Frontier Funds 10-Q 2017 Q3 Quarterly report

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the Period Ended September 30, 2017

OR

o 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 MASTERS FUND;

FRONTIER LONG/SHORT COMMODITY FUND;

FRONTIER BALANCED FUND;

FRONTIER SELECT FUND;

FRONTIER WINTON FUND;

FRONTIER HERITAGE FUND

(Exact Name of Registrant as specified in its Charter)

Delaware	36-6815533
(State of Organization)	(IRS Employer Identification No.)

c/o Frontier Fund Management LLC

25568 Genesee Trail Road

Golden, Colorado 80401

 (Address of Principal Executive Offices)

(303) 454-5500

(Registrant’s Telephone Number)

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

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

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

Frontier Long/Short Commodity Fund Class 2, Class 3, Class 1a, 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 Winton Fund Class 1, Class 1AP 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  x    No  o

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T (§232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files)    Yes  x    No  o

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

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

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

TABLE OF CONTENTS

PART I – FINANCIAL INFORMATION
Item 1.	Series Financial Statements
	Statements of Financial Condition as of September 30, 2017 (Unaudited) and December 31, 2016	5
	Condensed Schedules of Investments as of September 30, 2017 (Unaudited) and December 31, 2016	8
	Statements of Operations for the three and nine months ended September 30, 2017 and 2016 (Unaudited)	14
	Statements of Changes in Owners’ Capital for the nine months ended September 30, 2017 (Unaudited)	20
	Statements of Cash Flows for the nine months ended September 30, 2017 and 2016 (Unaudited)	24
	Notes to Financial Statements (Unaudited)	27
	Trust Financial Statements (1)
	Consolidated Statements of Financial Condition as of September 30, 2017 (Unaudited) and December 31, 2016	64
	Consolidated Condensed Schedules of Investments as of September 30, 2017 (Unaudited) and December 31, 2016	65
	Consolidated Statements of Operations for the three and nine months ended September 30, 2017 and 2016 (Unaudited)	67
	Consolidated Statement of Changes in Owners’ Capital for the nine months ended September 30, 2017 (Unaudited)	69
	Consolidated Statements of Cash Flows for the nine months ended September 30, 2017 and 2016 (Unaudited)	70
	Notes to Consolidated Financial Statements (Unaudited)	71
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	91
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	124
Item 4.	Controls and Procedures	129
PART II – OTHER INFORMATION
Item 1.	Legal Proceedings	129
Item 1A.	Risk Factors	129
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	129
Item 3.	Defaults Upon Senior Securities	130
Item 4.	Mine Safety Disclosures	130
Item 5.	Other Information	130
Item 6.	Exhibits	130
SIGNATURES		131

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

2

Special Note About Forward-Looking Statements

THIS REPORT CONTAINS STATEMENTS WHICH CONSTITUTE FORWARD-LOOKING STATEMENTS WITHIN THE MEANING OF THE PRIVATE SECURITIES LITIGATION REFORM ACT OF 1995 AND OTHER FEDERAL SECURITIES LAWS. THESE FORWARD-LOOKING STATEMENTS REFLECT THE MANAGING OWNER’S CURRENT EXPECTATIONS ABOUT THE FUTURE RESULTS, PERFORMANCE, PROSPECTS AND OPPORTUNITIES OF THE TRUST. THE MANAGING OWNER HAS TRIED TO IDENTIFY THESE FORWARD-LOOKING STATEMENTS BY USING WORDS SUCH AS “MAY,” “WILL,” “EXPECT,” “ANTICIPATE,” “BELIEVE,” “INTEND,” “SHOULD,” “ESTIMATE” OR THE NEGATIVE OF THOSE TERMS OR SIMILAR EXPRESSIONS. THESE FORWARD-LOOKING STATEMENTS ARE BASED ON INFORMATION CURRENTLY AVAILABLE TO THE MANAGING OWNER AND ARE SUBJECT TO A NUMBER OF RISKS, UNCERTAINTIES AND OTHER FACTORS, BOTH KNOWN, SUCH AS THOSE DESCRIBED IN THE “RISK FACTORS” SECTION UNDER 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 SEPTEMBER 30, 2017, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

3

PART I. FINANCIAL INFORMATION

ITEM 1. Series Financial Statements

4

The Series of Frontier Funds

Statements of Financial Condition

September 30, 2017 (Unaudited) and December 31, 2016

	Frontier				Frontier				Frontier
	Diversified Fund				Masters Fund				Long/Short Commodity Fund
		9/30/2017		12/31/2016		9/30/2017		12/31/2016		9/30/2017		12/31/2016
ASSETS
Cash and cash equivalents	$	108,110	$	674,227	$	1,543,050	$	546,509	$	386,359	$	—
U.S. Treasury securities, at fair value		114,067		6,525,280		1,628,063		4,313,843		407,645		—
Swap contracts, at fair value		6,571,635		8,637,847		—		—		410,372		4,220,468
Investments in private investment companies, at fair value		16,714,000		38,845,974		7,502,620		5,653,708		3,659,353		6,715,142
Investments in unconsolidated trading companies, at fair value		1,823,277		4,201,628		1,291,973		6,678,106		82,293		—
Interest receivable		748		121,792		10,668		80,516		2,671		—
Receivable from related parties		—		231,671		—		153,157		—		87,670
Other assets		36,187		—		—		—		—		—
Total Assets	$	25,368,024	$	59,238,419	$	11,976,373	$	17,425,839	$	4,948,693	$	11,023,280
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	231,198	$	61,482	$	—	$	131,841	$	73,028	$	5,738
Management fees payable to Managing Owner		—		23,496		—		50,174		—		—
Interest payable to Managing Owner		—		—		—		—		9		—
Service fees payable to Managing Owner		70,896		15,193		18,635		9,037		1,572		3,542
Trading fees payable to Managing Owner		70,173		147,183		50,379		57,890		12,762		23,478
Payables to related parties		—		—		—		—		—		1,603,124
Advance on unrealized Swap Appreciation		2,500,000		2,500,000		—		—		115,000		115,000
Other liabilities		—		19,674		1,812		7,590		1,390		6,871
Total Liabilities		2,872,267		2,767,028		70,826		256,532		203,761		1,757,753
CAPITAL
Managing Owner - Class 2		31,477		460,196		91,161		336,691		12,053		299,889
Managing Owner - Class 2a		—		—		—		—		34,758		234,742
Managing Owner - Class 3		200,596		33,899		29,488		32,970		—		—
Managing Owner - Class 3a		—		—		—		—		1,791		11,715
Limited Owner - Class 1		3,352,300		5,189,420		2,949,731		5,361,626		—		—
Limited Owner - Class 1a		—		—		—		—		130,409		1,913,595
Limited Owner - Class 2		9,516,324		37,771,385		3,103,061		5,320,871		311,214		508,474
Limited Owner - Class 2a		—		—		—		—		433,066		728,453
Limited Owner - Class 3		9,395,060		13,016,491		5,732,106		6,117,149		2,558,912		4,405,863
Limited Owner - Class 3a		—		—		—		—		1,262,729		1,162,796
Total Owners’ Capital		22,495,757		56,471,391		11,905,547		17,169,307		4,744,932		9,265,527
Non-Controlling Interests		—		—		—		—		—		—
Total Capital		22,495,757		56,471,391		11,905,547		17,169,307		4,744,932		9,265,527
Total Liabilities and Capital	$	25,368,024	$	59,238,419	$	11,976,373	$	17,425,839	$	4,948,693	$	11,023,280
Units Outstanding
Class 1		30,448		44,569		29,673		47,531		N/A		N/A
Class 1a		N/A		N/A		N/A		N/A		1,566		20,628
Class 2		75,004		287,586		27,788		43,933		2,779		6,240
Class 2a		N/A		N/A		N/A		N/A		4,906		9,115
Class 3		81,132		105,869		53,731		51,297		20,968		33,685
Class 3a		N/A		N/A		N/A		N/A		12,672		10,925
Net Asset Value per Unit
Class 1	$	110.10	$	116.43	$	99.41	$	112.80		N/A		N/A
Class 1a		N/A		N/A		N/A		N/A	$	83.26	$	92.78
Class 2	$	127.30	$	132.94	$	114.95	$	128.78	$	116.32	$	129.56
Class 2a		N/A		N/A		N/A		N/A	$	95.36	$	105.67
Class 3	$	118.27	$	123.27	$	107.23	$	119.89	$	122.04	$	130.80
Class 3a		N/A		N/A		N/A		N/A	$	99.79	$	107.50

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

5

The Series of Frontier Funds

Statements of Financial Condition

September 30, 2017 (Unaudited) and December 31, 2016

	Frontier Balanced Fund				Frontier Select Fund
	9/30/2017		12/31/2016		9/30/2017		12/31/2016
ASSETS
Cash and cash equivalents	$	1,107,407	$	1,083,579	$	355,532	$	432,021
U.S. Treasury securities, at fair value		1,168,419		9,770,117		375,120		2,912,611
Receivable from futures commission merchants		6,154,218		6,647,098		—		8,208,218
Open trade equity, at fair value		—		237,661		—		686,022
Swap contracts, at fair value		11,845,938		18,939,450		—		—
Investments in private investment companies, at fair value		31,750,183		45,305,273		4,940,214		—
Investments in unconsolidated trading companies, at fair value		2,751,967		5,965,331		549,656		3,910,866
Interest receivable		7,656		182,355		2,458		54,363
Receivable from related parties		—		346,875		—		103,407
Other assets		85,207		—		—		—
Total Assets	$	54,870,995	$	88,477,739	$	6,222,980	$	16,307,508
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	159,734	$	—	$	—	$	—
Owner redemptions payable		284,599		780,970		2,142		134,579
Management fees payable to Managing Owner		12,779		25,217		—		21,219
Interest payable to Managing Owner		3,271		21,606		874		3,518
Service fees payable to Managing Owner		139,793		129,956		16,650		25,966
Trading fees payable to Managing Owner		149,699		203,324		15,571		18,129
Risk analysis fees payable		9,431		1,155		—		2,303
Advance on unrealized Swap Appreciation		4,926,555		4,926,555		—		—
Other liabilities		—		89,585		6,076		11,939
Total Liabilities		5,685,861		6,178,368		41,313		217,653
CAPITAL
Managing Owner - Class 2		175,786		530,387		60,868		9,397
Managing Owner - Class 2a		321,613		209,112		—		—
Limited Owner - Class 1		39,265,876		56,955,371		5,422,744		10,540,702
Limited Owner - Class 1AP		570,654		677,181		19,118		29,897
Limited Owner - Class 2		7,272,668		21,871,170		678,937		1,402,043
Limited Owner - Class 2a		179,618		307,144		—		—
Limited Owner - Class 3a		1,398,919		1,749,006		—		—
Total Owners’ Capital		49,185,134		82,299,371		6,181,667		11,982,039
Non-Controlling Interests		—		—		—		4,107,816
Total Capital		49,185,134		82,299,371		6,181,667		16,089,855
Total Liabilities and Capital	$	54,870,995	$	88,477,739	$	6,222,980	$	16,307,508
Units Outstanding
Class 1		306,284		422,529		72,831		112,059
Class 1AP		4,048		4,671		233		296
Class 2		39,276		114,886		6,809		10,514
Class 2a		3,038		3,054		N/A		N/A
Class 3a		8,508		10,380		N/A		N/A
Net Asset Value per Unit
Class 1	$	128.20	$	134.80	$	74.46	$	94.06
Class 1AP	$	140.98	$	144.97	$	81.88	$	101.16
Class 2	$	189.64	$	194.99	$	108.66	$	134.25
Class 2a	$	164.98	$	169.05		N/A		N/A
Class 3a	$	164.42	$	168.49		N/A		N/A

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

6

The Series of Frontier Funds

Statements of Financial Condition

September 30, 2017 (Unaudited) and December 31, 2016

	Frontier Winton Fund				Frontier Heritage Fund
	9/30/2017		12/31/2016		9/30/2017		12/31/2016
ASSETS
Cash and cash equivalents	$	7,084,811	$	1,628,208	$	845,156	$	382,499
U.S. Treasury securities, at fair value		7,475,143		15,533,863		891,719		3,701,890
Receivable from futures commission merchants		13,886,638		17,996,697		—		—
Open trade equity, at fair value		—		1,222,524		—		—
Investments in unconsolidated trading companies, at fair value		1,509,031		4,072,450		1,325,847		2,744,640
Investments in private investment companies, at fair value		—		—		2,186,171		—
Swap contracts, at fair value		—		—		2,877,501		8,391,414
Interest receivable		48,981		289,933		5,845		69,095
Receivable from related parties		—		551,508		—		131,430
Other assets		—		—		10,158		—
Total Assets	$	30,004,604	$	41,295,183	$	8,142,397	$	15,420,968
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	460,234	$	—	$	—	$	—
Owner redemptions payable		13,262		23,162		33,900		—
Management fees payable to Managing Owner		94,655		256,824		—		56,501
Interest payable to Managing Owner		—		30,730		2,175		7,420
Service fees payable to Managing Owner		49,008		39,370		13,736		16,457
Trading fees payable to Managing Owner		41,203		55,142		14,481		17,953
Risk analysis fees payable		26,057		12,215		—		—
Advance on unrealized Swap Appreciation		—		—		1,900,000		1,900,000
Other liabilities		113,299		2,880		—		18,085
Total Liabilities		797,718		420,323		1,964,292		2,016,416
CAPITAL
Managing Owner - Class 2		230,291		43,553		58,783		73,660
Limited Owner - Class 1		12,330,314		20,284,935		4,964,672		7,507,072
Limited Owner - Class 1AP		33,413		35,478		5,280		5,826
Limited Owner - Class 2		10,187,380		11,402,560		675,441		2,670,715
Total Owners’ Capital		22,781,398		31,766,526		5,704,176		10,257,273
Non-Controlling Interests		6,425,488		9,108,334		473,929		3,147,279
Total Capital		29,206,886		40,874,860		6,178,105		13,404,552
Total Liabilities and Capital	$	30,004,604	$	41,295,183	$	8,142,397	$	15,420,968
Units Outstanding
Class 1		86,649		131,283		46,843		62,779
Class 1AP		214		214		45		45
Class 2		52,429		54,251		4,707		15,946
Net Asset Value per Unit
Class 1	$	142.30	$	154.51	$	105.99	$	119.58
Class 1AP	$	156.50	$	166.17	$	116.55	$	128.60
Class 2	$	198.70	$	210.98	$	155.97	$	172.10

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

7

The Series of Frontier Funds

Condensed Schedule of Investments (Unaudited)

September 30, 2017

			Frontier					Frontier					Frontier
			Diversified Fund					Masters Fund					Long/Short Commodity Fund
			Fair		% of Total Capital			Fair		% of Total Capital			Fair		% of Total Capital
Description			Value		(Net Asset Value)			Value		(Net Asset Value)			Value		(Net Asset Value)
SWAPS (1)
		Frontier XXXV Diversified select swap (U.S.)	$	6,571,635		29.21	%	$	—		—		$	—		—
		Frontier XXXVII L/S select swap (U.S.)		—		—			—		—			410,372		8.65	%
		Total Swaps	$	6,571,635		29.21	%	$	—		—		$	410,372		8.65	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Chesapeake Feeder Fund (518)	$	722,633		3.21	%	$	865,329		7.27	%	$	288,063		6.07	%
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		1,075,881		4.78	%		1,175,471		9.87	%		587,006		12.37	%
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		1,249,419		5.55	%		—		—			—		—
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		1,655,859		7.36	%		—		—			—		—
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		3,211,147		14.27	%		—		—			—		—
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		2,708,242		12.04	%		—		—			—		—
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		330,973		1.47	%		—		—			—		—
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		557,457		2.48	%		—		—			—		—
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		5,043,730		22.42	%		3,172,747		26.65	%		1,310,893		27.63	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		—		0.00	%		2,289,073		19.23	%		—		—
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		158,659		0.71	%		—		—			1,473,391		31.05	%
		Total Private Investment Companies	$	16,714,000		74.29	%	$	7,502,620		63.02	%	$	3,659,353		77.12	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	23,027		0.10	%	$	328,662		2.76	%	$	82,293		1.73	%
		Frontier Trading Company II, LLC		1,800,250		8.00	%		963,311		8.09	%		—		—
		Total Investment in Unconsolidated Trading Companies	$	1,823,277		8.10	%	$	1,291,973		10.85	%	$	82,293		1.73	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value					Fair Value					Fair Value
$	9,000,000	US Treasury Note 6.875% due 08/15/2025 (Cost $12,218,715)	$	114,067		0.51	%	$	1,628,063		13.67	%	$	407,645		8.59	%
			$	114,067		0.51	%	$	1,628,063		13.67	%	$	407,645		8.59	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	85,123				$	1,214,954				$	304,209
			$	85,123				$	1,214,954				$	304,209
Additional Disclosure on U.S. Treasury Securities			Cost					Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	115,566				$	1,649,465				$	413,004
			$	115,566				$	1,649,465				$	413,004

(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 (Unaudited)

September 30, 2017

			Frontier						Frontier
			Balanced Fund						Select Fund
			Fair			% of Total Capital			Fair		% of Total Capital
Description			Value			(Net Asset Value)			Value		(Net Asset Value)
LONG FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	71,619			0.15	%	$	—		0.00	%
		Various energy futures contracts (U.S.)		955			0.00	%		—		0.00	%
		Various interest rates futures contracts (Europe)		3,399			0.01	%		—		0.00	%
		Various precious metal futures contracts (U.S.)		725			0.00	%		—		0.00	%
		Various soft futures contract (U.S.)		9,983			0.02	%		—		0.00	%
		Various stock index futures contracts (Canada)		8,187			0.02	%		—		0.00	%
		Various stock index futures contracts (Europe)		8,831			0.02	%		—		0.00	%
		Various stock index futures contracts (Far East)		(3,072	)		-0.01	%		—		0.00	%
		Total Long Futures Contracts	$	100,627			0.21	%	$	—		0.00	%
SHORT FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	(95,364	)		-0.19	%	$	—		—
		Various interest rates futures contracts (Europe)		8,214			0.02	%		—		0.00	%
		Various interest rates futures contracts (Canada)		60,696			0.12	%		—		0.00	%
		Various precious metal futures contracts (U.S.)		10,795			0.02	%		—		0.00	%
		Various soft futures contract (U.S.)		17,155			0.03	%		—		0.00	%
		Various soft futures contracts (Far East)		107			0.00	%		—		0.00	%
		Various soft futures contracts (Europe)		(1,248	)		0.00	%		—		0.00	%
		Total Short Futures Contracts	$	355			0.00	%	$	—		0.00	%
CURRENCY FORWARDS*
		Various currency forwards contracts (NA)	$	(260,716	)		-0.53	%	$	—		0.00	%
		Total Currency Forwards	$	(260,716	)		-0.53	%	$	—		0.00	%
		Total Open Trade Equity (Deficit)	$	(159,734	)		-0.32	%	$	—		0.00	%
SWAP (1)
		Frontier XXXIV Balanced select swap (U.S.)	$	11,845,938			24.08	%	$	—		—
		Total Swap	$	11,845,938			24.08	%	$	—		—
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	2,347,500			4.77	%	$	—		—
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,673,873			3.40	%		—		—
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		2,499,087			5.08	%		—		—
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		5,422,757			11.03	%		—		—
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		5,589,051			11.36	%		—		—
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		4,714,039			9.58	%		—		—
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		397,037			0.81	%		—		—
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		8,775,566			17.84	%		2,732,714		44.21	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		—			0.00	%		2,207,500		35.71	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		331,273			0.67	%		—		—
		Total Private Investment Companies	$	31,750,183			64.54	%	$	4,940,214		79.92	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company II, LLC	$	2,516,095			5.12	%	$	—		—
		Frontier Trading Company XXXVIII, LLC		235,872			0.48	%		75,727		1.23	%
		Frontier Trading Company XXXIX, LLC		—			—			473,929		7.67	%
		Total Investment in Unconsolidated Trading Companies	$	2,751,967			5.60	%	$	549,656		8.90	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value						Fair Value
$	9,000,000	US Treasury Note 6.875% due 08/15/2025 (Cost $12,218,715)		1,168,419			2.38	%		375,120		6.07	%
			$	1,168,419			2.38	%	$	375,120		6.07	%
Additional Disclosure on U.S. Treasury Securities			Face Value						Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	871,942					$	279,936
			$	871,942					$	279,936
Additional Disclosure on U.S. Treasury Securities			Cost						Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	1,183,778					$	380,051
			$	1,183,778					$	380,051

* 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.

9

The Series of Frontier Funds

Condensed Schedule of Investments (Unaudited)

September 30, 2017

			Frontier						Frontier
			Winton Fund						Heritage Fund
			Fair			% of Total Capital			Fair		% of Total Capital
		Description	Value			(Net Asset Value)			Value		(Net Asset Value)
LONG FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	(72,467	)		-0.25	%	$	—		—
		Various currency futures contracts (Canada)		(107,355	)		-0.37	%		—		—
		Various currency futures contracts (Oceanic)		(60,940	)		-0.21	%		—		—
		Various currency futures contracts (U.S.)		(58,760	)		-0.20	%		—		—
		Various currency futures contracts (Europe)		(75,098	)		-0.26	%		—		—
		Various energy futures contracts (U.S.)		55,813			0.19	%		—		—
		Various interest rates futures contracts (Canada)		(2,271	)		-0.01	%		—		—
		Various interest rates futures contracts (Europe)		(189,816	)		-0.65	%		—		—
		Various interest rates futures contracts (Far East)		(46,634	)		-0.16	%		—		—
		Various interest rates futures contracts (Oceanic)		(38,210	)		-0.13	%		—		—
		Various interest rates futures contracts (U.S.)		(384,070	)		-1.31	%		—		—
		Various precious metal futures contracts (U.S.)		(105,765	)		-0.36	%		—		—
		Various soft futures contract (U.S.)		(36,290	)		-0.12	%		—		—
		Various soft futures contracts (Canada)		(413	)		0.00	%		—		—
		Various stock index futures contracts (Africa)		(176	)		0.00	%		—		—
		Various stock index futures contracts (Canada)		7,297			0.02	%		—		—
		Various stock index futures contracts (Europe)		232,564			0.80	%		—		—
		Various stock index futures contracts (Far East)		314,563			1.08	%		—		—
		Various stock index futures contracts (Oceanic)		(7,241	)		-0.02	%		—		—
		Various stock index futures contracts (U.S.)		323,106			1.11	%		—		—
		Total Long Futures Contracts	$	(252,163	)		-0.85	%	$	—	$	—
SHORT FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	13,901			0.05	%	$	—		—
		Various currency futures contracts (Europe)		21,788			0.07	%		—		—
		Various currency futures contracts (Far East)		324,593			1.11	%		—		—
		Various energy futures contracts (U.S.)		(43,910	)		-0.15	%		—		—
		Various interest rates futures contracts (Canada)		(40	)		0.00	%		—		—
		Various interest rates futures contracts (Europe)		(27	)		0.00	%		—		—
		Various interest rates futures contracts (U.S.)		31,961			0.11	%		—		—
		Various precious metal futures contracts (U.S.)		7,070			0.02	%		—		—
		Various soft futures contract (Europe)		(815	)		0.00	%		—		—
		Various soft futures contract (U.S.)		193,737			0.66	%		—		—
		Various stock index futures contracts (U.S.)		(458,500	)		-1.57	%		—		—
		Total Short Futures Contracts	$	89,758			0.30	%	$	—	$	—
CURRENCY FORWARDS*
		Various currency forwards contracts (NA)	$	(297,829	)		-1.02	%	$	—		—
		Total Currency Forwards	$	(297,829	)		-1.02	%	$	—		—
		Total Open Trade Equity (Deficit)	$	(460,234	)		-1.58	%	$	—		—
SWAP (1)
		Frontier Brevan Howard swap (U.S.)	$	—			—		$	2,877,501		46.58	%
		Total Swap	$	—			—		$	2,877,501		46.58	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	$	—			—		$	2,186,171		35.39	%
		Total Private Investment Companies	$	—			—		$	2,186,171		35.39	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company II, LLC	$	—			—		$	1,145,833		18.55	%
		Frontier Trading Company XXXVIII, LLC		1,509,031			5.17	%		180,014		2.91	%
		Total Investment in Unconsolidated Trading Companies	$	1,509,031			5.17	%	$	1,325,847		21.46	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value						Fair Value
$	9,000,000	US Treasury Note 6.875% due 08/15/2025 (Cost $12,218,715)	$	7,475,143			25.59	%	$	891,719		14.43	%
			$	7,475,143			25.59	%	$	891,719		14.43	%
Additional Disclosure on U.S. Treasury Securities			Face Value						Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	5,578,384					$	665,452
			$	5,578,384					$	665,452
Additional Disclosure on U.S. Treasury Securities			Cost						Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	7,573,409					$	903,442
			$	7,573,409					$	903,442

* 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.

10

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2016

			Frontier					Frontier					Frontier
			Diversified Fund					Masters Fund					Long/Short Commodity Fund
			Fair		% of Total Capital			Fair		% of Total Capital			Fair		% of Total Capital
Description			Value		(Net Asset Value)			Value		(Net Asset Value)			Value		(Net Asset Value)
SWAPS (1)
		Frontier XXXV Diversified select swap (U.S.)	$	8,637,847		15.30	%	$	—		—		$	—		—
		Frontier XXXVII L/S select swap (U.S.)		—		—			—		—			4,220,468		45.55	%
		Total Swaps	$	8,637,847		15.30	%	$	—		—		$	4,220,468		45.55	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Chesapeake Feeder Fund (518)	$	6,399,628		11.33	%	$	3,455,090		20.12	%	$	1,610,890		17.39	%
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		3,558,715		6.30	%		2,198,618		12.81	%		1,611,845		17.40	%
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		2,412,065		4.27	%		—		—			—		—
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		4,103,564		7.27	%		—		—			—		—
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		7,819,114		13.85	%		—		—			—		—
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		8,600,401		15.23	%		—		—			—		—
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		2,996,494		5.31	%		—		—			—		—
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,856,786		3.29	%		—		—			—		—
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		1,099,207		1.95	%		—		—			3,492,407		37.69	%
		Total Private Investment Companies	$	38,845,974		68.77	%	$	5,653,708		32.93	%	$	6,715,142		72.46	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	1,710,707		3.03	%	$	1,130,943		6.59	%	$	—		—
		Frontier Trading Company XV, LLC		—		—			4,107,816		23.93	%		—		—
		Frontier Trading Company II, LLC		2,490,921		4.41	%		1,439,347		8.38	%		—		—
		Total Investment in Unconsolidated Trading Companies	$	4,201,628		7.44	%	$	6,678,106		38.90	%	$	—		0.00	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value					Fair Value					Fair Value
$	15,900,000	US Treasury Note 6.000% due 02/15/2026 (Cost $23,564,442)	$	3,138,309		5.56	%	$	2,074,726		12.08	%	$	—		—
$	16,400,000	US Treasury Note 6.875% due 08/15/2025 (Cost $22,950,579)		3,386,971		6.00	%		2,239,117		13.04	%		—		—
			$	6,525,280		11.56	%	$	4,313,843		25.13	%	$	—		—
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value
		US Treasury Note 6.000% due 02/15/2026 (2)	$	2,489,283				$	1,645,658
		US Treasury Note 6.875% due 08/15/2025 (2)		2,567,563					1,697,408
			$	5,056,846				$	3,343,066
Additional Disclosure on U.S. Treasury Securities			Cost					Cost
		US Treasury Note 6.000% due 02/15/2026 (2)	$	3,502,510				$	2,315,499
		US Treasury Note 6.875% due 08/15/2025 (2)		3,596,193					2,377,432
			$	7,098,703				$	4,692,931

(1) See Note 4 to the Financial Statements.

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

(3) See Note 5 to the Financial Statements.

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

11

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2016

			Frontier						Frontier
			Balanced Fund						Select Fund
			Fair			% of Total Capital			Fair			% of Total Capital
Description			Value			(Net Asset Value)			Value			(Net Asset Value)
LONG FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	11,675			0.01	%	$	56,169			0.35	%
		Various currency futures contracts (Europe)		—			—			73,909			0.46	%
		Various currency futures contracts (Far East)		—			—			1,360			0.01	%
		Various currency futures contracts (Oceanic)		—			—			(41,946	)		-0.26	%
		Various currency futures contracts (U.S.)		39,959			0.05	%		10,283			0.06	%
		Various energy futures contracts (U.S.)		(10,780	)		-0.01	%		163,930			1.02	%
		Various energy futures contracts (Europe)		—			—			4,150			0.03	%
		Various energy futures contracts (Far East)		—			—			8,788			0.05	%
		Various interest rates futures contracts (Canada)		—			—			(503	)		0.00	%
		Various interest rates futures contracts (Europe)		—			—			166,812			1.04	%
		Various interest rates futures contracts (Oceanic)		—			—			444			0.00	%
		Various interest rates futures contracts (U.S.)		—			—			18,191			0.11	%
		Various precious metal futures contracts (Far East)		—			—			1,950			0.01	%
		Various soft futures contract (Europe)		—			—			1,956			0.01	%
		Various soft futures contract (Far East)		—			—			111			0.00	%
		Various soft futures contract (U.S.)		—			—			(39,001	)		-0.24	%
		Various soft futures contracts (Far East)		—			—			2,808			0.02	%
		Various soft futures contract (U.S.)		(54,314	)		-0.07	%		—			—
		Various stock index futures contracts (Canada)		—			—			1,894			0.01	%
		Various stock index futures contracts (Europe)		3,375			0.00	%		56,849			0.35	%
		Various stock index futures contracts (Far East)		25,750			0.03	%		31,540			0.20	%
		Various stock index futures contracts (Oceanic)		—			—			4,760			0.03	%
		Various stock index futures contracts (U.S.)		(29,115	)		-0.04	%		(53,378	)		-0.33	%
		Total Long Futures Contracts	$	(13,450	)		-0.03	%	$	471,076			2.93	%
SHORT FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	81,563			0.10	%	$	(29,896	)		-0.19	%
		Various currency futures contracts (Canada)		—			—			195			0.00	%
		Various currency futures contracts (Europe)		—			—			85,470			0.53	%
		Various currency futures contracts (Far East)		—			—			19,041			0.12	%
		Various currency futures contracts (Oceanic)		—			—			4,623			0.03	%
		Various currency futures contracts (U.S.)		—			—			(8,460	)		-0.05	%
		Various interest rates futures contracts (Canada)		6,253			0.01	%		155			0.00	%
		Various interest rates futures contracts (Europe)		—			—			(8,823	)		-0.05	%
		Various interest rates futures contracts (Far East)		686			0.00	%		(6,019	)		-0.04	%
		Various interest rates futures contracts (Oceanic)		26,568			0.03	%		(1,211	)		-0.01	%
		Various interest rates futures contracts (U.S.)		—			—			45,201			0.28	%
		Various precious metal futures contracts (U.S.)		4,790			0.01	%		29,150			0.18	%
		Various soft futures contract (U.S.)		110,548			0.13	%		—			0.00	%
		Various soft futures contracts (Europe)		53,851			0.07	%		14,154			0.09	%
		Various soft futures contracts (U.S.)		15,398			0.02	%		46,657			0.29	%
		Various stock index futures contracts (Africa)		2,440			0.00	%		—			0.00	%
		Various stock index futures contracts (Europe)		—			—			(2,802	)		-0.02	%
		Various stock index futures contracts (Far East)		—			—			(2,456	)		-0.02	%
		Various stock index futures contracts (U.S.)		—			—			23,255			0.14	%
		Total Short Futures Contracts	$	302,097			0.37	%	$	208,234			1.29	%
CURRENCY FORWARDS*
		Various currency forwards contracts (NA)	$	(50,986	)		-0.06	%	$	6,712			0.04	%
		Total Currency Forwards	$	(50,986	)		-0.06	%	$	6,712			0.04	%
		Total Open Trade Equity (Deficit)	$	237,661			0.28	%	$	686,022			4.26	%
SWAP (1)
		Frontier XXXIV Balanced select swap (U.S.)	$	18,939,450			23.01	%	$	—			—
		Total Swap	$	18,939,450			23.01	%	$	—			—
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	4,190,798			5.09	%	$	—			—
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		2,786,543			3.39	%		—			—
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		4,114,892			5.00	%		—			—
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		7,071,313			8.59	%		—			—
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		12,623,819			15.34	%		—			—
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		10,626,274			12.91	%		—			—
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		2,989,088			3.63	%		—			—
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		902,546			1.10	%		—			—
		Total Private Investment Companies	$	45,305,273			55.05	%	$	—			—
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company II, LLC	$	3,403,939			4.14	%	$	—			—
		Frontier Trading Company XXXVIII, LLC		2,561,392			3.11	%		763,587			4.75	%
		Frontier Trading Company XXXIX, LLC		—			—			3,147,279			19.56	%
		Total Investment in Unconsolidated Trading Companies	$	5,965,331			7.25	%	$	3,910,866			24.31	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value						Fair Value
$	15,900,000	US Treasury Note 6.000% due 02/15/2026 (Cost $23,564,442)	$	4,698,901			5.71	%	$	1,400,809			8.71	%
$	16,400,000	US Treasury Note 6.875% due 08/15/2025 (Cost $22,950,579)		5,071,216			6.16	%		1,511,802			9.40	%
			$	9,770,117			11.87	%	$	2,912,611			18.10	%
Additional Disclosure on U.S. Treasury Securities			Face Value						Face Value
		US Treasury Note 6.000% due 02/15/2026 (2)	$	3,727,134					$	1,111,111
		US Treasury Note 6.875% due 08/15/2025 (2)		3,844,339						1,146,052
			$	7,571,473					$	2,257,163
Additional Disclosure on U.S. Treasury Securities			Cost						Cost
		US Treasury Note 6.000% due 02/15/2026 (2)	$	5,244,210					$	1,563,373
		US Treasury Note 6.875% due 08/15/2025 (2)		5,384,478						1,605,189
			$	10,628,688					$	3,168,562

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

(1) See Note 4 to the Financial Statements.

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

(3) See Note 5 to the Financial Statements.

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

12

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2016

			Frontier						Frontier
			Winton Fund						Heritage Fund
			Fair			% of Total Capital			Fair		% of Total Capital
		Description	Value			(Net Asset Value)			Value		(Net Asset Value)
LONG FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	(88,088	)		-0.22	%	$	—		—
		Various energy futures contracts (U.S.)		65,612			0.16	%		—		—
		Various interest rates futures contracts (Europe)		88,638			0.22	%		—		—
		Various interest rates futures contracts (Oceanic)		(341	)		0.00	%		—		—
		Various interest rates futures contracts (U.S.)		7,094			0.02	%		—		—
		Various precious metal futures contracts (U.S.)		(3,860	)		-0.01	%		—		—
		Various soft futures contract (U.S.)		(84,938	)		-0.21	%		—		—
		Various soft futures contracts (Canada)		(2,131	)		-0.01	%		—		—
		Various stock index futures contracts (Canada)		(969	)		0.00	%		—		—
		Various stock index futures contracts (Europe)		242,128			0.59	%		—		—
		Various stock index futures contracts (Far East)		305,316			0.75	%		—		—
		Various stock index futures contracts (Oceanic)		57,116			0.14	%		—		—
		Various stock index futures contracts (U.S.)		(201,831	)		-0.49	%		—		—
		Total Long Futures Contracts	$	383,746			0.94	%	$	—		—
SHORT FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	(252,279	)		-0.62	%	$	—		—
		Various currency futures contracts (Canada)		11,540			0.03	%		—		—
		Various currency futures contracts (Europe)		272,806			0.67	%		—		—
		Various currency futures contracts (Far East)		168,888			0.41	%		—		—
		Various currency futures contracts (Oceanic)		2,980			0.01	%		—		—
		Various currency futures contracts (U.S.)		9,590			0.02	%		—		—
		Various energy futures contracts (U.S.)		(82,280	)		-0.20	%		—		—
		Various interest rates futures contracts (Canada)		(1,012	)		0.00	%		—		—
		Various interest rates futures contracts (Europe)		(8,794	)		-0.02	%		—		—
		Various interest rates futures contracts (Far East)		(11,060	)		-0.03	%		—		—
		Various interest rates futures contracts (Oceanic)		(2,831	)		-0.01	%		—		—
		Various interest rates futures contracts (U.S.)		127,078			0.31	%		—		—
		Various precious metal futures contracts (U.S.)		174,345			0.43	%		—		—
		Various soft futures contract (Europe)		44,780			0.11	%		—		—
		Various soft futures contract (U.S.)		291,378			0.71	%		—		—
		Various stock index futures contracts (Africa)		2,019			0.00	%		—		—
		Various stock index futures contracts (U.S.)		(7,228	)		-0.02	%		—		—
		Total Short Futures Contracts	$	739,920			1.80	%	$	—		—
CURRENCY FORWARDS*
		Various currency forwards contracts (NA)	$	98,858			0.24	%	$	—		—
		Total Currency Forwards	$	98,858			0.24	%	$	—		—
		Total Open Trade Equity (Deficit)	$	1,222,524			2.98	%	$	—		—
SWAP (1)
		Frontier Brevan Howard swap (U.S.)	$	—			—		$	8,391,414		62.60	%
		Total Swap	$	—			—		$	8,391,414		62.60	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company II, LLC	$	—			—		$	1,774,130		13.24	%
		Frontier Trading Company XXXVIII, LLC		4,072,450			9.96	%		970,510		7.24	%
		Total Investment in Unconsolidated Trading Companies	$	4,072,450			9.96	%	$	2,744,640		20.48	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value						Fair Value
$	15,900,000	US Treasury Note 6.000% due 02/15/2026 (Cost $23,564,442)	$	7,470,952			18.28	%	$	1,780,410		13.28	%
$	16,400,000	US Treasury Note 6.875% due 08/15/2025 (Cost $22,950,579)		8,062,911			19.73	%		1,921,480		14.33	%
			$	15,533,863			38.00	%	$	3,701,890		27.61	%
Additional Disclosure on U.S. Treasury Securities			Face Value						Face Value
		US Treasury Note 6.000% due 02/15/2026 (2)	$	5,925,905					$	1,412,208
		US Treasury Note 6.875% due 08/15/2025 (2)		6,112,254						1,456,617
			$	12,038,159					$	2,868,825
Additional Disclosure on U.S. Treasury Securities			Cost						Cost
		US Treasury Note 6.000% due 02/15/2026 (2)	$	8,337,960					$	1,987,027
		US Treasury Note 6.875% due 08/15/2025 (2)		8,560,976						2,040,174
			$	16,898,936					$	4,027,201

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

(1) See Note 4 to the Financial Statements.

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

(3) See Note 5 to the Financial Statements.

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

13

The Series of Frontier Funds

Statements of Operations

For the Three Months Ended September 30, 2017 and 2016

(Unaudited)

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016			9/30/2017			9/30/2016
Investment income:
Interest - net	$	1,825		$	31,817		$	13,174		$	23,296		$	—		$	—
Total Income		1,825			31,817			13,174			23,296			—			—
Expenses:
Incentive Fees (rebate)		—			—			—			—			—			—
Management Fees		13,509			40,434			26,862			—			—			6,851
Service Fees - Class 1		24,584			36,250			19,585			33,907			1,867			14,402
Trading Fees		221,452			322,895			151,229			114,515			40,897			37,307
Other Fees		—			4,969			—			—			(2,428	)		6,787
Total Expenses		259,545			404,548			197,676			148,422			40,336			65,347
Investment (loss) - net		(257,720	)		(372,731	)		(184,502	)		(125,126	)		(40,336	)		(65,347	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—						—			—
Net unrealized gain/(loss) on private investment companies		(581,919	)		(560,053	)		(284,393	)		295,116			2,553			(432,935	)
Net realized gain/(loss) on private investment companies		475,572			—			152,190			—			22,256			—
Net change in open trade equity/(deficit)		—			—			—			—			—			—
Net unrealized gain/(loss) on swap contracts		145,433			302,129			—			—			50,384			113,899
Net realized gain/(loss) on U.S. Treasury securities		—			432,470			—			207,576			—			(139,693	)
Net unrealized gain/(loss) on U.S. Treasury securities		(3,031	)		(612,891	)		(5,333	)		(306,776	)		(1,069	)		288,423
Trading commissions		—			(19	)		—			(11	)		—			—
Change in fair value of investments in unconsolidated trading companies		32,229			(51,825	)		31,473			(129,127	)		(1,334	)		(93,510	)
Net gain/(loss) on investments		68,284			(490,189	)		(106,063	)		66,778			72,790			(263,816	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(189,436	)		(862,920	)		(290,565	)		(58,348	)		32,454			(329,163	)
Less: Operations attributable to non-controlling interests		—			—			—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(189,436	)	$	(862,922	)	$	(290,565	)	$	(58,348	)	$	32,454		$	(329,162	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(1.63	)	$	(2.27	)	$	(2.98	)	$	(0.81	)		N/A			N/A
Class 1a		N/A			N/A			.			N/A		$	(0.37	)	$	(3.21	)
Class 2	$	(1.32	)	$	(1.98	)	$	(2.95	)	$	(0.31	)	$	(0.03	)	$	(4.99	)
Class 2a		N/A			N/A			N/A			N/A		$	(0.03	)	$	(3.49	)
Class 3	$	(1.15	)	$	(1.75	)	$	(2.67	)	$	(0.20	)	$	(0.02	)	$	(3.68	)
Class 3a		N/A			N/A			N/A			N/A		$	0.03		$	(2.15	)

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

14

The Series of the Frontier Funds

Statements of Operations

For the Three Months Ended September 30, 2017 and 2016

(Unaudited)

	Frontier Balanced Fund						Frontier Select Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016
Investment income:
Interest - net	$	8,254		$	2,752		$	—		$	—
Total Income/(loss)		8,254			2,752			—			—
Expenses:
Incentive Fees (rebate)		—			(1,112	)		—			4,472
Management Fees		25,760			37,214			—			96,115
Risk analysis Fees		5,009			—			—			—
Service Fees - Class 1		323,572			436,232			46,479			85,059
Trading Fees		462,275			189,199			39,673			46,641
Other Fees		—			(484	)		—			—
Total Expenses		816,616			661,050			86,152			232,287
Investment (loss) - net		(808,362	)		(658,298	)		(86,152	)		(232,287	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		82,008			443,663			—			1,484,728
Net unrealized gain/(loss) on private investment companies		(727,964	)		1,093,755			(246,067	)		—
Net realized gain/(loss) on private investment companies		689,463			—			(47,803	)		—
Net change in open trade equity/(deficit)		(84,039	)		(444,342	)		—			(1,318,406	)
Net unrealized gain/(loss) on swap contracts		356,572			573,120			—
Net realized gain/(loss) on U.S. Treasury securities		—			625,489			—			119,041
Net unrealized gain/(loss) on U.S. Treasury securities		(3,909	)		(1,045,152	)		1,751			(195,939	)
Trading commissions		(8,224	)		(20,037	)		—			(12,109	)
Change in fair value of investments in unconsolidated trading companies		63,498			(381,152	)		45,390			(67,155	)
Net gain/(loss) on investments		367,405			845,344			(246,729	)		10,160
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(440,957	)		187,046			(332,881	)		(222,127	)
Less: Operations attributable to non-controlling interests		—			(56,815	)		—			12,448
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(440,957	)	$	243,862		$	(332,881	)	$	(234,575	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(1.64	)	$	0.02		$	(4.33	)	$	(1.86	)
Class 1AP	$	(0.73	)	$	1.08		$	(4.02	)	$	(1.18	)
Class 2	$	(0.98	)	$	1.46		$	(5.45	)	$	(1.57	)
Class 2a	$	(0.79	)	$	1.41			N/A			N/A
Class 3a	$	(0.80	)	$	1.40			N/A			N/A

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

15

The Series of the Frontier Funds

Statements of Operations

For the Three Months Ended September 30, 2017 and 2016

(Unaudited)

	Frontier Winton Fund						Frontier Heritage Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016
Investment income:
Interest - net	$	19,732		$	—		$	—		$	—
Total Income		19,732			—			—			—
Expenses:
Incentive Fees (rebate)		—			—			—			—
Management Fees		188,835			361,683			43,021			23,697
Risk analysis Fees		26,057			—			—			—
Service Fees - Class 1		99,725			180,394			40,954			61,333
Trading Fees		127,661			78,021			36,907			20,665
Other Fees		—			—			—			—
Total Expenses		442,278			620,098			120,882			105,695
Investment (loss) - net		(422,546	)		(620,098	)		(120,882	)		(105,695	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(276,209	)		3,557,298			—			—
Net unrealized gain/(loss) on private investment companies		—			—			(120,769	)		—
Net change in open trade equity/(deficit)		775,332			(4,733,320	)		—			—
Net unrealized gain/(loss) on swap contracts		—			—			110,814			(132,438	)
Net realized gain/(loss) on U.S. Treasury securities		—			779,554			—			134,865
Net unrealized gain/(loss) on U.S. Treasury securities		(11,591	)		(1,183,108	)		238			(229,909	)
Trading commissions		(15,820	)		(4,870	)		—			(7	)
Change in fair value of investments in unconsolidated trading companies		(31,155	)		(199,121	)		36,791			(158,995	)
Net gain/(loss) on investments		440,557			(1,783,567	)		27,074			(386,484	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		18,011			(2,403,665	)		(93,808	)		(492,179	)
Less: Operations attributable to non-controlling interests		214,425			(760,235	)		53,727			(62,514	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(196,414	)	$	(1,643,430	)	$	(147,535	)	$	(429,665	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(1.79	)	$	(8.31	)	$	(2.99	)	$	(5.13	)
Class 1AP	$	(0.76	)	$	(7.46	)	$	(2.39	)	$	(4.41	)
Class 2	$	(0.96	)	$	(9.47	)	$	(3.21	)	$	(5.89	)

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

16

The Series of Frontier Funds

Statements of Operations

For the Nine Months Ended September 30, 2017 and 2016

(Unaudited)

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016			9/30/2017			9/30/2016
Investment income:
Interest - net	$	99,222		$	312,594		$	72,591		$	116,817		$	—		$	37,213
Total Income		99,222			312,594			72,591			116,817			—			37,213
Expenses:
Incentive Fees (rebate)		(63,508	)		1,052,255			—			242,029			(87,670	)		134,601
Management Fees		69,251			456,530			150,767			282,097			—			192,764
Service Fees - Class 1		110,769			171,729			72,519			117,919			12,838			47,975
Trading Fees		1,154,233			1,031,618			527,813			374,686			183,990			130,908
Other Fees		1,766			6,131			1,792			—			22,548			9,287
Total Expenses		1,272,511			2,718,263			752,891			1,016,731			131,706			515,535
Investment (loss) - net		(1,173,289	)		(2,405,669	)		(680,300	)		(899,914	)		(131,706	)		(478,322	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—			—			—			(90,214	)
Net unrealized gain/(loss) on private investment companies		(207,161	)		(11,465	)		(977,064	)		41,047			(329,330	)		(627,398	)
Net realized gain/(loss) on private investment companies		1,567,660			—			429,868			—			(4,741	)		—
Net change in open trade equity/(deficit)		—			—			—			—			—			693,263
Net unrealized gain/(loss) on swap contracts		147,788			(1,450,864	)		—			—			39,954			(74,005	)
Net realized gain/(loss) on U.S. Treasury securities		(354,609	)		1,851,345			(286,742	)		476,517			227,895			(23,463	)
Net unrealized gain/(loss) on U.S. Treasury securities		569,536			(625,858	)		328,820			48,672			(212,189	)		413,876
Trading commissions		—			(63	)		—			(21	)		—			(1,091	)
Change in fair value of investments in unconsolidated trading companies		(311,775	)		3,336,074			(366,569	)		1,762,116			47,097			(155,968	)
Net gain/(loss) on investments		1,411,439			3,099,169			(871,687	)		2,328,331			(231,314	)		135,000
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		238,150			693,500			(1,551,987	)		1,428,417			(363,020	)		(343,322	)
Less: Operations attributable to non-controlling interests		—			—			—			—			—			131,876
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	238,150		$	693,500		$	(1,551,987	)	$	1,428,417		$	(363,020	)	$	(475,198	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(6.33	)	$	0.27		$	(13.39	)	$	6.17			N/A			N/A
Class 1a		N/A			N/A			N/A			N/A		$	(9.52	)	$	(5.02	)
Class 2	$	(5.64	)	$	2.03		$	(13.83	)	$	8.70		$	(13.24	)	$	(6.54	)
Class 2a		N/A			N/A			N/A			N/A		$	(10.31	)	$	(4.42	)
Class 3	$	(5.00	)	$	2.11		$	(12.66	)	$	8.32		$	(8.76	)	$	(5.37	)
Class 3a		N/A			N/A			N/A			N/A		$	(7.71	)	$	(3.39	)

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

17

The Series of the Frontier Funds

Statements of Operations

For the Nine Months Ended September 30, 2017 and 2016

(Unaudited)

	Frontier Balanced Fund						Frontier Select Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016
Investment income:
Interest - net	$	9,415		$	15,992		$	—		$	—
Total Income/(loss)		9,415			15,992			—			—
Expenses:
Incentive Fees (rebate)		—			1,424,421			—			44,339
Management Fees		102,297			435,792			102,047			234,838
Risk analysis Fees		12,566			—			6,829			—
Service Fees - Class 1		1,106,847			1,371,259			176,247			264,208
Trading Fees		1,625,446			505,657			137,940			96,943
Other Fees		190,804			997			(5,094	)		—
Total Expenses		3,037,960			3,738,126			417,969			640,328
Investment (loss) - net		(3,028,545	)		(3,722,134	)		(417,969	)		(640,328	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(569,161	)		3,150,505			(695,436	)		2,104,061
Net unrealized gain/(loss) on private investment companies		(1,919,200	)		940,225			(779,294	)		—
Net realized gain/(loss) on private investment companies		3,954,532			—			(45,798	)		—
Net change in open trade equity/(deficit)		(403,237	)		22,575			(145,848	)		275,957
Net unrealized gain/(loss) on swap contracts		420,488			(2,570,811	)		—			—
Net realized gain/(loss) on U.S. Treasury securities		(228,904	)		2,885,429			(170,783	)		70,924
Net unrealized gain/(loss) on U.S. Treasury securities		483,160			(1,086,605	)		202,502			(7,665	)
Trading commissions		(51,477	)		(149,493	)		(46,591	)		(75,329	)
Change in fair value of investments in unconsolidated trading companies		(373,803	)		3,613,499			(319,255	)		184,396
Net gain/(loss) on investments		1,312,398			6,805,324			(2,000,503	)		2,552,344
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(1,716,147	)		3,083,190			(2,418,472	)		1,912,016
Less: Operations attributable to non-controlling interests		—			674,253			(432,628	)		1,005,265
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,716,147	)	$	2,408,937		$	(1,985,844	)	$	906,751
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(6.60	)	$	2.49		$	(19.60	)	$	5.91
Class 1AP	$	(3.99	)	$	5.72		$	(19.28	)	$	8.47
Class 2	$	(5.35	)	$	7.69		$	(25.59	)	$	11.24
Class 2a	$	(4.07	)	$	7.47			N/A			N/A
Class 3a	$	(4.07	)	$	7.44			N/A			N/A

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

18

The Series of the Frontier Funds

Statements of Operations

For the Nine Months Ended September 30, 2017 and 2016

(Unaudited)

	Frontier Winton Fund						Frontier Heritage Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016
Investment income:
Interest - net	$	19,732		$	176		$	—		$	—
Total Income		19,732			176			—			—
Expenses:
Incentive Fees (rebate)		(49,790	)		99,067			(4,603	)		9,072
Management Fees		677,921			902,598			160,879			147,416
Risk analysis Fees		96,830			—			—			—
Service Fees - Class 1		368,816			530,072			141,741			192,759
Trading Fees		431,025			211,237			146,164			61,341
Other Fees		7,074			—			1,732			—
Total Expenses		1,531,876			1,742,974			445,913			410,588
Investment (loss) - net		(1,512,144	)		(1,742,798	)		(445,913	)		(410,588	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		1,053,217			3,601,350			—			—
Net unrealized gain/(loss) on private investment companies		—			—			(120,769	)		—
Net change in open trade equity/(deficit)		(1,630,449	)		(124,271	)		—			—
Net unrealized gain/(loss) on swap contracts		—			—			(513,913	)		539,597
Net realized gain/(loss) on U.S. Treasury securities		(1,104,301	)		1,975,992			(211,694	)		389,452
Net unrealized gain/(loss) on U.S. Treasury securities		1,194,837			(837,849	)		291,328			(151,373	)
Trading commissions		(44,385	)		(50,345	)		—			(7,016	)
Change in fair value of investments in unconsolidated trading companies		(334,372	)		(1,285,060	)		(170,930	)		37,288
Net gain/(loss) on investments		(865,453	)		3,279,817			(725,978	)		807,948
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(2,377,597	)		1,537,019			(1,171,891	)		397,360
Less: Operations attributable to non-controlling interests		(352,116	)		1,438,421			(249,164	)		269,675
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(2,025,481	)	$	98,598		$	(922,727	)	$	127,685
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(12.21	)	$	(0.95	)	$	(13.59	)	$	0.37
Class 1AP	$	(9.67	)	$	2.91		$	(12.05	)	$	3.37
Class 2	$	(12.28	)	$	3.69		$	(16.13	)	$	4.51

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

19

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2017

(Unaudited)

	Frontier Diversified Fund																						Frontier Masters Fund
	Class 1		Class 1			Class 2			Class 2			Class 3			Class 3								Class 1			Class 2			Class 2			Class 3			Class 3
	Managing Owner		Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests		Total			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests		Total
Owners’ Capital, December 31, 2016	$	—	$	5,189,420		$	460,196		$	37,771,385		$	33,899		$	13,016,491		$	—	$	56,471,391		$	5,361,626		$	336,691		$	5,320,871		$	32,970		$	6,117,149		$	—	$	17,169,307
Sale of Units		—		3,063			—			599,571			182,372			—			—		785,006			2,610			—			65,000			—			—			—		67,610
Redemption of Units		—		(477,852	)		(160,669	)		(29,887,283	)		—			(4,472,986	)		—		(34,998,790	)		(404,555	)		(209,040	)		(1,893,160	)		—			(1,272,628	)		—		(3,779,383	)
Transfer of Units In(Out)		—		(1,174,984	)		—			—			—			1,174,984			—		—			(1,571,804	)		—			—			—			1,571,804			—		—
Change in control of ownership - Trading Companies		—		—			—			—			—			—			—		—			—			—			—			—			—			—		—
Change in control of ownership - Private investment companies		—		—			—			—			—			—			—		—			—			—			—			—			—			—		—
Operations attributable to non-controlling interests		—		—			—			—			—			—			—		—			—			—			—			—			—			—		—
Payment made by the Managing Owner		—		—			—			—			—			—			—		—			—			—			—			—			—			—		—
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		—		(187,347	)		(268,050	)		1,032,651			(15,675	)		(323,429	)		—		238,150			(438,146	)		(36,490	)		(389,650	)		(3,482	)		(684,219	)		—		(1,551,987	)
Owners’ Capital, September 30, 2017	$	—	$	3,352,300		$	31,477		$	9,516,324		$	200,596		$	9,395,060		$	—	$	22,495,757		$	2,949,731		$	91,161		$	3,103,061		$	29,488		$	5,732,106		$	—	$	11,905,547
Owners’ Capital - Units, December 31, 2016		—		44,569			3,462			284,124			275			105,594								47,530			2,615			41,318			275			51,022
Sale of Units (including transfers)		—		26			—			4,572			1,421			8,264								23			—			505			—			11,008
Redemption of Units (including transfers)		—		(14,148	)		(3,215	)		(213,940	)		—			(34,422	)							(17,880	)		(1,822	)		(14,828	)		—			(8,574	)
Owners’ Capital - Units, September 30, 2017		—		30,448			247			74,757			1,696			79,436								29,673			793			26,995			275			53,456
									(1)						(1)														(1)						(1)
Net asset value per unit at December 31, 2016			$	116.43					$	132.94					$	123.27							$	112.80					$	128.78					$	119.89
Change in net asset value per unit for the Nine months ended September 30, 2017				(6.33	)					(5.64	)					(5.00	)							(13.39	)					(13.83	)					(12.66	)
Net asset value per unit at September 30, 2017			$	110.10					$	127.30					$	118.27							$	99.41					$	114.95					$	107.23

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

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

20

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2017

(Unaudited)

	Frontier Long/Short Commodity Fund
	Class 2						Class 3			Class 1a			Class 2a						Class 3a
	Managing Owner			Limited Owners			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests		Total
Owners’ Capital, December 31, 2016	$	299,889		$	508,474		$	4,405,863		$	1,913,595		$	234,742		$	728,453		$	11,715		$	1,162,796			—	$	9,265,527
Sale of Units		—			—			—			—			—			—			—			—			—		—
Redemption of Units		(266,500	)		(193,879	)		(1,665,875	)		(732,606	)		(210,852	)		(239,880	)		(10,565	)		(837,418	)		—		(4,157,575	)
Transfer of Units In(Out)		—			—			—			(1,051,248	)		—			—			—			1,051,248			—		—
Change in control of ownership - Trading Companies		—			—			—			—			—			—			—			—			—		—
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—			—		—
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(21,336	)		(3,381	)		(181,076	)		668			10,868			(55,507	)		641			(113,897	)		—		(363,020	)
Owners’ Capital, September 30, 2017	$	12,053		$	311,214		$	2,558,912		$	130,409		$	34,758		$	433,066		$	1,791		$	1,262,729		$	—	$	4,744,932
Owners’ Capital - Units, December 31, 2016		2,316			3,924			33,685			20,628			2,222			6,893			109			10,816
Sale of Units (including transfers)		—			—			—			—			—			—			—			8,513
Redemption of Units (including transfers)		(2,212	)		(1,249	)		(12,717	)		(19,062	)		(1,858	)		(2,351	)		(91	)		(6,675	)
Owners’ Capital - Units, September 30, 2017		104			2,675			20,968			1,566			364			4,542			18			12,654
				(1)												(1)						(1)
Net asset value per unit at December 31, 2016				$	129.56		$	130.80		$	92.78					$	105.67					$	107.50
Change in net asset value per unit for the Nine months ended September 30, 2017					(13.24	)		(8.76	)		(9.52	)					(10.31	)					(7.71	)
Net asset value per unit at September 30, 2017				$	116.32		$	122.04		$	83.26					$	95.36					$	99.79

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

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

21

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2017

(Unaudited)

	Frontier Balanced Fund
	Class 1			Class 1AP			Class 2						Class 2a						Class 3a
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Non-Controlling Interests		Total
Owners’ Capital, December 31, 2016	$	56,955,371		$	677,181		$	530,387		$	21,871,170		$	209,112		$	307,144		$	1,749,006		$	—	$	82,299,371
Sale of Units		34,027			—			—			4,937			123,835			—			—			—		162,799
Redemption of Units		(15,765,084	)		(92,739	)		(75,000	)		(15,181,156	)		—			(122,954	)		(323,956	)		—		(31,560,889	)
Transfer of Units In(Out)		—			—			—			—			—			—			—			—		—
Change in control of ownership - Trading Companies		—			—			—			—			—			—			—			—		—
Operations attributable to non-controlling interests		—			—			—			—			—			—			—			—		—
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(1,958,438	)		(13,788	)		(279,601	)		577,717			(11,334	)		(4,572	)		(26,131	)		—		(1,716,147	)
Owners’ Capital, September 30, 2017	$	39,265,876		$	570,654		$	175,786		$	7,272,668		$	321,613		$	179,618		$	1,398,919		$	—	$	49,185,134
Owners’ Capital - Units, December 31, 2016		422,530			4,671			2,720			112,166			1,237			1,817			10,380
Sale of Units (including transfers)		255			—			—			25			712			—			—
Redemption of Units (including transfers)		(116,501	)		(623	)		(1,793	)		(73,842	)		—			(728	)		(1,872	)
Owners’ Capital - Units, September 30, 2017		306,284			4,048			927			38,349			1,949			1,089			8,508
										(1)						(1)
Net asset value per unit at December 31, 2016	$	134.80		$	144.97					$	194.99					$	169.05		$	168.49
Change in net asset value per unit for the Nine months ended September 30, 2017		(6.60	)		(3.99	)					(5.35	)					(4.07	)		(4.07	)
Net asset value per unit at September 30, 2017	$	128.20		$	140.98					$	189.64					$	164.98		$	164.42

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

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

22

The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2017

(Unaudited)

	Frontier Select Fund																		Frontier Winton Fund																		Frontier Heritage Fund
	Class 1			Class 1AP			Class 2												Class 1			Class 1AP			Class 2												Class 1			Class 1AP			Class 2
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Non-Controlling Interests			Total
Owners’ Capital, December 31, 2016	$	10,540,702		$	29,897		$	9,397		$	1,402,043		$	4,107,816		$	16,089,855		$	20,284,935		$	35,478		$	43,553		$	11,402,560		$	9,108,334		$	40,874,860		$	7,507,072		$	5,826		$	73,660		$	2,670,715		$	3,147,279		$	13,404,552
Sale of Units		1,467			—			98,345			—			—			99,812			16,141			—			267,829			—			—			283,970			9,861			—			24,575			—			—			34,436
Redemption of Units		(3,380,914	)		(6,074	)		(30,300	)		(497,052	)		—			(3,914,340	)		(6,612,116	)		—			(60,000	)		(571,501	)		—			(7,243,617	)		(1,808,099	)		—			(31,000	)		(1,825,707	)		—			(3,664,806	)
Change in control of ownership - Trading Companies		—			—			—			—			(3,675,188	)		(3,675,188	)		—			—			—			—			(2,330,730	)		(2,330,730	)		—			—			—			—			(2,424,186	)		(2,424,186	)
Operations attributable to non-controlling interests		—			—			—			—			(432,628	)		(432,628	)		—			—			—			—			(352,116	)		(352,116	)		—			—			—			—			(249,164	)		(249,164	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(1,738,511	)		(4,705	)		(16,574	)		(226,054	)		—			(1,985,844	)		(1,358,646	)		(2,065	)		(21,091	)		(643,679	)		—			(2,025,481	)		(744,162	)		(546	)		(8,452	)		(169,567	)		—			(922,727	)
Owners’ Capital, September 30, 2017	$	5,422,744		$	19,118		$	60,868		$	678,937		$	—		$	6,181,667		$	12,330,314		$	33,413		$	230,291		$	10,187,380		$	6,425,488		$	29,206,886		$	4,964,672		$	5,280		$	58,783		$	675,441		$	473,929		$	6,178,105
Owners’ Capital - Units, December 31, 2016		112,059			296			70			10,444									131,283			214			207			54,044									62,779			45			428			15,518
Sale of Units (including transfers)		16			—			753			—									105			—			1,252			—									83			—			143			—
Redemption of Units (including transfers)		(39,244	)		(62	)		(263	)		(4,195	)								(44,739	)		—			(300	)		(2,774	)								(16,019	)		—			(194	)		(11,188	)
Owners’ Capital - Units, September 30, 2017		72,831			234			560			6,249									86,649			214			1,159			51,270									46,843			45			377			4,330
										(1)																		(1)																		(1)
Net asset value per unit at December 31, 2016	$	94.06		$	101.16					$	134.25								$	154.51		$	166.17					$	210.98								$	119.58		$	128.60					$	172.10
Change in net asset value per unit for the Nine months ended September 30, 2017		(19.60	)		(19.28	)					(25.59	)								(12.21	)		(9.67	)					(12.28	)								(13.59	)		(12.05	)					(16.13	)
Net asset value per unit at September 30, 2017	$	74.46		$	81.88					$	108.66								$	142.30		$	156.50					$	198.70								$	105.99		$	116.55	��				$	155.97

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

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

23

The Series of Frontier Funds

Statements of Cash Flows

For the Nine Months Ended September 30, 2017

(Unaudited)

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016			9/30/2017			9/30/2016
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	238,150		$	693,500		$	(1,551,987	)	$	1,428,417		$	(363,020	)	$	(343,322	)
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity/(deficit), at fair value		—			—			—			—			—			—
Net change in options written, at fair value		—			—			—			—			—			—
Net change in ownership allocation of U.S. Treasury securities		3,813,934			2,838,071			(317,619	)		1,151,532			2,332,067			810,772
Net unrealized (gain)/loss on swap contracts		(147,788	)		1,450,864			—			—			(39,954	)		74,005
Net unrealized (gain)/loss on U.S. Treasury securities		(569,536	)		625,858			(328,820	)		(48,672	)		212,189			(413,876	)
Net realized (gain)/loss on U.S. Treasury securities		354,609			(1,851,345	)		286,742			(476,517	)		(227,895	)		23,463
Net unrealized gain/(loss) on private investment companies		207,161			11,465			977,064			(41,047	)		329,330			627,398
Net realized gain/(loss) on private investment companies		(1,567,660	)		—			(429,868	)		—			4,741			—
(Purchases) sales of:
Sales of U.S. Treasury securities		2,785,190			27,076,226			3,016,330			8,781,991			(2,713,824	)		5,321,261
Purchase of U.S. Treasury securities		—			(6,518,818	)		—			(2,380,650	)		—			(948,803	)
U.S. Treasury interest and premium paid/amortized		27,016			—			29,147			—			(10,182	)		—
Purchase of Private Investment Companies		(13,705,362	)		(37,823,173	)		(7,857,452	)		(6,447,231	)		(2,634,827	)		(6,881,260	)
Reduction of collateral in Swap contracts		2,214,000			—			—			—			3,850,050			—
Sale of Private Investment Companies		37,197,835			—			5,461,344			—			5,356,545			—
Increase and/or decrease in:
Change in control of ownership - trading companies		—			—			—			—			—			(131,876	)
Change in control of ownership - private investment companies		—			—			—			—			—			(57,351	)
Investments in unconsolidated trading companies, at fair value		2,378,351			13,353,221			5,386,133			3,624,505			(82,293	)		3,414,663
Prepaid service fees - Class 1		—			(11,230	)		—			7,355			—			736
Interest receivable		121,045			442,074			69,848			177,136			(2,671	)		83,190
Receivable from related parties		231,671			—			153,157			1,670			87,670			1,606
Other assets		(36,188	)		(49,698	)		—			(8,029	)		—			(9,939	)
Due to broker		—			—			—			—			—			2,254,497
Incentive fees payable to Managing Owner		—			(204,914	)		—			51,180			—			58,922
Management fees payable to Managing Owner		(23,496	)		(68,973	)		(50,174	)		(53,351	)		—			(46,588	)
Interest payable to Managing Owner		—			(9,466	)		—			(3,057	)		9			(1,368	)
Trading fees payable to Managing Owner		(77,010	)		(4,833	)		(7,511	)		(8,253	)		(10,716	)		(4,227	)
Service fees payable to Managing Owner		55,703			(2,407	)		9,598			(2,054	)		(1,970	)		(2,024	)
Payables to related parties		—			(2,126	)		—			—			(1,603,124	)		8,846
Interest payable		—			—			—			—			—			9,957
Other liabilities		(19,674	)		54,821			(5,776	)		57,449			(5,481	)		2,221
Net cash provided by (used in) operating activities		33,477,951			(883	)		4,840,156			5,812,374			4,476,644			3,850,903
Cash Flows from Financing Activities:
Proceeds from sale of units		785,006			6,386,166			67,610			278,822			—			—
Payment for redemption of units		(34,998,790	)		(7,165,786	)		(3,779,383	)		(5,145,360	)		(4,157,575	)		(2,896,674	)
Pending owner additions		—			(1,524	)		—			41,523			—			—
Owner redemptions payable		169,716			71,294			(131,842	)		—			67,290			(796	)
Net cash provided by (used in) financing activities		(34,044,068	)		(709,850	)		(3,843,615	)		(4,825,015	)		(4,090,285	)		(2,897,470	)
Net increase (decrease) in cash and cash equivalents		(566,117	)		(710,733	)		996,541			987,359			386,359			953,433
Cash and cash equivalents, beginning of period		674,227			3,283,973			546,509			1,421,994			—			570,169
Cash and cash equivalents, end of period	$	108,110		$	2,573,240		$	1,543,050		$	2,409,353		$	386,359		$	1,523,602

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

24

The Series of Frontier Funds

Statements of Cash Flows

For the Nine Months Ended September 30, 2017

(Unaudited)

	Frontier Balanced Fund						Frontier Select Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(1,716,147	)	$	3,083,190		$	(2,418,472	)	$	1,912,016
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		397,395			(246,191	)		686,022			(275,957	)
Net change in ownership allocation of U.S. Treasury securities		7,943,201			13,089,485			821,516			206,588
Net unrealized (gain)/loss on swap contracts		(420,488	)		2,570,812			—			—
Net unrealized (gain)/loss on U.S. Treasury securities		(483,160	)		1,086,605			(202,502	)		7,665
Net realized (gain)/loss on U.S. Treasury securities		228,904			(2,885,429	)		170,783			(70,924	)
Net unrealized gain/(loss) on private investment companies		1,919,200			(940,225	)		779,294			—
Net realized gain/(loss) on private investment companies		(3,954,532	)		—			45,798			—
(Purchases) sales of:
Sales of U.S. Treasury securities		887,884			27,164,277			1,731,714			(465,831	)
Purchases of U.S. Treasury securities		—			(9,340,565	)		—			(320,766	)
U.S. Treasury interest and premium paid/amortized		24,870			—			15,979			—
Purchase of Private Investment Companies		(15,315,922	)		(40,020,170	)		(6,800,023	)		—
Sale of Private Investment Companies		30,906,344			—			1,034,717			—
Reduction of collateral in Swap contracts		7,514,000			—			—			—
Increase and/or decrease in:
Receivable from futures commission merchants		492,880			1,679,076			8,208,218			5,053,756
Change in control of ownership - trading companies		—			(1,825,994	)		(3,675,188	)		(3,649,315	)
Investments in unconsolidated trading companies, at fair value		3,213,364			13,881,931			3,361,211			78,722
Prepaid service fees - Class 1		—			(41,288	)		—			—
Interest receivable		174,699			640,324			51,905			16,782
Receivable from related parties		346,875			—			103,407			(200,287	)
Other assets		(85,207	)		12			—			—
Incentive fees payable to Managing Owner		—			(106,060	)		—			107,917
Management fees payable to Managing Owner		(12,438	)		(29,632	)		(21,219	)		40,531
Interest payable to Managing Owner		(18,335	)		(50,485	)		(2,644	)		997
Trading fees payable to Managing Owner		(53,625	)		(2,217	)		(2,558	)		(95	)
Service fees payable to Managing Owner		9,837			7,750			(9,316	)		771
Risk analysis fees payable		8,276			(4,026	)		(2,303	)		—
Payables to related parties		—			5,992			—			25
Other liabilities		(89,587	)		—			(5,863	)		235
Net cash provided by (used in) operating activities		31,918,288			7,717,172			3,870,476			2,442,830
Cash Flows from Financing Activities:
Proceeds from sale of units		162,799			152,968			99,812			12,362
Payment for redemption of units		(31,560,889	)		(7,624,288	)		(3,914,340	)		(1,113,347	)
Pending owner additions		—			(15,538	)		—			(1,335	)
Owner redemptions payable		(496,370	)		(297,550	)		(132,437	)		9,212
Net cash provided by (used in) financing activities		(31,894,460	)		(7,784,408	)		(3,946,965	)		(1,093,108	)
Net increase (decrease) in cash and cash equivalents		23,828			(67,236	)		(76,489	)		1,349,722
Cash and cash equivalents, beginning of period		1,083,579			4,895,183			432,021			220,371
Cash and cash equivalents, end of period	$	1,107,407		$	4,827,947		$	355,532		$	1,570,093

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

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The Series of Frontier Funds

Statements of Cash Flows

For the Nine Months Ended September 30, 2017

(Unaudited)

	Frontier Winton Fund						Frontier Heritage Fund
	9/30/2017			9/30/2016			9/30/2017			9/30/2016
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(2,377,597	)	$	1,537,019		$	(1,171,891	)	$	397,360
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		1,682,758			124,271			—			—
Net change in ownership allocation of U.S. Treasury securities		(4,622,172	)		10,048			635,669			448,193
Net unrealized (gain)/loss on swap contracts		—			—			513,913			(539,597	)
Net unrealized (gain) loss on U.S. Treasury securities, at fair value		(1,194,837	)		837,849			(291,328	)		151,373
Net realized (gain) loss on U.S. Treasury securities, at fair value		1,104,301			(1,975,992	)		211,694			(389,452	)
Net unrealized gain/(loss) on private investment companies		—			—			120,769			—
(Purchases) sale of:
Sales of U.S. Treasury Securities		12,652,125			12,826,803			2,231,740			2,939,044
Purchases of U.S. Treasury Securities		—			(5,237,808	)		—			(1,129,741	)
U.S. Treasury interest and premium paid/amortized		119,303			—			22,396			—
Purchase of Private Investment Companies		—			—			(2,306,940	)		—
Reduction of collateral in Swap contracts		—			—			5,000,000			—
Increase and/or decrease in:
Receivable from futures commission merchants		4,110,059			(8,504,526	)		—			—
Change in control of ownership of trading companies		(2,330,730	)		2,240,074			(2,424,186	)		(82,541	)
Investments in unconsolidated trading companies, at fair value		2,563,419			297,554			1,418,793			(549,672	)
Interest receivable		240,952			314,097			63,252			74,126
Receivable from related parties		551,508			—			131,430			—
Other assets		—			(25,346	)		(10,159	)		(4,772	)
Management fees payable to Managing Owner		(162,168	)		169,744			(56,501	)		(21,156	)
Interest payable to Managing Owner		(30,730	)		(13,628	)		(5,244	)		(4,436	)
Trading fees payable to Managing Owner		(13,939	)		(17	)		(3,472	)		(225	)
Service fees payable to Managing Owner		9,638			13,505			(2,721	)		2,667
Risk analysis fees payable		13,842			—			—			—
Payables to related parties		—			(20,220	)		—			(909	)
Other liabilities		110,418			29,990			(18,085	)		1,752
Net cash provided by (used in) operating activities		12,426,150			2,623,417			4,059,129			1,292,014
Cash Flows from Financing Activities:
Proceeds from sale of units		283,970			122,728			34,436			29,866
Payment for redemption of units		(7,243,617	)		(1,217,052	)		(3,664,806	)		(676,698	)
Pending owner additions		—			(13,524	)		—			(3,251	)
Owner redemptions payable		(9,900	)		139,334			33,898			(48,170	)
Net cash provided by (used in) financing activities		(6,969,547	)		(968,514	)		(3,596,472	)		(698,253	)
Net increase (decrease) in cash and cash equivalents		5,456,603			1,654,903			462,657			593,761
Cash and cash equivalents, beginning of period		1,628,208			2,928,616			382,499			655,319
Cash and cash equivalents, end of period	$	7,084,811		$	4,583,519		$	845,156		$	1,249,080

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

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The Series of the Frontier Funds
Notes to Financial Statements (Unaudited)

1. Organization and Purpose

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

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

The Transaction was consummated on March 6, 2017, and upon consummation of the Transaction, the Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox. Consequently, consummation of the Transaction constituted a change of operational control in respect of the Trust and each Series. On the date of consummation, the names of the Series were changed from Equinox Frontier Diversified Fund to Frontier Diversified Fund, Equinox Frontier Masters Fund to Frontier Masters Fund, Equinox Frontier Long/Short Commodity Fund to Frontier Long/Short Commodity Fund, Equinox Frontier Balanced Fund to Frontier Balanced Fund, Equinox Frontier Select Fund to Frontier Select Fund, Equinox Frontier Winton Fund to Frontier Winton Fund, and from Equinox Frontier Heritage Fund to Frontier Heritage Fund.

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

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

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

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.

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

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

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

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

● maintains each Series of Units in three to 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 Winton Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the 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

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● 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 September 30, 2017, 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 Winton Fund and Frontier Heritage 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 December 31, 2016, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters 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, 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. On May 10, 2017, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’ TT Enhanced Risk (USD) Program have been transferred to a Master Fund 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.

As of September 30, 2017, Frontier Winton Fund has invested a portion of its assets in a single Trading Company, and a single Trading Advisor manages 100% of the assets invested in such Trading Company. Each of the remaining Series has invested a portion of its assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested in such Trading Companies or Galaxy Plus entities.

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

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2. Significant Accounting Policies

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

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

Consolidation—The Series, through investing in the Trading Companies and Galaxy Plus, authorize certain Trading Advisors to place trades and manage assets at pre-determined investment levels. The Trading Companies were organized by the Managing Owner for the purpose of investing in commodities interests and derivative instruments, and have no operating income or expenses, except for trading income and expenses and a risk analysis fee, all of which is allocated to the Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Trading Companies in which a Series has a controlling and majority interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series. This represents a change in accounting policy from prior year in which controlling and majority interest was calculated on each Series pro-rata notional ownership of the Trading Company. The two measurements approximate each other and, as such, do not have a material impact on the presentation on the statements of financial condition or results of operations. Investments in Trading Companies in which a Series does not have a controlling and majority interest and all interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company or Galaxy Plus entity. The equity interest held by Series of the Trust is shown as investments in unconsolidated Trading Companies or investments in Private Investment 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.

As of September 30, 2017, the consolidated statement of financial condition of Frontier Balanced Fund included the assets and liabilities of its majority interest in Frontier Trading Company I, LLC and Frontier Trading Company XXXIV, LLC.

For the nine months ended September 30, 2017, the consolidated statement of operations of Frontier Balanced Fund included the earnings of its majority owned Trading Companies listed above.

As of September 30, 2017 the consolidated statement of financial condition of Frontier Long/Short Commodity Fund included the assets and liabilities of its majority owned Trading Company, Frontier Trading Company XXXVII, LLC.

For the nine months ended September 30, 2017, the consolidated statement of operations of Frontier Long/Short Commodity Fund included the earnings of its majority owned Trading Company listed above.

As of September 30, 2017, the consolidated statement of financial condition of Frontier Diversified Fund included the assets and liabilities of its majority owned Frontier Trading Company XXXV, LLC.

For the nine months ended September 30, 2017, the consolidated statement of operations of Frontier Diversified Fund included the earnings of its majority owned Trading Company listed above.

As of September 30, 2017, the consolidated statement of financial condition of Frontier Heritage Fund included the assets and liabilities of its majority owned Frontier Trading Company XXXIX, LLC.

For the nine months ended September 30, 2017, the consolidated statement of operations of Frontier Heritage Fund included the earnings of its majority owned Trading Company listed above.

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As of September 30, 2017 the consolidated statement of financial condition of Frontier Select Fund did not have majority interest in any Trading Company.

For the nine months ended September 30, 2017, the consolidated statement of operations of Frontier Select Fund included the earnings of Frontier Trading Company XV, LLC from January 1, 2017 to May 9, 2017.

As of September 30, 2017, the consolidated statement of financial condition of Frontier Winton Fund included the assets and liabilities of its majority owned Frontier Trading Company II, LLC.

For the nine months ended September 30, 2017, the consolidated statement of operations of Frontier Winton Fund included the earnings of its majority owned Trading Company listed above.

As of and for the nine months ended September 30, 2017 Frontier Master Fund did not have a majority interest in any Trading Company.

Each of the Series has invested in Frontier Trading Company XXXVIII, LLC on the same basis as its ownership in the cash pool. Frontier Trading Company XXXVIII, LLC’s assets, liabilities and earnings are allocated to all of the Series of the Trust based on their proportionate share of the cash pool. Each Series investment in the Frontier Trading Company XXXVIII, LLC is listed under Investments in unconsolidated trading companies, at fair value on the Statements of Financial Condition.

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 will impact 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 is 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.

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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 Select Fund, Frontier Winton Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to each Series was paid to the Managing Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series, and shown net on the statement of operations.

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.

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Receivable From Futures Commission Merchants—The Series of the Trust deposit assets with a FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, with respect to the Series, earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of September 30, 2017 included restricted cash for margin requirements of $1,616,324 for the Frontier Balanced Fund, and $7,829,025 for the Frontier Winton 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 between three or 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.

Each Series allocates funds to an affiliated Trading Company, or Companies, of the Trust, or Galaxy Plus. Each Trading Company allocates all of its daily trading gains or losses to the Series in proportion to each Series’ ownership trading level interest in the Trading Company, adjusted on a daily basis (except for Trading Advisors and other investments such as 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.

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Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust, with respect to the Series’, financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust, with respect to the Series. The 2013 through 2017 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 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. In addition, Trading Company I, LLC, Trading Company II, LLC and Trading Company XV, LLC pay to the Sponsor a Risk Analysis Fee, which is calculated on notional assets of the Trading Companies. The Risk Analysis Fee is included as an 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.

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.

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 Winton Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the 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.

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

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

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.

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

3. Fair Value Measurements

In connection with the valuation of investments the Series apply ASC 820. 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.

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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. A 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 Fund will sell a portion of an investment at an amount different from the net asset value of the investment. Management has adopted Accounting Standards Update (“ASU”) ASU 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).In accordance with Subtopic 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy below.

The following table summarizes the instruments that comprise the Trust, with respect to the Series, financial asset portfolio, by Series, measured at fair value on a recurring basis as of September 30, 2017 and December 31, 2016 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value. Investments in private investment companies are valued utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently with the Series entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment at an amount different from the net asset value of the investment.

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September 30, 2017	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	1,849,031		$	(25,754	)	$	—	$	1,823,277
Swap Contracts		—						6,571,635		6,571,635
U.S. Treasury Securities		114,067			—			—		114,067
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		1,313,387			(21,414	)		—		1,291,973
U.S. Treasury Securities		1,628,063			—			—		1,628,063
Frontier Long/Short Commodity Fund
Investment in Unconsolidated Trading Companies		82,293			—			—		82,293
Swap Contracts		—			—			410,372		410,372
U.S. Treasury Securities		407,645			—			—		407,645
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		2,803,499			(51,532	)		—		2,751,967
Open Trade Equity (Deficit)		100,982			(260,716	)		—		(159,734	)
Swap Contracts		—			—			11,845,938		11,845,938
U.S. Treasury Securities		1,168,419			—			—		1,168,419
Frontier Select Fund
Investment in Unconsolidated Trading Companies		75,727			—			473,929		549,656
U.S. Treasury Securities		375,120			—			—		375,120
Frontier Winton Fund
Investment in Unconsolidated Trading Companies		1,509,031			—			—		1,509,031
Open Trade Equity (Deficit)		(162,405	)		(297,829	)		—		(460,234	)
U.S. Treasury Securities		7,475,143			—			—		7,475,143
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		1,353,661			(27,814	)				1,325,847
Swap Contracts		—			—			2,877,501		2,877,501
U.S. Treasury Securities		891,719			—			—		891,719

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December 31, 2016	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		Total Fair Value
Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	4,188,662	$	12,966		$	—	$	4,201,628
Swap Contracts		—		—			8,637,847		8,637,847
U.S. Treasury Securities		6,525,280		—			—		6,525,280
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		6,667,632		10,474			—		6,678,106
U.S. Treasury Securities		4,313,843		—			—		4,313,843
Frontier Long/Short Commodity Fund
Swap Contracts		—		—			4,220,468		4,220,468
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		5,998,541		(33,210	)		—		5,965,331
Open Trade Equity (Deficit)		288,647		(50,986	)		—		237,661
Swap Contracts		—		—			18,939,450		18,939,450
U.S. Treasury Securities		9,770,117		—			—		9,770,117
Frontier Select Fund
Investment in Unconsolidated Trading Companies		759,978		3,609			3,147,279		3,910,866
Open Trade Equity (Deficit)		679,310		6,712			—		686,022
U.S. Treasury Securities		2,912,611		—			—		2,912,611
Frontier Winton Fund
Investment in Unconsolidated Trading Companies		4,020,731		51,719			—		4,072,450
Open Trade Equity (Deficit)		1,123,666		98,858			—		1,222,524
U.S. Treasury Securities		15,533,863		—			—		15,533,863
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		2,735,614		9,026			—		2,744,640
Swap Contracts		—		—			8,391,414		8,391,414
U.S. Treasury Securities		3,701,890		—			—		3,701,890

The changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset gains and losses (realized/unrealized) included in earnings are classified in “realized and unrealized gain (loss) on investments – net unrealized gain/(loss) on swap contracts” on the statements of operations. Investment in unconsolidated trading company asset gains and losses (realized/unrealized) included in earnings are classified in “Change in fair value of investments in unconsolidated trading companies.” During the nine months ended September 30, 2017, 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.

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For the Nine Months Ended September 30, 2017

Swaps

	Frontier Balanced Fund			Frontier Long/Short Commodity Fund
Balance of recurring Level 3 assets as of January 1, 2017	$	18,939,450		$	4,220,468
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		420,488			39,954
Proceeds from collateral reduction		(7,514,000	)		(3,850,050	)
Change in ownership allocation		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of September 30, 2017	$	11,845,938		$	410,372
	Frontier Diversified Fund			Frontier Heritage Fund
Balance of recurring Level 3 assets as of January 1, 2017	$	8,637,847		$	8,391,414
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		147,788			(513,913	)
Proceeds from collateral reduction		(2,214,000	)		(5,000,000	)
Change in ownership allocation		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of September 30, 2017	$	6,571,635		$	2,877,501

For the Year Ended December 31, 2016

Swaps:

	Frontier Diversified Fund			Frontier Long/Short Commodity Fund			Frontier Balanced Fund
Balance of recurring Level 3 assets as of January 1, 2016	$	8,685,849		$	4,332,428		$	19,157,520
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—			—
Included in earnings-unrealized		(48,002	)		(111,960	)		(218,070	)
Change in ownership allocation		—			—			—
Transfers in and/or out of Level 3		—			—			—
Balance of recurring Level 3 assets as of December 31, 2016		8,637,847		$	4,220,468		$	18,939,450
	Frontier Heritage Fund
Balance of recurring Level 3 assets as of January 1, 2016	$	7,960,268
Total gains or losses (realized/unrealized):
Included in earnings-realized		—
Included in earnings-unrealized		431,146
Change in ownership allocation		—
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2016	$	8,391,414

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Investments in Unconsolidated Trading Companies:

	Frontier Select Fund
Balance of recurring Level 3 assets as of January 1, 2017	$	3,147,279
Change in fair value of investments in unconsolidated trading companies		(249,164	)
Reduction of collateral in Swap contracts		(2,424,186	)
Balance of recurring Level 3 assets as of September 30, 2017	$	473,929

Investments in Unconsolidated Trading Companies:

	Frontier Select Fund
Balance of recurring Level 3 assets as of January 1, 2016	$	3,933,919
Change in fair value of investments in unconsolidated trading companies		368,596
Advance on unrealized Swap Appreciation		(1,155,236	)
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2016	$	3,147,279

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 nine months ended September 30, 2017, the Trust did not transfer any assets between Levels 1, 2 or 3.

The amounts reflected in the change in ownership allocation result from changes in ownership in the underlying Trading Companies at the Series level, which have resulted in changes in consolidation or de-consolidation by the Series. The ownership in the Trading Companies is accounted for under the equity method, which approximates fair value.

The total change in unrealized appreciation (depreciation) included in the statements of operations for the nine months ended September 30, 2017 attributable to level 3 investments still held at September 30, 2017:

			Frontier Long/Short			Frontier Balanced		Frontier Heritage
	Frontier Diversified Fund		Commodity Fund			Fund		Fund
Swap Contracts	$	147,788	$	39,954		$	420,488	$	(513,913	)
			Frontier
			Select Fund
Investments in Unconsolidated Trading Companies			$	(249,164	)

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The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2016:

	Frontier Diversified Fund			Frontier Long/Short Commodity Fund			Frontier Balanced Fund			Frontier Heritage Fund
Swap Contracts	$	(48,002	)	$	(111,960	)	$	(218,070	)	$	431,146
	Frontier Select Fund
Investments in Unconsolidated Trading Companies	$	368,596

4. Swap Contracts

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of September 30, 2017 and December 31, 2016, approximately 3.19% and 10.20%, respectively, 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 statement 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. As of September 30, 2017, the Frontier Balanced Fund, the Frontier Diversified Fund, the Frontier Long/Short Commodity Fund and Frontier Heritage Fund, have received from the swap counterparty $4,926,555, $2,500,000, $115,000 and $1,900,000, respectively. These amounts are shown on the Statements of Financial Conditions of the respective Series under advance on unrealized swap appreciation, which relates to the Trading Companies’ total return swaps with Deutsche Bank AG.

40

The Series have invested in the following swaps as of and for the nine months ended September 30, 2017:

			Frontier Long/Short Commodity	��
	Frontier Balanced Fund	Frontier Diversified Fund	Fund		Frontier Heritage Fund
	Total Return Swap	Total Return Swap	Total Return Swap		Total Return Swap
Counterparty	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG		DeutscheBank AG
Notional Amount	$13,373,629	$4,651,155	$653,610		$2,072,056
Termination Date	8/2/2018	8/2/2018	8/7/2018		3/26/2018
Cash Collateral	$2,086,000	$1,186,000	$29,950		$986,000
Swap Value	$9,745,938	$5,371,635	$380,422		$1,891,501
Investee Returns	Total Returns	Total Returns	Total Returns		Total Returns
Realized Gain/(Loss)	$0	$0	$0		$0
Change in Unrealized Gain/(Loss)	$420,488	$147,788	$39,954		($513,913)
Fair Value as of 9/30/2017	$11,845,938	$6,571,635	$410,372		$2,877,501
Advance on swap appreciation	($4,926,555)	($2,500,000)	($115,000)		($1,900,000)

The Series have invested in the following swaps as of and for the year ended December 31, 2016:

			Frontier Long/Short Commodity
	Frontier Balanced Fund	Frontier Diversified Fund	Fund	Frontier Heritage Fund
	Total Return Swap	Total Return Swap	Total Return Swap	Total Return Swap
Counterparty	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG
Notional Amount	$22,580,043	$13,851,707	$1,877,692	$11,413,283
Termination Date	8/2/2018	8/2/2018	8/7/2018	3/26/2018
Cash Collateral	$9,600,000	$3,400,000	$3,880,000	$5,986,000
Swap Value	$9,339,450	$5,237,847	$340,468	$2,405,414
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Change in Unrealized Gain/(Loss)	($218,070)	($48,002)	($111,960)	$431,146
Fair Value as of 12/31/2016	$18,939,450	$8,637,847	$4,220,468	$8,391,414
Advance on swap appreciation	($4,926,555)	($2,500,000)	($115,000)	($1,900,000)

5. Investments in Unconsolidated Trading Companies and Private Investment Companies

Investments in unconsolidated Trading Companies and Private Investment Companies represent cash invested in the Trading and Private Investment Companies as well as by each Series and cumulative trading profits or losses allocated to each Series by the Trading Companies and Private Investment Companies. Trading Companies and Private Investment Companies allocate trading profits or losses on the basis of the proportion of each Series’ capital allocated for trading to each respective Trading Company, which bears no relationship to the amount of cash invested by a Series in the Trading Company 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.

41

The following table summarizes each of the Series’ investments in unconsolidated Trading and Private Investment Companies as of September 30, 2017 and December 31, 2016:

	As of September 30, 2017					As of December 31, 2016
	Percentage of					Percentage of
	Series Net					Series Net
	Assets Invested					Assets Invested
	in Unconsolidated					in Unconsolidated
	Trading and Private					Trading and Private
	Investment Companies			Fair Value		Investment Companies			Fair Value
Series
Frontier Diversified Series —
Frontier Trading Companies II and XXXVIII		8.10	%	$	1,823,277		7.44	%	$	4,201,628
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		2.48	%		557,457		3.29	%		1,856,786
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		3.21	%		722,633		11.33	%		6,399,628
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		5.55	%		1,249,419		4.27	%		2,412,065
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		4.78	%		1,075,881		6.30	%		3,558,715
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		7.36	%		1,655,859		7.27	%		4,103,564
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		0.71	%		158,659		1.95	%		1,099,207
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		14.27	%		3,211,147		13.85	%		7,819,114
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		12.04	%		2,708,242		15.23	%		8,600,401
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		1.47	%		330,973		5.31	%		2,996,494
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		22.42	%		5,043,730		—			—
Frontier Masters Series —
Frontier Trading Companies II, XV and XXXVIII		10.85	%	$	1,291,973		38.79	%	$	6,678,106
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		7.27	%		865,329		20.12	%		3,455,090
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		9.87	%		1,175,471		12.81	%		2,198,618
Galaxy Plus Fund - TT Feeder Fund (531) LLC		19.23	%		2,289,073		—			—
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		26.65	%		3,172,747		—			—
Frontier Long/Short Commodity Series —
Frontier Trading Company XXXVIII		1.73	%	$	82,293		—			—
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		6.07	%		288,063		17.39	%		1,610,890
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		12.37	%		587,006		17.40	%		1,611,845
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		31.05	%		1,473,391		37.70	%		3,492,407
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		27.63	%		1,310,893		—			—
Frontier Balanced Series —
Frontier Trading Companies II and XXXVIII		5.60	%	$	2,751,967		7.25	%	$	5,965,331
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		3.40	%		1,673,873		3.39	%		2,786,543
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		5.08	%		2,499,087		5.00	%		4,114,892
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		4.77	%		2,347,500		5.09	%		4,190,798
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		11.03	%		5,422,757		8.59	%		7,071,313
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		0.81	%		397,037		3.63	%		2,989,088
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		11.36	%		5,589,051		15.34	%		12,623,819
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		9.58	%		4,714,039		12.91	%		10,626,274
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		0.67	%		331,273		1.10	%		902,546
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		17.84	%		8,775,566		—			—
Frontier Select Series —
Frontier Trading Companies XXXVIII and XXXIX		8.90	%	$	549,656		24.33	%	$	3,910,866
Galaxy Plus Fund - TT Feeder Fund (531) LLC		35.71	%		2,207,500		—			—
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		44.21	%		2,732,714		—			—
Frontier Winton Fund
Frontier Trading Company XXXVIII		5.17	%	$	1,509,031		9.96	%	$	4,072,450
Frontier Heritage Series —
Frontier Trading Companies II and XXXVIII		21.46	%	$	1,325,847		20.48	%	$	2,744,640
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		35.39	%		2,186,171		—			—

42

The following tables summarize each of the Series; equity in earnings from unconsolidated Trading and Private Investment Companies for nine and three months ended September 30, 2017 and 2016.

	Nine Months Ended September 30, 2017												Nine Months Ended September 30, 2016
							Change in												Change in
	Trading			Realized			Unrealized			Net Income			Trading			Realized			Unrealized			Net Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)
Frontier Balanced Fund —
Frontier Trading Company I, LLC	$	—		$	—		$	—		$	—		$	(291,912	)	$	2,837,850		$	384,155		$	2,930,093
Frontier Trading Company II, LLC		(32,747	)		216,451			(342,327	)		(158,623	)		(8,757	)		(1,043,190	)		1,401,532			349,585
Frontier Trading Company VII, LLC		—			—			—			—			(97,942	)		464,066			1,509,176			1,875,300
Frontier Trading Company XIV, LLC														(1,293	)		17,904			(24,326	)		(7,715	)
Frontier Trading Company XV, LLC		—			—			—			—			—			(48	)		—			(48	)
Frontier Trading Company XXIX, LLC		—			—			—			—			(10	)		7,074			—			7,064
Frontier Trading Company XXXVIII, LLC		—			—			(215,180	)		(215,180	)		(27,826	)		(1,526,218	)		13,264			(1,540,780	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(64,009	)		(444,842	)		139,701			(369,150	)		—			—			—			—
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(68,404	)		189,463			(32,758	)		88,301			—			—			85,136			85,136
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(450,701	)		1,744,230			8,954			1,302,483			—			—			437,015			437,015
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(134,386	)		896,859			(27,111	)		735,362			—			—			273,184			273,184
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		—			(63	)		(1,015,265	)		(1,015,328	)		—			—			(177,955	)		(177,955	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(1,105,937	)		3,100,899			394,461			2,389,423			—			—			854,215			854,215
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(175,559	)		207,540			217,419			249,400			—			—			(180,791	)		(180,791	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(20,728	)		643,877			(818,574	)		(195,425	)		—			—			(350,579	)		(350,579	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(217,096	)		(862,039	)		(70,599	)		(1,149,734	)		—			—			—			—
Total	$	(2,269,567	)	$	5,692,375		$	(1,761,279	)	$	1,661,529		$	(427,740	)	$	757,438		$	4,224,026		$	4,553,724
Frontier Winton Fund —
Frontier Trading Company XXXVIII, LLC	$	—		$	—		$	(334,372	)	$	(334,372	)	$	(19,157	)	$	(1,063,587	)	$	(202,316	)	$	(1,285,060	)
Total	$	—		$	—		$	(334,372	)	$	(334,372	)	$	(19,157	)	$	(1,063,587	)	$	(202,316	)	$	(1,285,060	)
Frontier Frontier Select Fund —
Frontier Trading Company XXXIX, LLC	$	—		$	—		$	(249,165	)	$	(249,165	)	$	(3,394	)	$	—		$	244,376		$	240,982
Frontier Trading Company XXXVIII, LLC		—			—			(70,090	)		(70,090	)		(1,211	)		(48,741	)		(6,634	)		(56,586	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(35,396	)		67,150			(209,529	)		(177,775	)		—			—			—			—
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(26,272	)		455,907			(1,076,952	)		(647,317	)		—			—			—			—
Total	$	(61,668	)	$	523,057		$	(1,605,736	)	$	(1,144,347	)	$	(4,605	)	$	(48,741	)	$	237,742		$	184,396
Frontier Heritage Fund —
Frontier Trading Company II, LLC	$	(61,563	)	$	113,582		$	(118,339	)	$	(66,320	)	$	(4,685	)	$	(550,798	)	$	812,373		$	256,890
Frontier Trading Company XXXVIII, LLC		—			—			(104,610	)		(104,610	)		(3,963	)		(202,360	)		(13,279	)		(219,602	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(29,980	)		51,752			(142,541	)		(120,769	)		—			—			—			—
Total	$	(91,543	)	$	165,334		$	(365,490	)	$	(291,699	)	$	(8,648	)	$	(753,158	)	$	799,094		$	37,288
Frontier Long/Short Commodity Fund
Frontier Trading Company I, LLC	$	—		$	—		$	—		$	—		$	(3,956	)	$	145,850		$	32,717		$	174,611
Frontier Trading Companies VII, LLC		—			—			—			—			—			—			—			—
Frontier Trading Company XXXVIII, LLC		—			—			47,097			47,097			(31,322	)		(2,201	)		(115,240	)		(148,763	)
Frontier Trading Company XVIII, LLC		—			—			—			—			(1,920	)		156,899			(336,795	)		(181,816	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		(49,244	)		(27,947	)		56,870			(20,321	)		—			—			199,477			199,477
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(219,046	)		608,857			93,673			483,484			—			—			(109,616	)		(109,616	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(570,790	)		(2,869	)		5,305			(568,354	)		—			—			(717,259	)		(717,259	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(61,797	)		(61,934	)		(105,149	)		(228,880	)		—			—			—			—
Total	$	(900,877	)	$	516,107		$	97,796		$	(286,974	)	$	(37,198	)	$	300,548		$	(1,046,716	)	$	(783,366	)
Frontier Diversified Fund —
Frontier Trading Company I, LLC	$	—		$	—		$	—		$	—		$	(260,168	)	$	1,846,298		$	(187,305	)	$	1,398,825
Frontier Trading Company II, LLC		(34,961	)		156,232			(215,541	)		(94,270	)		(6,473	)		(758,915	)		1,364,990			599,602
Frontier Trading Company VII, LLC		—			—			—			—			(80,881	)		(566,171	)		2,324,104			1,677,052
Frontier Trading Company XXIII, LLC		—			—			—			—			(35,775	)		550,317			104,823			619,365
Frontier Trading Company XXXVIII, LLC		—			—			(217,505	)		(217,505	)		(16,983	)		(969,669	)		(69,560	)		(1,056,212	)
Frontier Trading Company XVIII, LLC		—			—			—			—			—			—			97,442			97,442
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(47,202	)		(275,640	)		107,879			(214,963	)		—			—			—			—
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		(57,740	)		(282,402	)		368,874			28,732			—			—			810,057			810,057
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(48,192	)		115,185			(20,362	)		46,631			—			—			48,062			48,062
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(372,907	)		1,308,793			157,823			1,093,709			—			—			(448,480	)		(448,480	)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(86,543	)		613,006			(32,023	)		494,440			—			—			31,247			31,247
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		—			(15	)		(379,526	)		(379,541	)		—			—			(67,771	)		(67,771	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(716,264	)		2,120,108			(618	)		1,403,226			—			—			521,859			521,859
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(170,681	)		290,815			121,852			241,986			—			—			(381,506	)		(381,506	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(65,209	)		1,793,033			(2,309,045	)		(581,221	)		—			—			(524,933	)		(524,933	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(167,731	)		(525,880	)		(78,889	)		(772,500	)		—			—			—			—
Total	$	(1,767,430	)	$	5,313,235		$	(2,497,081	)	$	1,048,724		$	(400,280	)	$	101,860		$	3,623,029		$	3,324,609
Frontier Masters Fund —
Frontier Trading Company I, LLC	$	—		$	—		$	—		$	—		$	(8,585	)	$	(318,372	)	$	171,763		$	(155,194	)
Frontier Trading Company II, LLC		25,034			91,810			(254,854	)		(138,010	)		(3,824	)		(439,230	)		882,192			439,138
Frontier Trading Company VII, LLC		—			—			—			—			(48,485	)		(371,922	)		1,208,006			787,599
Frontier Trading Company XV, LLC		(82,918	)		78,115			(115,394	)		(120,197	)		(34,835	)		(4,742	)		1,102,918			1,063,341
Frontier Trading Company XXXVIII, LLC		—			—			(108,362	)		(108,362	)		(6,282	)		(372,819	)		6,333			(372,768	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		(81,868	)		(54,404	)		103,126			(33,146	)		—			—			363,560			363,560
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(287,707	)		937,794			43,617			693,704			—			—			(322,513	)		(322,513	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(89,695	)		(176,476	)		(192,207	)		(458,378	)		—			—			—			—
Galaxy Plus Fund - TT Feeder Fund (531) LLC		—			—			(749,376	)		(749,376	)		—			—			—			—
Total	$	(517,154	)	$	876,839		$	(1,273,450	)	$	(913,765	)	$	(102,011	)	$	(1,507,085	)	$	3,412,259		$	1,803,163

43

	Three Months Ended September 30, 2017												Three Months Ended September, 2016
							Change in												Change in
	Trading			Realized			Unrealized			Net Income			Trading			Realized			Unrealized			Net Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)
Frontier Balanced Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	72,519		$	72,519		$	(846	)	$	(1,046,222	)	$	603,092		$	(443,976	)
Frontier Trading Company XXXVIII, LLC		—			—			(9,021	)		(9,021	)		(4,329	)		45,984			21,239			62,894
Frontier Trading Company XIV, LLC		—			—			—			—			—			8,367			(8,389	)		(22	)
Frontier Trading Company XV, LLC		—			—			—			—			—			(48	)		—			(48	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(19,245	)		(56,867	)		153,322			77,210			—			—			—			—
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(18,045	)		41,460			2,070			25,485			—			—			85,136			85,136
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(80,645	)		809,976			(431,386	)		297,945			—			—			910,981			910,981
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(37,146	)		(161,057	)		416,622			218,419			—			—			273,184			273,184
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		—			(63	)		(256,549	)		(256,612	)		—			—			(101,517	)		(101,517	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(52,684	)		(693,062	)		690,348			(55,398	)		—			—			1,002,034			1,002,034
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(31,025	)		(185,578	)		(512	)		(217,115	)		—			—			(711,624	)		(711,624	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(7,239	)		(14,512	)		2,826			(18,925	)		—			—			(364,439	)		(364,439	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(87,162	)		(408,339	)		385,991			(109,510	)		—			—			—			—
Total	$	(333,191	)	$	(668,042	)	$	1,026,230		$	24,997		$	(5,175	)	$	(991,919	)	$	1,709,697		$	712,603
Frontier Winton Fund —
Frontier Trading Company XXXVIII, LLC	$	—		$	—		$	(31,155	)	$	(31,155	)	$	(5,157	)		(66,996	)		(126,968	)	$	(199,121	)
Total	$	—		$	—		$	(31,155	)	$	(31,155	)	$	(5,157	)	$	(66,996	)	$	(126,968	)	$	(199,121	)
Frontier Frontier Select Fund —
Frontier Trading Company XXXIX, LLC	$	—		$	—		$	53,727		$	53,727		$	—		$	—		$	(66,933	)	$	(66,933	)
Frontier Trading Company XXXVIII, LLC		—			—			(8,337	)		(8,337	)		(674	)		13,128			(12,676	)		(222	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(35,396	)		67,150			(209,529	)		(177,775	)		—			—			—			—
Galaxy Plus Fund - TT Feeder Fund (531) LLC		—						(116,095	)		(116,095	)		—			—			—			—
Total	$	(35,396	)	$	67,150		$	(280,234	)	$	(248,480	)	$	(674	)	$	13,128		$	(79,609	)	$	(67,155	)
Frontier Heritage Fund —
Frontier Trading Company I, LLC	$	—		$	—		$	—		$	—		$	(449	)	$	(555,650	)	$	383,355		$	(172,744	)
Frontier Trading Company II, LLC		—			—			46,789			46,789			—			—			—			—
Frontier Trading Company XXXVIII, LLC		—			—			(9,998	)		(9,998	)		(981	)		12,320			2,409			13,749
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(29,980	)		51,752			(142,541	)		(120,769	)		—			—			—			—
Total	$	(29,980	)	$	51,752		$	(105,750	)	$	(83,978	)	$	(1,430	)	$	(543,329	)	$	385,764		$	(158,995	)
Frontier Long/Short Commodity Fund
Frontier Trading Company I, LLC	$	—		$	—		$	—		$	—		$	23		$	(14	)	$	—		$	9
Frontier Trading Company XXXVIII, LLC		—			—			(1,334	)		(1,334	)		(446	)		10,584			(103,657	)		(93,519	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		(5,111	)		10,011			(15,755	)		(10,855	)		—			—			(50,904	)		(50,904	)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(37,912	)		210,831			(102,127	)		70,792			—			—			277,877			277,877
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		—			(2,869	)		5,305			2,436			—			—			(659,908	)		(659,908	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(30,671	)		(59,091	)		52,198			(37,564	)		—			—			—			—
Total	$	(73,694	)	$	158,882		$	(61,713	)	$	23,475		$	(423	)	$	10,570		$	(536,592	)	$	(526,445	)
Frontier Diversified Fund —
Frontier Trading Company I, LLC	$	—		$	—		$	—		$	—		$	(1,262	)	$	25,559		$	(14,857	)	$	9,440
Frontier Trading Company II, LLC		—			—			29,203			29,203			(621	)		(767,400	)		761,614			(6,407	)
Frontier Trading Company XXIII, LLC		—			—			—			—			(2,990	)		(77,811	)		104,823			24,022
Frontier Trading Company XXXVIII, LLC		—			—			3,026			3,026			(1,657	)		63,123			(140,346	)		(78,880	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(8,281	)		(26,711	)		65,961			30,969			—			—			—			—
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		(5,529	)		14,423			(32,526	)		(23,632	)		—			—			(1,209,681	)		(1,209,681	)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(11,301	)		21,985			865			11,549			—			—			48,062			48,062
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(41,460	)		371,152			(187,157	)		142,535			—			—			741,948			741,948
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(15,109	)		(55,000	)		140,263			70,154			—			—			31,247			31,247
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		—			(15	)		(93,042	)		(93,057	)		—			—			(38,994	)		(38,994	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(38,315	)		(410,394	)		402,029			(46,680	)		—			—			615,406			615,406
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(25,622	)		(105,994	)		(426	)		(132,042	)		—			—			(592,892	)		(592,892	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(10,292	)		(25,052	)		26,393			(8,951	)		—			—			(155,149	)		(155,149	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(58,330	)		(244,662	)		245,800			(57,192	)		—			—			—			—
Total	$	(214,239	)	$	(460,268	)	$	600,389		$	(74,118	)	$	(6,530	)	$	(756,529	)	$	151,181		$	(611,878	)
Frontier Masters Fund —
Frontier Trading Company I, LLC	$	—		$	—		$	—		$	—		$	(51	)	$	(31	)	$			$	(82	)
Frontier Trading Company II, LLC		—			—			36,130			36,130			(363	)		(448,676	)		518,722			69,683
Frontier Trading Company XV, LLC		—			—			—			—			(5,584	)		(291,976	)		68,084			(229,476	)
Frontier Trading Company XXXVIII, LLC		—			—			(4,657	)		(4,657	)		(1,425	)		21,438			10,735			30,748
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		(11,827	)		27,230			(47,312	)		(31,909	)		—			—			(92,816	)		(92,816	)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(62,543	)		419,529			(214,880	)		142,106			—			—			387,932			387,932
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(55,827	)		(139,604	)		81,403			(114,028	)		—			—			—			—
Galaxy Plus Fund - TT Feeder Fund (531) LLC								(128,372	)		(128,372	)		—			—			—			—
Total	$	(130,197	)	$	307,155		$	(277,688	)	$	(100,730	)	$	(7,423	)	$	(719,245	)	$	892,657		$	165,989

44

The Series’ investments in private investment companies 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 - EvE STP Feeder Fund (516) LLC	24 hours	Daily	None
Galaxy Plus Fund - LRR Feeder Fund (522) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) 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 - Chesapeake Feeder Fund (518) 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
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC	24 hours	Daily	None
Frontier Masters Fund
Trend Following
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC	24 hours	Daily	None
Galaxy Plus Fund - TT Feeder Fund (531) LLC	24 hours	Weekly	None
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	24 hours	Daily	None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Frontier Long/Short Commodity Fund
Trend Following
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC	24 hours	Daily	None
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	24 hours	Daily	None
Galaxy Plus Fund - LRR Feeder Fund (522) LLC	24 hours	Daily	None
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Frontier Balanced Fund
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC	24 hours	Daily	None
Galaxy Plus Fund - LRR Feeder Fund (522) 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
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC	24 hours	Daily	None
Frontier Select Fund
Trend Following
Galaxy Plus Fund - TT Feeder Fund (531) LLC	24 hours	Weekly	None

45

6. Transactions with Affiliates

The Managing Owner contributes funds to the Trust, with respect to the Series, in order to have a 1% interest (“Minimum Purchase Commitment”) in the aggregate capital, profits and losses of all Series and in return will receive units designated as general units in the Series in which the Managing Owner invests such funds. The general units may only be purchased by the Managing Owner and may be subject to no advisory fees or advisory fees at reduced rates. Otherwise, the general units hold the same rights as the limited units. The Managing Owner 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 nominal assets of such Series allocated to Trading Companies, calculated on a daily basis. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “nominal assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1, Class 2 and Class 3, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Winton 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 1, Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this Form 10-Q, the Trading Advisor for a Series that has invested in a swap has not received any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap.

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

Trading Fees— In connection with each Series’ trading activities, from January 1, 2016 through October 23, 2016, the Frontier Balanced Fund, Frontier Select Fund, Frontier Winton Fund and Frontier Heritage Fund paid to the Managing Owner a trading fee, or FCM Fee, of up to 0.75% per annum of such Series’ NAV, calculated daily; thereafter each of the Series pays to the Managing Owner a FCM Fee of up to 2.25% per annum of nominal assets (excluding swap nominal) allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. From January 1, 2016 through April 28, 2016, the Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund paid to the Managing Owner a FCM Fee of up to 2.25% and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily; thereafter each of such Series pays to the Managing Owner a FCM Fee of up to 2.25% of nominal assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily.

46

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 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 Winton 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.

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

47

The following table summarizes fees earned by the Managing Owner for the nine months ended September 30, 2017 and 2016:

Three Months Ended September 30, 2017

	Incentive (Rebate) Fees		Management Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	—	$	13,509	$	24,584	$	221,452
Frontier Masters Fund		—		26,862		19,585		151,229
Frontier Long/Short Commodity Fund		—		—		1,867		40,897
Frontier Balanced Fund		—		25,760		323,572		462,275
Frontier Select Fund		—		—		46,479		39,673
Frontier Winton Fund		—		188,835		99,725		127,661
Frontier Heritage Fund		—		43,021		40,954		36,907

Three Months Ended September 30, 2016

	Incentive (Rebate) Fees			Management Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	—		$	40,434	$	36,250	$	322,895
Frontier Masters Fund		—			—		33,907		114,515
Frontier Long/Short Commodity Fund		—			6,851		14,402		37,307
Frontier Balanced Fund		(1,112	)		37,214		436,232		189,199
Frontier Select Fund		4,472			96,115		85,059		46,641
Frontier Winton Fund		—			361,683		180,394		78,021
Frontier Heritage Fund		—			23,697		61,333		20,665

Nine Months Ended September 30, 2017

	Incentive (Rebate) Fees			Management Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	(63,508	)	$	69,251	$	110,769	$	1,154,233
Frontier Masters Fund		—			150,767		72,519		527,813
Frontier Long/Short Commodity Fund		(87,670	)		—		12,838		183,990
Frontier Balanced Fund		—			102,297		1,106,847		1,625,446
Frontier Select Fund		—			102,047		176,247		137,940
Frontier Winton Fund		(49,790	)		677,921		368,816		431,025
Frontier Heritage Fund		(4,603	)		160,879		141,741		146,164

Nine Months Ended September 30, 2016

	Incentive (Rebate) Fees		Management Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	1,052,255	$	456,530	$	171,729	$	1,031,618
Frontier Masters Fund		242,029		282,097		117,919		374,686
Frontier Long/Short Commodity Fund		134,601		192,764		47,975		130,908
Frontier Balanced Fund		1,424,421		435,792		1,371,259		505,657
Frontier Select Fund		44,339		234,838		264,208		96,943
Frontier Winton Fund		99,067		902,598		530,072		211,237
Frontier Heritage Fund		9,072		147,416		192,759		61,341

48

The following table summarizes fees payable to the Managing Owner as of September 30, 2017 and December 31, 2016.

As of September 30, 2017

	Incentive Fees		Management Fees		Interest Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	—	$	—	$	—	$	70,896	$	70,173
Frontier Masters Fund		—		—		—		18,635		50,379
Frontier Long/Short Commodity Fund		—		—		9		1,572		12,762
Frontier Balanced Fund		—		12,779		3,271		139,793		149,699
Frontier Select Fund		—		—		874		16,650		15,571
Frontier Winton Fund		—		94,655		—		49,008		41,203
Frontier Heritage Fund		—		—		2,175		13,736		14,481

As of December 31, 2016

	Incentive Fees		Management Fees		Interest Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	—	$	23,496	$	—	$	15,193	$	147,183
Frontier Masters Fund		—		50,174		—		9,037		57,890
Frontier Long/Short Commodity Fund		—		—		—		3,542		23,478
Frontier Balanced Fund		—		25,217		21,606		129,956		203,324
Frontier Select Fund		—		21,219		3,518		25,966		18,129
Frontier Winton Fund		—		256,824		30,730		39,370		55,142
Frontier Heritage Fund		—		56,501		7,420		16,457		17,953

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) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2), Frontier Winton Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to each Series is paid to the Managing Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series.

49

The following table outlines the interest paid by each Series to the Managing Owner and its ratio to average net assets for the three and nine months ended September 30, 2017 and 2016:

Three Months Ended

	9/30/2017			9/30/2016			9/30/2017			9/30/2016
							Ratio to			Ratio to
	Gross Amount Paid to the			Gross Amount Paid to the			Average Net			Average Net
	Managing Owner			Managing Owner			Assets			Assets
Equinox Frontier Diversified Fund Class 1	$	—		$	995			0.00	%		0.01	%
Equinox Frontier Diversified Fund Class 2		—			5,366			0.00	%		0.01	%
Equinox Frontier Diversified Fund Class 3		—			1,996			0.00	%		0.01	%
Equinox Frontier Masters Fund Class 1		(314	)		1,908			-0.01	%		0.03	%
Equinox Frontier Masters Fund Class 2		(333	)		1,982			-0.01	%		0.03	%
Equinox Frontier Masters Fund Class 3		(543	)		2,264			-0.01	%		0.03	%
Equinox Frontier Long/Short Commodity Fund Class 2		35			(232	)		0.01	%		-0.03	%
Equinox Frontier Long/Short Commodity Fund Class 3		289			(1,019	)		0.01	%		-0.02	%
Equinox Frontier Long/Short Commodity Fund Class 1a		—			(677	)		0.00	%		-0.02	%
Equinox Frontier Long/Short Commodity Fund Class 2a		—			(277	)		0.00	%		-0.03	%
Equinox Frontier Long/Short Commodity Fund Class 3a		—			(126	)		0.00	%		-0.01	%
Equinox Frontier Balanced Fund Class 1		9,154			65,497			0.02	%		0.11	%
Equinox Frontier Balanced Fund Class 1AP		123			744			0.02	%		0.11	%
Equinox Frontier Balanced Fund Class 2		2,046			24,266			0.02	%		0.11	%
Equinox Frontier Balanced Fund Class 2a		(77	)		126			-0.01	%		0.02	%
Equinox Frontier Balanced Fund Class 3a		(136	)		547			-0.01	%		0.02	%
Equinox Frontier Select Fund Class 1		4,708			13,572			0.08	%		0.12	%
Equinox Frontier Select Fund Class 1AP		17			49			0.08	%		0.12	%
Equinox Frontier Select Fund Class 2		686			1,691			0.08	%		0.12	%
Equinox Frontier Winton Fund Class 1		28,693			70,519			0.22	%		0.31	%
Equinox Frontier Winton Fund Class 1AP		74			118			0.22	%		0.31	%
Equinox Frontier Winton Fund Class 2		23,095			38,069			0.22	%		0.31	%
Equinox Frontier Heritage Fund Class 1		7,622			16,017			0.14	%		0.19	%
Equinox Frontier Heritage Fund Class 1AP		8			46			0.15	%		0.20	%
Equinox Frontier Heritage Fund Class 2		1,297			5,519			0.14	%		0.19	%
Total	$	76,444		$	248,960

50

Nine Months Ended

	9/30/2017			9/30/2016		9/30/2017			9/30/2016
						Ratio to			Ratio to
	Gross Amount Paid to the			Gross Amount Paid to the		Average Net			Average
	Managing Owner			Managing Owner		Assets			Net Assets
Equinox Frontier Diversified Fund Class 1	$	(3,860	)	$	8,801		-0.10	%		0.11	%
Equinox Frontier Diversified Fund Class 2		(19,555	)		34,827		-0.07	%		0.09	%
Equinox Frontier Diversified Fund Class 3		(7,071	)		11,204		-0.06	%		0.09	%
Equinox Frontier Masters Fund Class 1		(4,988	)		7,876		-0.12	%		0.11	%
Equinox Frontier Masters Fund Class 2		(5,113	)		7,736		-0.11	%		0.11	%
Equinox Frontier Masters Fund Class 3		(5,881	)		7,257		-0.09	%		0.10	%
Equinox Frontier Long/Short Commodity Fund Class 2		167			297		0.03	%		0.03	%
Equinox Frontier Long/Short Commodity Fund Class 3		1,566			1,956		0.04	%		0.04	%
Equinox Frontier Long/Short Commodity Fund Class 1a		533			1,392		0.07	%		0.04	%
Equinox Frontier Long/Short Commodity Fund Class 2a		233			402		0.03	%		0.03	%
Equinox Frontier Long/Short Commodity Fund Class 3a		189			298		0.01	%		0.03	%
Equinox Frontier Balanced Fund Class 1		199,538			403,740		0.40	%		0.65	%
Equinox Frontier Balanced Fund Class 1AP		2,539			4,600		0.41	%		0.65	%
Equinox Frontier Balanced Fund Class 2		54,615			147,443		0.31	%		0.65	%
Equinox Frontier Balanced Fund Class 2a		494			737		0.09	%		0.13	%
Equinox Frontier Balanced Fund Class 3a		1,316			3,248		0.08	%		0.13	%
Equinox Frontier Select Fund Class 1		28,362			26,634		0.36	%		0.22	%
Equinox Frontier Select Fund Class 1AP		84			103		0.35	%		0.22	%
Equinox Frontier Select Fund Class 2		4,295			3,225		0.36	%		0.22	%
Equinox Frontier Winton Fund Class 1		40,855			259,609		0.25	%		1.12	%
Equinox Frontier Winton Fund Class 1AP		50			423		0.14	%		1.11	%
Equinox Frontier Winton Fund Class 2		17,017			136,727		0.15	%		1.11	%
Equinox Frontier Heritage Fund Class 1		33,744			61,772		0.53	%		0.71	%
Equinox Frontier Heritage Fund Class 1AP		29			329		0.52	%		0.76	%
Equinox Frontier Heritage Fund Class 2		10,039			20,980		0.56	%		0.71	%
Total	$	349,196		$	1,151,617

51

7. Financial Highlights

The following information presents the financial highlights of the Trust, with respect to the Series, for the three and nine months ended September 30, 2017 and 2016.

	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, June 30, 2017	$	111.73		$	128.62		$	119.42		$	102.39		$	117.90		$	109.90		$	83.63		$	116.35		$	95.39		$	122.06		$	99.76
Net operating results:
Interest income		0.01			0.01			0.01			0.11			0.12			0.11			0.00			0.00			0.00			0.00			0.00
Expenses		(1.86	)		(1.22	)		(1.13	)		(2.03	)		(1.65	)		(1.54	)		(1.16	)		(0.87	)		(0.72	)		(0.91	)		(0.75	)
Net gain/(loss) on investments, net of non-controlling interests	��	0.22			(0.11	)		(0.03	)		(1.06	)		(1.42	)		(1.24	)		0.79			0.84			0.69			0.89			0.78
Net income/(loss)		(1.63	)		(1.32	)		(1.15	)		(2.98	)		(2.95	)		(2.67	)		(0.37	)		(0.03	)		(0.03	)		(0.02	)		0.03
Net asset value, September 30, 2017	$	110.10		$	127.30		$	118.27		$	99.41		$	114.95		$	107.23		$	83.26		$	116.32		$	95.36		$	122.04		$	99.79
Ratios to average net assets (3)
Net investment income/(loss)		-6.50	%		-3.69	%		-3.69	%		-7.26	%		-4.99	%		-4.99	%		-5.31	%		-2.87	%		-2.87	%		-2.87	%		-2.87	%
Expenses before incentive fees (rebate) (4)(5)		6.52	%		3.72	%		3.72	%		7.66	%		5.39	%		5.39	%		5.31	%		2.87	%		2.87	%		2.87	%		2.87	%
Expenses after incentive fees (rebate) (4)(5)		6.52	%		3.72	%		3.72	%		7.66	%		5.39	%		5.39	%		5.31	%		2.87	%		2.87	%		2.87	%		2.87	%
Total return before incentive fees (rebate) (2)		-1.46	%		-1.03	%		-0.96	%		-2.91	%		-2.50	%		-2.43	%		-0.44	%		-0.03	%		-0.03	%		-0.02	%		0.03	%
Total return after incentive fees (rebate) (2)		-1.46	%		-1.03	%		-0.96	%		-2.91	%		-2.50	%		-2.43	%		-0.44	%		-0.03	%		-0.03	%		-0.02	%		0.03	%
	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, June 30, 2017	$	129.84		$	141.71		$	190.62		$	165.77		$	165.22					$	78.79		$	85.90		$	114.11
Net operating results:
Interest income		0.02			0.02			0.03			0.03			0.03						0.00			0.00			0.00
Expenses		(2.20	)		(1.32	)		(1.77	)		(1.54	)		(1.54	)					(1.07	)		(0.50	)		(0.66	)
Net gain/(loss) on investments, net of non-controlling interests		0.54			0.57			0.76			0.72			0.71						(3.26	)		(3.52	)		(4.79	)
Net income/(loss)		(1.64	)		(0.73	)		(0.98	)		(0.79	)		(0.80	)					(4.33	)		(4.02	)		(5.45	)
Net asset value, September 30, 2017	$	128.20		$	140.98		$	189.64		$	164.98		$	164.42					$	74.46		$	81.88		$	108.66
Ratios to average net assets (3)
Net investment income/(loss)		-6.57	%		-3.57	%		-3.57	%		-3.57	%		-3.57	%					-5.24	%		-2.24	%		-2.24	%
Expenses before incentive fees (rebate) (4)(5)		6.63	%		3.63	%		3.63	%		3.63	%		3.63	%					5.24	%		2.24	%		2.24	%
Expenses after incentive fees (rebate) (4)(5)		6.63	%		3.63	%		3.63	%		3.63	%		3.63	%					5.24	%		2.24	%		2.24	%
Total return before incentive fees (rebate) (2)		-1.26	%		-0.52	%		-0.51	%		-0.48	%		-0.48	%					-5.50	%		-4.68	%		-4.78	%
Total return after incentive fees (rebate) (2)		-1.26	%		-0.52	%		-0.51	%		-0.48	%		-0.48	%					-5.50	%		-4.68	%		-4.78	%
	Frontier Winton Fund									Frontier Heritage Fund
	Class 1			Class 1AP			Class 2			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2017	$	144.09		$	157.26		$	199.66		$	108.98		$	118.94		$	159.18
Net operating results:
Interest income		0.12			0.13			0.17			0.00			0.00			0.00
Expenses		(3.18	)		(2.28	)		(2.90	)		(2.23	)		(1.53	)		(2.05	)
Net gain/(loss) on investments, net ofnon-controlling interests		1.27			1.39			1.77			(0.76	)		(0.86	)		(1.16	)
Net income/(loss)		(1.79	)		(0.76	)		(0.96	)		(2.99	)		(2.39	)		(3.21	)
Net asset value, September 30, 2017	$	142.30		$	156.50		$	198.70		$	105.99		$	116.55		$	155.97
Ratios to average net assets (3)
Net investment income/(loss)		-8.38	%		-5.38	%		-5.38	%		-8.02	%		-5.02	%		-5.02	%
Expenses before incentive fees (rebate) (4)(5)		8.71	%		5.71	%		5.71	%		8.02	%		5.02	%		5.02	%
Expenses after incentive fees (rebate) (4)(5)		8.71	%		5.71	%		5.71	%		8.02	%		5.02	%		5.02	%
Total return before incentive fees (rebate) (2)		-1.24	%		-0.48	%		-0.48	%		-2.74	%		-2.01	%		-2.02	%
Total return after incentive fees (rebate) (2)		-1.24	%		-0.48	%		-0.48	%		-2.74	%		-2.01	%		-2.02	%

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

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

(3) Annualized with the exception of incentive fees.

(4) Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, refer to Note 6 of the Financial Statements.

(5) 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.

52

	Equinox Frontier Diversified Fund									Equinox Frontier Masters Fund									Equinox Frontier Long/Short Commodity Fund
	Class 1			Class 2			Class 3			Class 1			Class 2			Class 3			Class 1a			Class 2			Class 2a			Class 3			Class 3a
Per unit operating performance (1)
Net asset value, June 30, 2016	$	118.06		$	133.61		$	123.73		$	119.85		$	135.61		$	126.09		$	92.95		$	130.55		$	105.26		$	130.45		$	105.62
Net operating results:
Interest income		0.07			0.07			0.07			0.14			0.16			0.15			0.00			0.00			0.00			0.00			0.00
Expenses		(1.40	)		(0.86	)		(0.80	)		(1.35	)		(0.78	)		(0.73	)		(0.91	)		(0.63	)		(0.51	)		(0.63	)		(0.52	)
Net gain/(loss) on investments, net of non-controlling interests		(0.94	)		(1.19	)		(1.02	)		0.40			0.31			0.38			(2.30	)		(4.36	)		(2.98	)		(3.05	)		(1.63	)
Net income/(loss)		(2.27	)		(1.98	)		(1.75	)		(0.81	)		(0.31	)		(0.20	)		(3.21	)		(4.99	)		(3.49	)		(3.68	)		(2.15	)
Net asset value, September 30, 2016	$	115.79		$	131.63		$	121.98		$	119.04		$	135.30		$	125.89		$	89.74		$	125.56		$	101.77		$	126.77		$	103.47
Ratios to average net assets (3)
Net investment income/(loss)		-4.54	%		-2.37	%		-2.37	%		-4.01	%		-1.82	%		-1.82	%		-4.02	%		-1.99	%		-1.99	%		-1.99	%		-1.99	%
Expenses before incentive fees (rebate) (4)(5)		4.76	%		2.59	%		2.59	%		4.48	%		2.29	%		2.29	%		4.02	%		1.99	%		1.99	%		1.99	%		1.99	%
Expenses after incentive fees (rebate) (4)(5)		4.76	%		2.59	%		2.59	%		4.48	%		2.29	%		2.29	%		4.02	%		1.99	%		1.99	%		1.99	%		1.99	%
Total return before incentive fees (rebate) (2)		-1.92	%		-1.48	%		-1.41	%		-0.68	%		-0.23	%		-0.16	%		-3.45	%		-3.82	%		-3.32	%		-2.82	%		-2.04	%
Total return after incentive fees (rebate) (2)		-1.92	%		-1.48	%		-1.41	%		-0.68	%		-0.23	%		-0.16	%		-3.45	%		-3.82	%		-3.32	%		-2.82	%		-2.04	%
	Equinox Frontier Balanced Fund																		Equinox Frontier Select Fund
	Class 1			Class 1AP			Class 2			Class 2a			Class 3a						Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2016	$	130.50		$	138.23		$	185.92		$	160.94		$	160.41					$	98.12		$	103.93		$	137.92
Net operating results:
Interest income		0.00			0.00			0.01			0.01			0.01						0.00			0.00			0.00
Expenses		(1.31	)		(0.37	)		(0.49	)		(0.43	)		(0.43	)					(1.80	)		(1.16	)		(1.53	)
Net gain/(loss) on investments, net of non-controlling interests		1.33			1.45			1.94			1.83			1.82						(0.06	)		(0.02	)		(0.04	)
Net income/(loss)		0.02			1.08			1.46			1.41			1.40						(1.86	)		(1.18	)		(1.57	)
Net asset value, September 30, 2016	$	130.52		$	139.31		$	187.38		$	162.35		$	161.81					$	96.26		$	102.75		$	136.35
Ratios to average net assets (3)
Net investment income/(loss)		-3.97	%		-1.04	%		-1.04	%		-1.04	%		-1.04	%					-7.24	%		-4.34	%		-4.34	%
Expenses before incentive fees (rebate) (4)(5)		3.99	%		1.06	%		1.06	%		1.06	%		1.06	%					7.21	%		4.31	%		4.31	%
Expenses after incentive fees (rebate) (4)(5)		3.99	%		1.06	%		1.06	%		1.06	%		1.06	%					7.24	%		4.34	%		4.34	%
Total return before incentive fees (rebate) (2)		0.01	%		0.78	%		0.78	%		0.87	%		0.87	%					-1.86	%		-1.10	%		-1.10	%
Total return after incentive fees (rebate) (2)		0.02	%		0.78	%		0.79	%		0.88	%		0.87	%					-1.90	%		-1.14	%		-1.14	%
	Equinox Frontier Winton Fund									Equinox Frontier Heritage Fund
	Class 1			Class 1AP			Class 2			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, June 30, 2016	$	171.53		$	181.68		$	230.67		$	129.77		$	137.45		$	183.94
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00			0.00
Expenses		(3.43	)		(2.23	)		(2.84	)		(1.42	)		(0.53	)		(0.71	)
Net gain/(loss) on investments, net of non-controlling interests		(4.88	)		(5.23	)		(6.63	)		(3.71	)		(3.88	)		(5.18	)
Net income/(loss)		(8.31	)		(7.46	)		(9.47	)		(5.13	)		(4.41	)		(5.89	)
Net asset value, September 30, 2016	$	163.22		$	174.22		$	221.20		$	124.64		$	133.04		$	178.05
Ratios to average net assets (3)
Net investment income/(loss)		-8.16	%		-5.00	%		-5.00	%		-4.45	%		-1.56	%		-1.56	%
Expenses before incentive fees (rebate) (4)(5)		8.16	%		5.00	%		5.00	%		4.45	%		1.56	%		1.56	%
Expenses after incentive fees (rebate) (4)(5)		8.16	%		5.00	%		5.00	%		4.45	%		1.56	%		1.56	%
Total return before incentive fees (rebate) (2)		-4.84	%		-4.11	%		-4.11	%		-3.95	%		-3.21	%		-3.20	%
Total return after incentive fees (rebate) (2)		-4.84	%		-4.11	%		-4.11	%		-3.95	%		-3.21	%		-3.20	%

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

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

(3) Annualized with the exception of incentive fees.

(4) Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, refer to Note 6 of the Financial Statements.

(5) 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.

53

	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, 2016	$	116.43		$	132.94		$	123.27		$	112.80		$	128.78		$	119.89		$	92.78		$	129.56		$	105.67		$	130.80		$	107.50
Net operating results:
Interest income		0.27			0.30			0.28			0.53			0.61			0.56			0.01			0.00			0.00			0.00			0.00
Expenses		(6.36	)		(3.56	)		(3.28	)		(6.82	)		(5.69	)		(5.27	)		(3.15	)		(2.19	)		(1.79	)		(2.22	)		(1.82	)
Net gain/(loss) on investments, net of non-controlling interests		(0.24	)		(2.38	)		(2.00	)		(7.10	)		(8.75	)		(7.95	)		(6.38	)		(11.05	)		(8.52	)		(6.54	)		(5.89	)
Net income/(loss)		(6.33	)		(5.64	)		(5.00	)		(13.39	)		(13.83	)		(12.66	)		(9.52	)		(13.24	)		(10.31	)		(8.76	)		(7.71	)
Net asset value, September 30, 2017	$	110.10		$	127.30		$	118.27		$	99.41		$	114.95		$	107.23		$	83.26		$	116.32		$	95.36		$	122.04		$	99.79
Ratios to average net assets (3)
Net investment income/(loss)		-7.02	%		-3.26	%		-3.26	%		-7.59	%		-5.33	%		-5.33	%		-4.92	%		-2.70	%		-2.70	%		-2.70	%		-2.70	%
Expenses before incentive fees (rebate) (4)(5)		7.46	%		3.70	%		3.70	%		8.23	%		5.97	%		5.97	%		6.17	%		3.95	%		3.95	%		3.95	%		3.95	%
Expenses after incentive fees (rebate) (4)(5)		7.32	%		3.56	%		3.56	%		8.23	%		5.97	%		5.97	%		4.92	%		2.70	%		2.70	%		2.70	%		2.70	%
Total return before incentive fees (rebate) (2)		-5.58	%		-4.39	%		-4.20	%		-11.87	%		-10.74	%		-10.56	%		-11.52	%		-11.47	%		-11.01	%		-7.95	%		-8.43	%
Total return after incentive fees (rebate) (2)		-5.44	%		-4.24	%		-4.06	%		-11.87	%		-10.74	%		-10.56	%		-10.26	%		-10.22	%		-9.76	%		-6.70	%		-7.17	%
	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, 2016	$	134.80		$	144.97		$	194.99		$	169.05		$	168.49					$	94.06		$	101.16		$	134.25
Net operating results:
Interest income		0.02			0.02			0.03			0.02			0.02						0.00			0.00			0.00
Expenses		(6.75	)		(4.06	)		(5.49	)		(4.75	)		(4.73	)					(4.24	)		(2.49	)		(3.32	)
Net gain/(loss) on investments, net of non-controlling interests		0.13			0.05			0.11			0.66			0.64						(15.36	)		(16.79	)		(22.27	)
Net income/(loss)		(6.60	)		(3.99	)		(5.35	)		(4.07	)		(4.07	)					(19.60	)		(19.28	)		(25.59	)
Net asset value, September 30, 2017	$	128.20		$	140.98		$	189.64		$	164.98		$	164.42					$	74.46		$	81.88		$	108.66
Ratios to average net assets (3)
Net investment income/(loss)		-6.66	%		-3.68	%		-3.68	%		-3.68	%		-3.68	%					-6.51	%		-3.54	%		-3.54	%
Expenses before incentive fees (rebate) (4)(5)		6.68	%		3.70	%		3.70	%		3.70	%		3.70	%					6.51	%		3.54	%		3.54	%
Expenses after incentive fees (rebate) (4)(5)		6.68	%		3.70	%		3.70	%		3.70	%		3.70	%					6.51	%		3.54	%		3.54	%
Total return before incentive fees (rebate) (2)		-4.90	%		-2.75	%		-2.74	%		-2.41	%		-2.42	%					-20.84	%		-19.06	%		-19.06	%
Total return after incentive fees (rebate) (2)		-4.90	%		-2.75	%		-2.74	%		-2.41	%		-2.42	%					-20.84	%		-19.06	%		-19.06	%
	Frontier Winton 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, 2016	$	154.51		$	166.17		$	210.98		$	119.58		$	128.60		$	172.10
Net operating results:
Interest income		0.11			0.12			0.15			0.00			0.00			0.00
Expenses		(9.63	)		(6.83	)		(8.66	)		(6.81	)		(4.62	)		(6.24	)
Net gain/(loss) on investments, net of non-controlling interests		(2.69	)		(2.96	)		(3.77	)		(6.78	)		(7.43	)		(9.89	)
Net income/(loss)		(12.21	)		(9.67	)		(12.28	)		(13.59	)		(12.05	)		(16.13	)
Net asset value, September 30, 2017	$	142.30		$	156.50		$	198.70		$	105.99		$	116.55		$	155.97
Ratios to average net assets (3)
Net investment income/(loss)		-8.55	%		-5.58	%		-5.58	%		-7.98	%		-5.01	%		-5.01	%
Expenses before incentive fees (rebate) (4)(5)		8.83	%		5.85	%		5.85	%		8.04	%		5.06	%		5.06	%
Expenses after incentive fees (rebate) (4)(5)		8.65	%		5.67	%		5.67	%		7.98	%		5.01	%		5.01	%
Total return before incentive fees (rebate) (2)		-8.08	%		-6.00	%		-6.00	%		-11.42	%		-9.43	%		-9.43	%
Total return after incentive fees (rebate) (2)		-7.90	%		-5.82	%		-5.82	%		-11.36	%		-9.37	%		-9.37	%

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

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

(3) Annualized with the exception of incentive fees.

(4) Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, refer to Note 6 of the Financial Statements.

(5) 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.

54

	Equinox Frontier Diversified Fund									Equinox Frontier Masters Fund									Equinox Frontier Long/Short Commodity Fund
	Class 1			Class 2			Class 3			Class 1			Class 2			Class 3			Class 1a			Class 2			Class 2a			Class 3			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2015	$	115.52		$	129.60		$	119.87		$	112.87		$	126.60		$	117.57		$	94.76		$	132.10		$	106.19		$	132.14		$	106.86
Net operating results:
Interest income		0.64			0.72			0.67			0.65			0.74			0.69			0.30			0.42			0.34			0.42			0.34
Expenses		(7.63	)		(5.86	)		(5.42	)		(7.00	)		(5.69	)		(5.29	)		(5.07	)		(5.28	)		(4.25	)		(5.28	)		(4.27	)
Net gain/(loss) on investments, net of non-controlling interests		7.26			7.17			6.86			12.52			13.65			12.92			(0.25	)		(1.68	)		(0.51	)		(0.51	)		0.54
Net income/(loss)		0.27			2.03			2.11			6.17			8.70			8.32			(5.02	)		(6.54	)		(4.42	)		(5.37	)		(3.39	)
Net asset value, September 30, 2016	$	115.79		$	131.63		$	121.98		$	119.04		$	135.30		$	125.89		$	89.74		$	125.56		$	101.77		$	126.77		$	103.47
Ratios to average net assets (3)
Net investment income/(loss)		-7.27	%		-4.53	%		-4.53	%		-6.79	%		-4.57	%		-4.57	%		-6.37	%		-4.53	%		-4.53	%		-4.53	%		-4.50	%
Expenses before incentive fees (rebate) (4)(5)		6.18	%		3.44	%		3.44	%		6.39	%		4.16	%		4.16	%		5.65	%		3.81	%		3.81	%		3.81	%		3.68	%
Expenses after incentive fees (rebate) (4)(5)		7.99	%		5.25	%		5.25	%		7.53	%		5.31	%		5.31	%		6.80	%		4.96	%		4.96	%		4.96	%		4.93	%
Total return before incentive fees (rebate) (2)		2.05	%		3.38	%		3.57	%		6.61	%		8.02	%		8.22	%		-4.15	%		-3.80	%		-3.01	%		-2.91	%		-1.93	%
Total return after incentive fees (rebate) (2)		0.23	%		1.57	%		1.76	%		5.47	%		6.87	%		7.08	%		-5.30	%		-4.95	%		-4.16	%		-4.06	%		-3.17	%
	Equinox Frontier Balanced Fund																		Equinox Frontier Select Fund
	Class 1			Class 1AP			Class 2			Class 2a			Class 3a						Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2015	$	128.03		$	133.59		$	179.69		$	154.88		$	154.37					$	90.35		$	94.28		$	125.11
Net operating results:
Interest income		0.02			0.03			0.03			0.03			0.03						0.00			0.00			0.00
Expenses		(6.45	)		(3.73	)		(5.01	)		(4.33	)		(4.32	)					(4.84	)		(2.85	)		(3.79	)
Net gain/(loss) on investments, net of non-controlling interests		8.92			9.42			12.67			11.77			11.73						10.75			11.32			15.03
Net income/(loss)		2.49			5.72			7.69			7.47			7.44						5.91			8.47			11.24
Net asset value, September 30, 2016	$	130.52		$	139.31		$	187.38		$	162.35		$	161.81					$	96.26		$	102.75		$	136.35
Ratios to average net assets (3)
Net investment income/(loss)		-5.97	%		-3.01	%		-3.01	%		-3.01	%		-3.01	%					-6.60	%		-3.64	%		-3.64	%
Expenses before incentive fees (rebate) (4)(5)		4.39	%		1.43	%		1.43	%		1.43	%		1.43	%					6.27	%		3.31	%		3.31	%
Expenses after incentive fees (rebate) (4)(5)		6.00	%		3.04	%		3.04	%		3.04	%		3.04	%					6.60	%		3.64	%		3.64	%
Total return before incentive fees (rebate) (2)		3.56	%		5.89	%		5.89	%		6.43	%		6.43	%					6.87	%		9.31	%		9.31	%
Total return after incentive fees (rebate) (2)		1.94	%		4.28	%		4.28	%		4.82	%		4.82	%					6.54	%		8.98	%		8.98	%
	Equinox Frontier Winton Fund									Equinox Frontier Heritage Fund
	Class 1			Class 1AP			Class 2			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2015	$	164.17		$	171.31		$	217.51		$	124.27		$	129.67		$	173.54
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00			0.00
Expenses		(9.59	)		(6.06	)		(7.70	)		(5.25	)		(2.54	)		(3.38	)
Net gain/(loss) on investments, net of non-controlling interests		8.64			8.97			11.39			5.62			5.91			7.89
Net income/(loss)		(0.95	)		2.91			3.69			0.37			3.37			4.51
Net Net asset value, September 30, 2016	$	163.22		$	174.22		$	221.20		$	124.64		$	133.04		$	178.05
Ratios to average net assets (3)
Net investment income/(loss)		-7.51	%		-4.46	%		-4.46	%		-5.42	%		-2.46	%		-2.46	%
Expenses before incentive fees (rebate) (4)(5)		7.23	%		4.19	%		4.19	%		5.35	%		2.38	%		2.38	%
Expenses after incentive fees (rebate) (4)(5)		7.51	%		4.47	%		4.47	%		5.42	%		2.46	%		2.46	%
Total return before incentive fees (rebate) (2)		-0.30	%		1.98	%		1.97	%		0.38	%		2.68	%		2.68	%
Total return after incentive fees (rebate) (2)		-0.58	%		1.70	%		1.70	%		0.30	%		2.60	%		2.60	%

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

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

(3) Annualized with the exception of incentive fees.

(4) Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Statements of Operations of the Series, refer to Note 6 of the Financial Statements.

(5) 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.

55

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 September 30, 2017 and December 31, 2016 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.

56

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

For the Three Months Ended September 30, 2017
Monthly average contracts
	Bought		Sold
Frontier Balanced Fund		567		459
Frontier Winton Fund		1,849		1,477
For the Three Months Ended September 30, 2016
Monthly average contracts
	Bought		Sold
Frontier Balanced Fund		405		350
Frontier Select Fund		244		220
Frontier Winton Fund		3,531		3,509
For the Nine Months Ended September 30, 2017
Monthly average contracts
	Bought		Sold
Frontier Balanced Fund		1,195		1,121
Frontier Select Fund		4,690		4,675
Frontier Winton Fund		2,168		1,978
For the Nine Months Ended September 30, 2016
Monthly average contracts
	Bought		Sold
Frontier Long/Short Commodity Fund		10		4
Frontier Balanced Fund		2,198		2,194
Frontier Select Fund		1,897		1,781
Frontier Winton Fund		2,631		2,466

57

The following tables summarize the trading revenues for the three and nine months ended September 30, 2017 and 2016 by sector:

Realized Trading Revenue from Futures, Forwards and Options for the Three Months Ended September 30, 2017
	Frontier Balanced			Frontier Winton
Type of contract	Fund			Fund
Metals	$	(35,090	)	$	(380,449	)
Currencies		418,961			274,057
Energies		(37,022	)		(434,257	)
Agriculturals		(255,648	)		(307,146	)
Interest rates		26,520			(125,819	)
Stock indices		(35,713	)		697,405
Realized trading income/(loss)(1)	$	82,008		$	(276,209	)
Realized Trading Revenue from Futures, Forwards and Options for the Three Months Ended September 30, 2016
	Frontier Balanced			Frontier Select			Frontier Winton
Type of contract	Fund			Fund			Fund
Metals	$	34,656		$	(155,328	)	$	137,169
Currencies		(240,356	)		502,259			1,564,835
Energies		(55,022	)		(364,812	)		(283,793	)
Agriculturals		91,330			49,087			(285,391	)
Interest rates		(70,149	)		908,780			2,108,766
Stock indices		683,204			544,742			315,712
Realized trading income/(loss)(1)	$	443,663		$	1,484,728		$	3,557,298
Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2017
	Frontier Balanced			Frontier Select			Frontier Winton
Type of contract	Fund			Fund			Fund
Metals	$	(112,630	)	$	(145,043	)	$	(1,442,763	)
Currencies		238,745			(126,402	)		(1,244,155	)
Energies		(868	)		(516,253	)		(1,721,544	)
Agriculturals		(509,639	)		27,824			399,406
Interest rates		(425,751	)		(768,438	)		(1,296,976	)
Stock indices		240,982			832,876			6,359,249
Realized trading income/(loss)(1)	$	(569,161	)	$	(695,436	)	$	1,053,217
Realized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2016
	Frontier Balanced			Frontier			Frontier Select			Frontier Winton
Type of contract	Fund			Long/Short Fund			Fund			Fund
Metals	$	47,926		$	(34,888	)	$	(427,660	)	$	(1,306,380	)
Currencies		(50,174	)		—			178,904			1,239,181
Energies		(246,636	)		62,750			374,789			(279,237	)
Agriculturals		(32,097	)		(118,076	)		(172,748	)		(547,448	)
Interest rates		4,593,637			—			2,212,171			6,205,710
Stock indices		(1,162,151	)		—			(61,395	)		(1,710,476	)
Realized trading income/(loss)(1)	$	3,150,505		$	(90,214	)	$	2,104,061		$	3,601,350

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

58

Unrealized Trading Revenue from Futures, Forwards and Options for the Three Months Ended September 30, 2017
	Frontier Balanced			Frontier Winton
Type of contract	Fund			Fund
Metals	$	41,418		$	(5,368	)
Currencies		(257,141	)		(221,054	)
Energies		8,412			204,615
Agriculturals		59,883			204,560
Interest rates		31,989			(179,186	)
Stock indices		31,400			771,765
Change in unrealized trading income/(loss)(1)	$	(84,039	)	$	775,332
Unrealized Trading Revenue from Futures, Forwards and Options for the Three Months Ended September 30, 2016
	Frontier Balanced			Frontier Select			Frontier Winton
Type of contract	Fund			Fund			Fund
Metals	$	49,991		$	28,852		$	(547,241	)
Currencies		(16,031	)		(367,116	)		(1,288,959	)
Energies		11,043			(240,034	)		(445,176	)
Agriculturals		92,332			83,025			(59,806	)
Interest rates		(376,484	)		(991,267	)		(2,754,154	)
Stock indices		(205,193	)		168,134			362,016
Change in unrealized trading income/(loss)(1)	$	(444,342	)	$	(1,318,406	)	$	(4,733,320	)
Unrealized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2017
	Equinox Frontier			Equinox Frontier			Equinox Frontier
Type of contract	Balanced Fund			Select Fund			Winton Fund
Metals	$	(110,251	)	$	(51,351	)	$	10,108
Currencies		(258,229	)		(370,286	)		(843,998	)
Energies		11,735			(146,125	)		28,571
Agriculturals		(96,789	)		108,409			(92,870	)
Interest rates		38,801			(296,328	)		(827,879	)
Stock indices		11,496			609,833			95,619
Change in unrealized trading income/(loss)(1)	$	(403,237	)	$	(145,848	)	$	(1,630,449	)
Unrealized Trading Revenue from Futures, Forwards and Options for the Nine Months Ended September 30, 2016
	Frontier Balanced			Frontier			Frontier Select			Frontier Winton
Type of contract	Fund			Long/Short Fund			Fund			Fund
Metals	$	25,971		$	40,106		$	(147,108	)	$	(751,806	)
Currencies		(446,191	)		89,831			384,276			427,844
Energies		126,734			310,673			(809,068	)		(635,515	)
Agriculturals		130,007			263,864			165,478			9,954
Interest rates		(3,750	)		6,479			343,921			357,356
Stock indices		189,804			(17,690	)		338,458			467,896
Change in unrealized trading income/(loss)(1)	$	22,575		$	693,263		$	275,957		$	(124,271	)

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

59

Certain financial instruments and derivative instruments are eligible for offset in the statements of financial condition under GAAP. The Series’ open trade equity/(deficit), options written, and receivables from futures commissions merchants (each, an “FCM”) are subject to master netting arrangements and collateral arrangements and meet the 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 September 30, 2017 and December 31, 2016.

As of September 30, 2017						Net Amounts
			Gross Amounts			Presented in the
	Gross Amounts		offset in the			Statements of
	of recognized		Statements of			Financial
	Derivative Assets		Financial Condition			Condition
Equinox Frontier Balanced Fund
Open Trade Equity/(Deficit)	$	205,934	$	(365,668	)	$	(159,734	)
Swap Contracts		11,845,938		—			11,845,938
Equinox Frontier Diversified Fund
Swap Contracts	$	6,571,635	$	—		$	6,571,635
Equinox Frontier Long/Short Commodity Fund
Swap Contracts	$	410,372	$	—		$	410,372
Equinox Frontier Heritage Fund
Swap Contracts	$	2,877,501	$	—		$	2,877,501
Equinox Frontier Winton Fund
Open Trade Equity/(Deficit)	$	1,734,611	$	(2,194,845	)	$	(460,234	)

60

As of December 31, 2016						Net Amounts
			Gross Amounts			Presented in the
	Gross Amounts		offset in the			Statements of
	of recognized		Statements of			Financial
	Derivative Assets		Financial Condition			Condition
Frontier Balanced Fund
Open Trade Equity/(Deficit)	$	515,659	$	(277,998	)	$	237,661
Swap Contracts		18,939,450					18,939,450
Frontier Diversified Fund
Swap Contracts	$	8,637,847				$	8,637,847
Frontier Long/Short Commodity Fund
Swap Contracts	$	4,220,468				$	4,220,468
Frontier Heritage Fund
Swap Contracts	$	8,391,414				$	8,391,414
Frontier Select Fund
Open Trade Equity/(Deficit)	$	1,136,504	$	(450,482	)	$	686,022
Frontier Winton Fund
Open Trade Equity/(Deficit)	$	2,393,850	$	(1,171,326	)	$	1,222,524

61

9. Trading Activities and Related Risks

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

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

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

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

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

10. Indemnifications and Guarantees noted in Management Discussion and Analysis

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

The Trust has guaranteed the obligations of the Trading Companies under the customer agreements with UBS Securities LLC as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities LLC, the assets of the other Series will be available to UBS Securities LLC as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the Trading Company. The Series have not recorded any liability for the indemnifications in the accompanying financial statement, as it expects any possibility of losses to be remote. As of September 2016, the Trust no longer uses UBS Securities LLC as a Clearing Broker.

62

11. Subsequent Events

From October 1, 2017 through November 9, 2017, Frontier Balanced Fund, Frontier Diversified Fund, Frontier Heritage Fund, Frontier Long/Short Commodity Fund, Frontier Masters Fund, Frontier Select Fund, and Frontier Winton Fund paid $2,059,884, $527,906, $91,373, $319,841, $870,585 $294,308 and $371,061, respectively, in redemptions.

All the owner redemptions payable on the Statements of Financial Condition were paid on October 2, 2017.

63

Frontier Funds

Consolidated Statements of Financial Condition

September 30, 2017 (unaudited) and December 31, 2016

	9/30/17		12/31/16
ASSETS
Cash and cash equivalents	$	11,430,425	$	4,747,043
U.S. Treasury securities, at fair value		12,060,176		42,757,604
Receivable from futures commission merchants		20,040,856		32,852,013
Open trade equity, at fair value		—		2,146,207
Swap contracts, at fair value		21,705,447		40,189,178
Investments in private investment companies, at fair value		69,187,168		107,717,118
Interest receivable		79,027		798,053
Receivables from related parties		—		87,670
Other assets		8,974		—
Total Assets	$	134,512,073	$	231,294,886
LIABILITIES & CAPITAL
LIABILITIES
Open trade deficit, at fair value	$	619,968	$	—
Owner redemptions payable		638,130		1,137,772
Management fees payable to Managing Owner		107,434		433,430
Interest payable to Managing Owner		6,329		63,275
Trading fees payable to Managing Owner		354,268		523,099
Service fees payable to Managing Owner		310,291		239,520
Risk analysis fees payable		35,488		15,673
Payables to related parties		—		85,078
Advance on unrealized Swap Appreciation		9,441,555		9,441,555
Other liabilities		—		144,049
Total Liabilities		11,513,463		12,083,451
OWNERS CAPITAL
Managing Owner Units		1,248,665		2,276,211
Limited Owner Units		121,749,945		216,935,224
Total Owners Capital		122,998,610		219,211,435
Total Liabilities and Owners Capital	$	134,512,073	$	231,294,886

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

64

Frontier Fund

Consolidated Condensed Schedule of Investments

September 30, 2017

(Unaudited)

			Fair			% of Total Capital
Description			Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
		Various base metals futures contracts (U.S.)	$	(848	)		0.00	%
		Various currency futures contracts (Canada)		(107,355	)		-0.09	%
		Various currency futures contracts (Europe)		(75,098	)		-0.06	%
		Various currency futures contracts (Oceanic)		(60,940	)		-0.05	%
		Various currency futures contracts (U.S.)		(58,760	)		-0.05	%
		Various energy futures contracts (U.S.)		56,768			0.05	%
		Various interest rates futures contracts (Canada)		(2,271	)		0.00	%
		Various interest rates futures contracts (Europe)		(186,417	)		-0.15	%
		Various interest rates futures contracts (Far East)		(46,634	)		-0.04	%
		Various interest rates futures contracts (Oceanic)		(38,210	)		-0.03	%
		Various interest rates futures contracts (U.S.)		(384,070	)		-0.31	%
		Various precious metal futures contracts (U.S.)		(105,040	)		-0.09	%
		Various soft futures contract (U.S.)		(26,307	)		-0.02	%
		Various soft futures contracts (Canada)		(413	)		0.00	%
		Various stock index futures contracts (Africa)		(176	)		0.00	%
		Various stock index futures contracts (Canada)		15,484			0.01	%
		Various stock index futures contracts (Europe)		241,395			0.20	%
		Various stock index futures contracts (Far East)		311,491			0.25	%
		Various stock index futures contracts (Oceanic)		(7,241	)		-0.01	%
		Various stock index futures contracts (U.S.)		323,106			0.26	%
		Total Long Futures Contracts	$	(151,536	)		-0.13	%
SHORT FUTURES CONTRACTS *
		Various base metals futures contracts (U.S.)	$	(81,463	)		-0.07	%
		Various currency futures contracts (Europe)		21,788			0.02	%
		Various currency futures contracts (Far East)		324,593			0.26	%
		Various energy futures contracts (U.S.)		(43,910	)		-0.04	%
		Various interest rates futures contracts (Canada)		60,656			0.05	%
		Various interest rates futures contracts (Europe)		8,187			0.01	%
		Various interest rates futures contracts (U.S.)		31,961			0.03	%
		Various precious metal futures contracts (U.S.)		17,865			0.01	%
		Various soft futures contract (Europe)		(815	)		0.00	%
		Various soft futures contract (U.S.)		210,892			0.17	%
		Various soft futures contracts (Europe)		(1,248	)		0.00	%
		Various soft futures contracts (Far East)		107			0.00	%
		Various stock index futures contracts (U.S.)		(458,500	)		-0.37	%
		Total Short Futures Contracts	$	90,113			0.07	%
CURRENCY FORWARDS *
		Various currency forwards contracts (NA)	$	(558,545	)		-0.45	%
		Total Currency Forwards	$	(558,545	)		-0.45	%
		Total Open Trade Equity (Deficit)	$	(619,968	)		-0.51	%
SWAPS (1)
		Frontier Brevan Howard swap (U.S.)	$	2,877,501			2.34	%
		Frontier XXXIV Balanced select swap (U.S.)		11,845,939			9.63	%
		Frontier XXXV Diversified select swap (U.S.)		6,571,635			5.34	%
		Frontier XXXVII L/S select swap (U.S.)		410,372			0.33	%
		Total Swaps	$	21,705,447			17.64	%
PRIVATE INVESTMENT COMPANIES (2)
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	2,231,330			1.81	%
		Galaxy Plus Fund - Chesapeake Feeder Fund (518)		1,876,025			1.53	%
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		3,748,506			3.05	%
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		5,185,858			4.22	%
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		7,078,616			5.76	%
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		2,029,087			1.65	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		8,800,198			7.15	%
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		7,422,281			6.03	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		662,246			0.54	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		4,496,573			3.66	%
		Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC		2,434,627			1.98	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		23,221,821			18.88	%
		Total Private Investment Companies	$	69,187,168			56.26	%
U.S. TREASURY SECURITIES
FACE VALUE			Fair Value			Fair Value
$	9,000,000	US Treasury Note 6.875% due 08/15/2025 (Cost $12,218,716)	$	12,060,176			9.81	%
		Total U.S. Treasury Securities	$	12,060,176			9.81	%

* 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.

65

Equinox Frontier Fund

Consolidated Condensed Schedule of Investments

December 31, 2016

			Fair			% of Total Capital
Description			Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
		Various base metals futures contracts (U.S.)	$	(20,244	)		-0.01	%
		Various currency futures contracts (Europe)		73,909			0.03	%
		Various currency futures contracts (Far East)		1,360			0.00	%
		Various currency futures contracts (Oceanic)		(41,946	)		-0.02	%
		Various currency futures contracts (U.S.)		50,242			0.02	%
		Various energy futures contracts (U.S.)		218,762			0.10	%
		Various energy futures contracts (Europe)		4,150			0.00	%
		Various energy futures contracts (Far East)		8,788			0.00	%
		Various interest rates futures contracts (Canada)		(503	)		0.00	%
		Various interest rates futures contracts (Europe)		255,450			0.12	%
		Various interest rates futures contracts (Oceanic)		103			0.00	%
		Various interest rates futures contracts (U.S.)		25,285			0.01	%
		Various precious metal futures contracts (U.S.)		(3,860	)		0.00	%
		Various precious metal futures contracts (Far East)		1,950			0.00	%
		Various soft futures contract (Europe)		1,956			0.00	%
		Various soft futures contract (Canada)		(1,115	)		0.00	%
		Various soft futures contract (Far East)		111			0.00	%
		Various soft futures contract (U.S.)		(178,253	)		-0.08	%
		Various soft futures contracts (Far East)		2,808			0.00	%
		Various stock index futures contracts (Canada)		925			0.00	%
		Various stock index futures contracts (Europe)		302,352			0.14	%
		Various stock index futures contracts (Far East)		362,606			0.17	%
		Various stock index futures contracts (Oceanic)		61,876			0.03	%
		Various stock index futures contracts (U.S.)		(284,324	)		-0.13	%
		Total Long Futures Contracts	$	842,388			0.38	%
SHORT FUTURES CONTRACTS *
		Various base metals futures contracts (U.S.)	$	(200,612	)		-0.09	%
		Various currency futures contracts (Canada)		11,735			0.01	%
		Various currency futures contracts (Europe)		358,276			0.16	%
		Various currency futures contracts (Far East)		187,929			0.09	%
		Various currency futures contracts (Oceanic)		7,603			0.00	%
		Various currency futures contracts (U.S.)		1,130			0.00	%
		Various energy futures contracts (U.S.)		(82,280	)		-0.04	%
		Various interest rates futures contracts (Canada)		5,396			0.00	%
		Various interest rates futures contracts (Europe)		(17,617	)		-0.01	%
		Various interest rates futures contracts (Far East)		(16,393	)		-0.01	%
		Various interest rates futures contracts (Oceanic)		22,526			0.01	%
		Various interest rates futures contracts (U.S.)		172,279			0.08	%
		Various precious metal futures contracts (U.S.)		208,285			0.10	%
		Various soft futures contract (U.S.)		401,926			0.18	%
		Various soft futures contracts (Europe)		111,769			0.05	%
		Various soft futures contracts (U.S.)		62,055			0.03	%
		Various stock index futures contracts (Africa)		4,459			0.00	%
		Various stock index futures contracts (Canada)		—			0.00	%
		Various stock index futures contracts (Europe)		(2,802	)		0.00	%
		Various stock index futures contracts (Far East)		(2,456	)		0.00	%
		Various stock index futures contracts (Oceanic)		—			0.00	%
		Various stock index futures contracts (U.S.)		16,027			0.01	%
		Total Short Futures Contracts	$	1,249,235			0.57	%
CURRENCY FORWARDS *
		Various currency forwards contracts (NA)	$	54,584			0.02	%
		Total Currency Forwards	$	54,584			0.02	%
		Total Open Trade Equity (Deficit)	$	2,146,207			0.97	%
SWAPS (1)
		Frontier Brevan Howard swap (U.S.)	$	8,391,414			3.83	%
		Frontier XXXIV Balanced select swap (U.S.)		18,939,450			8.65	%
		Frontier XXXV Diversified select swap (U.S.)		8,637,847			3.94	%
		Frontier XXXVII L/S select swap (U.S.)		4,220,467			1.93	%
		Total Swaps	$	40,189,178			18.35	%
PRIVATE INVESTMENT COMPANIES (2)
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	11,559,976			5.28	%
		Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		11,465,608			5.23	%
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		6,526,957			2.98	%
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		11,174,877			5.10	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		20,442,933			9.33	%
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		19,226,675			8.78	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		3,899,040			1.78	%
		Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC		11,197,020			5.11	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		4,643,329			2.12	%
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		7,580,703			3.46	%
		Total Private Investment Companies	$	107,717,118			49.17	%
U.S. TREASURY SECURITIES
FACE VALUE			Fair Value			Fair Value
$	15,900,000	US Treasury Note 6.000% due 02/15/2026 (Cost $23,564,442)	$	22,193,498			10.13	%
$	16,400,000	US Treasury Note 6.875% due 08/15/2025 (Cost $22,950,579)		20,564,106			9.39	%
		Total U.S. Treasury Securities	$	42,757,604			19.52	%

* 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.

66

Frontier Funds

Consolidated Statements of Operations

For the Three Months Ended September 30, 2017 and 2016 (Unaudited)

	2017			2016
Investment income:
Interest - net	$	42,985		$	57,865
Total Income		42,985			57,865
Expenses:
Incentive Fees (rebate)		—			405,070
Management Fees		297,987			812,557
Risk analysis Fees		31,067			—
Service Fees - Class 1		556,766			847,577
Trading Fees		1,080,095			883,825
Other Fees		(2,428	)		33,970
Total Expenses		1,963,487			2,982,999
Investment income/(loss) - net		(1,920,502	)		(2,925,134	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(194,202	)		5,485,689
Net unrealized gain/(loss) on private investment companies		(2,049,818	)		932,313
Net realized gain/(loss) on private investment companies		1,291,678			—
Net change in open trade equity/(deficit)		691,294			(6,496,068	)
Net unrealized gain/(loss) on swap contracts		663,203			860,209
Net realized gain/(loss) on U.S. Treasury securities		—			2,155,803
Net unrealized gain/(loss) on U.S. Treasury securities		(22,945	)		(3,285,352	)
Trading commissions		(24,044	)		(41,688	)
Net gain/(loss) on investments		355,166			(389,094	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS		(1,565,336	)		(3,314,228	)
Less: Operations attributable to non-controlling interests		—			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,565,336	)	$	(3,314,228	)

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

67

Frontier Funds

Consolidated Statements of Operations

For the Nine Months Ended September 30, 2017 and 2016 (Unaudited)

	2017			2016
Investment income:
Interest - net	$	200,963		$	482,792
Total Income		200,963			482,792
Expenses:
Incentive Fees (rebate)		(205,571	)		3,468,513
Management Fees		1,263,162			3,017,444
Risk analysis Fees		116,226			—
Service Fees - Class 1		1,989,777			2,695,921
Trading Fees		4,206,610			2,645,871
Other Fees		220,622			58,234
Total Expenses		7,590,826			11,885,983
Investment income/(loss) - net		(7,389,863	)		(11,403,191	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(211,381	)		8,765,701
Net unrealized gain/(loss) on private investment companies		(5,325,203	)		6,305,729
Net realized gain/(loss) on private investment companies		6,098,199			—
Net change in open trade equity/(deficit)		(2,179,533	)		867,525
Net unrealized gain/(loss) on swap contracts		94,319			(3,556,086	)
Net realized gain/(loss) on U.S. Treasury securities		(2,129,137	)		7,622,697
Net unrealized gain/(loss) on U.S. Treasury securities		2,857,993			(2,246,802	)
Trading commissions		(142,453	)		(1,166,877	)
Net gain/(loss) on investments		(937,196	)		16,591,887
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS		(8,327,059	)		5,188,696
Less: Operations attributable to non-controlling interests		—			—
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(8,327,059	)	$	5,188,696

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

68

Frontier Funds

Consolidated Statements of Changes in Owners’ Capital

For the Nine Months Ended September 30, 2017 (Unaudited)

	Managing			Limited
	Owner			Owners			Total
Owners’ Capital, December 31, 2016	$	2,276,211		$	216,935,224		$	219,211,435
Sale of Units		696,956			736,677			1,433,633
Redemption of Units		(932,626	)		(88,386,773	)		(89,319,399	)
Net increase/(decrease) in Owners’
Capital resulting from operations		(791,876	)		(7,535,183	)		(8,327,059	)
Owners’ Capital, September 30, 2017		1,248,665			121,749,945			122,998,610

The consolidated Trust is not unitized as are the individual Series of the Trust

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

69

Frontier Funds

Consolidated Statements of Cash Flows

For the Nine Months Ended September 30, 2017 and 2016 (Unaudited)

	2017			2016
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(8,327,059	)	$	5,188,696
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		2,766,175			1,700,303
Net change in ownership allocation of U.S. Treasury Securities					(20,136,990	)
Net unrealized (gain)/loss on swap contracts		(94,319	)		3,556,086
Net unrealized (gain)/loss on U.S. Treasury securities		(2,857,993	)		2,246,802
Net realized (gain)/loss on U.S. Treasuries securities		2,129,137			(7,622,697	)
Net unrealized gain/(loss) on private investment companies		5,325,203			(6,305,729	)
Net realized gain/(loss) on private investment companies		(6,098,199	)		—
(Purchases) sales of:
Reduction of collateral in Swap contracts		18,578,050			—
(Purchases) of U.S. Treasury securities		—			(26,620,440	)
Sales of U.S. Treasury securities		31,077,906			122,230,239
(Purchases) of Private Investment Companies		(48,309,537	)		(71,725,603	)
Sales of Private Investment Companies		87,612,483			—
U.S. Treasury interest and premium paid/amortized		348,378			—
Increase and/or decrease in:
Receivable from futures commission merchants		12,811,157			17,267,112
Prepaid service fees		—			(105,092	)
Interest receivable		719,026			1,747,731
Due to Broker		—			2,254,497
Receivable from related parties		87,670			3,120
Other assets		(8,974	)		(193,328	)
Interest payable		—			9,957
Incentive fees payable to Managing Owner		—			24,550
Management fees payable to Managing Owner		(325,996	)		69,950
Interest payable to Managing Owner		(56,946	)		(83,697	)
Trading fees payable to Managing Owner		(168,831	)		(19,868	)
Service fees payable to Managing Owner		70,771			18,208
Risk analysis fees payable		19,815			—
Payables to related parties		(85,078	)		(18,410	)
Other liabilities		(144,049	)		184,153
Net cash provided by operating activities		95,068,790			23,669,550
Cash Flows from Financing Activities:
Proceeds from sale of capital		1,433,633			6,982,912
Payment for redemption of capital		(89,319,399	)		(25,839,213	)
Pending owner additions		—			(36,462	)
Redemptions payable		(499,642	)		2,176
Net cash used in financing activities		(88,385,408	)		(18,890,587	)
Net increase (decrease) in cash and cash equivalents		6,683,382			4,778,963
Cash and cash equivalents, beginning of period		4,747,043			13,975,625
Cash and cash equivalents, end of period	$	11,430,425		$	18,754,588

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

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Frontier Funds

Notes to Consolidated Financial Statements (Unaudited)

1. Organization and Purpose

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

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

The Transaction was consummated on March 6, 2017, and upon consummation of the Transaction, the Managing Owner became the managing owner of the Trust and each Series, in replacement of Equinox. Consequently, consummation of the Transaction constituted a change of operational control in respect of the Trust and each Series. On the date of consummation, the names of the Series were changed from Equinox Frontier Diversified Fund to Frontier Diversified Fund, Equinox Frontier Masters Fund to Frontier Masters Fund, Equinox Frontier Long/Short Commodity Fund to Frontier Long/Short Commodity Fund, Equinox Frontier Balanced Fund to Frontier Balanced Fund, Equinox Frontier Select Fund to Frontier Select Fund, Equinox Frontier Winton Fund to Frontier Winton Fund, and from Equinox Frontier Heritage Fund to Frontier Heritage Fund.

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

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

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

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 Winton 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.

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

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

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

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

· maintains each Series of Units in three to 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 Winton Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the 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.

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

As of September 30, 2017, 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 Winton Fund and Frontier Heritage separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes—Class 1a, Class 2, Class 3, Class 2a and Class 3a. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five Classes—Class 1, Class 1AP, Class 2, Class 2A and Class 3A. Between April 15, 2016 and September 30, 2016, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, and Frontier Trading Company XXIII, LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in Galaxy Plus. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, and the assets of Frontier Trading Company XXIII, LLC, which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Master Funds in Galaxy Plus. On May 10, 2017, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’ TT Enhanced Risk (USD) Program were transferred to a Master Fund in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC. The Sponsor has contracted with the trading advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that 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.

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

2. Significant Accounting Policies

The following are the significant accounting policies of the Trust.

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

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

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

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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 will impact 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 is no impact to total capital or net increase/(decrease) in capital resulting from operations attributable to controlling interests.

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

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

Interest Income—U.S. Treasury Securities are pooled for purposes of maximizing returns on these assets to investors of all Series. Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based upon its daily proportion of ownership of the pool. Aggregate interest income from all sources, including U.S. 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 Select Fund, Frontier Winton Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to each Series was paid to the Managing Owner from January 1, 2016 through April 28, 2016, thereafter 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series, and shown net on the statement of operations.

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

Receivable From Futures Commission Merchants—The Trust deposits assets with a FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of September 30, 2017 included restricted cash for margin requirements of $1,616,324 for the Frontier Trading Company I LLC, and $7,829,025 for the Frontier Trading Company II LLC.

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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.

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. 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 740Income Taxes(“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the year ended December 31, 2016. The 2013 through 2017 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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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 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. In addition, Trading Company I, LLC, Trading Company II, LLC and Trading Company XV, LLC pay to the Sponsor a risk analysis fee, which is calculated on notional assets of the Trading Companies. The risk analysis fee is included as an expense on the Statement of Operations. The Series are all charge management and incentive fees on the asset allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Statements of Operations.

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.

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 Winton Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to Selling Agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the 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.

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

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

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

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.

3. Fair Value Measurements

In connection with the valuation of investments the Trust applies 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.

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. A 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. Management has adopted Accounting Standards Update (“ASU”) ASU 2015-07,Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Share (or Its Equivalent).In accordance with Subtopic 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy below.

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The following table summarizes the instruments that comprise the Trust financial asset portfolio, by Series, measured at fair value on a recurring basis as of September 30, 2017 and December 31, 2016 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value.

September 30, 2017	Level 1 Inputs			Level 2 Inputs			Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	(61,423	)	$	(558,545	)	$	—	$	(619,968	)
Swap Contracts		—			—			21,705,447		21,705,447
U.S. Treasury Securities		12,060,176			—			—		12,060,176

							Total
December 31, 2016	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	2,091,623	$	54,584	$	—	$	2,146,207
Swap Contracts		—		—		40,189,178		40,189,178
U.S. Treasury Securities		42,757,604		—		—		42,757,604

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

For the Nine Months Ended September 30, 2017
Swaps
	For the Nine
	Months ended
	September 30, 2017
Balance of recurring Level 3 assets as of January 1, 2017	$	40,189,178
Total gains or losses (realized/unrealized):
Included in earnings-realized		—
Included in earnings-unrealized		94,319
Proceeds from collateral reduction		(18,578,050	)
Purchase of investments		—
Sale of investments		—
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of September 30, 2017	$	21,705,447

	For the Year ended
	December 31, 2016
Balance of recurring Level 3 assets as of January 1, 2016	$	40,136,065
Total gains or losses (realized/unrealized):
Included in earnings-realized		—
Included in earnings-unrealized		53,113
Purchase of investments		—
Sale of investments		—
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2016	$	40,189,178

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 nine months ended September 30, 2017, 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 September 30, 2017:

Swap contracts $ 94,319

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2016:

Swap contracts $ 53,113

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4. Swaps 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 September 30, 2017 and December 31, 2016, approximately 3.19% or $4,287,950 and 10.20% or $22,866,000, respectively, of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as Swap Contracts, at fair value on the Statements of Financial Condition of the Trust. This cash held with the counterparty is not restricted.

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

The Trust had invested in the following swap contracts as of and for the nine months ended September 30, 2017:

	Brevan Howard	XXXIV Balanced select swap	XXXV Diversified select swap	XXXVII L/S select swap
	Total Return Swap	Total Return Swap	Total Return Swap	Total Return Swap
Counterparty	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG
Notional Amount	$2,072,056	$13,373,629	$4,651,155	$653,610
Termination Date	3/26/2018	8/2/2018	8/2/2018	8/7/2018
Cash Collateral	$986,000	$2,086,000	$1,186,000	$29,950
Swap Value	$1,891,501	$9,745,938	$5,371,635	$380,422
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Change in Unrealized Gain/(Loss)	($513,913)	$420,488	$147,788	$39,954
Fair Value as of 9/30/2017	$2,877,501	$11,845,938	$6,571,635	$410,372
Advance on swap appreciation	($1,900,000)	($4,926,555)	($2,500,000)	($115,000)

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The Trust had invested in the following swap contracts as of and for the year ended December 31, 2016:

	Brevan Howard	XXXIV Balanced Select Swap	XXXV Diversified Select Swap	XXXVII L/S Select Swap
	Total Return Swap	Total Return Swap	Total Return Swap	Total Return Swap
Counterparty	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG
Notional Amount	$11,413,283	$22,580,043	$13,851,707	$1,877,692
Termination Date	3/26/2018	8/2/2018	8/2/2018	8/7/2018
Cash Collateral	$5,986,000	$9,600,000	$3,400,000	$3,880,000
Swap Value	$2,405,414	$9,339,450	$5,237,847	$340,468
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Change in Unrealized Gain/(Loss)	$431,146	($218,070)	($48,002)	($111,960)
Fair Value as of 12/31/2016	$8,391,414	$18,939,450	$8,637,847	$4,220,468
Advance on swap appreciation	($1,900,000)	($4,926,555)	($2,500,000)	($115,000)

5. Investments in Unconsolidated Trading Companies and Private Investment Companies

Investments in Private Investment Companies represent cash and open trade equity invested in the Private Investment Companies as well as the cumulative trading profits or losses allocated to the Trust by the Private Investment Companies. Private Investment Companies allocate trading profits or losses on the basis of the proportion of the 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 following table summarizes each of the Trust’s investments in Private Investment Companies as of September 30, 2017 and December 31, 2016:

	As of September 30, 2017					As of December 31, 2016
	Percentage of					Percentage of
	Series Net					Series Net
	Assets Invested					Assets Invested
	in Private Investment					in Private Investment
	Companies			Fair Value		Companies			Fair Value
Series
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1.81	%	$	2,231,330		2.12	%	$	4,643,329
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		1.53	%		1,876,025		5.23	%		11,465,608
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		3.05	%		3,748,506		2.98	%		6,526,957
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		4.22	%		5,185,858		5.28	%		11,559,976
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		5.76	%		7,078,616		5.10	%		11,174,877
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		1.65	%		2,029,087		3.46	%		7,580,702
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		7.15	%		8,800,198		9.33	%		20,442,933
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		6.03	%		7,422,281		8.78	%		19,226,675
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		0.54	%		662,246		1.78	%		3,899,040
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC		1.98	%		2,434,627		5.11	%		11,197,020
Galaxy Plus Fund - TT Feeder Fund (531) LLC		3.66	%		4,496,573		—			—
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		18.88	%		23,221,821		—			—

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

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The following table summarizes the Trust’s equity in earnings from each of the Private Investment Companies during the nine months ended September 30, 2017:

	Nine Months Ended September 30, 2017												Nine Months Ended September 30, 2016
	Trading Commissions			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)			Trading Commissions		Realized Gain/(Loss)		Change in Unrealized Gain/(Loss)			Net Income (Loss)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	(111,211	)	$	(720,482	)	$	247,580		$	(584,113	)	$	—	$	—	$	—		$	—
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		(188,852	)		(364,753	)		528,870			(24,735	)		—		—		1,373,094			1,373,094
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(116,596	)		304,648			(53,120	)		134,932			—		—		133,198			133,198
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(1,330,361	)		4,599,674			304,067			3,573,380			—		—		2,947,356			2,947,356
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(220,929	)		1,509,865			(59,134	)		1,229,802			—		—		304,431			304,431
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(570,790	)		(2,947	)		(1,389,486	)		(1,963,223	)		—		—		692,277			692,277
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(1,822,201	)		5,221,007			393,843			3,792,649			—		—		1,376,074			1,376,074
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(346,240	)		498,355			339,271			491,386			—		—		(562,297	)		(562,297	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(85,937	)		2,436,910			(3,127,619	)		(776,646	)		—		—		(875,512	)		(875,512	)
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC		—			—			(795,707	)		(795,707	)		—		—		917,108			917,108
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(26,272	)		455,907			(1,826,328	)		(1,396,693	)		—		—		—			—
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(601,695	)		(1,507,427	)		(798,914	)		(2,908,036	)		—		—		—			—
Total	$	(5,421,084	)	$	12,430,757		$	(6,236,677	)	$	772,996		$	—	$	—	$	6,305,729		$	6,305,729

The following table summarizes each of the Trust’s equity in earnings from Private Investment Companies for the three months ended September 30, 2017:

	Thee Months Ended September 30, 2017												Three Months Ended September 30, 2016
	Trading Commissions			Realized Gain/(Loss)			Change in Unrealized Gain/(Loss)			Net Income (Loss)			Trading Commissions		Realized Gain/(Loss)		Change in Unrealized Gain/(Loss)			Net Income (Loss)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	(27,526	)	$	(83,578	)	$	219,283		$	108,179		$	—	$	—	$	—		$	—
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		(22,467	)		51,664			(95,593	)		(66,396	)		—		—		(1,353,401	)		(1,353,401	)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(29,346	)		63,445			2,935			37,034			—		—		133,198			133,198
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(222,560	)		1,811,488			(935,550	)		653,378			—		—		3,737,683			3,737,683
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(52,255	)		(216,057	)		556,885			288,573			—		—		304,431			304,431
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		—			(2,947	)		(344,286	)		(347,233	)		—		—		(692,277	)		(692,277	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(90,999	)		(1,103,456	)		1,092,377			(102,078	)		—		—		1,617,440			1,617,440
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(56,647	)		(291,572	)		(938	)		(349,157	)		—		—		(1,304,516	)		(1,304,516	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(17,531	)		(39,564	)		29,219			(27,876	)		—		—		(398,262	)		(398,262	)
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC		—			—			(91,259	)		(91,259	)		—		—		(1,111,983	)		(1,111,983	)
Galaxy Plus Fund - TT Feeder Fund (531) LLC		—			—			(244,467	)		(244,467	)				—		—			—
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(297,366	)		(732,794	)		413,322			(616,838	)		—		—		—			—
Total	$	(816,697	)	$	(543,371	)	$	601,928		$	(758,140	)	$	—	$	—	$	932,313		$	932,313

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The Trust’s investments in private investment companies have certain redemption and liquidity restrictions which are described in the following table:

	Redemptions	Redemptions	Liquidity
	Notice Period	Permitted	Restrictions
Frontier Funds
Multi-Strategy
Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	24 hours	Daily	None
Galaxy Plus Fund - LRR Feeder Fund (522) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) 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 - Chesapeake Feeder Fund (518) 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
Galaxy Plus Fund - TT Feeder Fund (531) LLC	24 hours	Weekly	None
Option Trading
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC	24 hours	Daily	None

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 nominal assets of such Series allocated to Trading Companies, calculated on a daily basis. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “nominal assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1, Class 2 and Class 3, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Winton 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 1, Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this Form 10-Q, the Trading Advisor for a Series that has invested in a swap has not received any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap.

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

Trading Fees—In connection with each Series’ trading activities, from January 1, 2016 through October 23, 2016, the Frontier Balanced Fund, Frontier Select Fund, Frontier Winton Fund and Frontier Heritage Fund paid to the Managing Owner a trading fee, or FCM Fee, of up to 0.75% per annum of such Series’ NAV, calculated daily; thereafter each of the Series pays to the Managing Owner a FCM Fee of up to 2.25% per annum of nominal assets (excluding swap nominal) allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and any reference programs of the applicable Series. From January 1, 2016 through April 28, 2016, the Frontier Diversified Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund paid to the Managing Owner a FCM Fee of up to 2.25% and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily; thereafter each of such Series pays to the Managing Owner a FCM Fee of up to 2.25% of nominal assets allocated to the trading advisors, including through investments in commodity pools available on the Galaxy Plus Platform, and a custodial/due diligence fee of 0.12% of such Series’ NAV, calculated daily.

Incentive Fees—Some Series 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 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 Winton 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.

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

As of September 30, 2017, the Trust had a payable to the Managing Owner in the amounts of $0, $107,434, $6,329, $354,268, and $310,291 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

As of December 31, 2016, the Trust had a payable to the Managing Owner in the amounts of $0, $433,430, $63,275, $523,099 and $239,520 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

For the three months ended September 30, 2017 the Trust paid the Managing Owner $0, $297,987, $556,766 and $1,080,095 for incentive fees, management fees, service fees, and trading fees, respectively.

For the three months ended September 30, 2016, the Trust paid the Managing Owner $405,070, $812,557, $847,577 and $883,825 for incentive fees, management fees, service fees, and trading fees, respectively.

For the nine months ended September 30, 2017 the Trust paid the Managing Owner $(205,571), $1,263,162, $1,989,777 and $4,206,610 for incentive fees, management fees, service fees, and trading fees, respectively.

For the nine months ended September 30, 2016 the Trust paid the Managing Owner $3,468,513, $3,017,444, $2,695,921 and $2,645,871 for incentive fees, management fees, service fees, and trading fees, respectively.

With respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result from variations in NAV over the following 12 months. For the nine months ended September 30, 2017 and 2016, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $0 and $12, respectively.

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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 Winton Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to each Series was paid to the Managing Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series.During the nine months ended September 30, 2017 and 2016, the Trust paid $349,196 and $1,151,617, 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.

Solon Capital, LLC, an affiliate of the Trust (when Equinox Fund Management, LLC) was acting as Managing Owner), provided Management services for Equinox who paid, $168,256 and $0 respectively, for the nine month’s ended September 30, 2017 and 2016. These amounts have no impact on the Trust’s financial statements.

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7. Financial Highlights

The following information presents the financial highlights of the Trust for the three and nine months ended September 30, 2017 and 2016. This data has been derived from the information presented in the consolidated financial statements.

Three months ended
	2017			2016
Ratios to average net assets (1)
Net investment gain/(loss) (1)		-5.76	%		-4.50	%
Expenses before incentive fees (3)		5.89	%		4.43	%
Expenses after incentive fees (3)		5.89	%		4.60	%
Total return before incentive fees (2)		-1.18	%		-1.26	%
Total return after incentive fees (2)		-1.18	%		-1.43	%
Nine months ended
	2017			2016
Ratios to average net assets (1)
Net investment gain/(loss) (1)		-5.73	%		-4.47	%
Expenses before incentive fees (3)		6.01	%		4.74	%
Expenses after incentive fees (3)		5.89	%		6.20	%
Total return before incentive fees (2)		-4.92	%		3.65	%
Total return after incentive fees (2)		-4.80	%		2.19	%

(1) Annualized with the exception of incentive fees.

(2) Total returns are not annualized.

(3) Expense ratios do not reflect interest allocated to the Managing Owner as such expenses are not included in the Consolidated Statements of Operations of the Trust. Refer to Note 5 of Financial Statements.

The Trust financial highlights are calculated based upon the Trust’s consolidated financial statements. The consolidated Trust does not issue units and therefore the financial highlights do not disclose any unitized data.

8. Derivative Instruments and Hedging Activities

The Trust’s primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trust does not enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trust’s derivatives by instrument types as of September 30, 2017 and December 31, 2016 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts.

For the three and nine months ended September 30, 2017, the monthly average of forwards, options and futures contracts bought was approximately 2,416 and 8,053, respectively and sold was approximately 1,936 and 7,774, respectively.

For the three and nine months ended September 30, 2016, the monthly average of forwards, options and futures contracts bought was approximately 4,180 and 6,736, respectively and sold was approximately 4,079 and 6,445, respectively.

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The following tables summarize the trading revenues for the three and nine months ended September 30, 2017 and 2016 by sector:

Realized Trading Revenue from Futures, Forwards and Options
for the Three Months Ended September 30, 2017(1)
Type of contract
Metals	$	(415,539	)
Currencies		693,018
Energies		(471,279	)
Agriculturals		(562,795	)
Interest rates		(99,299	)
Stock indices		661,692
Realized trading income/(loss)(1)	$	(194,202	)

Realized Trading Revenue from Futures, Forwards and Options
for the Nine Months Ended September 30, 2017(1)
Type of contract
Metals	$	(1,700,436	)
Currencies		(1,131,814	)
Energies		(2,238,664	)
Agriculturals		(82,409	)
Interest rates		(2,491,165	)
Stock indices		7,433,107
Realized trading income/(loss)(1)	$	(211,381	)

Realized Trading Revenue from Futures, Forwards and Options
for the Three Months Ended September 30, 2016(1)
Type of contract
Metals	$	16,497
Currencies		1,826,738
Energies		(703,627	)
Agriculturals		(144,974	)
Interest rates		2,947,397
Stock indices		1,543,658
Realized trading income/(loss)(1)	$	5,485,689

Realized Trading Revenue from Futures, Forwards and Options
for the Nine Months Ended September 30, 2016(1)
Type of contract
Metals	$	(1,721,002	)
Currencies		1,367,910
Energies		(88,334	)
Agriculturals		(870,369	)
Interest rates		13,011,518
Stock indices		(2,934,022	)
Realized trading income/(loss)(1)	$	8,765,701

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

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Net Change in Open Trade Equity from Futures, Forwards and Options
for the Three Months Ended September 30, 2017(2)
Type of contract
Metals	$	36,050
Currencies		(478,195	)
Energies		213,027
Agriculturals		264,443
Interest rates		(147,197	)
Stock indices		803,166
Change in unrealized trading income/(loss)(2)	$	691,294

Net Change in Open Trade Equity from Futures, Forwards and Options
for the Nine Months Ended September 30, 2017(2)
Type of contract
Metals	$	(151,493	)
Currencies		(1,472,515	)
Energies		(105,818	)
Agriculturals		(81,250	)
Interest rates		(1,085,406	)
Stock indices		716,949
Change in unrealized trading income/(loss)(2)	$	(2,179,533	)

Net Change in Open Trade Equity from Futures, Forwards and Options
for the Three Months Ended September 30, 2016(2)
Type of contract
Metals	$	(468,398	)
Currencies		(1,672,106	)
Energies		(674,167	)
Agriculturals		115,551
Interest rates		(4,121,905	)
Stock indices		324,957
Change in unrealized trading income/(loss)(2)	$	(6,496,068	)

Net Change in Open Trade Equity from Futures, Forwards and Options
for the Nine Months Ended September 30, 2016(2)
Type of contract
Metals	$	(832,837	)
Currencies		455,761
Energies		(1,007,176	)
Agriculturals		569,303
Interest rates		704,006
Stock indices		978,468
Change in unrealized trading income/(loss)(2)	$	867,525

(2) In the Consolidated Statement of Operations under net change in open trade equity (deficit), at fair value.

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

The following tables present gross and net information about the Trust’s assets and liabilities subject the master netting arrangements as disclosed on the consolidated statements of financial condition as of September 30, 2017 and December 31, 2016:

As of September 30, 2017						Net Amounts
			Gross Amounts			Presented in the
	Gross Amounts		offset in the			Statements of
	of recognized		Statements of			Financial
	Derivative Assets		Financial Condition			Condition
Open Trade Equity/(Deficit)	$	1,940,545	$	(2,560,513	)	$	(619,968	)
Swap Contracts		21,705,447		—			21,705,447

Offsetting of Derivatives Assets and Liabilities

As of December 31, 2016						Net Amounts
			Gross Amounts			Presented in the
	Gross Amounts		offset in the			Statements of
	of recognized		Statements of			Financial
	Derivative Assets		Financial Condition			Condition
Open Trade Equity/(Deficit)	$	2,998,612	$	(852,405	)	$	2,146,207
Swap Contracts		40,189,178		—			40,189,178

9. Trading Activities and Related Risks

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

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

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

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

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

10. Indemnifications and Guarantees

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

The Trust has guaranteed the obligations of the trading companies under the customer agreements with UBS Securities LLC as Clearing Broker. In the event that one Series of the Trust is unable to meet its obligations to UBS Securities LLC, the assets of the other Series will be available to UBS Securities LLC as part of the guarantee, but only to the extent of such Series’ pro rata allocation to the trading company. The Trust has not recorded any liability for the indemnifications in the accompanying financial statements as it expects any possibility of losses to be remote.

11. Subsequent Events

From October 1, 2017 through November 9, 2017, Frontier Balanced Fund, Frontier Diversified Fund, Frontier Heritage Fund, Frontier Long/Short Commodity Fund, Frontier Masters Fund, Frontier Select Fund, and Frontier Winton Fund paid $2,059,884, $527,906, $91,373, $319,841, $870,585 $294,308 and $371,061, respectively, in redemptions.

All the owner redemptions payable on the Statements of Financial Condition were paid on October 2, 2017.

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Item 2. MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Introduction

The following discussion and analysis contains forward-looking statements about the Managing Owner’s expectations of what may happen in the future. Forward-looking statements are based on a number of assumptions and estimates that are inherently subject to significant risks and uncertainties, and our results could differ materially from the results anticipated by our forward-looking statements as a result of many known or unknown factors, including, but not limited to, those factors discussed in “Risk Factors.” See also the “Special Note About Forward-Looking Statements” set forth at the beginning of this report.

The following discussion and tables should be read in conjunction with our unaudited consolidated financial statements and notes thereto included in this quarterly report and our 2016 Annual Report on Form 10-K for the year ended December 31, 2016.

Overview

The Trust is a Delaware statutory trust formed on August 8, 2003. The Trust is a multi-advisor commodity pool, as described in CFTC Regulation § 4.10(d)(2). The Trust is authorized to issue multiple Series of Units, pursuant to the requirements of the Trust Act. The assets of each Series are held and accounted for in separate and distinct records separately from the assets of other Series. The Trust is managed by the Managing Owner, and its term will expire on December 31, 2053 (unless terminated earlier in certain circumstances).

The Trust, with respect to each Series of Units, engages in the speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), and options contracts and other derivative instruments (including Swaps). The Trust allocates funds to affiliated Trading Companies and Galaxy Plus entities, each of which has one-year renewable contracts with its own independent Trading Advisor(s) that will manage all or a portion of the applicable Trading Company’s or Galaxy Plus entity’s assets, and make the trading decisions for the assets of each Series vested in such Trading Company of Gemini Plus entity. The assets of each Trading Company and Galaxy Plus entity will be segregated from the assets of the other Trading Companies and Galaxy Plus entities. The Trust has an investment objective of increasing the value of the Units over the long term (capital appreciation), while controlling risk and volatility; further, to offer exposure to the investment programs of individual Trading Advisors and to specific instruments (currencies). For additional overview of the Trust’s structure and business activities, see Item 1.

Critical Accounting Policies and Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States (“GAAP”) requires the Managing Owner to adopt accounting policies and make estimates and assumptions that affect amounts reported in the Trust’s financial statements. The Trust’s most significant accounting policy, described below, includes the valuation of its futures and forward contracts, options contracts, swap contracts, U.S. treasury securities and investments in unconsolidated Trading Companies and Galaxy Plus entities, The majority of these investments are exchange traded contracts valued upon exchange settlement prices or non-exchange traded contracts and obligations with valuation based on third-party quoted dealer values on the Interbank market.

The Trust’s other significant accounting policies are described in detail in Note 2 of the financial statements.

Investment Transactions and Valuation

The Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trust’s financial statements and related disclosures and has adoptedAccounting Standard Codification (“ASC”) 820,Fair Value Measurements and Disclosure, and implemented the framework for measuring fair value for assets and liabilities.

The Trust utilizes valuation techniques that are consistent with the market approach per the requirement of ASC 820 for the valuation of futures (exchange traded) contracts, forward (non-exchange traded) contracts, option contracts, swap contracts and other non-cash assets. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable assets or liabilities. The Trust applies the valuation techniques in a consistent manner for each asset or liability. The Trust records all investments at fair value in its Statements of Financial Condition, with changes in fair value reported as a component of net gain/(loss) on investments in the Statements of Operations.

Inputs to valuation techniques refer to the assumptions that market participants would use in pricing the assets or liabilities. Inputs may be observable, meaning those that reflect the assumptions market participants would use in pricing the financial asset or liability based on market data obtained from independent sources, or unobservable, meaning those that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the financial asset or liability based on the best information available in the circumstances.

In addition, the Trust monitors counterparty credit risk and incorporates any identified risk factors when assigning input levels to underlying financial assets or liabilities. In that regard ASC 820 establishes a fair value hierarchy for valuation inputs that gives the highest priority to quoted prices in active markets for identical financial assets and the lowest priority to unobservable inputs. A full disclosure of the fair value hierarchy is presented in Note 3 of the financial statements—Fair Value Measurements.

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Selection and Replacement of Trading Advisors

The Managing Owner is responsible for the selection, retention and termination of the trading advisors and reference programs on behalf of each Series. The actual allocation among trading advisors for each Series will vary based upon the relative trading performance of the trading advisors and/or reference programs, and the Managing Owner may otherwise vary such percentages from time to time in its sole discretion. The Managing Owner will adjust its allocations and rebalance the portfolio of any Series among trading advisors to maintain weightings that it believes will most likely achieve capital growth within the investment guidelines of the relevant Series.

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

The Managing Owner’s research department is continually refining ways to assimilate vast amounts of trading advisor performance data and due-diligence information. The proprietary and commercial database of alternative investment programs is always increasing. Research team members regularly interact with trading advisors throughout the due diligence and monitoring process. Only those programs that have met strict quantitative and qualitative review are considered as potential managers of client assets. Following is a summary of the quantitative and qualitative analysis:

Quantitative Analysis

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

Qualitative Analysis

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

Multi-Manager Approach

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

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

Major Commodity Trading Advisor	Trading System Style	Accessed Through
Aspect Capital Limited	Systematic	Galaxy Plus
Beach Horizon	Systematic	Trading Company
BH-DG Systematic Trading LLP	Systematic	Swap
Chesapeake Capital Corporation	Systematic	Galaxy Plus
Crabel Capital Partners LLPC	Systematic	Swap
Emil Van Essen, LLC	Discretionary	Galaxy Plus
Fort, L.P.	Systematic	Galaxy Plus
H2O Asset Management	Systematic	Swap
J E Moody & Company	Systematic	Swap
Quantitative Investment Management, LLC	Systematic	Galaxy Plus
Quantmetrics Capital Management LLP	Systematic	Galaxy Plus
Quest Partners LLC	Systematic	Galaxy Plus
Red Oak Commodity Advisors, Inc.	Discretionary	Galaxy Plus
Rosetta Capital Management, LLC	Discretionary	Galaxy Plus
Transtrend B.V.	Systematic	Galaxy Plus
Welton Investment Partners LLC	Systematic	Galaxy Plus
Winton Capital Management Ltd.	Systematic	Trading Company

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As of September 30, 2017, the allocation of the assets of each applicable Series of the Trust between the Trading Advisors was as follows:

Allocation as of September 30, 2017 (expressed as a percentage of aggregate notional exposure to commodity trading programs)

				Equinox
	Equinox			Frontier			Equinox			Equinox						Equinox			Equinox
	Frontier			Long/Short			Frontier			Frontier			Equinox			Frontier			Frontier
	Diversified			Commodity			Masters			Balanced			Frontier			Winton			Heritage
Advisor	Fund			Fund			Fund			Fund			Select Fund			Fund			Fund
Aspect Capital Limited		3	%		—			—			5	%		—			—			—
Beach Horizon		—			—			—			3	%		—			—			—
BH-DG Systematic Trading LLP		—			—			—			—			15	%		—			16	%
Chesapeake Capital Corporation		4	%		8	%		12	%		—			—			—			—
Crabel Capital Management, LLC		4	%		—			—			4	%		—			—			—
Doherty		4	%								4	%
Emil Van Essen, LLC		6	%		18	%		19	%		7	%		—			—			—
Fort, L.P.		7	%		—			—			12	%		—			—			—
H2O Asset Management		10	%		—			—			13	%		—			—			—
J E Moody & Company					8	%		—			—			—			—			—
Landmark		1	%		2	%					1	%
Quantitative Investment Management, LLC		20	%		—			—			16	%		—			—			—
Quantmetrics Capital Management LLP		15	%		—			—			13	%		—			—			—
Quest Partners LLC		2	%		—			—			1	%		—			—			—
Red Oak Commodity Advisors, Inc.		—			18	%		—			—			—			—			—
Rosetta Capital Management, LLC		—			26	%		—			—			—			—			—
Transtrend B.V.								23	%		—			43	%		—			—
Welton Investment Partenrs LLC		15	%		20	%		26	%		12	%		42	%		—			34	%
Winton Capital Management Ltd.		9	%		—			20	%		9	%		—			100	%		50	%

Liquidity and Capital Resources

The Trust will raise additional capital only through the sale of Units offered pursuant to the continuing offering, and does not intend to raise any capital through borrowing. Due to the nature of the Trust’s business, it makes no capital expenditures and has no capital assets that are not operating capital or assets.

The Managing Owner is responsible for the payment of all of the ordinary expenses associated with the organization of the Trust and the offering of each Series of Units, except for the initial and ongoing service fee, if any, and no Series will be required to reimburse these expenses. As a result, 100% of each Series’ offering proceeds are initially available for that Series’ trading activities.

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At September 30, 2017, cash deposited at the clearing brokers was $20,040,856 for the Trust. The clearing brokers are expected to credit each Trading Company with approximately 80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each month. Currently, with the Federal Funds target rate at 0.00% to 0.25%, this amount is estimated to be 0.00%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Winton Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to the Series was paid to the Managing Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series. The amount reflected in the financial statements for the Trust and Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those classes may be zero.

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Approximately 10% to 30% of the Trust’s assets are expected to be committed as required margin for futures contracts and forwards and options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained in the form of cash or U.S. treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act and regulations there under. Approximately 2% to 6% of the Trust’s assets are expected to be deposited with over-the-counter counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant. These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of the over-the-counter counterparties. The remaining approximately 64% to 88% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds and time deposits and held by the clearing broker, the over-the-counter counterparties and by U.S. federally chartered banks. As of September 30, 2017, total cash and cash equivalents held at banking institutions were $108,110 for the Frontier Diversified Fund, $386,359 for the Frontier Long/Short Commodity Fund, $1,543,050 for the Frontier Masters Fund, $1,107,407 for the Frontier Balanced Fund, $355,532 for the Frontier Select Fund, $7,084,811 for the Frontier Winton Fund, and $845,156 for the Frontier Heritage Fund.

As a commodity pool, the Trust has large cash positions. Such cash positions are used to pay margin for the trading of futures, forwards and options, and also to pay redemptions. Generally, the Trust has not been forced to liquidate positions to fund redemptions. During the nine months ended September 30, 2017, the Trust was able to pay all redemptions.

Off-Balance Sheet Risk

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

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

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

The Trust has entered into agreements, which provide for the indemnification of futures clearing brokers, currency trading companies, and commodity trading advisers, among others, against losses, costs, claims and liabilities arising from the performance of their individual obligations under such agreements, except for gross negligence or bad faith. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote.

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Disclosure of Contractual Obligations

The business of the Trust is the speculative trading of commodity interests. The majority of the Trust’s futures and forward positions, which may be categorized as “purchase obligations” under Item 303 of Regulation S-K, are short-term. That is, they are held for less than one year. Because the Trust does not enter into other long-term debt obligations, capital lease obligations, operating lease obligations or other long-term liabilities that would otherwise be reflected on the Trust’s Statement of Financial Condition, a table of contractual obligations has not been presented.

Results of Operations

Series Returns and Other Information

The returns for each Series and Class of Units for the nine months ended September 30, 2017 and 2016, and related information, are discussed below. The activities of the Trust on a consolidated basis are explained through the activity of the underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a consolidated basis.

Each Series had exposure to commodity interest positions within one or more sectors during nine months ended September 30, 2017 and 2016. The performance of each Series was impacted over the course of the periods by, among other things, the relative performance of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions taken by the Series’ Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the periods presented.

Three months ended September 30, 2017 Compared to Three Months Ended September 30, 2016.

Frontier Diversified Fund

The Frontier Diversified Fund— Class 1 NAV lost 1.46% and lost 1.92%, respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV lost 1.03% and lost 1.48%, respectively for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 0.96% and lost 1.41%, respectively for the three months ended September 30, 2017 and 2016.

For the three months ended September 30, 2017, the Frontier Diversified Fund recorded net gain on investments of $68,284 net investment loss of $257,720, net investment income of $1,825 and total expenses of $259,545 resulting in a net decrease in Owners’ capital from operations of $189,436. For the three months ended September 30, 2016, the Frontier Diversified Fund recorded net loss on investments of $490,189, net investment income of $31,817, and total expenses of $404,548 resulting in a net decrease in Owners’ capital from operations of $862,922.

Please see additional discussion under “Nine Months Ended September 30, 2017 Compared to Nine Months Ended September 30, 2016–Frontier Diversified Fund.”

Frontier Masters Fund

The Frontier Masters Fund—Class 1 NAV lost 2.91% and lost 0.68% for the three months ended September 30, 2017 and 2016 net of fees and expenses; the Frontier Masters Fund—Class 2 NAV lost 2.50% and lost 0.23% for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 2.43% and lost 0.16% for the three months ended September 30, 2017 and 2016, net of fees and expenses.

For the three months ended September 30, 2017, the Frontier Masters Fund recorded net loss on investments of $106,063, net investment loss of $184,502, and total expenses of $197,676, resulting in a net decrease in Owners’ capital from operations of $290,565. For the three months ended September 30, 2016, the Frontier Masters Fund recorded net gain on investments of $66.778, net investment income of $23,296, and total expenses of $148,422 resulting in a net decrease in Owners’ capital from operations of $58,348.

Please see additional discussion under “Nine Months Ended September 30, 2017 Compared to Nine Months Ended September 30, 2016—Frontier Masters Fund.”

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Frontier Long/Short Commodity Fund

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 0.03% and lost 3.82%, respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 0.02% and lost 2.82% respectively for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV lost 0.44% and lost 3.45% respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV lost 0.03% and lost 3.32% respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV gained 0.03% and lost 2.04%, respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses.

For the three months ended September 30, 2017, the Frontier Long/Short Commodity Fund recorded net gain on investments of $72,790, net investment loss of $40,336, and total expenses of $40,336, resulting in a net increase in Owners’ capital from operations of $32,454. For the three months ended September 30, 2016, the Frontier Long/Short Commodity Fund recorded net loss on investments of $263,816, net investment income of $0, and total expenses of $65,347, resulting in a net decrease in Owners’ capital from operations of $392,163.

Please see additional discussion under “Nine Months Ended September 30, 2017 Compared to Nine Months Ended September 30, 2016 – Frontier Long/Short Commodity Fund.”

Frontier Balanced Fund

The Frontier Balanced Fund—Class 1 NAV lost 1.26% and gained 0.02%, respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 0.51% and gained 0.79%, respectively, for the three months ended September 30, 2017 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost 0.48% and gained 0.88%, respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV lost 0.48% and gained 0.87%, respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV lost 0.52% and gained 0.78 % for the three months ended September 30, 2017 and 2016, net of fees and expenses.

For the three months ended September 30, 2017, the Frontier Balanced Fund recorded net gain on investments of $367,405 net investment loss of $808,362, and total expenses of $816,616, resulting in a net decrease in Owners’ capital from operations of $440,957. For the three months ended September 30, 2016, the Frontier Balanced Fund recorded net gain on investments of $845,344, net investment income of $2,752, and total expenses of $661,050, resulting in a net increase in Owners’ capital from operations of $243,862, after non-controlling interests of $56,815.

Please see additional discussion under “Nine Months Ended September 30, 2017 Compared to Nine Months Ended September 30, 2016 – Frontier Balanced Fund.”

Frontier Select Fund

The Frontier Select Fund—Class 1 NAV lost 5.50% and lost 1.90%, respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 4.78% and lost 1.14% respectively for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV lost 4.68% and lost 1.14%, respectively, for the three months ended September 30, 2017 and 2016.

For the three months ended September 30, 2017, the Frontier Select Fund recorded net loss on investments of $246,729, net investment loss of $86,152 and total expenses of $86,152, resulting in a net decrease in Owners’ capital from operations of $332,881. For the three months ended September 30, 2016, the Frontier Select Fund recorded net gain on investments of $10,160, net investment income of $0, and total expenses of $232,287, resulting in a net decrease in Owners’ capital from operations of $234,575, after non-controlling interests of $12,448.

Please see additional discussion under “Nine Months Ended September 30, 2017 Compared to Nine Months Ended September 30, 2016 – Frontier Select Fund.”

Frontier Winton Fund

The Frontier Winton Fund—Class 1 NAV lost 1.24% and lost 4.84%, respectively, for the three months ended September 30, 2017 and 2017, net of fees and expenses; the Frontier Winton Fund —Class 2 NAV lost 0.48% and lost 4.11%, respectively, for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Winton Fund —Class 1AP NAV lost 0.48% and lost 4.11%, respectively, for the three months ended September 30, 2017 and 2016.

97

For the three months ended September 30, 2017, the Frontier Winton Fund recorded net gain on investments of $440,557, net investment loss of $422,546, and total expenses of $442,278 resulting in a net decrease in Owners’ capital from operations of $196,414, after non-controlling interests of $214,425. For the three months ended September 30, 2016, the Frontier Winton Fund recorded net loss on investments of $1,783,567, net investment income of $0, and total expenses of $620,098, resulting in a net decrease in Owners’ capital from operations of $1,643,430, after non-controlling interests of $760,235.

Please see additional discussion under “Nine Months Ended September 30, 2017 Compared to Nine Months Ended September 30, 2016 – Frontier Winton Fund.”

Frontier Heritage Fund

The Frontier Heritage Fund—Class 1 NAV lost 2.74% and lost 3.95%, respectively, for the three months ended September 30, 2017 and 2016 net of fees and expenses; the Frontier Heritage Fund —Class 2 NAV lost 2.02% and lost 3.20%, respectively for the three months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Heritage Fund —Class 1AP NAV lost 2.01% and lost 3.21%, respectively, for the three months ended September 30, 2017 and 2016.

For the three months ended September 30, 2017, the Frontier Heritage Fund recorded net gain on investments of $27,074, net investment loss of $120,882, and total expenses of $120,882, resulting in a net decrease in Owners’ capital from operations of $147,535, after non-controlling interests of $53,727. For the three months ended September 30, 2016, the Frontier Heritage Fund recorded net loss on investments of $386,484, net investment income of $0, and total expenses of $105,695, resulting in a net decrease in Owners’ capital from operations of $429,665, after non-controlling interests of $62,514.

Please see additional discussion under “Nine Months Ended September 30, 2017 Compared to Nine Months Ended September 30, 2016 – Frontier Heritage Fund.”

Nine months ended September 30, 2017 Compared to Nine Months Ended September 30, 2016.

Frontier Diversified Fund

2017

The Frontier Diversified Fund— Class 1 NAV lost 5.44% and gained 0.23%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV lost 4.24% and gained 1.57%, respectively for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 4.06% and gained 1.76%, respectively for the nine months ended September 30, 2017 and 2016.

For the nine months ended September 30, 2017, the Frontier Diversified Fund recorded net gain on investments of $1,411,439 net investment loss of $1,173,289, and total expenses of $1,272,511 resulting in a net increase in Owners’ capital from operations of $238,150. The NAV per Unit, Class 1, decreased from $116.43 at December 31, 2016 to $110.10 as of September 30, 2017. The NAV per Unit, Class 2, decreased from $132.94 at December 31, 2016 to $127.30 as of September 30, 2017. The NAV per Unit, Class 3 decreased from $123.27 at December 31, 2016 to $118.27 as of September 30, 2017. Total Class 1 subscriptions and redemptions for the period were $3,063 and $1,652,836 respectively. Total Class 2 subscriptions and redemptions for the period were $599,571 and $30,047,952, respectively. Total Class 3 subscriptions and redemptions for the period were $1,357,356 and $4,472,986, respectively. Ending capital at September 30, 2017 was $3,352,300 for Class 1, $9,547,801 for Class 2 and $9,595,656 for Class 3. Ending capital at December 31, 2016 was $5,189,420 for Class 1, $38,231,581 for Class 2 and $13,050,390 for Class 3.

98

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

Two of the six sectors traded in the Frontier Diversified Fund was profitable in Q3 2017 and two of the six were profitable YTD. Energies and Stock Indices was profitable for Q3 2017 while Metals, Currencies, Agriculturals, and Interest Rates finished negative for the quarter. Energies and Stock Indices was profitable for YTD while Metals, Currencies, Agriculturals, and Interest Rates finished negative YTD

99

In terms of major CTA performance Emil Van Essen, Fort, H20 and QIM finished positive for the quarter. Aspect, Chesapeake, Crabel, Quantmetrics, Quest, Welton, and Winton were negative for the quarter

Emil Van Essen, Fort, H20, and QIM were positive YTD while Aspect, Chesapeake, Crabel, Quantmetrics, Quest, Welton, and Winton were negative YTD.

2016

The Equinox Frontier Diversified Fund—Class 1 NAV gained 0.23% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Diversified Fund—Class 2 NAV gained 1.57% for the nine months ended September 30, 2016, net of fees and expenses, the Equinox Frontier Diversified Fund—Class 3 NAV gained 1.76% for the nine months ended September 30, 2016.

For the nine months ended September 30, 2016, the Equinox Frontier Diversified Fund recorded net gain on investments of $3,099,169, net investment income of $312,594, and total expenses of $2,718,263 resulting in a net increase in Owners’ capital from operations of $693,500, after non-controlling interest of $0. The NAV per Unit, Class 1, increased from $115.52 at December 31, 2015 to $115.79 as of September 30, 2016. The NAV per Unit, Class 2, increased from $129.60 at December 31, 2015 to $131.63 as of September 30, 2016. The NAV per Unit, Class 3 increased from $119.87 at December 31, 2015 to $121.98 as of September 30, 2016. Total Class 1 subscriptions and redemptions for the period were $555,704 and $591,836, respectively. Total Class 2 subscriptions and redemptions for the period were $5,830,462 and $4,950,672, respectively. Total Class 3 redemptions for the period were $1,623,278. Ending capital excluding Managing Owner Capital at September 30, 2016 was $6,491,253 for Class 1, $35,296,599 for Class 2 and $13,155,999 for Class 3.

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

100

One of the six sectors traded in the Equinox Frontier Diversified Fund were profitable in Q3 2016 and three of the six were profitable YTD. Stock Indices were profitable for Q3 2016 while Metals, Currencies, Energies Agriculturals and Interest Rates finished negative for the quarter. Energies, Interest Rates and Stock Indicies were profitable YTD while Metals, Currencies and Agriculturals finished negative YTD.

In terms of major CTA performance Emil Van Essen, Fort LP (GC), H2O and QIM finished positive for the quarter. Chesapeake, Crabel, Quantmetrics, Winton and Quest were negative for the quarter.

Chesapeake, Crabel, Emil Van Essen, Fort LP (GC), QIM and Winton were positive YTD while H20, Quest and Quantmetrics were negative YTD.

Frontier Masters Fund

2017

The Frontier Masters Fund—Class 1 NAV lost 11.87% and gained 5.47%, respectively, for the nine months ended September 30, 2017 and 2016 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 10.74%, and gained 6.87% respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 10.56% and gained 7.08%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses.

For the nine months ended September 30, 2017, the Frontier Masters Fund recorded net loss on investments of $871,687 net investment loss of $680,300, and total expenses of $752,891, resulting in a net decrease in Owners’ capital from operations of $1,551,987. The NAV per Unit, Class 1, decreased from $112.80 at December 31, 2016 to $99.41 as of September 30, 2017. The NAV per Unit, Class 2, decreased from $128.78 at December 31, 2016 to $114.95 as of September 30, 2017. The NAV per Unit, Class 3, decreased from $119.89 at December 31, 2016 to $107.23 as of September 30, 2017. Total Class 1 subscriptions and redemptions for the period were $2,610 and $1,976,359, respectively. Total Class 2 subscriptions and redemptions for the period were $65,000 and $2,102,200, respectively. Total Class 3 subscriptions and redemptions for the period were $1,571,804 and $1,272,628, respectively. Ending capital at September 30, 2017 was $2,949,731 for Class 1, $3,194,222 for Class 2 and $5,761,594 for Class 3. Ending capital at December 31, 2016 was $5,361,626 for Class 1, $5,657,562 for Class 2 and $6,150,119 for Class 3.

101

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

Three of the six sectors traded in the Frontier Masters Fund was profitable in Q3 2017 and two of the six were profitable YTD. Metals, Energies and Stock Indices was profitable for Q3 2017 while Currencies, Agriculturals, and Interest Rates finished negative for the quarter. Energies and Stock Indices was profitable for YTD while Metals, Currencies, Agriculturals, and Interest Rates finished negative YTD

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

Emil Van Essen was positive YTD while Chesapeake, Transtrend, Welton, and Winton were negative YTD.

102

2016

The Equinox Frontier Masters Fund—Class 1 NAV gained 5.47% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Masters Fund —Class 2 NAV gained 6.87% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Masters Fund—Class 3 NAV gained 7.08% for the nine months ended September 30, 2016.

For the nine months ended September 30, 2016, the Equinox Frontier Masters Fund recorded net gain on investments of $2,328,331, net investment gain of $116,817, and total expenses of $1,016,731, resulting in a net increase in Owners’ capital from operations of $1,428,417. The NAV per Unit, Class 1, increased from $112.87 at December 31, 2015 to $119.04 as of September 30, 2016. The NAV per Unit, Class 2, increased from $126.60 at December 31, 2015 to $135.30 as of September 30, 2016. The NAV per Unit, Class 3, increased from $117.57 at December 31, 2015 to $125.89 as of September 30, 2016. Total Class 1 subscriptions and redemptions for the period were $121,322 and $1,205,302, respectively. Total Class 2 subscriptions and redemptions for the period were $157,500 and $2,271,941, respectively. Total Class 3 redemptions for the period were $1,668,117. Ending capital, excluding Managing Owner Capital, at September 30, 2016 was $5,825,767 for Class 1, $5,926,985 for Class 2 and $7,249,059 for Class 3.

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

103

Two of the seven sectors traded in the Equinox Frontier Masters Fund were profitable in Q3 2016 and five of the seven were profitable YTD. Currencies and Stock Indicies were profitable for Q3 2016 while Metals, Energies, Agriculturals, Interest Rate and Hybrids finished negative for the quarter. Currencies, Energies, Agriculturals, Interest Rates and Hyrbrids were profitable YTD while Metals and Stock Indices finished negative YTD.

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

In terms of major CTA performance Emil Van Essen, Transtrend and Winton finished positive YTD. Chesapeake was negative YTD.

Frontier Long/Short Commodity Fund

2017

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 10.22% and lost 4.95%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 6.70% and lost 4.06% respectively for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV lost 10.26% and lost 5.30% respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV lost 9.76% and lost 4.16% respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 7.17% and lost 3.17%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses.

For the nine months ended September 30, 2017, the Frontier Long/Short Commodity Fund recorded net loss on investments of $231,314, net investment loss of $131,706, and total expenses of $131,706, resulting in a net decrease in Owners’ capital from operations of $363,020. The NAV per Unit, Class 2, decreased from $129.56 at December 31, 2016 to $116.32 as of September 30, 2017. The NAV per Unit, Class 3, decreased from $130.80 at December 31, 2016 to $ 122.04 as of September 30, 2017. The NAV per Unit, Class 1a, decreased from $92.78 at December 31, 2016 to $ 83.26 as of September 30, 2017. The NAV per Unit, Class 2a, decreased from $105.67 at December 31, 2016 to $95.36 as of September 30, 2017. The NAV per Unit, Class 3a, decreased from $107.50 at December 31, 2016 to $ 99.79 as of September 30, 2017. Total Class 2 redemptions for the period were $460,379. Total Class 3 redemptions for the period were $1,665,875. Total Class 1a redemptions were $1,783,854. Class 2a redemptions for the period were $450,732. Class 3a subscriptions and redemptions for the period were $1,051,248 and $847,983 respectively. Ending capital at September 30, 2017 was $323,267 for Class 2, $2,558,912 for Class 3, $130,409 for Class 1a, $467,824 for Class 2a and $1,264,520 for Class 3a. Ending capital at December 31, 2016 was $808,363 for Class 2, $4,405,863 for Class 3, $1,913,595 for Class 1a, $963,195 for Class 2a and $1,174,511 for Class 3a.

104

The Frontier Long/Short Commodity Fund may have both long and short exposure to the Base Metals, Energies, Grains, Meats, Precious Metals, Financials, and Softs sectors, although the majority of the exposure will typically be in the Energies, Metals, and Softs sectors.

105

Four of the seven sectors traded in the Frontier Long/Short Commodity Fund was profitable in Q3 2017 and three of the seven were profitable YTD. Base Metal, Energies, Metals and Precious Metals were profitable for Q3 2017 while Grains, Softs and Financials finished negative for the quarter. Energies, Meats, and Precious Metals was profitable for YTD while Base Metals, Grains, Softs and Financials finished negative YTD

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

Emil Van Essen and Red Oak were positive YTD while Chesapeake, JE Moody, Rosetta, and Welton were negative YTD.

2016

The Equinox Frontier Long/Short Commodity Fund—Class 2 NAV lost 4.95% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 3 NAV lost 4.06% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 1a NAV lost 5.30%, for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund —Class 2a NAV lost 4.16% , for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Long/Short Commodity Fund Class 3a NAV lost 3.17% for the nine months ended September 30, 2016, net of fees and expenses.

106

For the nine months ended September 30, 2016, the Equinox Frontier Long/Short Commodity Fund recorded net gain on investments of $135,000, net investment income of $37,213, and total expenses of $515,535, resulting in a net decrease in Owners’ capital from operations of $475,198, after non-controlling interests of $131,876. The NAV per Unit, Class 2, decreased from $132.10 at December 31, 2015 to $125.56 as of September 30, 2016. The NAV per Unit, Class 3, decreased from $132.14 at December 31, 2015 to $126.77 as of September 30, 2016. The NAV per Unit, Class 1a, decreased from $94.76 at December 31, 2015 to $89.74 as of September 30, 2016. The NAV per Unit, Class 2a, decreased from $106.19 at December 31, 2015 to $101.77 as of September 30, 2016. The NAV per Unit, Class 3a, decreased from $106.86 at December 31, 2015 to $103.47 as of September 30, 2016. Total Class 2 redemptions for the period were $163,914. Total Class 3 redemptions for the period were $1,156,924. Total Class 1a redemptions for the period were $1,137,511. Class 2a redemptions for the period were $278,115. Class 3a redemptions for the period were $160,210. Ending capital, excluding Managing Owner Capital, at September 30, 2016 was $495,985 for Class 2, $4,556,616. For Class 3, $2,531,567 for Class 1a, $737,010 for Class 2a and $871,585 for Class 3a.

The Equinox Frontier Long/Short Commodity Fund may have both long and short exposure to the Base Metals, Energies, Grains, Meats, Precious Metals, Softs, Financials sectors.

107

Two of the seven sectors traded in the Equinox Frontier Long/Short Commodity Fund were profitable in Q3 2016 and four of the seven were profitable YTD. Precious Metals and Financials were profitable for Q3 2016 while Base Metals, Energies, Grains and Softs finished negative for the quarter. Meats finished flat for the quarter. Energies, Meats, Precious Metals and Softs were profitable YTD while Base Metals, Grains and Financials finished negative YTD.

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

Emil Van Essen was positive YTD while JE Moody, Red Oak and Rosetta finished negative YTD. Chesapeake was flat YTD.

108

Frontier Balanced Fund

2017

The Frontier Balanced Fund—Class 1 NAV lost 4.90% and gained 1.94%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 2.74% and gained 4.28%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost 2.41% and gained 4.82%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV lost 2.41% and gained 4.82%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV lost 2.75% and gained 4.28% for the nine months ended September 30, 2017 and 2016, net of fees and expenses.

For the nine months ended September 30, 2017, the Frontier Balanced Fund recorded net gain on investments of $1,312,398 net investment loss of $3,028,545, and total expenses of $3,037,960, resulting in a net decrease in Owners’ capital from operations of $1,716,147. The NAV per Unit, Class 1, decreased from $134.80 at December 31, 2016 to $128.20 as of September 30, 2017. The NAV per Unit, Class 1AP, decreased from $144.97 at December 31, 2016 to $140.98 as of September 30, 2017. The NAV per Unit, Class 2, decreased from $194.99 at December 31, 2016 to $189.64 as of September 30, 2017. The NAV per Unit, Class 2a, decreased from $169.05 at December 31, 2016 to $164.98 as of September 30, 2017. The NAV per Unit, Class 3a, decreased from $168.49 at December 31, 2016 to $164.42 as of September 30, 2017. Total Class 1 subscriptions and redemptions for the period were $34,027 and $15,765,084 respectively. Total Class 1AP redemptions for the period were $92,739. Total Class 2 subscriptions and redemptions for the period were $4,937 and $15,256,156, respectively. Total Class 2a subscriptions and redemptions for the period were $123,835 and $122,954, respectively. Total Class 3a redemptions for the period were $323,956. Ending capital at September 30, 2017 was $39,265,876 for Class 1, $570,654 for Class 1AP, $7,448,454 for Class 2, $501,231 for Class 2a, and $1,398,919 for Class 3a. Ending capital at December 31, 2016 was $56,955,371 for Class 1, $677,181 for Class 1AP, $22,401,557 for Class 2, $516,256 for Class 2a and $1,749,006 for Class 3a.

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

110

Two of the six sectors traded in the Frontier Balanced Fund were profitable in Q3 2017 and one of the six were profitable YTD. Energieis and Stock Indices were profitable for Q3 2016 while and Metals, Currencies, Agriculturals, and Interest Rates finished negative for the quarter. Stock Indices were profitable YTD while and Currencies, Energies, Agriculturals, and Interest Rates finished negative YTD.

In terms of major CTA performance Emil Van Essen, Fort, and H20 finished positive for the quarter. Aspect, Beach Horizon, Crabel, QIM, Quantmetrics, Welton, and Winton were negative for the quarter.

Emil Van Essen, Fort, H20, and QIM were positive YTD while Aspect, Beach Horizon, Crabel, Quantmetrics, Welton, and Winton were negative YTD.

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2016

The Equinox Frontier Balanced Fund—Class 1 NAV gained 1.94% for the nine months ended September 30, 2016, net of fees and expenses; The Equinox Frontier Balanced Fund—Class 1AP NAV gained 4.28% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 2 NAV gained 4.28% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 2a NAV gained 4.82% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Balanced Fund —Class 3a NAV gained 4.82% for the three months ended September 30, 2016, net of fees and expenses.

For the nine months ended September 30, 2016, the Equinox Frontier Balanced Fund recorded net gain on investments of $6,805,324, net investment income of $15,992, and total expenses of $3,738,126, resulting in a net increase in Owners’ capital from operations of $2,408,937, after non-controlling interests of $674,253. The NAV per Unit, Class 1, increased from $128.03 at December 31, 2015 to $130.52 as of September 30, 2016. The NAV per Unit, Class 1AP, increased from $133.59 at December 31, 2015 to $139.31 as of September 30, 2016. The NAV per Unit, Class 2, increased from $179.69 at December 31, 2015 to $187.38 as of September 30, 2016. The NAV per Unit, Class 2a, increased from $154.88 at December 31, 2015 to $162.35 as of September 30, 2016. The NAV per Unit, Class 3a, increased from $154.37 at December 31, 2015 to $161.81 as of September 30, 2016. Total Class 1 subscriptions and redemptions for the period were $138,419 and $5,813,874, respectively. Total Class 1AP redemptions for the period were $95,000. Total Class 2 subscriptions and redemptions for the period were $14,548 and $1,643.136, respectively. Total Class 3a redemptions for the period were $72,279. Ending capital, excluding Managing Owner Capital, at September 30, 2016 was $58,166,806 for Class 1, $650,754 for Class 1AP, $21,049,226 for Class 2, $373,602 for Class 2a and $2,479,832 for Class 3a.

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

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113

One of the six sectors traded in the Equinox Frontier Balanced Fund were profitable in Q3 2016. Stock Indicies were profitable while Metal, Currencies, Agriculturals Interest Rates and Energies finished negative for the quarter.

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

In terms of major CTA performance, four of the ten major CTAs in the Equinox Frontier Balanced Fund were profitable in Q3 2016. Emil Van Essen, Fort LP (GC), H20 AM and QIM were positive for the quarter while Beach Horizon, Crabel, Winton, Quantmetrics and Quest are negative for the quarter. Brandywine and Cantab finished flat for the quarter.

Brandywine, Cantab, Crabel, Emil Van Essen, Fort LP (GC), QIM and Winton were positive YTD, while Beach Horizon, H2O AM, and Quantmetrics were negative YTD.

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Frontier Select Fund

2017

The Frontier Select Fund—Class 1 NAV lost 20.84% and gained 6.54%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 19.06% and gained 8.98% respectively for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV lost 19.06% and gained 8.98%, respectively, for the nine months ended September 30, 2017 and 2016.

For the nine months ended September 30, 2017, the Frontier Select Fund recorded net loss on investments of $2,000,503, net investment loss of $417,969, and total expenses of $417,969, resulting in a net decrease in Owners’ capital from operations of $1,985,844, after non-controlling interests of $432,628. The NAV per Unit, Class 1, decreased from $94.06 at December 31, 2016 to $74.46 as of September 30, 2017. The NAV per Unit, Class 1AP, decreased from $101.16 at December 31, 2016 to $81.88 as of September 30, 2017. The NAV per Unit, Class 2, decreased from $134.25 at December 31, 2016 to $108.66 as of September, 2017. Total Class 1 subscriptions and redemptions for the period were $1,467 and $3,380,914 respectively. Total Class 1AP redemptions for the period were $6,074. Total Class 2 subscriptions and redemptions for the period were $98,345 and $527,352, respectively. Ending capital at September 30, 2017 was $5,422,744 for Class 1, $19,118 for Class 1AP and $739,805 for Class 2. Ending capital at December 31, 2016 was $10,540,702 for Class 1, $29,897 for Class 1AP and $1,411,440 for Class 2.

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

Three of the six sectors traded in the Frontier Select Fund were profitable in Q3 2017 and one of the six were profitable YTD. Metals, Energies, and Stock Indices were positive while Currencies, Agriculturals , and Interest Rates were negative for the quarter. Stock Indices were profitable YTD while and Metals, Currencies, Energies, Agriculturals, and Interest Rates finished negative YTD.

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

2016

The Equinox Frontier Select Fund—Class 1 NAV gained 6.54% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Select Fund—Class 1AP NAV gained 8.98% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Select Fund —Class 2 NAV gained 8.98% for the nine months ended September 30, 2016, net of fees and expenses.

For the nine months ended September 30, 2016, the Equinox Frontier Select Fund recorded net gain on investments of $2,552,344, net investment income of $0, and total expenses of $640,328, resulting in a net increase in Owners’ capital from operations of $906,751, after non-controlling interests of $1,005,265. The NAV per Unit, Class 1, increased from $90.35 at December 31, 2015 to $96.26 as of September 30, 2016. The NAV per Unit, Class 1AP, increased from $94.28 at December 31, 2015 to $102.75 as of September 30, 2016. The NAV per Unit, Class 2, increased from $125.11 at December 31, 2015 to $136.35 as of September 30, 2016. Total Class 1 subscriptions and redemptions for the period were $12,362 and $1,068,562 respectively. Total Class 1AP redemptions for the period were $21,949. Total Class 2 redemptions for the period were $22,837. Ending capital, excluding Managing Owner Capital, at September 30, 2016 was $11,435,183 for Class 1, $30,364 for Class 1AP and $1,426,668 for Class 2.

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

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One of the seven sectors traded in the Equinox Frontier Select Fund were profitable in Q3 2016. Stock Indicies were profitable while Metals, Currencies, Energies, Agriculturals, Interest Rates and Hybrids finished negative for the quarter.

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

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

Frontier Winton Fund

2017

The Frontier Winton Fund—Class 1 NAV lost 7.90% and lost 0.58%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Winton Fund —Class 2 NAV lost 5.82% and gained 1.70%, respectively, for the nine months ended September 30, 2017 and 2016, net of fees and expenses; the Frontier Winton Fund —Class 1AP NAV lost 5.82% and gained 1.70%, respectively, for the nine months ended September 30, 2017 and 2016.

For the nine months ended September 30, 2017, the Frontier Winton Fund recorded net loss on investments of $865,453, net investment loss of $1,512,144, and total expenses of $1,531,876, resulting in a net decrease in Owners’ capital from operations of $2,025,481, after non-controlling interests of $352,116. The NAV per Unit, Class 1, decreased from $154.51 at December 31, 2016 to $142.30 as of September 30, 2017. The NAV per Unit, Class 1AP decreased from $166.17 at December 31, 2016 to $156.50 as of September 30, 2017. Class 2, decreased from $210.98 at December 31, 2016 to $198.70 as of September 30, 2017. Total Class 1 subscriptions and redemptions for the period were $16,141 and $6,612,116 respectively. There were no subscriptions or redemptions for Class 1AP. Total Class 2 subscriptions and redemptions for the period were $267,829 and $631,501, respectively. Ending capital at September 30, 2017 was $12,330,314 for Class 1, $33,413 for Class 1AP, and $10,417,671 for Class 2. Ending capital at December 31, 2016 was $20,248,935 for Class 1, $35,478 for Class 1AP and $11,446,113 for Class 2.

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

One of the six sectors traded in the Frontier Winton Fund were profitable in Q3 2017. Stock Indices were positive while Metals, Currencies, Energies, Agriculturals, and Interest Rates were negative for the quarter. Stock Indices are positive YTD while Metals, Currencies, Energies, Agriculturals and Interest Rates are negative YTD.

2016

The Equinox Frontier Winton Fund—Class 1 NAV lost 0.58% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Winton Fund—Class 1AP NAV gained 1.70% for the nine months ended September 30, 2016, net of fees and expenses the Equinox Frontier Winton Fund —Class 2 NAV gained 1.70% for the nine months ended September 30, 2016, net of fees and expenses.

For the nine months ended September 30, 2016, the Equinox Frontier Winton Fund recorded net gain on investments of $3,279,817, net investment income of $176, and total expenses of $1,742,974, resulting in a net increase in Owners’ capital from operations of $98,598, after non-controlling interests of $1,438,421. The NAV per Unit, Class 1, decreased from $164.17 at December 31, 2015 to $163.22 as of September 30, 2016. The NAV per Unit, Class 1AP, increased from $171.31 at December 31, 2015 to $174.22 as of September 30, 2016. The NAV per Unit, Class 2, increased from $217.51 at December 31, 2015 to $221.20 as of September 30, 2016. Total Class 1 subscriptions and redemptions for the period were $122,728 and $1,128,966, respectively. Total Class 2 redemptions for the period were $88,086. Ending capital, excluding Managing Owner Capital, at September 30, 2016 was $21,908,389 for Class 1, $37,196 for Class 1AP and $11,954,508 for Class 2.

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

One of the six sectors traded in the Equinox Frontier Winton Fund were profitable in Q3 2016. Stock Indicies were positive while Energies, Metals, Currencies, Interest Rates Agriculturals and Interest Rates were negative for the quarter. Currencies and Interest Rates are positive YTD while Metals, Energies, Agriculturals and Stock Indices are negative YTD.

Frontier Heritage Fund

2017

The Frontier Heritage Fund—Class 1 NAV lost 11.36% and gained 0.30%, respectively, for the nine months ended September 30, 2017 and 2016 net of fees and expenses; the Frontier Heritage Fund —Class 2 NAV lost 9.37% and gained 2.60%, respectively for the nine months ended September, 2017 and 2016, net of fees and expenses; the Frontier Heritage Fund —Class 1AP NAV lost 9.37% and gained 2.60%, respectively, for the nine months ended September 30, 2017 and 2016.

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For the nine months ended September 30, 2017, the Frontier Heritage Fund recorded net loss on investments of $725,978, net investment loss $445,913, and total expenses of $445,913, resulting in a net decrease in Owners’ capital from operations of $922,727, after non-controlling interests of $249,164. The NAV per Unit, Class 1, decreased from $119.58 at December 31, 2016 to $105.99 as of September 30, 2017. The NAV per Unit, Class 1AP, decreased from $128.60 at December 31, 2016 to $116.55 as of September 30, 2017. The NAV per Unit, Class 2, decreased from $172.10 at December 31, 2016 to $ 155.97 as of September 30, 2017. Total Class 1 subscriptions and redemptions for the period were $9,861 and $1,808,099, respectively. There were no subscriptions or redemptions for Class 1AP. Total Class 2 subscriptions and redemptions for the period were $24,575 and $1,856,707, respectively. Ending capital at September 30, 2017 was $4,964,672 for Class 1, $5,280 for Class 1AP and $734,224 for Class 2. Ending capital at December 31, 2016 was $7,507,072 for Class 1, $5,826 for Class 1AP and $2,744,375 for Class 2.

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

121

Two of the six sectors traded in the Frontier Heritage Fund were profitable in Q3 2017 and one of the six were profitable YTD. Energiies and Stock Indices were positive while Metals, Currencies, Agriculturals , and Interest Rates were negative for the quarter. Stock Indices were profitable YTD while and Metals, Currencies, Energies, Agriculturals, and Interest Rates finished negative YTD.

In terms of major CTA performance, Brevan Howard finished positive for the quarter and negative YTD. Welton and Winton finished negative for both the quarter and YTD.

2016

The Equinox Frontier Heritage Fund—Class 1 NAV gained 0.30% for the nine months ended September 30, 2016, net of fees and expenses; the Equinox Frontier Heritage Fund—Class 1AP NAV gained 2.60% for the nine months ended September 30, 2016, net of fees and expenses the Equinox Frontier Heritage Fund —Class 2 NAV gained 2.60% for the nine months ended September 30, 2016, net of fees and expenses.

For the nine months ended September 30, 2016, the Equinox Frontier Heritage Fund recorded net gain on investments of $807,948, net investment income of $0, and total expenses of $410,588, resulting in a net increase in Owners’ capital from operations of $127,685, after non-controlling interests of $269,675. The NAV per Unit, Class 1, increased from $124.27 at December 31, 2015 to $124.64 as of September 30, 2016. The NAV per Unit, Class 1AP, increased from $129.67 at December 31, 2015 to $133.04 as of September 30, 2016. The NAV per Unit, Class 2, increased from $173.54 to $178.05 as of September 30, 2016. Total Class 1 subscriptions and redemptions for the period were $29,866 and $530,616, respectively. The Class 1AP redemptions were $56,051 for the period. Total Class 2 redemptions for the period were $90,031. Ending capital, excluding Managing Owner Capital, at September 30, 2016 was $8,176,296 for Class 1, $6,027 for Class 1AP and $2,762,875 for Class 2.

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

One of the six sectors traded in the Equinox Frontier Heritage Fund were profitable in Q3 2016. Stock Indicies were positive for the quarter while Currencies, Metals, Agriculturals, Interest Rates and Energies were negative for the quarter.

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

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

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ITEM 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK

The Trust is a speculative commodity pool. The market sensitive instruments which are held by the Trading Companies or Galaxy Plus entities in which the Series are invested are acquired for speculative trading purposes, and all or a substantial amount of the Series’ assets are subject to the risk of trading loss. Unlike an operating company, the risk of market sensitive instruments is integral, not incidental, to the Series’ main line of business.

Market movements result in frequent changes in the fair market value of each Trading Company’s open positions and, consequently, in each Series of the Trust’s earnings and cash flow. The Trading Companies’ and Galaxy Plus entities’ and consequently the Series’ market risk is influenced by a wide variety of factors, including the level and volatility of exchange rates, interest rates, equity price levels, the market value of financial instruments and contracts, the diversification effects among the open positions and the liquidity of the markets in which trades are made.

Each Trading Company and Galaxy Plus entity rapidly acquires and liquidates both long and short positions in a wide range of different markets. Consequently, it is not possible to predict how a particular future market scenario will affect performance, and the past performance for any Series is not necessarily indicative of the future results of such Series.

Additional risk of trading loss from investment in an unaffiliated Trading Company may result from the Managing Owner’s inability to directly control or stop trading in the event of exercise of certain withdrawal provisions in the investment agreement.

The Trading Companies’ and Galaxy Plus entities’, and consequently the Series’ primary market risk exposures as well as the strategies used and to be used by the Trading Advisors for managing such exposures are subject to numerous uncertainties, contingencies and risks, any one of which could cause the actual results of the Trust’s and the Managing Owner’s risk controls to differ materially from the objectives of such strategies. Government interventions, defaults and expropriations, illiquid markets, the emergence of dominant fundamental factors, political upheavals, changes in historical price relationships, an influx of new market participants, increased regulation and many other factors could result in material losses as well as in material changes to the risk exposures and the risk management strategies of the Trading Companies and Galaxy Plus entities and consequently the Trust. There can be no assurance that the Trading Companies’ and Galaxy Plus entities’ current market exposure and/or risk management strategies will not change materially or that any such strategies will be effective in either the short- or long-term. Investors must be prepared to lose all or substantially all of their investment in a Series.

Quantitative Market Risk

Trading Risk

The Series’ approximate risk exposure in the various market sectors traded by its trading advisors is quantified below in terms of value at risk. Due to the Series’ mark-to-market accounting, any loss in the fair value of the Series’ (through the Trading Companies and Galaxy Plus entities) open positions is directly reflected in the Series’ earnings, realized or unrealized gain/loss.

Exchange maintenance margin requirements have been used by the Trust as the measure of its value at risk. Maintenance margin requirements are set by exchanges to equal or exceed the maximum losses reasonably expected to be incurred in the fair value of any given contract in 95% to 99% of any one-day interval. The maintenance margin levels are established by brokers, dealers and exchanges using historical price studies as well as an assessment of current market volatility and economic fundamentals to provide a probabilistic estimate of the maximum expected near-term one-day price fluctuation. Maintenance margin has been used rather than the more generally available initial margin, because initial margin includes a credit risk component that is not relevant to value at risk.

In the case of market sensitive instruments that are not exchange-traded, including currencies and some energy products and metals, the margin requirements for the equivalent futures positions have been used as value at risk. In those cases in which a futures-equivalent margin is not available, dealers’ margins have been used.

In the case of contracts denominated in foreign currencies, the value at risk figures include foreign currency margin amounts converted into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the Series, which is valued in U.S. dollars, in expressing value at risk in a functional currency other than U.S. dollars.

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In quantifying each Series’ value at risk, 100% positive correlation in the different positions held in each market risk category has been assumed. Consequently, the margin requirements applicable to the open contracts have simply been aggregated to determine each trading category’s aggregate value at risk. The diversification effects resulting from the fact that the Series’ positions held through the Trading Companies and Galaxy Plus entities are rarely, if ever, 100% positively correlated have not been reflected.

Value at Risk by Market Sectors

The following tables present the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of September 30, 2017 and December 31, 2016. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

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Equinox Frontier Diversified Fund:

	September 30, 2017					December 31, 2016
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
MARKET SECTOR
Interest Rates	$	94,042		0.42	%	$	54,560		0.10	%
Currencies		4,673,271		20.77	%		6,695,287		11.86	%
Stock Indices		120,660		0.54	%		136,448		0.24	%
Metals		63,523		0.28	%		76,463		0.14	%
Agriculturals/Softs		67,156		0.30	%		56,026		0.10	%
Energy		13,525		0.06	%		34,416		0.06	%
Total:	$	5,032,177		22.37	%	$	7,053,200		12.50	%

Equinox Frontier Long/Short Commodity Fund:

	September 30, 2017					December 31, 2016
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK			% OF TOTAL CAPITALIZATION
MARKET SECTOR
Interest Rates	$	1,006		0.02	%	$	(3,667	)		-0.04	%
Currencies		295,974		6.24	%		4,103,478			44.30	%
Stock Indices		3,401		0.07	%		(4,847	)		-0.05	%
Metals		709		0.01	%		(1,394	)		-0.02	%
Agriculturals/Softs		74		0.00	%		(82	)		0.00	%
Energy		95		0.00	%		(2,483	)		-0.03	%
Total:	$	301,259		6.35	%	$	4,091,005			44.16	%

Equinox Frontier Masters Fund:

	September 30, 2017					December 31, 2016
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
MARKET SECTOR
Interest Rates	$	54,188		0.46	%	$	147,424		0.86	%
Currencies		324,247		2.72	%		846,815		4.93	%
Stock Indices		77,637		0.65	%		162,087		0.94	%
Metals		36,715		0.31	%		132,588		0.77	%
Agriculturals/Softs		36,221		0.30	%		80,299		0.47	%
Energy		7,603		0.06	%		102,721		0.60	%
Total:	$	536,611		4.51	%	$	1,471,934		8.57	%

Equinox Frontier Balanced Fund:

	September 30, 2017					December 31, 2016
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
MARKET SECTOR
Interest Rates	$	206,235		0.42	%	$	111,080		0.13	%
Currencies		8,777,416		17.85	%		16,050,306		19.50	%
Stock Indices		197,146		0.40	%		251,376		0.31	%
Metals		269,040		0.55	%		203,879		0.25	%
Agriculturals/Softs		122,536		0.25	%		310,953		0.38	%
Energy		20,093		0.04	%		59,842		0.07	%
Total:	$	9,592,466		19.50	%	$	16,987,436		20.64	%

Equinox Frontier Select Fund:

	September 30, 2017					December 31, 2016
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
MARKET SECTOR
Interest Rates	$	925		0.01	%	$	142,902		0.89	%
Currencies		474,482		7.68	%		3,767,631		23.44	%
Stock Indices		3,129		0.05	%		108,220		0.67	%
Metals		652		0.01	%		106,501		0.66	%
Agriculturals/Softs		68		0.00	%		56,513		0.35	%
Energy		88		0.00	%		101,803		0.63	%
Total:	$	479,344		7.75	%	$	4,283,570		26.64	%

Equinox Frontier Winton Fund:

	September 30, 2017					December 31, 2016
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
MARKET SECTOR
Interest Rates	$	376,777		1.29	%	$	181,898		0.45	%
Currencies		2,309,725		7.91	%		2,203,203		5.42	%
Stock Indices		519,860		1.78	%		496,922		1.22	%
Metals		255,010		0.87	%		291,318		0.72	%
Agriculturals/Softs		257,940		0.88	%		222,576		0.55	%
Energy		53,332		0.18	%		113,092		0.28	%
Total:	$	3,772,644		12.92	%	$	3,509,009		8.64	%

Equinox Frontier Heritage Fund:

	September 30, 2017					December 31, 2016
	VALUE AT RISK		% OF TOTAL CAPITALIZATION			VALUE AT RISK		% OF TOTAL CAPITALIZATION
MARKET SECTOR
Interest Rates	$	61,877		1.00	%	$	35,111		0.34	%
Currencies		887,714		14.37	%		3,730,499		36.37	%
Stock Indices		83,632		1.35	%		91,176		0.89	%
Metals		41,856		0.68	%		52,124		0.51	%
Agriculturals/Softs		42,893		0.69	%		38,923		0.38	%
Energy		8,799		0.14	%		22,016		0.21	%
Total:	$	1,126,771		18.24	%	$	3,969,849		38.70	%

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Material Limitations on Value at Risk as an Assessment of Market Risk

The face value of the market sector instruments held on behalf of the Series is typically many times the applicable maintenance margin requirement, which generally ranges between approximately 1% and 10% of contract face value, as well as many times the capitalization of the Series. The magnitude of each Series’ open positions creates a risk of ruin not typically found in most other investment vehicles. Because of the size of their positions, certain market conditions, although unusual, but historically recurring from time to time, could cause a Series to incur severe losses over a short period of time. The value at risk table above, as well as the past performance of the Series, gives no indication of this risk of severe losses.

Non-Trading Risk

The Series have non-trading market risk on their foreign cash balances not needed for margin. However, these balances, as well as the market risk they represent, are immaterial. The Series also have non-trading market risk as a result of investing a portion of their available assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority granted by Congress of the U.S. or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market funds, certificates of deposit (under nine months) and time deposits. The market risk represented by these investments is also immaterial.

Qualitative Market Risk

The following are the primary trading risk exposures of the Series of the Trust as of September 30, 2017, by market sector.

Interest Rates

Interest rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest rate futures positions held and indirectly the value of a Trading Company’s stock index and currency positions. Interest rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The primary interest rate exposure is to interest rate fluctuations in the U.S. and the other G-7 countries. However, the Trading Companies and Galaxy Plus entities also may take futures positions on the government debt of smaller nations. The Managing Owner anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and Galaxy Plus entities and accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading Companies and Galaxy Plus entities will be in medium- to long-term instruments. Consequently, even a material change in short-term rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income from all sources, including assets held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Winton Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to each Series was paid to the Managing Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained by the respective Series. Interest income above what is paid to the Managing Owner is retained by the Series. The amounts reflected in the financial statements for the Trust and Series are disclosed on a net basis. Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those classes may be zero.

Currencies

Exchange rate risk is a significant market exposure of each Series of the Trust in general. For each Series of the Trust in general, currency exposure is to exchange rate fluctuations, primarily fluctuations that disrupt the historical pricing relationships between different currencies and currency pairs. These fluctuations are influenced by interest rate changes as well as political and general economic conditions. The Trading Advisors on behalf of a Series trade in a large number of currencies, including cross-rates, which are positions between two currencies other than the U.S. dollar. The Managing Owner does not anticipate that the risk profile of the Series’ currency sector will change significantly in the future.

Stock Indices

For each Series, its primary equity exposure is equity price risk in the G-7 countries as well as other smaller jurisdictions. Each Series of the Trust is primarily exposed to the risk of adverse price trends or static markets in the major U.S., European and Japanese indices.

Metals

For each Series, its metals market exposure is fluctuations in the price of both precious metals, including gold and silver, as well as base metals including aluminum, copper, nickel and zinc. Some metals, such as gold, are used as surrogate stores of value, in place of hard currency, and thus have currency or interest rate risk associated with them relative to their price in a specific currency. Other metals, such as silver, platinum, copper and steel, have substantial industrial applications, and may be subject to forces affecting industrial production and demand.

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Agriculturals/Softs

Each Series may also invest in raw commodities and may thus have exposure to agricultural price movements, which are often directly affected by severe or unexpected weather conditions or by political events in countries that comprise significant sources of commodity supply.

Energy

For each Series its primary energy market exposure is in oil, gas and other energy product price movements, often resulting from political developments and ongoing conflicts in the Middle East. Oil and gas prices can be volatile and substantial profits and losses have been and are expected to continue to be experienced in this market.

Other Trading Risks

As a result of leverage, small changes in the price of a Trading Company’s positions may result in substantial losses for a Series. Futures, forwards and options are typically traded on margin. This means that a small amount of capital can be used to invest in contracts of much greater total value. The resulting leverage means that a relatively small change in the market price of a contract can produce a substantial loss. Like other leveraged investments, any purchase or sale of a contract may result in losses in excess of the amount invested in that contract. The Trading Companies and Galaxy Plus entities may lose more than their initial margin deposits on a trade.

The Trading Companies’ and Galaxy Plus entities’ trading is subject to execution risks. Market conditions may make it impossible for the Trading Advisors to execute a buy or sell order at the desired price, or to close out an open position. Daily price fluctuation limits are established by the exchanges and approved by the CFTC. When the market price of a contract reaches its daily price fluctuation limit, no trades can be executed at prices outside the limit. The holder of a contract may therefore be locked into an adverse price movement for several days or more and lose considerably more than the initial margin put up to establish the position. Thinly traded or illiquid markets also can make it difficult or impossible to execute trades. The Trading Advisor’s positions are subject to speculative limits. The CFTC and domestic exchanges have established speculative position limits on the maximum futures position which any person, or group of persons acting in concert, may hold or control in particular futures contracts or options on futures contracts traded on U.S. commodity exchanges. Under current regulations, other accounts of the Trading Advisors are combined with the positions held by them on behalf of the applicable Trading Company and Galaxy Plus entity for position limit purposes. This trading could preclude additional trading in these commodities by the Trading Advisors for the accounts of the Series.

Systematic strategies do not consider fundamental types of data and do not have the benefit of discretionary decision making. The assets of the Series are allocated to Trading Advisors that rely on technical, systematic strategies that do not take into account factors external to the market itself (although certain of these strategies may have minor discretionary elements incorporated into their systematic strategy). The widespread use of technical trading systems frequently results in numerous trading advisors attempting to execute similar trades at or about the same time, altering trading patterns and affecting market liquidity. Furthermore, the profit potential of trend-following systems may be diminished by the changing character of the markets, which may make historical price data (on which technical programs are based) only marginally relevant to future market patterns. Systematic strategies are developed on the basis of a statistical analysis of market prices. Consequently, any factor external to the market itself that dominates prices that a discretionary decision maker may take into account may cause major losses for a systematic strategy. For example, a pending political or economic event may be very likely to cause a major price movement, but a systematic strategy may continue to maintain positions indicated by its trading method that might incur major losses if the event proved to be adverse.

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

Cyber Risks and Security

The Trust’s business requires it to use and store investor, employee and business partner personally identifiable information (“PII”). This may include, among other information, names, addresses, phone numbers, email addresses, contact preferences, tax identification numbers and payment account information.

The Trust requires user names and passwords in order to access its information technology systems. The Trust also uses encryption and authentication technologies designed to secure the transmission and storage of data and prevent access to Trust data or accounts. These security measures are subject to third-party security breaches, employee error, malfeasance, faulty password management, or other irregularities. To help protect investors and the Trust, the Trust monitors accounts and systems for unusual activity and may freeze accounts under suspicious circumstances.

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The Trust devotes significant resources to network security, data encryption and other security measures to protect its systems and data, but these security measures cannot provide absolute security. To the extent the Trust was to experience a breach of its systems and was unable to protect sensitive data, such a breach could materially damage business partner and investor relationships. Moreover, if a computer security breach affects the Trust’s systems or results in the unauthorized release of PII, the Trust’s reputation and brand could be materially damaged and the Trust could be exposed to a risk of loss or litigation and possible liability. While the Trust maintains insurance coverage that, subject to policy terms and conditions and subject to a significant self-insured retention, is designed to address certain aspects of cyber risks, such insurance coverage may be insufficient to cover all losses or all types of claims that may arise in the continually evolving area of cyber risk.

Qualitative Disclosures Regarding Means of Managing Risk Exposure

The means by which the Managing Owner attempts to manage the risk of the Trust’s open positions is essentially the same in all market categories traded. The Managing Owner applies risk management policies to trading which generally are designed to limit the total exposure of assets under management. In addition, the Managing Owner follows diversification guidelines which are often formulated in terms of the balanced volatility between markets and correlated groups.

ITEM 4. CONTROLS AND PROCEDURES

Evaluation of Disclosure Controls and Procedures

Under the supervision and with the participation of the management of the Managing Owner, including its Chief Executive Officer and Principal Financial Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)), for the Trust and each Series as of September 30, 2017 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon their evaluation, the Chief Executive Officer and Principal Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the material information relating to the Trust and each Series required to be included in the Trust’s periodic SEC filing.

Changes in Internal Control Over Financial Reporting

There were no changes in the Trust’s internal control over financial reporting for the quarter ended September 30, 2017.

Scope of Exhibit 31 Certifications

The certification of the Chief Executive Officer and the Principal Financial Officer of the Managing Owner included as Exhibit 31.1 to this Form 10-Q applies not only to the Trust as a whole but also to each Series individually.

PART II. OTHER INFORMATION

ITEM 1. LEGAL PROCEEDINGS.

There are no material legal proceedings pending against the Trust, or any of the Series.

ITEM 1A. RISK FACTORS.

The sections each entitled “Risk Factors” in the Prospectuses filed pursuant to Rule 424(b)(3) (File Nos. 333-210313 and 333-155800) are incorporated by reference into this section.

ITEM 2. UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS.

The following table provides information regarding the sale of unregistered Units by the Trust for the three months ended September 30, 2017. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was NAV per Unit at the time of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission was paid or received with respect to any of the transactions reported below. The Trust claims an exemption from registration of each of the transactions listed below under Section 4(a)(2) of the Securities Act of 1933, as amended, as a sale by an issuer not involving a public offering.

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SERIES	DATE	UNITS	CONSIDERATION
NONE

One hundred percent of the offering proceeds from the sale of Units are initially available for the Series’ trading activities.

ITEM 3. DEFAULTS UPON SENIOR SECURITIES.

None

ITEM 4. MINE SAFETY DISCLOSURES.

Not applicable.

ITEM 5. OTHER INFORMATION.

None

ITEM 6. EXHIBITS.

Exhibits (numbered in accordance with Item 601 of Regulation S-K)

31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
32.1	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.2	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.3	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.4	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.5	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.6	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.7	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
32.8	Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
101	Financials in XBRL format

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934,as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Funds
	(Registrant)
Date: November 14, 2017	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman of Frontier Fund Management LLC, the
		Managing Owner of Frontier Funds

131

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Balanced Fund,
	a Series of Frontier Funds
	(Registrant)
Date: November 14, 2017	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman of Frontier Fund Management LLC, the
		Managing Owner of Frontier Funds

132

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Heritage Fund,
	a Series of Frontier Funds
	(Registrant)
Date: November 14, 2017	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman of Frontier Fund Management LLC, the
		Managing Owner of Frontier Funds

133

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Winton Fund,
	a Series of Frontier Funds
	(Registrant)
Date: November 14, 2017	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman of Frontier Fund Management LLC, the
		Managing Owner of Frontier Funds

134

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Select Fund,
	a Series of Frontier Funds
	(Registrant)
Date: November 14, 2017	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman of Frontier Fund Management LLC, the
		Managing Owner of Frontier Funds

135

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Long/Short Commodity Fund,
	a Series of Frontier Funds
	(Registrant)
Date: November 14, 2017	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman of Frontier Fund Management LLC, the
		Managing Owner of Frontier Funds

136

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Diversified Fund,
	a Series of Frontier Funds
	(Registrant)
Date: November 14, 2017	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

137

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

	Frontier Masters Fund,
	a Series of Frontier Funds
	(Registrant)
Date: November 14, 2017	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

138