metals futures contracts (U.S.)		22,858			0.09	%
		Various currency futures contracts (U.S.)		(100	)		0.00	%
		Various currency futures contracts (Europe)		10,573			0.04	%
		Various currency futures contracts (Latin America)		5,833			0.02	%
		Various interest rates futures contracts (Europe)		148,949			0.58	%
		Various interest rates futures contracts (Far East)		2,882			0.01	%
		Various interest rates futures contracts (U.S.)		2,438			0.01	%
		Various precious metal futures contracts (U.S.)		28,625			0.11	%
		Various soft futures contracts (U.S.)		52,349			0.20	%
		Various stock index futures contracts (Far East)		5,312			0.02	%
		Total Long Futures Contracts	$	449,023			1.74	%
SHORT FUTURES CONTRACTS *
		Various agriculture futures contracts (Far East)	$	(30,963	)		-0.12	%
		Various agriculture futures contracts (Europe)		(10,797	)		-0.04	%
		Various agriculture futures contracts (U.S.)		(92,738	)		-0.36	%
		Various base metals futures contracts (U.S.)		(10,289	)		-0.04	%
		Various currency futures contracts (U.S.)		2,300			0.01	%
		Various currency futures contracts (Europe)		(10,381	)		-0.04	%
		Various currency futures contracts (Latin America)		2,512			0.01	%
		Various interest rates futures contracts (Europe)		(127,832	)		-0.50	%
		Various interest rates futures contracts (Far East)		(2,482	)		-0.01	%
		Various interest rates futures contracts (U.S.)		3,656			0.01	%
		Various precious metal futures contracts (U.S.)		(25,560	)		-0.10	%
		Various soft futures contracts (U.S.)		(42,669	)		-0.17	%
		Various stock index futures contracts (Far East)		(3,340	)		-0.01	%
		Total Short Futures Contracts	$	(348,583	)		-1.36	%
		Total Open Trade Equity (Deficit)	$	100,440			0.38	%
PRIVATE INVESTMENT COMPANIES (2)
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	3,377,314			13.21	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,996,633			7.81	%
		Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC		89,029			0.35	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		1,654,786			6.47	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		7,427,324			29.05	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		5,363,456			20.98	%
		Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		2,715,008			10.62	%
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		465,759			1.82	%
		Total Private Investment Companies	$	23,089,312			90.31	%
U.S. TREASURY SECURITIES
FACE VALUE
$	1,755,000	US Treasury Note 6.875% due 08/15/2025 (Cost $2,283,228)	$	2,282,606			8.93	%
		Total U.S. Treasury Securities	$	2,282,606			8.93	%

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

(1) See Notes to Consolidated Financial Statements, Note 4.

(2) See Notes to Consolidated Financial Statements, Note 5.

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

49

Frontier Funds

Consolidated Statements of Operations

For the Three Months Ended March 31, 2021 and 2020 (Unaudited)

	March 31, 2021			March 31, 2020
Investment income:
Interest - net	$	3,721		$	7,982
Total Income		3,721			7,982
Expenses:
Incentive Fees		49,840			-
Management Fees		4,619			5,020
Risk analysis Fees		1,386			1,506
Service Fees - Class 1		116,113			202,335
Due Diligence Fees		1,583			4,132
Trading Fees		243,165			443,896
Other Fees		-			-
Total Expenses		416,706			656,889
Investment income/(loss) - net		(412,985	)		(648,907	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		371,559			642,235
Net unrealized gain/(loss) on private investment companies		976,504			792,691
Net realized gain/(loss) on private investment companies		249,922			(219,121	)
Net change in open trade equity/(deficit)		(47,335	)		(25,719	)
Net unrealized gain/(loss) on swap contracts		-			(7,490,918	)
Net realized gain/(loss) on U.S. Treasury securities		(9,269	)		39,967
Net unrealized gain/(loss) on U.S. Treasury securities		(2,167	)		12,311
Trading commissions		(6,017	)		(8,375	)
Net gain/(loss) on investments		1,533,197			(6,256,929	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	1,120,212		$	(6,905,836	)

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

50

Frontier Funds

Consolidated Statements of Changes in Owners’ Capital

For the Three Months Ending March 31, 2021 (unaudited) 

	Managing Owner			Limited Owners			Total
Owners’ Capital, December 31, 2020	$	283,217		$	25,285,922		$	25,569,139
Sale of Units (including transfers)		-			-			-
Redemption of Units (including transfers)		(28,300	)		(2,175,969	)		(2,204,269	)
Payment made by Related Party		-			-			-
Payment made by Managing Owner		-			-			-
Net increase/(decrease) in Owners’		12,702			1,107,510			1,120,212
Capital resulting from operations
Owners’ Capital, March 31, 2021	$	267,619		$	24,217,463		$	24,485,082

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

51

Frontier Funds

Consolidated Statements of Cash Flows

For the Three Months Ended March 31, 2021 and 2020 (Unaudited) 

	March 31, 2021			March 31, 2020
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	1,120,212		$	(6,905,836	)
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		47,335			114,076
Net unrealized (gain)/loss on swap contracts		-			7,490,918
Net unrealized (gain)/loss on private investment companies		(976,504	)		(792,691	)
Net realized (gain)/loss on private investment companies		(249,922)			219,121
Net unrealized (gain)/loss on U.S. Treasury securities		2,167			(12,311	)
Net realized (gain)/loss on U.S. Treasuries securities		9,269			(39,967	)
(Purchases) sales of:
(Purchases) of Swap Contracts		-			(1,647,845	)
(Purchases) of U.S. Treasury securities		(737,126	)		(2,941,281	)
Sales of U.S. Treasury securities		2,250,954			3,421,048
(Purchases) of Private Investment Companies		(3,696,290	)		(1,974,303	)
Sales of Private Investment Companies		4,825,149			7,444,555
U.S. Treasury interest and premium paid/amortized		3,721			15,565
Increase and/or decrease in:
Receivable from futures commission merchants		(507,424	)		2,380,910
Interest receivable		40,451			11,377
Receivable from related parties		26,129			-
Other assets		-			(1,100,463	)
Redemptions receivable from private investment companies		21,558			-
Incentive fees payable to Managing Owner		49,840			-
Management fees payable to Managing Owner, net of change in receivable		(7,225	)		320
Interest payable to Managing Owner		(633	)		2,256
Trading fees payable to Managing Owner		1,789			(28,708	)
Service fees payable to Managing Owner		91			(12,056	)
Risk analysis fees payable		1,385			1,506
Payables to related parties		(26,129	)		-
Subscriptions in advance for service fee rebates		8,543			13,926
Other liabilities		3,979			(419	)
Net cash provided by operating activities		2,211,319			5,659,698
Cash Flows from Financing Activities:
Payment for redemption of capital		(2,204,269	)		(3,609,228	)
Redemptions payable		(19,847	)		(133,633	)
Net cash provided by (used in) financing activities		(2,224,116	)		(3,742,861	)
Net increase (decrease) in cash and cash equivalents		(12,795	)		1,916,837
Cash and cash equivalents, beginning of period		468,466			367,568
Cash and cash equivalents, end of period	$	455,671		$	2,284,405

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

52

Frontier Funds

Notes to Consolidated Financial Statements

1. Organization and Purpose

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

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

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

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, and Frontier Heritage Fund. The Trust financial statements are comprised of unitized Series which are consolidated into the Trust financial statements. However, the consolidated Trust does not issue units.

The Trust, with respect to each Series:

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

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

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

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

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

53

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

● all payments made to selling agents who are members of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and their associated persons that constitute underwriting compensation will be subject to the limitations set forth in Rule 2310(b)(4)(B)(ii) (formerly Rule 2810(b)(4)(B)(ii)) of the Conduct Rules of FINRA (“Rule 2310”). An investor’s Class 1 Units or Class 2 Units of any Series, or Class 1a Units or Class 2a Units of the Frontier Long/Short Commodity Fund or Frontier Balanced Fund will be classified as Class 3 or Class 3a Units of such Series, as applicable, when the Managing Owner determines that the fee limitation set forth in Rule 2310 with respect to such Units has been reached or will be reached. The service fee limit applicable to each unit sold is reached upon the earlier of when (i) the aggregate initial and ongoing service fees received by the selling agent with respect to such unit equals 9% of the purchase price of such unit or (ii) the aggregate underwriting compensation (determined in accordance with FINRA Rule 2310) paid in respect of such unit totals 10% of the purchase price of such unit. No service fees are paid with respect to Class 3 or Class 3a Units. Units of any Class in a Series may be redeemed, in whole or in part, on a daily basis, at the then current NAV per Unit for such Series on the day of the week after the date the Managing Owner is in receipt of a redemption request for at least one (1) business day to be received by the Managing Owner prior to 4:00 PM in New York. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.

54

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

As of March 31, 2021, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund Frontier Global Fund (formerly Frontier Winton Fund) and Frontier Heritage Fund separates Units into a maximum of three separate Classes—Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes—Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes—Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus, their assets are split between investments in Trading Companies and investments in the pooled cash management account.

Each of the Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.

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

55

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

Basis of Presentation—The Trust follows U.S. Generally Accepted Accounting Principles (“GAAP”), as established by the Financial Accounting Standards Board (the “FASB”), to ensure consistent reporting of financial condition, condensed schedules of investments, results of operations, changes in capital and cash flows. The Trust is an investment company following accounting and reporting guidance in Accounting Standards Codification (“ASC”) 946.

Consolidation— The Series, through investing in the Trading Companies and Galaxy Plus, authorize certain Trading Advisors to place trades and manage assets at predetermined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses and a risk analysis fee (for closed Series only), all of which is allocated to the Series, if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Investment interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Trust’s interest in the NAV in the Galaxy Plus entities. The equity interest held by Trust is shown as investments in private investment companies in the statements of financial condition. The income or loss attributable thereto in proportion to of the investment level of the private investment companies is shown in the statements of operations as net unrealized gain/(loss) on private investment companies. The Trading Companies and Series of the Trust are consolidated by the Trust. All intercompany transactions have been eliminated in consolidation.

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

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

56

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

Interest Income—U.S. Treasury Securities are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Aggregate interest income from all sources, including U.S. Treasuries and assets held at an FCM of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Frontier Balanced Fund (Class 1, and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series, and shown net on the statement of operations. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.

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

Receivable from Futures Commission Merchants—The Trust deposits assets with an FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of March 31, 2021 and December 31, 2020 and included restricted cash for margin requirements of $308,895 and $321,638 for the Frontier Balanced Fund.

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

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

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

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

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

57

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

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

Income Taxes—The Trust applies the provisions of ASC 740 Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the quarter ended March 31, 2021. The 2017 through 2020 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

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

Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the Commodity Trading Advisors up to 10% of New Net Profits (as defined in the prospectus). If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period, then the Managing Owner is obligated to return any amount in excess. The returned amounts are recorded as Incentive Fee (Rebate) on the Statements of Operations.

58

Service Fees—The Trust may maintain each Series of Units in three to seven sub-classes—Class 1, Class 1AP, Class 1a, Class 2, Class 2a, Class 3, and Class 3a. Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents. Frontier Long/Short Commodity Fund Class 1A was closed as of September 30, 2020 and Frontier Global Class 1AP was closed as of November 18, 2020.

Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2020, 2019 and 2018, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2021 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $638,962 and $647,505 as of December 31, 2020 and March 31, 2021, respectively.

These service fees are part of the offering costs of the Trust, which include registration and filing fees, legal and blue1 sky expenses, accounting and audit, printing, marketing support and other offering costs which are borne by the Managing Owner. With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Class 1 and Class 1a Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed for such payment by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk of the downside and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months.

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

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

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

Subsequent Events—The Trust follows the provisions of ASC 855, Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 10.

59

3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

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

Swap Contracts. Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the direction of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced by one or more investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to be exchanged or “swapped” between parties are calculated with respect to a “notional amount” (i.e., the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged) in a particular investment, or in a “basket” of securities. Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approved current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The Swap Contracts are reported at fair value using Level 3 inputs. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investments were liquidated on December 21, 2020.

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

60

The following table summarizes the instruments that comprise the Trust’s financial asset portfolio, in aggregate, measured at fair value on a recurring basis as of March 31, 2021 and December 31, 2020, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

March 31, 2021	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	53,107	$	-	$	-	$	53,107
U.S. Treasury Securities		753,617		-		-		753,617

December 31, 2020	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	100,440	$	-	$	-	$	100,440
U.S. Treasury Securities		2,282,606		-		-		2,282,606

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

Swaps

	For the Year ended December 31, 2020
Balance of recurring Level 3 assets as of  January 1, 2020	$	21,579,865
Total gains or losses (realized/unrealized):
Included in earnings-realized		(2,896,106	)
Included in earnings-unrealized		(4,384,210	)
Proceeds from collateral reduction		(12,674,502	)
Purchase of investments		12,918,207
Sale of investments		(14,543,254	)
Transfers in and/or out of Level 3		-
Balance of recurring Level 3 assets as of December 31, 2020	$	-

The Trust assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer in accordance with the Trust’s accounting policy regarding the recognition of transfers between levels of the fair value hierarchy. During the three months ended March 31, 2021 and December 31, 2020, the Trust did not transfer any assets between Levels 1, 2 and 3.

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2020: Swaps $(4,384,210)

61

4. Swap Contracts

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of December 31, 2020, all swaps were sold so that no Trust’s assets were deposited with over-the-counter counterparties.

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

To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. The Frontier Select Fund (through its investment in an unconsolidated trading company) and Frontier Heritage Fund Brevan Howard swap investments were liquidated on May 30, 2020 and Frontier Balanced Fund, Frontier Long/Short Commodity Fund, Frontier Diversified Fund TRS swap investment were liquidated on December 21, 2020.

The Trust had invested in the following swaps as of and for the year ended December 31, 2020:

	XXXIV Balanced select swap			XXXV Diversified select swap			XXXVII L/S select swap		Brevan Howard
	Total Return Swap			Total Return Swap			Total Return Swap		Total Return Swap
Counterparty	Deutsche Bank AG			Deutsche Bank AG			Deutsche Bank AG		Deutsche Bank AG
Realized Gain/(Loss)	$	(2,448,166	)	$	(446,306	)	$	188,100	$	(189,734	)
Change in Unrealized Gain/(Loss)	$	(3,088,917	)	$	(1,537,399	)	$	44,277	$	197,829
Fair Value as of December 31, 2020	$	0		$	0		$	0	$	0
Advance on swap appreciation	$	0		$	0		$	0	$	0

62

5. Investments in Private Investment Companies

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

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

The following table summarizes the Trust’s equity in earnings from each of the private investment companies during the three months ended March 31, 2021 and March 31, 2020:

	Three Months Ended March, 2021												Three Months Ended March, 2020
	Trading			Realized			Change in Unrealized			Net Income			Trading		Realized			Change in Unrealized			Net Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions		Gain/(Loss)			Gain/(Loss)			(Loss)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	(6,562	)	$	447,803		$	(72,658	)	$	368,583		$	-	$	562,016		$	908,905		$	1,470,921
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		-			-			-			-			-		(16,830	)		(62,286	)		(79,116	)
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		-			-			-			-			-		(889,479	)		(422,917	)		(1,312,396	)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(9,998	)		144,511			(306,321	)		(171,808	)		-		187,934			(655,091	)		(467,157	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(229	)		23,549			(18,332	)		4,988			-		12,047			(556,149	)		(544,102	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(3,139	)		(229,555	)		5,369			(227,325	)		-		(27,823	)		(331,521	)		(359,344	)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		-			-			-			-			-		-			-			-
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(7,086	)		79,440			200,172			272,526			-		(35,202	)		300,986			265,784
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC		-			-			58,149			58,149			-		-			-			-
Galaxy Plus Fund - TT Feeder Fund (531) LLC		-			-			-			-			-		(11,083	)		(361,554	)		(372,637	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(23,417	)		1,321,005			(146,069	)		1,151,519			-		(5,532	)		2,030,359			2,024,827
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		(1,707	)		(917,839	)		716,976			(202,570	)				-			-			-
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC)		(1,808	)		-			(28,559	)		(30,367	)
Total	$	(53,946	)	$	868,914		$	408,727		$	1,223,695		$	-	$	(223,952	)	$	850,732		$	626,780

The Trust’s investments in private investment companies as of March 31, 2021 have certain redemption and liquidity restrictions which are described in the following table: 

	Redemptions Notice	Redemptions	Liquidity
	Period	Permitted	Restrictions
Frontier Funds
Multi-Strategy
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC	24 hours	Daily	None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	24 hours	Daily	None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC	24 hours	Daily	None

63

Effective January 4, 2021, Volt Capital Management AB accessed through Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC became a new commodity trading advisor for Frontier Long/Short Commodity Fund.

6. Transactions with Affiliates

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

Expenses

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

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

64

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

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

Service Fees—In addition, with respect to Class 1 and Class 1a Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee of up to 3% and 2% annually, for the closed Series and open Series, respectively, which the Managing Owner pays to selling agents of the Trust. With respect to Class 2 Units of each Series of the Trust, as applicable, the Series pays monthly or quarterly to the Managing Owner a service fee of up to 0.25% annually, for the closed Series and open Series, respectively, which the Managing Owner pays to selling agents of the Trust.

As of March 31, 2021, the Trust had a payable to the Managing Owner in the amounts of $49,840, $1,629, $1,474, $83,487 and $36,796 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

As of December 31, 2020, the Trust had a payable to the Managing Owner in the amounts of $0, $8,854, $2,107, $81,698, and $36,705 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

For the three months ended March 31, 2021, the Managing Owner earned $49,840, $4,619, $116,113, and $243,165 for incentive fees, management fees, service fees, and trading fees, respectively.

For the three months ended March 31, 2020, the Managing Owner earned $0, $5,020, $202,335 and $448,028 for incentive fees, management fees, service fees, and trading fees, respectively.

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

Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (For the three months ended March 31, 2021, and 2020 amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees class 1a, Class 2a and Class 3a), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series.

During the three months ended March 31, 2021 and March 31, 2020, the Trust paid $4,145, and $5,872, respectively of such interest income to the Managing Owner. Such amounts are not included in the consolidated statements of operations of the Trust. All other interest income is recorded by the Trust on the consolidated statements of operations.

65

7. Financial Highlights

The following information presents the financial highlights of the Trust for the three months ended March 31, 2021 and March 31, 2020. This data has been derived from the information presented in the consolidated financial statements.

	2021			2020
Ratios to average net assets (1)
Net investment income/(loss) (1)		-6.20	%		-5.77<