Frontier Funds 10-Q 2018 Q2 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 June 30, 2018

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	(IRS Employer
Organization)	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

	Item 1.	Series Financial Statements
		Statements of Financial Condition as of June 30, 2018 (Unaudited) and December 31, 2017	5
		Condensed Schedules of Investments as of June 30, 2018 (Unaudited) and December 31, 2017	8
		Statements of Operations for the three and six months ended June 30, 2018 and 2017 (Unaudited)	14
		Statements of Changes in Owners’ Capital for the six months ended June 30, 2018 (Unaudited)	20
		Statements of Cash Flows for the six months ended June 30, 2018 and 2017 (Unaudited)	24
		Notes to Financial Statements (Unaudited)	27
		Trust Financial Statements (1)
		Consolidated Statements of Financial Condition as of June 30, 2018 (Unaudited) and December 31, 2017	60
		Consolidated Condensed Schedules of Investments as of June 30, 2018 (Unaudited) and December 31, 2017	61
		Consolidated Statements of Operations for the three and six months ended June 30, 2018 and 2017 (Unaudited)	63
		Consolidated Statement of Changes in Owners’ Capital for the six months ended June 30, 2018 (Unaudited)	65
		Consolidated Statements of Cash Flows for the six months ended June 30, 2018 and 2017 (Unaudited)	66
		Notes to Consolidated Financial Statements (Unaudited)	67
	Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	88
	Item 3.	Quantitative and Qualitative Disclosures About Market Risk	167
	Item 4.	Controls and Procedures	172
PART II – OTHER INFORMATION
	Item 1.	Legal Proceedings	173
	Item 1A.	Risk Factors	173
	Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	173
	Item 3.	Defaults Upon Senior Securities	173
	Item 4.	Mine Safety Disclosures	173
	Item 5.	Other Information	173
	Item 6.	Exhibits	174
SIGNATURES			175

(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 JUNE 30, 2018, 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

June 30, 2018 (unaudited) and December 31, 2017

	Frontier				Frontier				Frontier
	Diversified Fund				Masters Fund				Long/Short Commodity Fund
	6/30/2018		12/31/2017		6/30/2018		12/31/2017		6/30/2018		12/31/2017
ASSETS
Cash and cash equivalents	$	175,643	$	189,890	$	93,070	$	411,695	$	64,571	$	152,200
U.S. Treasury securities, at fair value		1,752,590		767,049		928,660		1,663,014		644,297		614,803
Incentive fees receivable		—		—		—		—		57,082		57,082
Swap contracts, at fair value		5,789,800		6,376,472		—		—		432,925		397,039
Investments in private investment companies, at fair value		11,853,253		14,501,510		5,483,592		8,407,168		2,086,775		3,018,571
Investments in unconsolidated trading companies, at fair value		1,257,449		2,225,210		1,021,552		1,501,142		117,943		121,510
Interest receivable		35,859		15,127		19,001		32,798		13,182		12,125
Other assets		—		—		—		2,973		11,900		5,122
Total Assets	$	20,864,594	$	24,075,258	$	7,545,875	$	12,018,790	$	3,428,675	$	4,378,452
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	—	$	—	$	112,594	$	—	$	10,694	$	—
Incentive fees payable to Managing Owner		—		12,847		—		—		—		—
Management fees payable to Managing Owner		4,148		4,049		9,009		8,949		—		—
Interest payable to Managing Owner		—		—		—		—		184		103
Service fees payable to Managing Owner		2,806		3,614		2,656		3,570		28		172
Trading fees payable to Managing Owner		46,612		61,188		30,951		49,131		6,580		9,125
Advance on unrealized swap appreciation		2,500,000		2,500,000		—		—		115,000		115,000
Other liabilities		2,006		26,873		2,098		—		—		—
Total Liabilities		2,555,572		2,608,571		157,308		61,650		132,486		124,400
CAPITAL				��
Managing Owner - Class 2		3,154		3,361		55,517		87,344		6,465		11,999
Managing Owner - Class 2a		—		—		—		—		25,295		34,112
Managing Owner - Class 3		180,802		213,164		21,609		34,209		—		—
Managing Owner - Class 3a		—		—		—		—		1,545		1,759
Limited Owner - Class 1		1,951,083		2,332,222		2,205,345		2,913,542		—		—
Limited Owner - Class 1a		—		—		—		—		35,941		107,619
Limited Owner - Class 2		8,273,346		9,629,385		1,564,590		3,451,256		145,621		246,901
Limited Owner - Class 2a		—		—		—		—		282,313		408,532
Limited Owner - Class 3		7,900,637		9,288,555		3,541,506		5,470,789		2,102,829		2,472,994
Limited Owner - Class 3a		—		—		—		—		696,180		970,136
Total Owners’ Capital		18,309,022		21,466,687		7,388,567		11,957,140		3,296,189		4,254,052
Non-Controlling Interests		—		—		—		—		—		—
Total Capital		18,309,022		21,466,687		7,388,567		11,957,140		3,296,189		4,254,052
Total Liabilities and Capital	$	20,864,594	$	24,075,258	$	7,545,875	$	12,018,790	$	3,428,675	$	4,378,452
Units Outstanding
Class 1		18,015		20,035		22,203		25,393		N/A		N/A
Class 1a		N/A		N/A		N/A		N/A		508		1,323
Class 2		65,236		71,254		13,921		26,553		1,427		2,236
Class 2a		N/A		N/A		N/A		N/A		3,745		4,730
Class 3		68,432		75,601		32,758		44,254		18,817		20,354
Class 3a		N/A		N/A		N/A		N/A		8,101		9,918
Net Asset Value per Unit
Class 1	$	108.30	$	116.41	$	99.33	$	114.74		N/A		N/A
Class 1a		N/A		N/A		N/A		N/A	$	70.78	$	81.35
Class 2	$	126.87	$	135.19	$	116.38	$	133.27	$	106.52	$	115.81
Class 2a		N/A		N/A		N/A		N/A	$	82.13	$	93.59
Class 3	$	118.09	$	125.68	$	108.77	$	124.40	$	111.75	$	121.50
Class 3a		N/A		N/A		N/A		N/A	$	86.11	$	97.99

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

5

The Series of Frontier Funds

Statements of Financial Condition

June 30, 2018 (unaudited) and December 31, 2017

	Frontier Balanced Fund				Frontier Select Fund
	6/30/2018		12/31/2017		6/30/2018		12/31/2017
ASSETS
Cash and cash equivalents	$	313,542	$	164,332	$	42,141	$	114,973
U.S. Treasury securities, at fair value		3,128,559		663,808		420,486		464,427
Open trade equity, at fair value		116,742		178,552		—		—
Receivable from futures commission merchants		2,360,013		7,458,096		—		—
Swap contracts, at fair value		10,470,609		11,340,959		—		—
Investments in private investment companies, at fair value		25,309,092		30,501,895		3,648,572		5,579,229
Investments in unconsolidated trading companies, at fair value		2,445,919		3,178,176		612,152		670,863
Interest receivable		64,012		13,092		8,603		9,160
Due from Managing Owner		—		184,106		—		—
Total Assets	$	44,208,488	$	53,683,016	$	4,731,954	$	6,838,652
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	55,512	$	76,772	$	—	$	—
Incentive fees payable to Managing Owner		—		40,189		—		—
Management fees payable to Managing Owner		11,594		11,465		—		—
Interest payable to Managing Owner		6,818		2,528		979		1,358
Service fees payable to Managing Owner		64,568		88,149		9,996		14,743
Trading fees payable to Managing Owner		110,648		140,868		9,018		14,898
Risk analysis fees payable		8,688		8,886		—		—
Advance on unrealized swap appreciation		4,926,555		4,926,555		—		—
Other liabilities		184,676		155,425		4,860		5,725
Total Liabilities		5,369,059		5,450,837		24,853		36,724
CAPITAL
Managing Owner - Class 1		—				—
Managing Owner - Class 2		131,083		147,888		47,805		70,295
Managing Owner - Class 2a		263,155		338,655		—		—
Limited Owner - Class 1		31,143,397		38,744,003		4,305,014		5,912,980
Limited Owner - Class 1AP		557,664		601,247		17,614		23,354
Limited Owner - Class 2		5,595,683		6,829,139		336,668		795,299
Limited Owner - Class 2a		118,572		191,276		—		—
Limited Owner - Class 3a		1,029,875		1,379,971		—		—
Total Owners’ Capital		38,839,429		48,232,179		4,707,101		6,801,928
Non-Controlling Interests		—		—		—		—
Total Capital		38,839,429		48,232,179		4,707,101		6,801,928
Total Liabilities and Capital	$	44,208,488	$	53,683,016	$	4,731,954	$	6,838,652
Units Outstanding
Class 1		248,720		284,956		57,593		65,502
Class 1AP		3,964		3,993		210		233
Class 2		30,186		34,386		3,446		6,521
Class 2a		2,323		3,015		N/A		N/A
Class 3a		6,289		7,877		N/A		N/A
Net Asset Value per Unit
Class 1	$	125.21	$	135.96	$	74.75	$	90.27
Class 1AP	$	140.68	$	150.56	$	84.07	$	100.02
Class 2	$	189.72	$	202.90	$	111.56	$	132.73
Class 2a	$	164.33	$	175.77		N/A		N/A
Class 3a	$	163.77	$	175.18		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

June 30, 2018 (unaudited) and December 31, 2017

	Frontier Winton Fund				Frontier Heritage Fund
	6/30/2018		12/31/2017		6/30/2018		12/31/2017
ASSETS
Cash and cash equivalents	$	577,591	$	1,403,125	$	91,814	$	259,161
U.S. Treasury securities, at fair value		5,763,275		5,667,825		916,128		1,046,861
Swap contracts, at fair value		—		—		3,003,834		3,094,367
Investments in private investment companies, at fair value		—		—		2,166,855		2,772,993
Investments in unconsolidated trading companies, at fair value		4,972,156		7,987,575		891,551		1,546,974
Interest receivable		117,920		111,781		18,744		20,647
Receivable from related parties		—		58,146		—		—
Total Assets	$	11,430,942	$	15,228,452	$	7,088,926	$	8,741,003
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	71,202	$	—	$	—	$	—
Management fees payable to Managing Owner		41,441		53,039		9,438		13,471
Interest payable to Managing Owner		11,561		20,992		1,963		2,608
Service fees payable to Managing Owner		21,229		26,714		7,935		11,483
Trading fees payable to Managing Owner		23,650		43,573		10,951		15,703
Due to Managing Owner		—		152,219		—		—
Advance on unrealized swap appreciation		—		—		1,900,000		1,900,000
Other liabilities		58,374		82,265		24,142		16,038
Total Liabilities		227,457		378,802		1,954,429		1,959,303
CAPITAL
Managing Owner - Class 2		114,755		153,552		47,577		63,646
Limited Owner - Class 1		10,409,429		13,102,614		3,951,288		5,435,871
Limited Owner - Class 1AP		35,695		37,761		1,019		6,083
Limited Owner - Class 2		643,606		1,555,723		599,433		697,026
Total Owners’ Capital		11,203,485		14,849,650		4,599,317		6,202,626
Non-Controlling Interests		—		—		535,180		579,074
Total Capital		11,203,485		14,849,650		5,134,497		6,781,700
Total Liabilities and Capital	$	11,430,942	$	15,228,452	$	7,088,926	$	8,741,003
Units Outstanding
Class 1		70,021		82,367		38,481		44,855
Class 1AP		214		214		9		45
Class 2		3,727		7,895		4,187		4,233
Net Asset Value per Unit
Class 1	$	148.66	$	159.08	$	102.68	$	121.19
Class 1AP	$	167.19	$	176.44	$	115.46	$	134.28
Class 2	$	203.47	$	216.50	$	154.54	$	179.70

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

7

The Series of Frontier Funds

Condensed Schedule of Investments

June 30, 2018 (unaudited)

			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.)	$	5,789,800		31.62	%	$	—		—		$	—		—
		Frontier XXXVII L/S select swap (U.S.)		—		—			—		—			432,925		13.13	%
		Total Swaps	$	5,789,800		31.62	%	$	—		—		$	432,925		13.13	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	1,439,993		7.86	%	$	1,449,503		19.62	%	$	522,334		15.85	%
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		1,257,708		6.87	%		—		—			—		—
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		1,717,944		9.38	%		—		—			—		—
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,540,487		8.41	%		—		—			—		—
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		1,965,538		10.74	%		—		—			—		—
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		376,799		2.06	%		—		—			—		—
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		396,085		2.16	%		—		—			—		—
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		3,067,825		16.76	%		2,551,321		34.53	%		917,214		27.83	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		—		0.00	%		1,482,768		20.07	%		—		—
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		90,874		0.50	%		—		—			647,227		19.64	%
		Total Private Investment Companies	$	11,853,253		64.74	%	$	5,483,592		74.22	%	$	2,086,775		63.31	%
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	320,823		1.75	%	$	169,997		2.30	%	$	117,943		3.58	%
		Frontier Trading Company II, LLC		936,626		5.12	%		851,555		11.53	%		—		—
		Total Investment in Unconsolidated Trading Companies	$	1,257,449		6.87	%	$	1,021,552		13.83	%	$	117,943		3.58	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value					Fair Value					Fair Value
$	10,737,000	US Treasury Note 6.875% due 08/15/2025 (Cost $13,711,448)	$	1,752,590		9.57	%	$	928,660		12.57	%	$	644,297		19.55	%
			$	1,752,590		9.57	%	$	928,660		12.57	%	$	644,297		19.55	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	1,388,341				$	735,652				$	510,390
			$	1,388,341				$	735,652				$	510,390
Additional Disclosure on U.S. Treasury Securities			Cost					Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	1,772,950				$	939,448				$	651,782
			$	1,772,950				$	939,448				$	651,782

(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

June 30, 2018 (unaudited)

			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.)	$	(24,913	)		-0.06	%	$	—		0.00	%
		Various energy futures contracts (U.S.)		16,266			0.04	%		—		0.00	%
		Various interest rates futures contracts (Canada)		(6,685	)		-0.02	%		—		0.00	%
		Various interest rates futures contracts (Europe)		96,445			0.25	%		—		0.00	%
		Various interest rates futures contracts (Far East)		9,212			0.02	%		—		0.00	%
		Various interest rates futures contracts (Oceanic)		75			0.00	%		—		0.00	%
		Various soft futures contracts (U.S.)		(4,575	)		-0.01	%		—		0.00	%
		Various stock index futures contracts (Canada)		514			0.00	%		—		0.00	%
		Various stock index futures contracts (Oceanic)		3,843			0.01	%		—		0.00	%
		Various agriculture futures contracts (Europe)		(58	)		0.00	%		—		0.00	%
		Total Long Futures Contracts	$	90,124			0.24	%	$	—		0.00	%
SHORT FUTURES CONTRACTS*
		Various agriculture futures contracts (U.S.)	$	9,375			0.02	%	$	—		—
		Various base metals futures contracts (U.S.)		15,975			0.04	%		—		0.00	%
		Various interest rates futures contracts (Oceanic)		(4,348	)		-0.01	%		—		0.00	%
		Various precious metal futures contracts (U.S.)		14,095			0.04	%		—		0.00	%
		Various soft futures contracts (Far East)		15,131			0.04	%		—		0.00	%
		Various soft futures contracts (U.S.)		(160	)		0.00	%		—		0.00	%
		Various stock index futures contracts (Africa)		(12,359	)		-0.03	%		—		0.00	%
		Total Short Futures Contracts	$	37,709			0.09	%	$	—		0.00	%
CURRENCY FORWARDS*
		Various currency forwards contracts (NA)	$	(11,091	)		-0.03	%	$	—		0.00	%
		Total Currency Forwards	$	(11,091	)		-0.03	%	$	—		0.00	%
		Total Open Trade Equity (Deficit)	$	116,742			0.30	%	$	—		0.00	%
SWAP (1)
		Frontier XXXIV Balanced select swap (U.S.)	$	10,470,609			26.96	%	$	—		—
		Total Swap	$	10,470,609			26.96	%	$	—		—
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	3,161,396			8.14	%	$	—		—
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,189,194			3.06	%		—		—
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		2,264,802			5.83	%		—		—
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		3,781,763			9.74	%		—		—
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		3,340,414			8.60	%		—		—
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		4,326,430			11.14	%		—		—
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		218,329			0.56	%		—		—
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		6,649,656			17.12	%		2,166,856		46.03	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		—			0.00	%		1,481,716		31.48	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		377,108			0.97	%		—		—
		Total Private Investment Companies	$	25,309,092			65.16	%	$	3,648,572		77.51	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company II, LLC	$	1,873,215			4.82	%	$	—		—
		Frontier Trading Company XXXVIII, LLC		572,704			1.47	%		76,973		1.64	%
		Frontier Trading Company XXXIX, LLC		—			—			535,179		11.37	%
		Total Investment in Unconsolidated Trading Companies	$	2,445,919			6.30	%	$	612,152		13.00	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value						Fair Value
$	10,737,000	US Treasury Note 6.875% due 08/15/2025 (Cost $13,711,448)		3,128,559			8.06	%		420,486		8.93	%
			$	3,128,559			8.06	%	$	420,486		8.93	%
Additional Disclosure on U.S. Treasury Securities			Face Value						Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	2,478,334					$	333,094
			$	2,478,334					$	333,094
Additional Disclosure on U.S. Treasury Securities			Cost						Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	3,164,902					$	425,371
			$	3,164,902					$	425,371

* 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

June 30, 2018 (unaudited)

			Frontier					Frontier
			Winton Fund					Heritage Fund
			Fair		% of Total Capital			Fair		% of Total Capital
Description			Value		(Net Asset Value)			Value		(Net Asset Value)
SWAP (1)
		Frontier Brevan Howard swap (U.S.)	$	—		—		$	3,003,834		58.50	%
		Total Swap	$	—		—		$	3,003,834		58.50	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	$	—		—		$	2,166,855		42.20	%
		Total Private Investment Companies	$	—		—		$	2,166,855		42.20	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company II, LLC	$	3,917,150		34.96	%	$	723,848		14.10	%
		Frontier Trading Company XXXVIII, LLC		1,055,006		9.42	%		167,703		3.27	%
		Total Investment in Unconsolidated Trading Companies	$	4,972,156		44.38	%	$	891,551		17.36	%
U.S. TREASURY SECURITIES (2)
FACE VALUE			Fair Value					Fair Value
$	10,737,000	US Treasury Note 6.875% due 08/15/2025 (Cost $13,711,448)	$	5,763,275		51.44	%	$	916,128		17.84	%
			$	5,763,275		51.44	%	$	916,128		17.84	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	4,565,464				$	725,725
			$	4,565,464				$	725,725
Additional Disclosure on U.S. Treasury Securities			Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	5,830,225				$	926,771
			$	5,830,225				$	926,771

* 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, 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.)	$	6,376,472		29.70	%	$	—		—		$	—		—
		Frontier XXXVII L/S select swap (U.S.)		—		—			—		—			397,039		9.33	%
		Total Swaps	$	6,376,472		29.70	%	$	—		—		$	397,039		9.33	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Chesapeake Feeder Fund (518)	$	484,742		2.26	%	$	967,528		8.09	%	$	322,105		7.57	%
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		1,447,461		6.74	%		1,588,149		13.28	%		576,154		13.54	%
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		1,253,230		5.84	%		—		—			—		—
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		1,713,788		7.98	%		—		—			—		—
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		2,203,960		10.27	%		—		—			—		—
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		2,067,025		9.63	%		—		—			—		—
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		379,664		1.77	%		—		—			—		—
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		479,522		2.23	%		—		—			—		—
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		4,343,060		20.23	%		3,203,382		26.79	%		1,024,222		24.08	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		—		0.00	%		2,648,109		22.15	%		—		—
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		129,058		0.60	%		—		—			1,096,090		25.77	%
		Total Private Investment Companies	$	14,501,510		67.54	%	$	8,407,168		70.31	%	$	3,018,571		70.96	%
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)
		Frontier Trading Company XXXVIII, LLC	$	151,600		0.71	%	$	328,679		2.75	%	$	121,510		2.86	%
		Frontier Trading Company II, LLC		2,073,610		9.66	%		1,172,463		9.81	%		—		—
		Total Investment in Unconsolidated Trading Companies	$	2,225,210		10.37	%	$	1,501,142		12.55	%	$	121,510		2.86	%
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)	$	767,049		3.57	%	$	1,663,014		13.91	%	$	614,803		14.45	%
			$	767,049		3.57	%	$	1,663,014		13.91	%	$	614,803		14.45	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	582,555				$	1,263,017				$	466,927
			$	582,555				$	1,263,017				$	466,927
Additional Disclosure on U.S. Treasury Securities			Cost					Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	774,221				$	1,678,562				$	620,551
			$	774,221				$	1,678,562				$	620,551

(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.

11

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 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.)	$	61,371			0.13	%	$	—		0.00	%
		Various energy futures contracts (U.S.)		96,294			0.20	%		—		0.00	%
		Various interest rates futures contracts (Europe)		3,733			0.01	%		—		0.00	%
		Various interest rates futures contracts (Far East)		(1,776	)		0.00	%		—		0.00	%
		Various interest rates futures contracts (Oceanic)		(15,653	)		-0.03	%		—		0.00	%
		Various soft futures contract (U.S.)		31,613			0.07	%		—		0.00	%
		Various stock index futures contracts (Canada)		4,274			0.01	%		—		0.00	%
		Various stock index futures contracts (Europe)		(237	)		0.00	%		—		0.00	%
		Various stock index futures contracts (Far East)		5,757			0.01	%		—		0.00	%
		Various stock index futures contracts (Oceanic)		(1,525	)		0.00	%		—		0.00	%
		Various stock index futures contracts (U.S.)		604			0.00	%		—		0.00	%
		Total Long Futures Contracts	$	184,455			0.39	%	$	—		0.00	%
SHORT FUTURES CONTRACTS*
		Various base metals futures contracts (U.S.)	$	(66,901	)		-0.14	%	$	—		—
		Various currency futures contracts (U.S.)		40,897			0.08	%		—		0.00	%
		Various energy futures contracts (U.S.)		(28,561	)		-0.06	%		—		0.00	%
		Various interest rates futures contracts (Canada)		(5,167	)		-0.01	%		—		0.00	%
		Various interest rates futures contracts (Oceanic)		1,509			0.00	%		—		0.00	%
		Various precious metal futures contracts (U.S.)		(12,435	)		-0.03	%		—		0.00	%
		Various soft futures contract (U.S.)		18,277			0.04	%		—		0.00	%
		Various soft futures contracts (Europe)		12,909			0.03	%		—		0.00	%
		Total Short Futures Contracts	$	(39,472	)		-0.09	%	$	—		0.00	%
CURRENCY FORWARDS*
		Various currency forwards contracts (NA)	$	33,569			0.07	%	$	—		0.00	%
		Total Currency Forwards	$	33,569			0.07	%	$	—		0.00	%
		Total Open Trade Equity (Deficit)	$	178,552			0.37	%	$	—		0.00	%
SWAP (1)
		Frontier XXXIV Balanced select swap (U.S.)	$	11,340,959			23.51	%	$	—		—
		Total Swap	$	11,340,959			23.51	%	$	—		—
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC	$	2,896,099			6.00	%	$	—		—
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,439,828			2.99	%		—		—
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		2,506,740			5.20	%		—		—
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		5,809,539			12.04	%		—		—
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		4,403,708			9.13	%		—		—
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		4,137,638			8.58	%		—		—
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		258,329			0.54	%		—		—
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		8,670,031			17.98	%		3,032,072		44.58	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		—			0.00	%		2,547,157		37.45	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		379,983			0.79	%		—		—
		Total Private Investment Companies	$	30,501,895			63.23	%	$	5,579,229		82.02	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company II, LLC	$	3,046,981			6.32	%	$	—		—
		Frontier Trading Company XXXVIII, LLC		131,195			0.27	%		91,790		1.35	%
		Frontier Trading Company XXXIX, LLC		—			—			579,073		8.51	%
		Total Investment in Unconsolidated Trading Companies	$	3,178,176			6.60	%	$	670,863		9.87	%
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)	$	663,808			1.38	%	$	464,427		6.83	%
			$	663,808			1.38	%	$	464,427		6.83	%
Additional Disclosure on U.S. Treasury Securities			Face Value						Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	504,145					$	352,721
			$	504,145					$	352,721
Additional Disclosure on U.S. Treasury Securities			Cost						Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	670,014					$	468,769
			$	670,014					$	468,769

* 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.

12

The Series of Frontier Funds

Condensed Schedule of Investments

December 31, 2017

			Frontier					Frontier
			Winton Fund					Heritage Fund
			Fair		% of Total Capital			Fair		% of Total Capital
Description			Value		(Net Asset Value)			Value		(Net Asset Value)
SWAP (1)
		Frontier Brevan Howard swap (U.S.)	$	—		—		$	3,094,367		45.63	%
		Total Swap	$	—		—		$	3,094,367		45.63	%
PRIVATE INVESTMENT COMPANIES (3)
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	$	—		—		$	2,772,993		40.89	%
		Total Private Investment Companies	$	—		—		$	2,772,993		40.89	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (3)
		Frontier Trading Company II, LLC	$	6,867,383		46.25	%	$	1,340,071		19.76	%
		Frontier Trading Company XXXVIII, LLC		1,120,192		7.54	%		206,903		3.05	%
		Total Investment in Unconsolidated Trading Companies	$	7,987,575		53.79	%	$	1,546,974		22.81	%
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)	$	5,667,825		38.17	%	$	1,046,861		15.44	%
			$	5,667,825		38.17	%	$	1,046,861		15.44	%
Additional Disclosure on U.S. Treasury Securities			Face Value					Face Value
		US Treasury Note 6.875% due 08/15/2025 (2)	$	4,304,570				$	795,065
			$	4,304,570				$	795,065
Additional Disclosure on U.S. Treasury Securities			Cost					Cost
		US Treasury Note 6.875% due 08/15/2025 (2)	$	5,720,817				$	1,056,649
			$	5,720,817				$	1,056,649

* 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.

13

The Series of Frontier Funds

Statements of Operations

For the Three Months Ended June 30, 2018 and 2017

(Unaudited)

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017			6/30/2018			6/30/2017
Investment income:
Interest - net	$	10,421		$	24,134		$	8,315		$	19,322		$	3,424		$	—
Total Income		10,421			24,134			8,315			19,322			3,424			—
Expenses:
Incentive Fees (rebate)		—			—			—			—			—			(87,670	)
Management Fees		13,229			27,784			28,862			58,094			—			—
Service Fees - Class 1		14,689			41,352			12,929			24,160			407			3,510
Trading Fees		143,613			466,107			105,998			186,409			21,519			66,308
Other Fees		—			1,767			—			1,792			—			24,976
Total Expenses		171,531			537,010			147,789			270,455			21,926			7,124
Investment (loss) - net		(161,110	)		(512,876	)		(139,474	)		(251,133	)		(18,502	)		(7,124	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			—			—			—			—			—
Net unrealized gain/(loss) on private investment companies		420,646			(1,426,002	)		131,970			(995,649	)		(79,201	)		(543,417	)
Net realized gain/(loss) on private investment companies		(87,670	)		612,995			(74,025	)		146,972			(70,602	)		(188,508	)
Net change in open trade equity/(deficit)		—			—			—			—			—			—
Net unrealized gain/(loss) on swap contracts		61,335			300,207			—			—			(49,384	)		(72,417	)
Net realized gain/(loss) on U.S. Treasury securities		(12,780	)		(179,129	)		(10,945	)		(177,553	)		(4,915	)		227,895
Net unrealized gain/(loss) on U.S. Treasury securities		2,073			361,275			(488	)		207,418			1,444			(211,120	)
Trading commissions		—			—			—			—			—			—
Change in fair value of investments in unconsolidated trading companies		154,045			(333,713	)		156,021			(316,233	)		(1,870	)		48,430
Net gain/(loss) on investments		537,649			(664,367	)		202,533			(1,135,045	)		(204,528	)		(739,137	)
NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS		376,539			(1,177,243	)		63,059			(1,386,178	)		(223,030	)		(746,261	)
Less: Operations attributable to non-controlling interests		—						—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	376,539		$	(1,177,243	)	$	63,059		$	(1,386,178	)	$	(223,030	)	$	(746,261	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	1.77		$	(7.58	)	$	1.03		$	(10.71	)		N/A			N/A
Class 1a		N/A			N/A			N/A			N/A		$	(7.08	)	$	(11.37	)
Class 2	$	2.61		$	(8.12	)	$	1.71		$	(11.75	)	$	(5.91	)	$	(16.82	)
Class 2a		N/A			N/A			N/A			N/A		$	(7.82	)	$	(14.09	)
Class 3	$	2.50		$	(7.46	)	$	1.67		$	(10.88	)	$	(6.21	)	$	(12.81	)
Class 3a		N/A			N/A			N/A			N/A		$	(8.13	)	$	(12.22	)

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 June 30, 2018 and 2017

(Unaudited)

	Frontier Balanced Fund						Frontier Select Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017
Investment income:
Interest - net	$	8,428		$	—		$	—		$	—
Total Income/(loss)		8,428			—			—			—
Expenses:
Management Fees		22,566			38,058			—			26,454
Risk analysis Fees		1,692			3,133			—			—
Service Fees - Class 1		237,810			384,415			33,273			60,437
Trading Fees		344,769			623,456			28,109			49,223
Other Fees		—			190,804			—			(5,094	)
Total Expenses		606,837			1,239,866			61,382			131,020
Investment (loss) - net		(598,409	)		(1,239,866	)		(61,382	)		(131,020	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(257,661	)		(275,058	)		—			(868,397	)
Net unrealized gain/(loss) on private investment companies		858,677			(3,856,566	)		57,428			(533,227	)
Net realized gain/(loss) on private investment companies		(60,632	)		2,144,217			(78,570	)		2,005
Net change in open trade equity/(deficit)		(187,927	)		(250,095	)		—			125,890
Net unrealized gain/(loss) on swap contracts		129,808			513,480			—			—
Net realized gain/(loss) on U.S. Treasury securities		(21,050	)		(81,588	)		(4,883	)		(106,707	)
Net unrealized gain/(loss) on U.S. Treasury securities		3,423			295,244			308			122,974
Trading commissions		(21,312	)		(19,488	)		—			(13,061	)
Change in fair value of investments in unconsolidated trading companies		296,049			(451,945	)		(42,595	)		(116,886	)
Net gain/(loss) on investments		739,375			(1,981,799	)		(68,312	)		(1,387,409	)
NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS		140,966			(3,221,665	)		(129,694	)		(1,518,429	)
Less: Operations attributable to non-controlling interests		—						—			(358,900	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	140,966		$	(3,221,665	)	$	(129,694	)	$	(1,159,529	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	0.28		$	(7.97	)	$	(1.72	)	$	(11.09	)
Class 1AP	$	1.36		$	(7.58	)	$	(1.29	)	$	(11.37	)
Class 2	$	1.83		$	(10.19	)	$	(1.72	)	$	(15.09	)
Class 2a	$	1.65		$	(8.40	)		N/A			N/A
Class 3a	$	1.65		$	(8.37	)		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 June 30, 2018 and 2017

(Unaudited)

	Frontier Winton Fund						Frontier Heritage Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017
Investment income:
Interest - net	$	—					$	—
Total Income		—			—			—			—
Expenses:
Management Fees		131,682			227,131			33,893			58,866
Risk analysis Fees		—			35,345			—			—
Service Fees - Class 1		80,907			126,462			31,302			48,692
Trading Fees		80,703			154,026			36,855			49,583
Other		—			7,074			—			1,732
Total Expenses		293,292			550,038			102,050			158,873
Investment (loss) - net		(293,292	)		(550,038	)		(102,050	)		(158,873	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			(977,909	)		—			—
Net unrealized gain/(loss) on private investment companies		—			—			22,440			—
Net realized gain/(loss) on private investment companies		—			—			(83,005	)		—
Net change in open trade equity/(deficit)		—			(1,008,635	)		—			—
Net unrealized gain/(loss) on swap contracts		—			—			(85,737	)		(213,455	)
Net realized gain/(loss) on U.S. Treasury securities		(50,169	)		(744,367	)		(8,100	)		(133,041	)
Net unrealized gain/(loss) on U.S. Treasury securities		25,139			771,879			2,732			196,614
Trading commissions		—			(11,828	)		—			—
Change in fair value of investments in unconsolidated trading companies		646,257			(21,961	)		125,470			(229,768	)
Net gain/(loss) on investments		621,227			(1,992,821	)		(26,200	)		(379,650	)
NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS		327,935			(2,542,859	)		(128,250	)		(538,523	)
Less: Operations attributable to non-controlling interests		—			(962,079	)		(41,569	)		(103,491	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	327,935		$	(1,580,780	)	$	(86,681	)	$	(435,032	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	4.06		$	(8.84	)	$	(1.82	)	$	(6.24	)
Class 1AP	$	5.58		$	(8.00	)	$	(1.18	)	$	(6.70	)
Class 2	$	6.62		$	(10.64	)	$	(1.57	)	$	(7.84	)

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

16

The Series of Frontier Funds

Statements of Operations

For the Six Months Ended June 30, 2018 and 2017

(Unaudited)

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017			6/30/2018			6/30/2017
Investment income:
Interest - net	$	18,038		$	97,397		$	16,734		$	59,417		$	7,459		$	—
Total Income		18,038			97,397			16,734			59,417			7,459			—
Expenses:
Incentive Fees (rebate)		1,881			(63,508	)		—			—			—			(87,670	)
Management Fees		24,792			55,742			61,211			123,905			—			—
Service Fees - Class 1		30,804			86,185			27,898			52,934			1,064			10,971
Trading Fees		308,763			932,781			240,046			376,584			46,212			143,093
Other Fees		—			1,766			—			1,792			—			24,976
Total Expenses		366,240			1,012,966			329,155			555,215			47,276			91,370
Investment (loss) - net		(348,202	)		(915,569	)		(312,421	)		(495,798	)		(39,817	)		(91,370	)
Realized and unrealized gain/(loss) on investments:
Net unrealized gain/(loss) on private investment companies		(1,526,351	)		374,758			(1,210,157	)		(692,671	)		(164,066	)		(331,883	)
Net realized gain/(loss) on private investment companies		71,595			1,092,088			84,407			277,678			(152,040	)		(26,997	)
Net unrealized gain/(loss) on swap contracts		513,328			2,355			—			—			35,886			(10,429	)
Net realized gain/(loss) on U.S. Treasury securities		(36,355	)		(354,609	)		(40,171	)		(286,742	)		(29,901	)		227,895
Net unrealized gain/(loss) on U.S. Treasury securities		(3,864	)		572,567			(17,059	)		334,153			4,012			(211,120	)
Change in fair value of investments in unconsolidated trading companies		4,402			(344,004	)		(77,334	)		(398,042	)		(1,812	)		48,430
Net gain/(loss) on investments		(977,245	)		1,343,155			(1,260,314	)		(765,624	)		(307,921	)		(304,104	)
NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS		(1,325,447	)		427,586			(1,572,735	)		(1,261,422	)		(347,738	)		(395,474	)
Less: Operations attributable to non-controlling interests		—						—			—			—			—
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,325,447	)	$	427,586		$	(1,572,735	)	$	(1,261,422	)	$	(347,738	)	$	(395,474	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(8.11	)	$	(4.70	)	$	(15.41	)	$	(10.41	)		N/A			N/A
Class 1a		N/A			N/A			N/A			N/A		$	(10.57	)	$	(9.15	)
Class 2	$	(8.32	)	$	(4.32	)	$	(16.89	)	$	(10.88	)	$	(9.29	)	$	(13.21	)
Class 2a		N/A			N/A			N/A			N/A		$	(11.46	)	$	(10.28	)
Class 3	$	(7.59	)	$	(3.85	)	$	(15.63	)	$	(9.99	)	$	(9.74	)	$	(8.74	)
Class 3a		N/A			N/A			N/A			N/A		$	(11.88	)	$	(7.73	)

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

17

The Series of the Frontier Funds

Statements of Operations

For the Six Months Ended June 30, 2018 and 2017

(Unaudited)

	Frontier Balanced Fund						Frontier Select Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017
Investment income:
Interest - net	$	24,944		$	1,161		$	—		$	—
Total Income/(loss)		24,944			1,161			—			—
Expenses:
Incentive Fees (rebate)		145,134			—			—			—
Management Fees		42,902			76,537			—			82,629
Risk analysis Fees		3,529			7,557			—			6,829
Service Fees - Class 1		500,791			783,275			72,962			129,768
Trading Fees		728,945			1,163,171			65,703			98,267
Other Fees		—			190,804			—			(5,094	)
Total Expenses		1,421,301			2,221,344			138,665			312,399
Investment (loss) - net		(1,396,357	)		(2,220,183	)		(138,665	)		(312,399	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(283,336	)		(651,169	)		—			(695,436	)
Net unrealized gain/(loss) on private investment companies		(3,149,240	)		(1,191,236	)		(961,333	)		(533,227	)
Net realized gain/(loss) on private investment companies		236,606			3,265,069			59,566			2,005
Net change in open trade equity/(deficit)		(77,662	)		(319,198	)		—			(145,848	)
Net unrealized gain/(loss) on swap contracts		1,129,650			63,916			—			—
Net realized gain/(loss) on U.S. Treasury securities		(44,907	)		(228,904	)		(12,538	)		(170,783	)
Net unrealized gain/(loss) on U.S. Treasury securities		(6,540	)		487,069			(11,835	)		200,751
Trading commissions		(28,937	)		(43,253	)		—			(46,591	)
Change in fair value of investments in unconsolidated trading companies		56,484			(437,301	)		(37,017	)		(364,645	)
Net gain/(loss) on investments		(2,167,882	)		944,993			(963,157	)		(1,753,774	)
NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS		(3,564,239	)		(1,275,190	)		(1,101,822	)		(2,066,173	)
Less: Operations attributable to non-controlling interests		—						—			(413,210	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(3,564,239	)	$	(1,275,190	)	$	(1,101,822	)	$	(1,652,963	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(10.75	)	$	(4.96	)	$	(15.52	)	$	(15.27	)
Class 1AP	$	(9.88	)	$	(3.26	)	$	(15.95	)	$	(15.26	)
Class 2	$	(13.18	)	$	(4.37	)	$	(21.17	)	$	(20.14	)
Class 2a	$	(11.44	)	$	(3.28	)		N/A			N/A
Class 3a	$	(11.42	)	$	(3.27	)		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 Six Months Ended June 30, 2018 and 2017

(Unaudited)

	Frontier Winton Fund						Frontier Heritage Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017
Investment income:
Interest - net	$	—						—
Total Income		—			—			—			—
Expenses:
Incentive Fees (rebate)		—			(49,790	)		1,394			(4,603	)
Management Fees		262,342			489,086			69,874			117,858
Risk analysis Fees		—			70,773			—			—
Service Fees - Class 1		175,167			269,091			68,410			100,787
Trading Fees		163,278			303,364			79,147			109,257
Other		—			7,074			—			1,732
Total Expenses		600,787			1,089,598			218,825			325,031
Investment (loss) - net		(600,787	)		(1,089,598	)		(218,825	)		(325,031	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		—			1,329,426			—			—
Net unrealized gain/(loss) on private investment companies		—			—			(519,737	)		—
Net realized gain/(loss) on private investment companies		—			—			(81,298	)		—
Net change in open trade equity/(deficit)		—			(2,405,781	)		—			—
Net unrealized gain/(loss) on swap contracts		—			—			(90,533	)		(624,727	)
Net realized gain/(loss) on U.S. Treasury securities		(205,194	)		(1,104,301	)		(32,599	)		(211,694	)
Net unrealized gain/(loss) on U.S. Treasury securities		52,629			1,206,428			3,677			291,090
Trading commissions		—			(28,565	)		—			—
Change in fair value of investments in unconsolidated trading companies		(252,761	)		(303,217	)		1,968			(207,721	)
Net gain/(loss) on investments		(405,326	)		(1,306,010	)		(718,522	)		(753,052	)
NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS		(1,006,113	)		(2,395,608	)		(937,347	)		(1,078,083	)
Less: Operations attributable to non-controlling interests		—			(566,541	)		(43,895	)		(302,891	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(1,006,113	)	$	(1,829,067	)	$	(893,452	)	$	(775,192	)
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(10.42	)	$	(10.42	)	$	(18.52	)	$	(10.60	)
Class 1AP	$	(9.25	)	$	(8.91	)	$	(18.82	)	$	(9.66	)
Class 2	$	(13.03	)	$	(11.32	)	$	(25.16	)	$	(12.92	)

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 Six Months Ended June 30, 2018 (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, 2017		—		2,332,222			3,361			9,629,385			213,164				9,288,555			—		21,466,687			2,913,542			87,344			3,451,256			34,209			5,470,789			—		11,957,140
Sale of Units		—		—			—			—			—				—			—		—			—			—			—			—			—			—		—
Redemption of Units		—		(213,456	)		—			(776,442	)		(19,000	)			(823,320	)		—		(1,832,218	)		(243,084	)		(20,000	)		(1,397,097	)		(8,000	)		(1,327,657	)		—		(2,995,838	)
Transfer of Units In(Out)		—		—			—			—			—				—			—		—			(80,257	)		—			—			—			80,257			—		—
Capital resulting from operations attributable to controlling interests		—		(167,683	)		(207	)		(579,597	)		(13,362	)			(564,598	)		—		(1,325,447	)		(384,856	)		(11,827	)		(489,569	)		(4,600	)		(681,883	)		—		(1,572,735	)
Owners’ Capital, June 30, 2018	$	—	$	1,951,083		$	3,154		$	8,273,346		$	180,802			$	7,900,637		$	—	$	18,309,022		$	2,205,345		$	55,517		$	1,564,590		$	21,609		$	3,541,506		$	—	$	7,388,567
Owners’ Capital - Units, December 31, 2017		—		20,035			25			71,229			1,696				73,905								25,393			655			25,898			275			43,979
Sale of Units (including transfers)		—		—			—			—			—				—								—			—			—			—			—
Redemption of Units (including transfers)		—		(2,019	)		—			(6,018	)		(165	)			(7,004	)							(3,189	)		(178	)		(12,453	)		(76	)		(11,420	)
Owners’ Capital - Units, June 30, 2018		—		18,016			25			65,211			1,531				66,901								22,204			477			13,445			199			32,559
															��
										(1	)						(1	)													(1	)					(1	)
Net asset value per unit at December 31, 2017				116.41						135.19							125.68							$	114.74					$	133.27					$	124.40
Change in net asset value per unit for the Six months ended June 30, 2018				(8.11	)					(8.32	)						(7.59	)							(15.41	)					(16.89	)					(15.63	)
Net asset value per unit at June 30, 2018			$	108.30					$	126.87						$	118.09							$	99.33					$	116.38					$	108.77

(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 Six Months Ended June 30, 2018 (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, 2017		11,999			246,901			2,472,994			107,619			34,112			408,532			1,759			970,136			—		4,254,052
Sale of Units		—			—			—			—			—			—			—			—			—		—
Redemption of Units		(4,500	)		(89,281	)		(182,236	)		(69,082	)		(4,501	)		(85,871	)		—			(174,654	)		—		(610,125	)
Transfer of Units In(Out)		—			—			—			—			—			—			—			—			—		—
Capital resulting from operations attributable to controlling interests		(1,034	)		(11,999	)		(187,929	)		(2,596	)		(4,316	)		(40,348	)		(214	)		(99,302	)		—		(347,738	)
Owners’ Capital, June 30, 2018	$	6,465		$	145,621		$	2,102,829		$	35,941		$	25,295		$	282,313		$	1,545		$	696,180		$	—	$	3,296,189
Owners’ Capital - Units, December 31, 2017		104			2,131			20,355			1,323			364			4,366			18			9,900
Sale of Units (including transfers)		—			—			—			—			—			—			—			—
Redemption of Units (including transfers)		(43	)		(765	)		(1,538	)		(815	)		(57	)		(928	)		—			(1,817	)
Owners’ Capital - Units, June 30, 2018		61			1,366			18,817			508			307			3,438			18			8,083
					(1	)											(1	)					(1	)
Net asset value per unit at December 31, 2017					115.81			121.50			81.35						93.59						97.99
Change in net asset value per unit for the Six months ended June 30, 2018					(9.29	)		(9.74	)		(10.57	)					(11.46	)					(11.88	)
Net asset value per unit at June 30, 2018				$	106.52		$	111.75		$	70.78					$	82.13					$	86.11

(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 Six Months Ended June 30, 2018 (unaudited)

	Frontier Balanced Fund
	Class 1			Class 1AP			Class 2						Class 2a						Class 3a
							Managing						Managing			Limited						Non-Controlling
	Limited Owners			Limited Owners			Owner			Limited Owners			Owner			Owners			Limited Owners			Interests		Total
Owners’ Capital, December 31, 2017		38,744,003			601,247			147,888			6,829,139			338,655			191,276			1,379,971			—		48,232,179
Sale of Units (including transfers)		—			—			—			—			—			—			—			—		—
Redemption of Units (including transfers)		(4,685,378	)		(4,344	)		(7,000	)		(793,571	)		(10,000	)		(65,968	)		(262,250	)		—		(5,828,511	)
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(2,915,228	)		(39,239	)		(9,805	)		(439,885	)		(65,500	)		(6,736	)		(87,846	)		—		(3,564,239	)
Owners’ Capital, June 30, 2018	$	31,143,397		$	557,664		$	131,083		$	5,595,683		$	263,155		$	118,572		$	1,029,875		$	—	$	38,839,429
Owners’ Capital - Units, December 31, 2017		284,956			3,993			729			33,657			1,926			1,089			7,877
Sale of Units (including transfers)		—			—			—			—			—			—			—
Redemption of Units (including transfers)		(36,236	)		(29	)		(38	)		(4,163	)		(325	)		(367	)		(1,589	)
Owners’ Capital - Units, June 30, 2018		248,720			3,964			691			29,494			1,601			722			6,288
											(1	)					(1	)
Net asset value per unit at December 31, 2017		135.96			150.56						202.90						175.77			175.18
Change in net asset value per unit for the Six months ended June 30, 2018		(10.75	)		(9.88	)					(13.18	)					(11.44	)		(11.42	)
Net asset value per unit at June 30, 2018	$	125.21		$	140.68					$	189.72					$	164.33		$	163.77

(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 Six Months Ended June 30, 2018 (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, 2017		5,912,980			23,354			70,295			795,299			—		6,801,928			13,102,614			37,761			153,552			1,555,723			—		14,849,650		$	5,435,871		$	6,083		$	63,646		$	697,026		$	579,074		$	6,781,700
Sale of Units		—			—			—			—			—		—			—			—			—			—			—		—			—			—			—			—			—			—
Redemption of Units		(651,487	)		(3,144	)		(11,000	)		(327,374	)		—		(993,005	)		(1,767,928	)		—			(29,000	)		(843,124	)		—		(2,640,052	)		(698,774	)		(4,081	)		(7,000	)		—			—			(709,855	)
Operations attributable to non-controlling interests		—			—			—			—			—		—			—			—			—			—			—		—			—			—			—			—			(43,894	)		(43,894	)
Transfer of Units In(Out)		(1,232	)		1,232			—			—			—		—			—			—			—			—					—
Net increase/(decrease) in Owners’
Capital resulting from operations attributable to controlling interests		(955,247	)		(3,828	)		(11,490	)		(131,257	)		—		(1,101,822	)		(925,257	)		(2,066	)		(9,797	)		(68,993	)		—		(1,006,113	)		(785,809	)		(983	)		(9,069	)		(97,593	)		—			(893,454	)
Owners’ Capital, June 30, 2018	$	4,305,014		$	17,614		$	47,805		$	336,668		$	—	$	4,707,101		$	10,409,429		$	35,695			114,755		$	643,606		$	—	$	11,203,485		$	3,951,288		$	1,019		$	47,577		$	599,433		$	535,180		$	5,134,497
Owners’ Capital - Units, December 31, 2017		65,502			234			530			5,992								82,367			214			709			7,186								44,855			45			377			3,856
Sale of Units (including transfers)		—			—			—			—								—			—			—			—								—			—			—			—
Redemption of Units (including transfers)		(7,909	)		(24	)		(101	)		(2,974	)							(12,346	)		—			(145	)		(4,023	)							(6,374	)		(36	)		(46	)		—
Owners’ Capital - Units, June 30, 2018		57,593			210			429			3,018								70,021			214			564			3,163								38,481			9			331			3,856
											(1	)																(1	)																(1	)
Net asset value per unit at December 31, 2017		90.27			100.02						132.73								159.08			176.44						216.50							$	121.19		$	134.28					$	179.70
Change in net asset value per unit for the Six months ended June 30, 2018		(15.52	)		(15.96	)					(21.17	)							(10.42	)		(9.25	)					(13.03	)							(18.52	)		(18.82	)					(25.16	)
																			��
Net asset value per unit at June 30, 2018	$	74.75		$	84.07					$	111.56							$	148.66		$	167.19					$	203.47							$	102.68		$	115.46					$	154.54

(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 Six Months Ended June 30, 2018 and 2017

(Unaudited)

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017			6/30/2018			6/30/2017
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(1,325,447	)	$	427,586		$	(1,572,735	)	$	(1,261,422	)	$	(347,738	)	$	(395,474	)
Adjustments to reconcile net increase/(decrease) in capital  resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in ownership allocation of U.S. Treasury securities		(425,459	)		(82,653	)		1,352,179			308,855			(186,271	)		2,519,213
Net unrealized (gain)/loss on swap contracts		(513,328	)		(2,355	)					—			(35,886	)		10,429
Net unrealized (gain)/loss on U.S. Treasury securities		3,864			(572,567	)		17,059			(334,153	)		(4,012	)		211,120
Net realized (gain)/loss on U.S. Treasury securities		36,355			354,609			40,171			286,742			29,901			(227,895	)
Net unrealized (gain)/loss on private investment companies		1,526,351			(374,758	)		1,210,157			692,671			164,066			331,883
Net realized (gain)/loss on private investment companies		(71,595	)		(1,092,088	)		(84,407	)		(277,678	)		152,040			26,997
(Purchases) sales of:
Sales of U.S. Treasury securities		1,223,057			2,785,190			1,349,480			3,016,330			1,009,865			(2,713,824	)
Purchase of U.S. Treasury securities		(1,841,423	)		—			(2,041,104	)		—			(887,337	)		—
U.S. Treasury interest and premium paid/amortized		18,064			25,473			16,569			19,951			8,360			(12,474	)
Purchase of Private Investment Companies		(2,709,650	)		(13,484,808	)		(2,398,470	)		(7,235,741	)		(802,678	)		(2,570,577	)
Reduction of collateral in Swap contracts		1,100,000			—						—			—			3,600,050
Sale of Private Investment Companies		3,903,152			33,924,196			4,196,296			4,546,755			1,418,369			4,601,206
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		967,760			—			479,590			—			3,567			—
Prepaid service fees - Class 1		—			1,675,311			—			5,571,998			—			(45,947	)
Interest receivable		(20,732	)		—			13,797			—			(1,057	)		—
Receivable from related parties		—			(143,285	)		—			43,453			—			(4,969	)
Other assets		—			231,671			2,974			140,383			(6,779	)		76,390
Due to broker		—			(158,282	)		—			(46,620	)		—			(5,129	)
Incentive fees payable to Managing Owner		(12,847	)		—			—			—			—			—
Management fees payable to Managing Owner		99			—			60			—			—			—
Interest payable to Managing Owner		—			(23,496	)		—			(50,174	)		81			—
Trading fees payable to Managing Owner		(14,577	)		—			(18,180	)		—			(2,545	)		3,091
Service fees payable to Managing Owner		(807	)		(2,163	)		(915	)		(1,186	)		(144	)		(3,444	)
Payables to related parties		—			46,659			—			5,174			—			(1,951	)
Interest payable		—			12,252			—			—			—			(1,603,124	)
Other liabilities		(24,866	)		(19,675	)		2,100			(7,590	)		—			(6,835	)
Net cash provided by (used in) operating activities		1,817,971			23,526,817			2,564,621			5,417,748			511,802			3,788,736
Cash Flows from Financing Activities:
Proceeds from sale of units		—			1,768,235			—			1,380,862			—			946,844
Payment for redemption of units		(1,832,218	)		(31,972,635	)		(2,995,839	)		(4,006,978	)		(610,125	)		(4,092,792	)
Change in owner redemptions payable		—			18,863,693			112,593			(83,627	)		10,694			74,210
Net cash provided by (used in) financing activities		(1,832,218	)		(11,340,707	)		(2,883,246	)		(2,709,743	)		(599,431	)		(3,071,738	)
Net increase (decrease) in cash and cash equivalents		(14,247	)		12,186,110			(318,625	)		2,708,005			(87,629	)		716,998
Cash and cash equivalents, beginning of period		189,890			674,227			411,695			546,509			152,200			—
Cash and cash equivalents, end of period	$	175,643		$	12,860,337		$	93,070		$	3,254,514		$	64,571		$	716,998

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

24

The Series of Frontier Funds

Statements of Cash Flows

For the Six Months Ended June 30, 2018 and 2017

(Unaudited)

	Frontier Balanced Fund						Frontier Select Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(3,564,239	)	$	(1,275,190	)	$	(1,101,822	)	$	(2,066,173	)
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		61,810			377,966			—			686,022
Net change in ownership allocation of U.S. Treasury securities		(838,524	)		7,270,121			490,040			286,492
Net unrealized (gain)/loss on swap contracts		(1,129,650	)		(63,916	)		—			—
Net unrealized (gain)/loss on U.S. Treasury securities		6,540			(487,069	)		11,835			(200,751	)
Net realized (gain)/loss on U.S. Treasury securities		44,907			228,904			12,538			170,783
Net unrealized (gain)/loss on private investment companies		3,149,240			1,191,236			961,333			533,227
Net realized (gain)/loss on private investment companies		(236,606	)		(3,265,069	)		(59,566	)		(2,005	)
(Purchases) sales of:
Sales of U.S. Treasury securities		1,519,248			887,884			421,844			1,731,714
Purchases of U.S. Treasury securities		(3,228,823	)		—			(899,134	)		—
U.S. Treasury interest and premium paid/amortized		31,901			15,487			6,817			11,590
Purchase of Private Investment Companies		(5,716,331	)		(14,537,196	)		(2,177,315	)		(8,710,101	)
Sale of Private Investment Companies		7,996,499			26,392,838			3,206,205			5,606,378
Reduction of collateral in Swap contracts		2,000,000			—			—			—
Increase and/or decrease in:
Receivable from futures commission merchants		5,098,083			(60,295	)		—			8,208,218
Change in control of ownership - trading companies		—			—			—			(3,694,606	)
Investments in unconsolidated trading companies, at fair value		732,257			3,271,525			58,711			990,000
Interest receivable		(50,921	)		(71,855	)		557			27,036
Receivable from related parties		—			346,875			—			103,407
Other assets		—			(43,027	)		—			(13,222	)
Incentive fees payable to Managing Owner		(40,189	)		—			—			—
Management fees payable to Managing Owner		130			(21,400	)		—			(21,219	)
Interest payable to Managing Owner		4,289			162,860			(378	)		(242	)
Trading fees payable to Managing Owner		(30,220	)		(4,707	)		(5,879	)		(2,237	)
Service fees payable to Managing Owner		(23,581	)		(13,417	)		(4,748	)		(7,897	)
Risk analysis fees payable		(198	)		5,424			—			(2,303	)
Due from Managing Owner		184,106			191,819			—			10,231
Other liabilities		29,253			(68,510	)		(865	)		(11,939	)
Net cash provided by (used in) operating activities		5,998,981			20,431,288			920,173			3,632,403
Cash Flows from Financing Activities:
Proceeds from sale of units		—			162,847			—			99,812
Payment for redemption of units		(5,828,511	)		(23,908,356	)		(993,005	)		(2,859,418	)
Change in owner redemptions payable		(21,260	)		8,171,335			—			(111,392	)
Net cash provided by (used in) financing activities		(5,849,771	)		(15,574,174	)		(993,005	)		(2,870,998	)
Net increase (decrease) in cash and cash equivalents		149,210			4,857,114			(72,832	)		761,405
Cash and cash equivalents, beginning of period		164,332			1,083,579			114,973			432,021
Cash and cash equivalents, end of period	$	313,542		$	5,940,693		$	42,141		$	1,193,426

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

25

The Series of Frontier Funds

Statements of Cash Flows

For the Six Months Ended June 30, 2018 and 2017

(Unaudited)

	Frontier Winton Fund						Frontier Heritage Fund
	6/30/2018			6/30/2017			6/30/2018			6/30/2017
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(1,006,113	)	$	(2,395,608	)	$	(937,347	)	$	(1,078,083	)
Adjustments to reconcile net increase/(decrease) in capital  resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		—			2,485,583			—			—
Net change in ownership allocation of U.S. Treasury securities		(590,960	)		(1,143,589	)		198,750			907,988
Net unrealized (gain)/loss on swap contracts		—			—			90,533			624,727
Net unrealized (gain) loss on U.S. Treasury securities, at fair value		(52,629	)		(1,206,428	)		(3,677	)		(291,090	)
Net realized (gain) loss on U.S. Treasury securities, at fair value		205,194			1,104,301			32,599			211,694
Net unrealized gain/(loss) on private investment companies		—			—			519,737			—
Net realized gain/(loss) on private investment companies		—			—			81,298			—
(Purchases) sale of:							��
Sales of U.S. Treasury Securities		6,903,212			12,652,125			1,096,550			2,231,740
Purchases of U.S. Treasury Securities		(6,626,880	)		—			(1,204,398	)		—
U.S. Treasury interest and premium paid/amortized		66,615			76,346			10,909			15,079
Purchase of Private Investment Companies		—			—			(624,245	)		—
Sale of Private Investment Companies		—			—			629,348			—
Increase and/or decrease in:
Receivable from futures commission merchants		—			4,083,284			—			—
Change in control of ownership of trading companies		—			(2,560,394	)		—			—
Investments in unconsolidated trading companies, at fair value		3,015,420			3,240,958			655,422			1,547,505
Interest receivable		(6,139	)		152,517			1,902			35,111
Receivable from related parties		58,146			351,724			—			131,430
Management fees payable to Managing Owner		(11,598	)		(12,741	)		(4,033	)		(56,501	)
Interest payable to Managing Owner		(9,431	)		(30,730	)		(646	)		(3,664	)
Trading fees payable to Managing Owner		(19,924	)		(4,533	)		(4,752	)		(1,123	)
Service fees payable to Managing Owner		(5,484	)		(2,234	)		(3,548	)		(7,300	)
Risk analysis fees payable		—			57,716			—			—
Payables to related parties		(152,219	)		—			—			9,536
Other liabilities		(23,894	)		754			8,106			(18,085	)
Net cash provided by (used in) operating activities		1,743,316			16,756,241			542,508			4,242,256
Cash Flows from Financing Activities:
Proceeds from sale of units		—			1,692,105			—			627,364
Payment for redemption of units		(2,640,052	)		(7,495,168	)		(709,855	)		(3,430,718	)
Pending owner additions		—			—			—			—
Change in owner redemptions payable		71,202			393,871			—			185,143
Net cash provided by (used in) financing activities		(2,568,850	)		(5,409,192	)		(709,855	)		(2,618,211	)
Net increase (decrease) in cash and cash equivalents		(825,534	)		11,347,049			(167,347	)		1,624,045
Cash and cash equivalents, beginning of period		1,403,125			1,628,208			259,161			382,499
Cash and cash equivalents, end of period	$	577,591		$	12,975,257		$	91,814		$	2,006,544

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

26

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. 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”). The Managing Owner was incorporated in Delaware in November, 2016. The Managing Owner has delegated its commodity pool operator (“CPO”) responsibilities to Wakefield Advisors LLC pursuant to the Commodity Pool Operator Delegation Agreement between the Managing Owner and Wakefield Advisors LLC, which has been registered with the CFTC as a commodity pool operator since January 7, 2013, and has been a member of the NFA since that date. Under the Commodity Pool Operator Delegation Agreement, Wakefield does not receive any fees or remuneration from the Managing Owner in connection with the performance of its obligations thereunder. The Commodity Pool Operator Delegation Agreement is effective until terminated by either the Managing Owner or Wakefield, or until Wakefield is no longer registered as a CPO (unless excluded or exempt from CPO registration under the Commodity Exchange Act, as amended (the “Commodity Exchange Act”)). The Managing Owner remains jointly and severally liable with Wakefield Advisors LLC for violations of the Commodity Exchange Act and CPO Regulations. However, Wakefield Advisors LLC will indemnify the Managing Owner from and against any and all loss, liability, damage, penalty, fine, cost, and expense (including attorneys’, accountants’, experts’, and other professionals’ fees and expenses incurred in investigation or defense of any and all demands, claims, actions, suits, or arbitrations) actually and reasonably incurred by the Managing Owner, based upon, arising out of or from, or in any way in connection with, any act, activity, conduct, performance, omission, or non-performance by the Wakefield Advisors LLC of any of its functions as CPO or which violates the Commodity Exchange Act or CPO Regulations in connection with its functions as CPO.

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 amended from time to time (the “Trust Agreement”), unitholders in a Delaware statutory trust will have the same limitation of liability as do stockholders of private corporations organized under the General Corporation Law of the State of Delaware. The Trust Agreement confers substantially the same limited liability, and contains the same limited exceptions thereto, as would a limited partnership agreement for a Delaware limited partnership engaged in like transactions as the Trust. In addition, pursuant to the Trust Agreement, the Managing Owner of the Trust is liable for obligations of a Series in excess of that Series’ assets. Limited Owners do not have any such liability. The Managing Owner will make contributions to Series of the Trust necessary to maintain at least a 1% interest in the aggregate capital, profits and losses of the combined Series of the Trust.

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

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

The Trust, with respect to each Series:

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

● allocates funds to a limited liability trading company or companies affiliated with the Managing Owner (“Trading Company” or “Trading Companies” or to an unaffiliated series limited liability company (“Galaxy Plus entities” or “Galaxy Plus entity”), each of which has one-year renewable contracts with its own independent trading advisor(s) (each a “Trading Advisor”) that will manage all or a portion of the applicable Trading Company’s or Galaxy Plus entity’s assets, and make the trading decisions for the assets of each Series vested in such Trading Company of Galaxy 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.

27

● 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 (or 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. 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 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 June 30, 2018, the total Units outstanding were 151,684 for the Frontier Diversified Fund, 68,883 for the Frontier Masters Fund, 32,598 for the Frontier Long/Short Commodity Fund, 291,481 for the Frontier Balanced Fund, 61,249 for the Frontier Select Fund, 74,090 for the Frontier Winton Fund and 42,678 for the Frontier Heritage Fund.

As of June 30, 2018, 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. On May 10, 2017, the interests Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, were transferred to an individual Delaware limited liability company (“Master Fund”) in Galaxy Plus.  The 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 June 30, 2018, Frontier Winton Fund has invested a portion of its assets into two Trading Companies, and a single Trading Advisor manages 100% of the assets invested in each of these Trading Companies. 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.

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 (for closed Series only), all of which is allocated to the Series, if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Trading Companies in which a Series has a controlling and majority interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series. Investment interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Trust’s interest in the net asset value 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.

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

Use of Estimates—The preparation of 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. 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) 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.

Receivable from Futures Commission Merchants—The Trust deposits assets with an FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of June 30, 2018 included restricted cash for margin requirements of $1,610,929 for Frontier Trading Company I LLC and $3,921,107 for Frontier Trading Company II LLC.

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).

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

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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 2014 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 risk analysis fee (for closed Series only) and trading fees of the Trust, with respect to the Series, are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust, with respect to the Series. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the Statement of Operations. The Series are all charged management and incentive fees on the asset allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Statements of Operations. Certain Series are also changed a risk analysis fee (for closed Series only) based on a percentage of nominal assets. Such fee is paid to a third party.

Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the 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, 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.

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.

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Level 3 Inputs

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

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

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

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

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. The 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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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 June 30, 2018 and December 31, 2017 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. 

	Level 1		Level 2			Level 3		Total
June 30, 2018	Inputs		Inputs			Inputs		Fair Value
Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	1,265,183	$	(7,734	)	$	—	$	1,257,449
Swap Contracts		—		—			5,789,800		5,789,800
U.S. Treasury Securities		1,752,590		—			—		1,752,590
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		1,028,540		(6,988	)		—		1,021,552
U.S. Treasury Securities		928,660		—			—		928,660
Frontier Long/Short Commodity Fund
Investment in Unconsolidated Trading Companies		117,943		—			—		117,943
Swap Contracts		—		—			432,925		432,925
U.S. Treasury Securities		644,297		—			—		644,297
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		2,461,406		(15,487	)		—		2,445,919
Open Trade Equity (Deficit)		127,833		(11,091	)		—		116,742
Swap Contracts		—		—			10,470,609		10,470,609
U.S. Treasury Securities		3,128,559		—			—		3,128,559
Frontier Select Fund
Investment in Unconsolidated Trading Companies		76,972		—			535,180		612,152
U.S. Treasury Securities		420,486		—			—		420,486
Frontier Winton Fund
Investment in Unconsolidated Trading Companies		5,004,302		(32,146	)		—		4,972,156
U.S. Treasury Securities		5,763,275		—			—		5,763,275
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		897,476		(5,925	)		—		891,551
Swap Contracts		—		—			3,003,834		3,003,834
U.S. Treasury Securities		916,128		—			—		916,128

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	Level 1		Level 2		Level 3		Total
December 31, 2017	Inputs		Inputs		Inputs		Fair Value
Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	2,152,721	$	55,593	$	—	$	2,208,314
Swap Contracts		—		—		6,376,472		6,376,472
U.S. Treasury Securities		767,049		—		—		767,049
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		1,460,743		31,450		—		1,492,193
U.S. Treasury Securities		1,663,014		—		—		1,663,014
Frontier Long/Short Commodity Fund
Investment in Unconsolidated Trading Companies		121,510		—		—		121,510
Swap Contracts		—		—		397,039		397,039
U.S. Treasury Securities		614,803		—		—		614,803
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		3,072,933		81,725		—		3,154,658
Open Trade Equity (Deficit)		144,983		33,569		—		178,552
Swap Contracts		—		—		11,340,959		11,340,959
U.S. Treasury Securities		663,808		—		—		663,808
Frontier Select Fund
Investment in Unconsolidated Trading Companies		91,790		—		579,073		670,863
U.S. Treasury Securities		464,427		—		—		464,427
Frontier Winton Fund
Investment in Unconsolidated Trading Companies		7,750,343		184,193		—		7,934,536
U.S. Treasury Securities		5,667,825		—		—		5,667,825
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		1,500,688		35,943		—		1,536,631
Swap Contracts		—		—		3,094,367		3,094,367
U.S. Treasury Securities		1,046,861		—		—		1,046,861

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 six months ended June 30, 2018, 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.

36

For the Six Months Ended June 30, 2018

Swaps

				Frontier Long/Short
	Frontier Balanced Fund			Commodity Fund
Balance of recurring Level 3 assets as of January 1, 2018	$	11,340,959		$	397,039
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		1,129,650			35,886
Proceeds from collateral reduction		(2,000,000	)		—
Change in ownership allocation		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of June 30, 2018	$	10,470,609		$	432,925

	Frontier Diversified
	Fund			Frontier Heritage Fund
Balance of recurring Level 3 assets as of January 1, 2018	$	6,376,472		$	3,094,367
Total gains or losses (realized/unrealized):
Included in earnings-realized		—			—
Included in earnings-unrealized		513,328			(90,533	)
Proceeds from collateral reduction		(1,100,000	)		—
Change in ownership allocation		—			—
Transfers in and/or out of Level 3		—			—
Balance of recurring Level 3 assets as of June 30, 2018	$	5,789,800		$	3,003,834

37

For the Year Ended December 31, 2017

Swaps

				Frontier Long/Short
	Frontier Balanced Fund			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		(84,491	)		26,621
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 December 31, 2017	$	11,340,959		$	397,039
	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		(47,375	)		(297,047	)
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 December 31, 2017	$	6,376,472		$	3,094,367
For the Six Months Ended June 30, 2018
Investments in Unconsolidated Trading Companies:
	Frontier
	Select
	Fund
Balance of recurring Level 3 assets as of January 1, 2018	$	579,073
Change in fair value of investments in unconsolidated trading companies		(43,894	)
Purchases of investments of unconsolidated trading companies		—
Change in ownership allocation		—
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of June 30, 2018	$	535,179

38

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		(144,019	)
Change in ownership allocation		(2,424,187	)
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of December 31, 2017	$	579,073

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 six months ended June 30, 2018, the Trust did not transfer any assets between Levels 1, 2 or 3.

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

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at June 30, 2018:

	Frontier Diversified		Frontier Long/Short		Frontier Balanced
	Fund		Commodity Fund		Fund		Frontier Heritage Fund
Swap Contracts	$	513,328	$	35,886	$	1,129,650	$	(90,533	)

	Frontier Select Fund
Investments in Unconsolidated Trading Companies	$	(43,894	)

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2017:  

				Frontier Long/Short		Frontier Balanced			Frontier Heritage
	Frontier Diversified Fund			Commodity Fund		Fund			Fund
Swap Contracts	$	(47,375	)	$	26,621	$	(84,491	)	$	(297,047	)

	Frontier Select Fund
Investments in Unconsolidated Trading Companies	$	(372,982	)

39

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 June 30, 2018, and December 31, 2017, approximately 10.8% and 10.2%, 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 June 30, 2018, 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.

The Series have invested in the following swaps as of and for the six months ended June 30, 2018:

			Frontier Long/Short	Frontier Heritage
	Frontier Balanced Fund	Frontier Diversified Fund	Commodity Fund	Fund
	Total Return Swap	Total Return Swap	Total Return Swap	Total Return Swap
Counterparty	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG
Notional Amount	$11,735,292	$3,054,369	$653,610	$2,072,056
Termination Date	8/2/2018	8/2/2018	8/7/2018	3/27/2023
Cash Collateral	$86,000	$86,000	$29,950	$978,950
Swap Value	$10,384,609	$5,703,800	$402,975	$2,024,884
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Change in Unrealized Gain/(Loss)	$1,129,650	$513,328	$35,886	($90,533)
Fair Value as of June 30, 2018	$10,470,609	$5,789,800	$432,925	$3,003,834
Advance on swap appreciation	($4,926,555)	($2,500,000)	($115,000)	($1,900,000)

40

The Series have invested in the following swaps as of and for the year ended December 31, 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	$982,500
Swap Value	$9,254,959	$5,190,472	$367,089	$2,111,867
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Change in Unrealized Gain/(Loss)	($84,491)	($47,375)	$26,621	($297,047)
Fair Value as of 12/31/2017	$11,340,959	$6,376,472	$397,039	$3,094,367
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.

The following table summarizes each of the Series’ investments in unconsolidated Trading companies as of June 30, 2018 and December 31, 2017:

	As of June 30, 2018			As of December 31, 2017
	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	6.87%	$	1,257,449	10.37%	$	2,225,210
Frontier Masters Series —
Frontier Trading Companies II and XXXVIII	13.83%	$	1,021,552	12.55%	$	1,501,142
Frontier Long/Short Commodity Series —
Frontier Trading Company XXXVIII	3.58%	$	117,943	2.86%	$	121,510
Frontier Balanced Series —
Frontier Trading Companies II and XXXVIII	6.30%	$	2,445,919	6.59%	$	3,178,176
Frontier Select Series —
Frontier Trading Companies XXXVIII and XXXIX	13.00%	$	612,152	9.86%	$	670,863
Frontier Winton Fund
Frontier Trading Companies II and XXXVIII	44.38%	$	4,972,156	53.79%	$	7,987,575
Frontier Heritage Series —
Frontier Trading Companies II and XXXVIII	17.36%	$	891,551	22.66%	$	1,536,631

41

The following tables summarize each of the Series; equity in earnings from unconsolidated Trading and private investment companies for months ended June 30, 2018 and 2017.

	Three Months Ended June 30, 2018												Three Months Ended June, 2017
							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	$	—		$	—		$	302,930		$	302,930		$	(29,734	)	$	(176,628	)	$	(185,169	)	$	(391,531	)
Frontier Trading Company XXXVIII, LLC		—			—			(6,881	)		(6,881	)		—			—			(60,414	)		(60,414	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(13,073	)		(158,310	)		72,621			(98,762	)		(23,364	)		(222,017	)		(152,905	)		(398,286	)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(14,629	)		131,409			(38,608	)		78,172			(19,523	)		82,988			(31,581	)		31,884
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(141,047	)		(430,258	)		805,293			233,988			(103,320	)		628,876			(146,626	)		378,930
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(14,285	)		333,049			(63,193	)		255,571			(46,229	)		572,197			(767,626	)		(241,658	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(123	)		—			(38,889	)		(39,012	)		—			—			(313,570	)		(313,570	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(37,583	)		292,017			423,980			678,414			(84,339	)		(292,686	)		307,411			(69,614	)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(21,107	)		(149,161	)		18,142			(152,126	)		(59,057	)		14,510			23,398			(21,149	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(7,130	)		(53,768	)		25,289			(35,609	)		(5,563	)		550,360			(553,687	)		(8,890	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(63,787	)		(25,610	)		(33,194	)		(122,591	)		(111,023	)		(481,169	)		(477,804	)		(1,069,996	)
Total	$	(312,764	)	$	(60,632	)	$	1,467,490		$	1,094,094		$	(482,152	)	$	676,431		$	(2,358,573	)	$	(2,164,294	)
Frontier Winton Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	675,380		$	675,380
Frontier Trading Company XXXVIII, LLC		—			—			(29,123	)		(29,123	)		—			—			(21,961	)		(21,961	)
Total	$	—		$	—		$	646,257		$	646,257		$	—		$	—		$	(21,961	)	$	(21,961	)
Frontier Select Fund —
Frontier Trading Company XXXIX, LLC	$	—		$	—		$	(41,578	)	$	(41,578	)	$	—		$	—		$	(103,491	)	$	(103,491	)
Frontier Trading Company XXXVIII, LLC		—			—			(1,017	)		(1,017	)		—			—			(13,395	)		(13,395	)
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(10,721	)		23,055			37,712			50,046			(26,272	)		455,907			(960,857	)		(531,222	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(42,595	)		(12,170	)		(16,423	)		(71,188	)											—
Total	$	(53,316	)	$	10,885		$	(21,306	)	$	(63,737	)	$	(26,272	)	$	455,907		$	(1,077,743	)	$	(648,108	)
Frontier Heritage Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	129,198		$	129,198		$	(59,981	)	$	(92,376	)	$	(45,355	)	$	(197,712	)
Frontier Trading Company XXXVIII, LLC		—			—			(3,728	)		(3,728	)		—			—			(32,056	)		(32,056	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(42,603	)		(5,832	)		(12,130	)		(60,565	)
Total	$	(42,603	)	$	(5,832	)	$	113,340		$	64,905		$	(59,981	)	$	(92,376	)	$	(77,411	)	$	(229,768	)
Frontier Long/Short Commodity Fund
Frontier Trading Company XXXVIII, LLC	$	—		$	—		$	(1,870	)	$	(1,870	)	$	—		$	—		$	48,430		$	48,430
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		—			—			—			—			(20,154	)		(17,806	)		(15,385	)		(53,345	)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(25,765	)		(63,680	)		118,815			29,370			(70,739	)		274,376			(21,965	)		181,672
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(681	)		—			(148,965	)		(149,646	)		—			—			(668,936	)		(668,936	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(19,032	)		(6,922	)		(3,573	)		(29,527	)		(31,126	)		(2,843	)		(157,347	)		(191,316	)
Total	$	(45,478	)	$	(70,602	)	$	(35,593	)	$	(151,673	)	$	(122,019	)	$	253,727		$	(815,203	)	$	(683,495	)
Frontier Diversified Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	156,848		$	156,848		$	(32,754	)	$	(131,602	)	$	(76,660	)	$	(241,016	)
Frontier Trading Company XXXVIII, LLC		—			—			(2,803	)		(2,803	)		—			—			(92,697	)		(92,697	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(5,137	)		(52,919	)		24,207			(33,849	)		(20,126	)		(138,307	)		(51,044	)		(209,477	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		—			—			—			—			(25,130	)		(86,993	)		(10,374	)		(122,497	)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(9,617	)		72,926			(21,449	)		41,860			(15,626	)		53,463			(19,659	)		18,178
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(41,617	)		(209,611	)		350,445			99,217			(99,836	)	��	663,148			(134,800	)		428,512
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(9,912	)		139,185			(24,276	)		104,997			(34,042	)		386,453			(360,329	)		(7,918	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		—			(62	)		(13,567	)		(13,629	)		—			—			(121,379	)		(121,379	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(20,301	)		132,708			177,519			289,926			(72,656	)		110,541			(92,110	)		(54,225	)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(11,738	)		(64,178	)		8,247			(67,669	)		(62,375	)		90,549			(35,256	)		(7,082	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(7,950	)		(53,876	)		25,289			(36,537	)		(21,834	)		1,360,066			(1,340,399	)		(2,167	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(31,712	)		3,362			(22,990	)		(51,340	)		(96,591	)		(299,530	)		(338,831	)		(734,952	)
Total	$	(137,984	)	$	(32,465	)	$	657,470		$	487,021		$	(480,970	)	$	2,007,788		$	(2,673,538	)	$	(1,146,720	)
Frontier Masters Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	148,044		$	148,044		$	(20,155	)	$	(75,060	)	$	(193,825	)	$	(289,040	)
Frontier Trading Company XXXVIII, LLC		—			—			8,804			8,804			—			—			(27,193	)		(27,193	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		—			—			—			—			(32,726	)		(38,744	)		(37,054	)		(108,524	)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(70,572	)		(207,046	)		370,789			93,171			(85,746	)		349,249			(38,302	)		225,201
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(44,250	)		(27,294	)		(16,449	)		(87,993	)		(33,868	)		(36,872	)		(273,610	)		(344,350	)
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(9,581	)		27,308			35,040			52,767			—			—			(621,004	)		(621,004	)
Total	$	(124,403	)	$	(207,032	)	$	546,228		$	214,793		$	(172,495	)	$	198,573		$	(1,190,988	)	$	(1,164,910	)

42

	Six Months Ended June 30, 2018												Six Months Ended June, 2017
		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)
Frontier Balanced Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	67,960		$	67,960		$	(32,747	)	$	216,451		$	(414,846	)	$	(231,142	)
Frontier Trading Company XXXVIII, LLC		—			—			(11,476	)		(11,476	)		—			—			(206,159	)		(206,159	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(43,897	)		(212,016	)		6,928			(248,985	)		(44,764	)		(387,975	)		(13,621	)		(446,360	)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(31,385	)		(158,568	)		1,111			(188,842	)		(50,359	)		148,003			(34,828	)		62,816
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(228,504	)		369,476			13,457			154,429			(370,056	)		934,254			440,340			1,004,538
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(36,360	)		(138,701	)		10,762			(164,299	)		(97,240	)		1,057,916			(443,733	)		516,943
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(123	)		—			(3,585	)		(3,708	)		—			—			(758,716	)		(758,716	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(73,528	)		(905,417	)		60,858			(918,087	)		(1,053,253	)		3,793,961			(295,887	)		2,444,821
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(62,551	)		(72,693	)		12,369			(122,875	)		(144,534	)		393,118			217,931			466,515
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(13,928	)		(42,692	)		3,166			(53,454	)		(13,489	)		658,389			(821,400	)		(176,500	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(137,437	)		(1,613,467	)		86,852			(1,664,052	)		(129,934	)		(453,700	)		(456,590	)		(1,040,224	)
Total	$	(627,713	)	$	(2,774,078	)	$	248,402		$	(3,153,389	)	$	(1,936,376	)	$	6,360,417		$	(2,787,509	)	$	1,636,532
Frontier Winton Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	(186,556	)	$	(186,556	)	$	—
Frontier Trading Company XXXVIII, LLC		—			—			(66,205	)	$	(66,205	)	$	—		$	—		$	(303,217	)	$	(303,217	)
Total	$	—		$	—		$	(252,761	)	$	(252,761	)	$	—		$	—		$	(303,217	)	$	(303,217	)
Frontier Select Fund —
Frontier Trading Company XXXIX, LLC	$			$	—		$	(41,578	)	$	(41,578	)	$	—		$	—		$	(302,892	)	$	(302,890	)
Frontier Trading Company XXXVIII, LLC		—			—			4,561			4,561			—			—			(61,753	)		(61,755	)
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(61,704	)		(525,255	)		67,762			(519,197	)		(26,272	)		455,907			(960,857	)		(531,222	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(80,091	)		(94,447	)		(208,032	)		(382,570	)											—
Total	$	(141,795	)	$	(619,702	)	$	30,745		$	(556,214	)	$	(26,272	)	$	455,907		$	(1,325,502	)	$	(895,867	)
Frontier Heritage Fund —
Frontier Trading Company II, LLC	$			$	—		$	6,663		$	6,663		$	(61,563	)	$	113,582		$	(165,128	)	$	(113,109	)
Frontier Trading Company XXXVIII, LLC		—			—			(4,695	)		(4,695	)		—			—			(94,612	)		(94,612	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(95,378	)		(550,409	)		44,752			(601,035	)
Total	$	(95,378	)	$	(550,409	)	$	46,720		$	(599,067	)	$	(61,563	)	$	113,582		$	(259,740	)	$	(207,721	)
Frontier Long/Short Commodity Fund
Frontier Trading Company XXXVIII, LLC	$	—		$	—		$	(1,812	)	$	(1,812	)	$	—		$	—		$	48,430		$	48,430
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		—			—			—			—			(44,133	)		(37,958	)		72,625			(9,466	)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(55,540	)		106,500			(43,080	)		7,880			(181,134	)		398,026			195,800			412,692
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(681	)		—			(55,507	)		(56,188	)		(570,790	)		—			—			(570,790	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(44,616	)		(236,487	)		13,305			(267,798	)		(31,126	)		(2,843	)		(157,347	)		(191,316	)
Total	$	(56,221	)	$	(129,987	)	$	(87,094	)	$	(317,918	)	$	(827,183	)	$	357,225		$	159,508		$	(310,450	)
Frontier Diversified Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	6,222		$	6,222		$	(34,961	)	$	156,232		$	(244,744	)	$	(123,473	)
Frontier Trading Company XXXVIII, LLC		—			—			(1,820	)		(1,820	)		—			—			(220,531	)		(220,531	)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(21,609	)		(70,821	)		2,309			(90,121	)		(38,921	)		(248,929	)		41,918			(245,932	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		—			—			—			—			(52,211	)		(296,825	)		401,400			52,364
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(19,728	)		(71,041	)		1,112			(89,657	)		(36,891	)		93,200			(21,227	)		35,082
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(88,315	)		190,256			(45,473	)		56,468			(331,447	)		937,641			344,980			951,174
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(19,585	)		(13,078	)		8,453			(24,210	)		(71,434	)		668,006			(172,286	)		424,286
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		—			(62	)		3,942			3,880			—			—			(286,484	)		(286,484	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(41,686	)		(336,175	)		1,742			(376,119	)		(677,949	)		2,530,502			(402,647	)		1,449,906
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(37,240	)		(25,944	)		5,361			(57,823	)		(145,059	)		396,809			122,278			374,028
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(15,597	)		(42,800	)		3,166			(55,231	)		(54,917	)		1,818,085			(2,335,438	)		(572,270	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(72,444	)		(772,916	)		23,417			(821,943	)		(109,401	)		(281,218	)		(324,689	)		(715,308	)
Total	$	(316,204	)	$	(1,142,581	)	$	8,431		$	(1,450,354	)	$	(1,553,191	)	$	5,773,503		$	(3,097,470	)	$	1,122,842
Frontier Masters Fund —
Frontier Trading Company II, LLC	$	—		$	—		$	(94,552	)	$	(94,552	)	$	25,034		$	91,810		$	(290,984	)	$	(174,140	)
Frontier Trading Company XV, LLC		—			—			—			—			(63,500	)		78,115			(115,394	)		(100,779	)
Frontier Trading Company XXXVIII, LLC		—			—			17,218			17,218			—			—			(103,705	)		(103,705	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		—			(76,396	)		68,413			(7,983	)		(70,041	)		(81,634	)		150,438			(1,237	)
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(149,210	)		263,055			(103,684	)		10,161			(225,164	)		518,265			258,497			551,598
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(100,181	)		(726,950	)		13,640			(813,491	)		(33,868	)		(36,872	)		(273,610	)		(344,350	)
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(47,188	)		(87,994	)		(179,255	)		(314,437	)		—			—			(621,004	)		(621,004	)
Total	$	(296,579	)	$	(628,285	)	$	(278,220	)	$	(1,203,084	)	$	(367,539	)	$	569,684		$	(995,762	)	$	(793,617	)

43

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 - 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 - 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
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
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None

44

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 notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage bases of the fees vary and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier 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 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2018, the management fees embedded based on fair value of swaps in (i) swaps owned by Frontier Diversified Fund was 1.00% per annum, (ii) swaps owned by Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.50% per annum, and (iv) swaps owned by Frontier Heritage Fund was 1.00% per annum, and the Managing Owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. These embedded management fees may be higher or lower in the future.

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

45

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

Incentive Fees— Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. Because the Frontier Balanced Fund, Frontier Diversified Fund, Frontier Masters Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier 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. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2018, the range of incentive fees as a percentage of net new trading profits on swaps embedded in (i) swaps owned by Frontier Diversified Fund was 20-25% per annum, (ii) swaps owned by Frontier Balanced Fund was 20-25% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 25% per annum, and (iv) swaps owned by Frontier Heritage Fund was 15% per annum, and the Managing Owner has waived the entire incentive fee due to it from those Series in respect of such Series’ investment in swaps. These embedded incentive fees may be higher or lower in the future.

Service Fees—Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund, and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then unamortized balance of the prepaid initial service fee. Investors who have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier 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.

46

The following table summarizes fees earned by the Managing Owner for the three months and six months ended June 30, 2018 and 2017:

Three Months Ended June 30, 2018

	Incentive Fees (rebate)		Management Fees		Risk Analysis Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	—	$	13,229	$	—	$	14,689	$	143,613
Frontier Masters Fund		—		28,862		—		12,929		105,998
Frontier Long/Short Commodity Fund		—		—		—		407		21,519
Frontier Balanced Fund		—		22,566		1,692		237,810		344,769
Frontier Select Fund		—		—		—		33,273		28,109
Frontier Winton Fund		—		131,682		—		80,907		80,703
Frontier Heritage Fund		—		33,893		—		31,302		36,855

Three Months Ended June 30, 2017

	Incentive Fees (rebate)			Management Fees		Risk Analysis Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	—		$	27,784	$	—	$	41,352	$	466,107
Frontier Masters Fund		—			58,094		—		24,160		186,409
Frontier Long/Short Commodity Fund		(87,670	)		—		—		3,510		66,308
Frontier Balanced Fund		—			38,058		3,133		384,415		623,456
Frontier Select Fund		—			26,454		—		60,437		49,223
Frontier Winton Fund		—			227,131		35,345		126,462		154,026
Frontier Heritage Fund		—			58,866		—		48,692		36,855

Six Months Ended June 30, 2018

	Incentive Fees (rebate)		Management Fees		Risk Analysis Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	1,881	$	24,792	$	—	$	30,804	$	308,763
Frontier Masters Fund		—		61,211		—		27,898		240,046
Frontier Long/Short Commodity Fund		—		—		—		1,064		46,212
Frontier Balanced Fund		145,134		42,902		3,529		500,791		728,945
Frontier Select Fund		—		—		—		72,962		65,703
Frontier Winton Fund		—		262,342		—		175,167		163,278
Frontier Heritage Fund		1,394		69,874		—		68,410		79,147

Six Months Ended June 30, 2017

	Incentive Fees (rebate)			Management Fees		Risk Analysis Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	(63,508	)	$	55,742	$	—	$	86,185	$	932,781
Frontier Masters Fund		—			123,905		—		52,934		376,584
Frontier Long/Short Commodity Fund		(87,670	)		—		—		10,971		143,093
Frontier Balanced Fund		—			76,537		7,557		783,275		1,163,171
Frontier Select Fund		—			102,407		6,829		129,768		98,267
Frontier Winton Fund		(49,790	)		489,086		70,773		269,091		303,364
Frontier Heritage Fund		(4,603	)		117,858		—		100,787		109,257

47

The following table summarizes fees payable to the Managing Owner as of June 30, 2018 and December 31, 2017.

As of June 30, 2018

	Incentive Fees		Management Fees		Interest Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	—	$	4,148	$	—	$	2,806	$	46,612
Frontier Masters Fund		—		9,009		—		2,656		30,951
Frontier Long/Short Commodity Fund		—		—		184		28		6,580
Frontier Balanced Fund		—		11,594		6,818		64,568		110,648
Frontier Select Fund		—		—		979		9,996		9,018
Frontier Winton Fund		—		41,441		11,561		21,229		23,650
Frontier Heritage Fund		—		9,438		1,963		7,935		10,951

As of December 31, 2017

	Incentive Fees		Management Fees		Interest Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	12,847	$	4,049	$	—	$	3,614	$	61,188
Frontier Masters Fund		—		8,949		—		3,570		49,131
Frontier Long/Short Commodity Fund		—		—		103		172		9,125
Frontier Balanced Fund		40,189		11,465		2,528		88,149		140,868
Frontier Select Fund		—		—		1,358		14,743		14,898
Frontier Winton Fund		—		53,039		20,992		26,714		43,573
Frontier Heritage Fund		—		13,471		2,608		11,483		15,703

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 Long/Short Commodity Fund (Class 2 and Class 3), 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) 100% of the interest is retained by the respective Series.

48

The following table outlines the interest paid by each Series to the Managing Owner and its ratio to average net assets for the three and six months ended June 30, 2018 and 2017:

Three Months Ended
	June 30, 2018		June 30, 2017			June 30, 2018			June 30, 2017
						Ratio to
	Gross Amount Paid to		Gross Amount Paid to			Average Net			Ratio to Average
	the Managing Owner		the Managing Owner			Assets			Net Assets
Frontier Diversified Class 1	$	—	$	—			0.00	%		-0.09	%
Frontier Diversified Class 2		—		—			0.00	%		-0.05	%
Frontier Diversified Class 3		—		—			0.00	%		-0.05	%
Frontier Masters Class 1		—		—			0.00	%		-0.10	%
Frontier Masters Class 2		—		—			0.00	%		-0.09	%
Frontier Masters Class 3		—		—			0.00	%		-0.08	%
Frontier Long/Short Class 2		37		228			0.02	%		0.05	%
Frontier Long/Short Class 3		488		1,842			0.02	%		0.05	%
Frontier Long/Short Class 1a		—		—			0.00	%		0.00	%
Frontier Long/Short Class 2a		—		—			0.00	%		0.00	%
Frontier Long/Short Class 3a		—		—			0.00	%		0.00	%
Frontier Balanced Fund Class 1		14,652		155,792			0.05	%		0.30	%
Frontier Balanced Fund Class 1AP		256		2,005			0.05	%		0.33	%
Frontier Balanced Fund Class 2		2,656		38,500			0.05	%		0.18	%
Frontier Balanced Fund Class 2A		39		493			0.01	%		0.08	%
Frontier Balanced Fund Class 3A		108		1,204			0.01	%		0.07	%
Frontier Select Fund Class 1		3,375		10,569			0.08	%		0.13	%
Frontier Select Fund Class 1AP		15		31			0.08	%		0.13	%
Frontier Select Fund Class 2		359		1,690			0.08	%		0.13	%
Frontier Winton Class 1		34,013		(38,915	)		0.32	%		-0.23	%
Frontier Winton Class 1AP		111		(116	)		0.32	%		-0.33	%
Frontier Winton Class 2		3,251		(35,722	)		0.32	%		-0.32	%
Frontier Heritage Fund Class 1		5,382		11,940			0.13	%		0.18	%
Frontier Heritage Fund Class 1AP		5		10			0.12	%		0.18	%
Frontier Heritage Fund Class 2		836		3,498			0.13	%		0.19	%
Total	$	65,583	$	153,048

49

Six Months Ended

	June 30, 2018		June 30, 2017			June 30, 2018			June 30, 2017
			Gross Amount
			Paid to the			Ratio to			Ratio to
	Gross Amount Paid to		Managing			Average Net			Average Net
	the Managing Owner		Owner			Assets			Assets
Frontier Diversified Class 1	$	—	$	(3,860	)		0.00	%		-0.09	%
Frontier Diversified Class 2		—		(19,555	)		0.00	%		-0.05	%
Frontier Diversified Class 3		—		(7,071	)		0.00	%		-0.05	%
Frontier Masters Class 1		—		(4,674	)		0.00	%		-0.10	%
Frontier Masters Class 2		—		(4,780	)		0.00	%		-0.09	%
Frontier Masters Class 3		—		(5,338	)		0.00	%		-0.08	%
Frontier Long/Short Class 2		37		132			0.02	%		0.02	%
Frontier Long/Short Class 3		488		1,277			0.02	%		0.03	%
Frontier Long/Short Class 1a		—		533			0.00	%		0.05	%
Frontier Long/Short Class 2a		—		233			0.00	%		0.03	%
Frontier Long/Short Class 3a		—		189			0.00	%		0.01	%
Frontier Balanced Fund Class 1		14,652		190,384			0.04	%		0.36	%
Frontier Balanced Fund Class 1AP		256		2,416			0.05	%		0.38	%
Frontier Balanced Fund Class 2		2,656		52,569			0.04	%		0.24	%
Frontier Balanced Fund Class 2A		39		571			0.01	%		0.10	%
Frontier Balanced Fund Class 3A		108		1,452			0.01	%		0.09	%
Frontier Select Fund Class 1		5,835		23,654			0.12	%		0.27	%
Frontier Select Fund Class 1AP		25		67			0.12	%		0.27	%
Frontier Select Fund Class 2		724		3,609			0.11	%		0.27	%
Frontier Winton Class 1		62,703		12,162			0.53	%		0.07	%
Frontier Winton Class 1AP		194		(24	)		0.54	%		-0.07	%
Frontier Winton Class 2		7,028		(6,078	)		0.52	%		-0.05	%
Frontier Heritage Fund Class 1		5,382		26,122			0.12	%		0.38	%
Frontier Heritage Fund Class 1AP		5		21			0.10	%		0.37	%
Frontier Heritage Fund Class 2		836		8,742			0.12	%		0.39	%
Total	$	100,968	$	272,752

50

7. Financial Highlights

The following information presents the financial highlights of the Trust, with respect to the Series, for the three and six months ended June 30, 2018 and 2017.

	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, March 31, 2018	$	106.53			$	124.26		$	115.59		$	98.30		$	114.67		$	107.10		$	77.86		$	112.44		$	89.95		$	117.97		$	94.24
Net operating results:
Interest income		0.06				0.07			0.07			0.10			0.12			0.11			0.07			0.11			0.08			0.11			0.09
Expenses		(1.73	)			(1.07	)		(0.99	)		(2.19	)		(1.94	)		(1.81	)		(1.23	)		(0.67	)		(0.53	)		(0.70	)		(0.56	)
Net gain/(loss) on investments, net of non-controlling interests		3.44				3.61			3.43			3.12			3.53			3.37			(5.92	)		(5.36	)		(7.37	)		(5.63	)		(7.66	)
Net income/(loss)		1.77				2.61			2.50			1.03			1.71			1.67			(7.08	)		(5.92	)		(7.82	)		(6.22	)		(8.13	)
Net asset value, June 30, 2018	$	108.30			$	126.87		$	118.09		$	99.33		$	116.38		$	108.77		$	70.78		$	106.52		$	82.13		$	111.75		$	86.11
Ratios to average net assets
Net investment income/(loss)		-6.27	%			-3.20	%		-3.20	%		-8.68	%		-6.48	%		-6.48	%		-6.13	%		-2.05	%		-2.05	%		-2.05	%		-2.05	%
Expenses before incentive fees (3)(4)		6.50	%			3.43	%		3.43	%		9.11	%		6.91	%		6.91	%		6.51	%		2.43	%		2.43	%		2.43	%		2.43	%
Expenses after incentive fees (3)(4)		6.50	%			3.43	%		3.43	%		9.11	%		6.91	%		6.91	%		6.51	%		2.43	%		2.43	%		2.43	%		2.43	%
Total return before incentive fees (2)		1.66	%			2.10	%		2.16	%		1.05	%		1.49	%		1.56	%		-9.09	%		-5.27	%		-8.69	%		-5.27	%		-8.63	%
Total return after incentive fees (2)		1.66	%			2.10	%		2.16	%		1.05	%		1.49	%		1.56	%		-9.09	%		-5.27	%		-8.69	%		-5.27	%		-8.63	%
	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, March 31, 2018	$	124.93			$	139.33		$	187.88		$	162.67		$	162.12					$	76.47		$	85.36		$	113.28
Net operating results:
Interest income		0.03				0.03			0.04			0.03			0.03						0.00			0.00			0.00
Expenses		(2.08	)			(1.29	)		(1.74	)		(1.51	)		(1.50	)					(0.98	)		(0.48	)		(0.63	)
Net gain/(loss) on investments, net of non-controlling interests		2.33				2.61			3.54			3.14			3.12						(0.74	)		(0.81	)		(1.09	)
Net income/(loss)		0.28				1.35			1.84			1.66			1.65						(1.72	)		(1.29	)		(1.72	)
Net asset value, June 30, 2018	$	125.21			$	140.68		$	189.72		$	164.33		$	163.77					$	74.75		$	84.07		$	111.56
Ratios to average net assets
Net investment income/(loss)		-6.64	%			-3.64	%		-3.64	%		-3.64	%		-3.64	%					-5.28	%		-2.28	%		-2.28	%
Expenses before incentive fees (3)(4)		6.73	%			3.73	%		3.73	%		3.73	%		3.73	%					5.28	%		2.28	%		2.28	%
Expenses after incentive fees (3)(4)		6.73	%			3.73	%		3.73	%		3.73	%		3.73	%					5.28	%		2.28	%		2.28	%
Total return before incentive fees (2)		0.22	%			0.97	%		0.98	%		1.02	%		1.02	%					-2.25	%		-1.51	%		-1.52	%
Total return after incentive fees (2)		0.22	%			0.97	%		0.98	%		1.02	%		1.02	%					-2.25	%		-1.51	%		-1.52	%
	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, March 31, 2018	$	144.60			$	161.61		$	196.85		$	104.50		$	116.64		$	156.11
Net operating results:
Interest income		0.00				0.00			0.00			0.00			0.00			0.00
Expenses		(3.72	)			(2.95	)		(3.59	)		(2.27	)		(1.68	)		(2.25	)
Net gain/(loss) on investments, net of non-controlling interests		7.78				8.53			10.21			0.45			0.50			0.68
Net income/(loss)		4.06				5.58			6.62			(1.82	)		(1.18	)		(1.57	)
Net asset value, June 30, 2018	$	148.66			$	167.19		$	203.47		$	102.68		$	115.46		$	154.54
Ratios to average net assets
Net investment income/(loss)		-10.21	%			-7.20	%		-7.20	%		-8.87	%		-5.87	%		-5.87	%
Expenses before incentive fees (3)(4)		-10.21	%			7.20	%		7.20	%		8.87	%		5.87	%		5.87	%
Expenses after incentive fees (3)(4)		-10.21	%			7.20	%		7.20	%		8.87	%		5.87	%		5.87	%
Total return before incentive fees (2)		2.81	%			3.45	%		3.36	%		-1.74	%		-1.01	%		-1.01	%
Total return after incentive fees (2)		2.81	%			3.45	%		3.36	%		-1.74	%		-1.01	%		-1.01	%

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

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

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

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

51

	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, 2017	$	116.41		$	135.19		$	125.68		$	114.74		$	133.27		$	124.40		$	81.35		$	115.81		$	93.59		$	121.50		$	97.99
Net operating results:
Interest income		0.10			0.12			0.11			0.19			0.22			0.20			0.16			0.22			0.18			0.23			0.19
Expenses		(3.56	)		(2.23	)		(2.07	)		(4.47	)		(3.94	)		(3.66	)		(2.42	)		(1.36	)		(1.10	)		(1.42	)		(1.15	)
Net gain/(loss) on investments, net of non-controlling interests		(4.65	)		(6.21	)		(5.63	)		(11.13	)		(13.17	)		(12.17	)		(8.31	)		(8.15	)		(10.54	)		(8.56	)		(10.92	)
Net income/(loss)		(8.11	)		(8.32	)		(7.59	)		(15.41	)		(16.89	)		(15.63	)		(10.57	)		(9.29	)		(11.46	)		(9.75	)		(11.88	)
Net asset value, June 30, 2018	$	108.30		$	126.87		$	118.09		$	99.33		$	116.38		$	108.77		$	70.78		$	106.52		$	82.13		$	111.75		$	86.11
Ratios to average net assets
Net investment income/(loss)		-6.37	%		-3.33	%		-3.33	%		-8.50	%		-6.26	%		-6.26	%		-5.67	%		-2.02	%		-2.02	%		-2.02	%		-2.02	%
Expenses before incentive fees (3)(4)		6.55	%		3.51	%		3.51	%		8.87	%		6.63	%		6.63	%		6.06	%		2.41	%		2.41	%		2.41	%		2.41	%
Expenses after incentive fees (3)(4)		6.56	%		3.52	%		3.52	%		8.87	%		6.63	%		6.63	%		6.06	%		2.41	%		2.41	%		2.41	%		2.41	%
Total return before incentive fees (2)		-6.96	%		-6.14	%		-6.03	%		-13.43	%		-12.67	%		-12.56	%		-12.99	%		-8.02	%		-12.24	%		-8.02	%		-12.12	%
Total return after incentive fees (2)		-6.97	%		-6.15	%		-6.04	%		-13.43	%		-12.67	%		-12.56	%		-12.99	%		-8.02	%		-12.24	%		-8.02	%		-12.12	%
	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, 2017	$	135.96		$	150.56		$	202.90		$	175.77		$	175.18					$	90.27		$	100.02		$	132.73
Net operating results:
Interest income		0.08			0.08			0.11			0.10			0.10						0.00			0.00			0.00
Expenses		(4.67	)		(3.10	)		(4.18	)		(3.63	)		(3.62	)					(2.13	)		(1.05	)		(1.42	)
Net gain/(loss) on investments, net of non-controlling interests		(6.16	)		(6.86	)		(9.11	)		(7.91	)		(7.89	)					(13.39	)		(14.90	)		(19.75	)
Net income/(loss)		(10.75	)		(9.88	)		(13.18	)		(11.44	)		(11.41	)					(15.52	)		(15.95	)		(21.17	)
Net asset value, June 30, 2018	$	125.21		$	140.68		$	189.72		$	164.33		$	163.77					$	74.75		$	84.07		$	111.56
Ratios to average net assets
Net investment income/(loss)		-6.94	%		-3.95	%		-3.95	%		-3.95	%		-3.95	%					-5.38	%		-2.38	%		-2.38	%
Expenses before incentive fees (3)(4)		6.72	%		3.72	%		3.72	%		3.72	%		3.72	%					5.38	%		2.38	%		2.38	%
Expenses after incentive fees (3)(4)		7.06	%		4.07	%		4.07	%		4.07	%		4.07	%					5.38	%		2.38	%		2.38	%
Total return before incentive fees (2)		-7.56	%		-6.22	%		-6.15	%		-6.16	%		-6.17	%					-17.19	%		-15.95	%		-15.95	%
Total return after incentive fees (2)		-7.91	%		-6.56	%		-6.50	%		-6.51	%		-6.51	%					-17.19	%		-15.95	%		-15.95	%
	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, 2017	$	159.08		$	176.44		$	216.50		$	121.19		$	134.28		$	179.70
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00			0.00
Expenses		(7.15	)		(5.46	)		(6.87	)		(4.74	)		(3.48	)		(4.63	)
Net gain/(loss) on investments, net of non-controlling interests		(3.27	)		(3.79	)		(6.16	)		(13.77	)		(15.34	)		(20.53	)
Net income/(loss)		(10.42	)		(9.25	)		(13.03	)		(18.51	)		(18.82	)		(25.16	)
Net asset value, June 30, 2018	$	148.66		$	167.19		$	203.47		$	102.68		$	115.46		$	154.54
Ratios to average net assets
Net investment income/(loss)		-9.53	%		-6.53	%		-6.53	%		-8.69	%		-5.69	%		-5.69	%
Expenses before incentive fees (3)(4)		9.53	%		6.53	%		6.53	%		8.66	%		5.67	%		5.67	%
Expenses after incentive fees (3)(4)		9.53	%		6.53	%		6.53	%		8.69	%		5.69	%		5.69	%
Total return before incentive fees (2)		-6.55	%		-5.24	%		-6.02	%		-15.25	%		-13.99	%		-13.97	%
Total return after incentive fees (2)		-6.55	%		-5.24	%		-6.02	%		-15.27	%		-14.02	%		-14.00	%

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

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

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

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

52

	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, March 31, 2017	$	119.31		$	136.74		$	126.88		$	113.10		$	129.65		$	120.78		$	95.00		$	133.17		$	109.48		$	134.87		$	111.98
Net operating results:
Interest income		0.06			0.06			0.06			0.14			0.16			0.15			0.00			0.00			0.00			0.00			0.00
Expenses		(2.43	)		(1.33	)		(1.23	)		(2.41	)		(2.04	)		(1.90	)		(0.57	)		(0.07	)		(0.06	)		(0.07	)		(0.06	)
Net gain/(loss) on investments, net of non-controlling interests		(5.21	)		(6.86	)		(6.29	)		(8.44	)		(9.87	)		(9.13	)		(10.80	)		(16.73	)		(14.03	)		(12.74	)		(12.16	)
Net income/(loss)		(7.58	)		(8.12	)		(7.46	)		(10.71	)		(11.75	)		(10.88	)		(11.37	)		(16.80	)		(14.09	)		(12.81	)		(12.22	)
Net asset value, June 30, 2017	$	111.73		$	128.62		$	119.42		$	102.39		$	117.90		$	109.90		$	83.63		$	116.37		$	95.39		$	122.06		$	99.76
Ratios to average net assets (3)
Net investment income/(loss)		-7.96	%		-3.68	%		-3.68	%		-8.22	%		-5.93	%		-5.93	%		-6.42	%		-4.12	%		-4.12	%		-4.12	%		-4.12	%
Expenses before incentive fees (rebate) (4)(5)		8.15	%		3.87	%		3.87	%		8.72	%		6.43	%		6.43	%		7.71	%		5.42	%		5.42	%		5.42	%		5.42	%
Expenses after incentive fees (rebate) (4)(5)		8.15	%		3.87	%		3.87	%		8.72	%		6.43	%		6.43	%		6.42	%		4.12	%		4.12	%		4.12	%		4.12	%
Total return before incentive fees (rebate) (2)		-6.35	%		-5.94	%		-5.88	%		-9.47	%		-9.06	%		-9.01	%		-13.27	%		-13.91	%		-14.17	%		-10.80	%		-12.21	%
Total return after incentive fees (rebate) (2)		-6.35	%		-5.94	%		-5.88	%		-9.47	%		-9.06	%		-9.01	%		-11.97	%		-12.62	%		-12.87	%		-9.50	%		-10.91	%
	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, March 31, 2017	$	137.81		$	149.29		$	200.81		$	174.17		$	173.59					$	89.88		$	97.27		$	129.20
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00						0.00			0.00			0.00
Expenses		(2.60	)		(1.70	)		(2.29	)		(1.99	)		(1.98	)					(1.29	)		(0.70	)		(0.94	)
Net gain/(loss) on investments, net of non-controlling interests		(5.37	)		(5.88	)		(7.90	)		(6.41	)		(6.39	)					(9.80	)		(10.67	)		(14.15	)
Net income/(loss)		(7.97	)		(7.58	)		(10.19	)		(8.40	)		(8.37	)					(11.09	)		(11.37	)		(15.09	)
Net asset value, June 30, 2017	$	129.84		$	141.71		$	190.62		$	165.77		$	165.22					$	78.79		$	85.90		$	114.11
Ratios to average net assets (3)
Net investment income/(loss)		-7.57	%		-4.56	%		-4.56	%		-4.56	%		-4.56	%					-6.03	%		-3.02	%		-3.02	%
Expenses before incentive fees (rebate) (4)(5)		7.57	%		4.56	%		4.56	%		4.56	%		4.56	%					6.03	%		3.02	%		3.02	%
Expenses after incentive fees (rebate) (4)(5)		7.57	%		4.56	%		4.56	%		4.56	%		4.56	%					6.03	%		3.02	%		3.02	%
Total return before incentive fees (rebate) (2)		-5.78	%		-5.08	%		-5.07	%		-4.82	%		-4.82	%					-12.34	%		-11.69	%		-11.68	%
Total return after incentive fees (rebate) (2)		-5.78	%		-5.08	%		-5.07	%		-4.82	%		-4.82	%					-12.34	%		-11.69	%		-11.68	%
	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, March 31, 2017	$	152.93		$	165.26		$	210.30		$	115.22		$	125.64		$	167.02
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00			0.00
Expenses		(3.38	)		(2.45	)		(3.12	)		(2.36	)		(1.64	)		(2.19	)
Net gain/(loss) on investments, net of non-controlling interests		(5.46	)		(5.55	)		(7.52	)		(3.88	)		(5.06	)		(5.66	)
Net income/(loss)		(8.84	)		(8.00	)		(10.64	)		(6.24	)		(6.70	)		(7.85	)
Net asset value, June 30, 2017	$	144.09		$	157.26		$	199.66		$	108.98		$	118.94		$	159.17
Ratios to average net assets (3)
Net investment income/(loss)		-9.06	%		-6.05	%		-6.05	%		-8.32	%		-5.32	%		-5.32	%
Expenses before incentive fees (rebate) (4)(5)		9.06	%		6.05	%		6.05	%		8.32	%		5.32	%		5.32	%
Expenses after incentive fees (rebate) (4)(5)		9.06	%		6.05	%		6.05	%		8.32	%		5.32	%		5.32	%
Total return before incentive fees (rebate) (2)		-5.78	%		-4.84	%		-5.06	%		-5.42	%		-5.33	%		-4.70	%
Total return after incentive fees (rebate) (2)		-5.78	%		-4.84	%		-5.06	%		-5.42	%		-5.33	%		-4.70	%

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

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

(3) Annualized with the exception of incentive fees.

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

(5) 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		0.22			0.25			0.23			0.41			0.47			0.44			0.01			0.00			0.00			0.00			0.00
Expenses		(4.50	)		(2.34	)		(2.17	)		(4.88	)		(4.15	)		(3.86	)		(2.00	)		(1.35	)		(1.11	)		(1.36	)		(1.12	)
Net gain/(loss) on investments, net of non-controlling interests		(0.42	)		(2.23	)		(1.91	)		(5.94	)		(7.20	)		(6.57	)		(7.16	)		(11.86	)		(9.17	)		(7.38	)		(6.62	)
Net income/(loss)		(4.70	)		(4.32	)		(3.85	)		(10.41	)		(10.88	)		(9.99	)		(9.15	)		(13.21	)		(10.28	)		(8.74	)		(7.74	)
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
Ratios to average net assets (3)
Net investment income/(loss)		-7.39	%		-3.22	%		-3.22	%		-7.97	%		-5.72	%		-5.72	%		-5.40	%		-3.21	%		-3.21	%		-3.21	%		-3.21	%
Expenses before incentive fees (rebate) (4)(5)		7.87	%		3.70	%		3.70	%		8.70	%		6.45	%		6.45	%		6.52	%		4.33	%		4.33	%		4.33	%		4.33	%
Expenses after incentive fees (rebate) (4)(5)		7.75	%		3.58	%		3.58	%		8.70	%		6.45	%		6.45	%		5.40	%		3.21	%		3.21	%		3.21	%		3.21	%
Total return before incentive fees (rebate) (2)		-4.15	%		-3.37	%		-3.24	%		-9.23	%		-8.45	%		-8.33	%		-10.98	%		-11.32	%		-10.85	%		-7.80	%		-8.32	%
Total return after incentive fees (rebate) (2)		-4.04	%		-3.25	%		-3.12	%		-9.23	%		-8.45	%		-8.33	%		-9.86	%		-10.20	%		-9.73	%		-6.68	%		-7.20	%
	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		0.00			0.00			0.00			0.00			0.00						0.00			0.00			0.00
Expenses		(4.54	)		(2.73	)		(3.68	)		(3.20	)		(3.18	)					(2.92	)		(1.73	)		(2.30	)
Net gain/(loss) on investments, net of non-controlling interests		(0.42	)		(0.53	)		(0.69	)		(0.08	)		(0.09	)					(12.35	)		(13.53	)		(17.84	)
Net income/(loss)		(4.96	)		(3.26	)		(4.37	)		(3.28	)		(3.27	)					(15.27	)		(15.26	)		(20.14	)
Net asset value, June 30, 2017	$	129.84		$	141.71		$	190.62		$	165.77		$	165.22					$	78.79		$	85.90		$	114.11
Ratios to average net assets (3)
Net investment income/(loss)		-6.69	%		-3.72	%		-3.72	%		-3.72	%		-3.72	%					-6.58	%		-3.61	%		-3.61	%
Expenses before incentive fees (rebate) (4)(5)		6.69	%		3.72	%		3.72	%		3.72	%		3.72	%					6.58	%		3.61	%		3.61	%
Expenses after incentive fees (rebate) (4)(5)		6.69	%		3.72	%		3.72	%		3.72	%		3.72	%					6.58	%		3.61	%		3.61	%
Total return before incentive fees (rebate) (2)		-3.68	%		-2.25	%		-2.24	%		-1.94	%		-1.94	%					-16.23	%		-15.09	%		-15.00	%
Total return after incentive fees (rebate) (2)		-3.68	%		-2.25	%		-2.24	%		-1.94	%		-1.94	%					-16.23	%		-15.09	%		-15.00	%
	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		0.00			0.00			0.00			0.00			0.00			0.00
Expenses		(6.43	)		(4.54	)		(5.77	)		(4.57	)		(3.10	)		(4.16	)
Net gain/(loss) on investments, net of non-controlling interests		(3.99	)		(4.37	)		(5.55	)		(6.03	)		(6.56	)		(8.76	)
Net income/(loss)		(10.42	)		(8.91	)		(11.32	)		(10.60	)		(9.66	)		(12.92	)
Net asset value, June 30, 2017	$	144.09		$	157.26		$	199.66		$	108.98		$	118.94		$	159.18
Ratios to average net assets (3)
Net investment income/(loss)		-8.71	%		-5.75	%		-5.75	%		-8.00	%		-5.03	%		-5.03	%
Expenses before incentive fees (rebate) (4)(5)		8.88	%		5.91	%		5.91	%		8.05	%		5.08	%		5.08	%
Expenses after incentive fees (rebate) (4)(5)		8.71	%		5.75	%		5.75	%		8.00	%		5.03	%		5.03	%
Total return before incentive fees (rebate) (2)		-6.91	%		-5.53	%		-5.53	%		-8.92	%		-7.56	%		-7.56	%
Total return after incentive fees (rebate) (2)		-6.74	%		-5.36	%		-5.37	%		-8.86	%		-7.51	%		-7.51	%

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

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

(3) Annualized with the exception of incentive fees.

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

(5) 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

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 June 30, 2018 and December 31, 2017 is included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.

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

For the Three Months Ended June 30, 2018
Monthly average contracts
	Bought		Sold
Frontier Balanced Fund		174		301

For the Three Months Ended June 30, 2017
Monthly average contracts
	Bought		Sold
Frontier Balanced Fund		1,553		1,494
Frontier Select Fund		4,296		4,510
Frontier Winton Fund		2,460		2,301

For the Six Months Ended June 30, 2018
Monthly average contracts
	Bought		Sold
Frontier Balanced Fund		1,522		1,518

For the Six Months Ended June 30, 2017
Monthly average contracts
	Bought		Sold
Frontier Balanced Fund		1,509		1,452
Frontier Select Fund		4,690		4,675
Frontier Winton Fund		2,327		2,229

55

The following tables summarize the trading revenues for the three and six months ended June 30, 2018 and 2017 by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2018

	Frontier Balanced
Type of contract	Fund
Metals	$	(46,019	)
Currencies		(222,765	)
Energies		19,021
Agriculturals		22,712
Interest rates		(10,368	)
Stock indices		(20,242	)
Realized trading income/(loss)(1)	$	(257,661	)

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2017

	Frontier Balanced			Frontier Select			Frontier Winton
Type of contract	Fund			Fund			Fund
Metals	$	(63,053	)	$	(147,874	)	$	(359,840	)
Currencies		(5,208	)		(421,861	)		(1,716,228	)
Energies		62,147			(323,598	)		(689,356	)
Agriculturals		(64,480	)		343,408			804,031
Interest rates		(265,202	)		(248,354	)		(1,051,063	)
Stock indices		60,738			(70,118	)		2,034,547
Realized trading income/(loss)(1)	$	(275,058	)	$	(868,397	)	$	(977,909	)

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

Unrealized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2018

	Frontier Balanced
Type of contract	Fund
Metals	$	9,429
Currencies		(61,638	)
Energies		(5,285	)
Agriculturals		(84,319	)
Interest rates		(36,616	)
Stock indices		(9,498	)
Change in unrealized trading income/(loss)(1)	$	(187,927	)

Unrealized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2017

	Frontier Balanced			Frontier Select			Frontier Winton
Type of contract	Fund			Fund			Fund
Metals	$	(52,828	)	$	(9,063	)	$	(136,499	)
Currencies		(96,959	)		(262,704	)		120,084
Energies		10,716			104,687			(137,899	)
Agriculturals		(153,701	)		(146,505	)		(277,228	)
Interest rates		85,379			(63,344	)		(166,541	)
Stock indices		(42,702	)		502,819			(410,552	)
Change in unrealized trading income/(loss)(1)	$	(250,095	)	$	125,890		$	(1,008,635	)

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

56

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2018

	Frontier Balanced
Type of contract	Fund
Metals	$	(105,544	)
Currencies		(199,028	)
Energies		61,256
Agriculturals		50,782
Interest rates		(97,212	)
Stock indices		6,410
Realized trading income/(loss)(1)	$	(283,336	)

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2017

	Frontier Balanced			Frontier Select			Frontier Winton
Type of contract	Fund			Fund			Fund
Metals	$	(77,540	)	$	(145,043	)	$	(1,062,314	)
Currencies		(180,217	)		(126,402	)		(1,518,211	)
Energies		36,154			(516,253	)		(1,287,287	)
Agriculturals		(253,991	)		27,824			706,552
Interest rates		(452,270	)		(768,438	)		(1,171,158	)
Stock indices		276,695			832,876			5,661,844
Realized trading income/(loss)(1)	$	(651,169	)	$	(695,436	)	$	1,329,426

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

Unrealized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2018

	Frontier Balanced
Type of contract	Fund
Metals	$	23,123
Currencies		(101,409	)
Energies		(51,468	)
Agriculturals		(43,085	)
Interest rates		112,053
Stock indices		(16,876	)
Change in unrealized trading income/(loss)(1)	$	(77,662	)

Unrealized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2017

	Frontier Balanced			Frontier Select			Frontier Winton
Type of contract	Fund			Fund			Fund
Metals	$	(151,669	)	$	(51,351	)	$	15,476
Currencies		(1,088	)		(370,286	)		(622,946	)
Energies		3,323			(146,125	)		(176,044	)
Agriculturals		(156,672	)		108,409			(297,429	)
Interest rates		6,812			(296,328	)		(648,693	)
Stock indices		(19,904	)		609,833			(676,146	)
Change in unrealized trading income/(loss)(1)	$	(319,198	)	$	(145,848	)	$	(2,405,782	)

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

57

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 June 30, 2018 and December 31, 2017.

As of June 30, 2018						Net Amounts
			Gross Amounts			Presented in the
	Gross Amounts of		offset in the			Statements of
	recognized		Statements of			Financial
	Derivative Assets		Financial			Condition
Frontier Balanced Fund
Open Trade Equity/(Deficit)	$	203,783	$	(87,041	)	$	116,742
Swap Contracts		10,470,609		—			10,470,609
Frontier Diversified Fund
Swap Contracts	$	11,853,253	$	—		$	11,853,253
Frontier Long/Short Commodity Fund
Swap Contracts	$	432,925	$	—		$	432,925
Frontier Heritage Fund
Swap Contracts	$	3,003,834	$	—		$	3,003,834

58

As of December 31, 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
Frontier Balanced Fund
Open Trade Equity/(Deficit)	$	343,222	$	(164,670	)	$	178,552
Swap Contracts		11,340,959		—			11,340,959
Frontier Diversified Fund
Swap Contracts	$	6,376,472	$	—		$	6,376,472
Frontier Long/Short Commodity Fund
Swap Contracts	$	397,039	$	—		$	397,039
Frontier Heritage Fund
Swap Contracts	$	3,094,367	$	—		$	3,094,367

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 Morgan Stanley & Co. 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 Series have not recorded any liability for the indemnifications in the accompanying financial statement, as it expects any possibility of losses to be remote.

11.Subsequent Events

On July 26, 2018, the swaps terminating on August 2, 2018 and August 7, 2018 were extended to July 31, 2023.

59

Frontier Funds

Consolidated Statements of Financial Condition

June 30, 2018 (unaudited) and December 31, 2017

	6/30/18		12/31/17
ASSETS
Cash and cash equivalents	$	1,358,371	$	2,695,377
U.S. Treasury securities, at fair value		13,553,995		10,887,786
Receivable from futures commission merchants		9,715,270		20,584,602
Open trade equity, at fair value		1,070,026		1,568,414
Incentive fee receivable		57,082		57,082
Swap contracts, at fair value		19,697,168		21,208,838
Investments in private investment companies, at fair value		53,040,972		66,933,235
Interest receivable		277,320		214,730
Due from Managing Owner		—		31,887
Receivables from related party		—		58,146
Total Assets	$	98,770,204	$	124,240,097
LIABILITIES & CAPITAL
LIABILITIES
Owner redemptions payable	$	250,002	$	76,773
Incentive fees payable to Managing Owner		—		53,036
Management fees payable to Managing Owner		75,630		90,972
Interest payable to Managing Owner		21,505		26,007
Trading fees payable to Managing Owner		109,219		334,485
Service fees payable to Managing Owner		238,409		148,445
Risk analysis fees payable		21,444		25,576
Advance on unrealized Swap Appreciation		9,441,555		9,441,555
Other liabilities		269,330		278,983
Total Liabilities		10,427,094		10,475,832
OWNERS CAPITAL
Managing Owner Units		898,763		1,159,984
Limited Owner Units		87,444,347		112,604,281
Total Owners Capital		88,343,110		113,764,265
Total Liabilities and Owners Capital	$	98,770,204	$	124,240,097

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

60

Frontier Funds

Consolidated Condensed Schedule of Investments

6/30/2018 (unaudited)

			Fair			% of Total Capital
Description			Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
		Various agriculture futures contracts (Canada)	$	(41	)		0.00	%
		Various agriculture futures contracts (Europe)		(58	)		0.00	%
		Various base metals futures contracts (U.S.)		(235,758	)		-0.27	%
		Various currency futures contracts (Canada)		105			0.00	%
		Various currency futures contracts (Europe)		(3,156	)		0.00	%
		Various currency futures contracts (Latin America)		33,860			0.04	%
		Various energy futures contracts (Europe)		(4,181	)		0.00	%
		Various energy futures contracts (U.S.)		366,792			0.42	%
		Various interest rates futures contracts (Canada)		(6,799	)		-0.01	%
		Various interest rates futures contracts (Europe)		207,662			0.24	%
		Various interest rates futures contracts (Far East)		10,724			0.01	%
		Various interest rates futures contracts (Oceanic)		7,706			0.01	%
		Various interest rates futures contracts (U.S.)		24,706			0.03	%
		Various soft futures contracts (U.S.)		(13,740	)		-0.02	%
		Various stock index futures contracts (Canada)		514			0.00	%
		Various stock index futures contracts (Europe)		(14,452	)		-0.02	%
		Various stock index futures contracts (Far East)		(3,332	)		0.00	%
		Various stock index futures contracts (Oceanic)		6,984			0.01	%
		Various stock index futures contracts (U.S.)		(18,156	)		-0.02	%
		Total Long Futures Contracts	$	359,380			0.42	%
SHORT FUTURES CONTRACTS *
		Various agriculture futures contracts (U.S.)	$	158,776			0.18	%
		Various base metals futures contracts (U.S.)		156,716			0.18	%
		Various currency futures contracts (Europe)		55,444			0.06	%
		Various currency futures contracts (Far East)		47,813			0.05	%
		Various currency futures contracts (Oceanic)		21,140			0.02	%
		Various interest rates futures contracts (Europe)		(1	)		0.00	%
		Various interest rates futures contracts (Oceanic)		(3,211	)		0.00	%
		Various interest rates futures contracts (U.S.)		66,259			0.08	%
		Various precious metal futures contracts (U.S.)		238,510			0.27	%
		Various soft futures contracts (Europe)		(9,968	)		-0.01	%
		Various soft futures contracts (Far East)		15,131			0.02	%
		Various soft futures contracts (U.S.)		55,652			0.06	%
		Various stock index futures contracts (Africa)		(13,771	)		-0.02	%
		Various stock index futures contracts (U.S.)		1,528			0.00	%
		Total Short Futures Contracts	$	790,018			0.89	%
CURRENCY FORWARDS *
		Various currency forwards contracts (NA)	$	(79,372	)		-0.09	%
		Total Currency Forwards	$	(79,372	)		-0.09	%
		Total Open Trade Equity (Deficit)	$	1,070,026			1.22	%
SWAPS (1)
		Frontier Brevan Howard swap (U.S.)	$	3,003,834			3.40	%
		Frontier XXXIV Balanced select swap (U.S.)		10,470,609			11.85	%
		Frontier XXXV Diversified select swap (U.S.)		5,789,800			6.55	%
		Frontier XXXVII L/S select swap (U.S.)		432,925			0.49	%
		Total Swaps	$	19,697,168			22.29	%
PRIVATE INVESTMENT COMPANIES (2)
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		6,573,225			7.44	%
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		3,522,510			3.99	%
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		5,499,707			6.23	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		4,880,901			5.52	%
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		6,291,969			7.12	%
		Galaxy Plus Fund - Quest Fit Feeder Fund (517) LLC		2,492,833			2.82	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		753,906			0.85	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,585,279			1.79	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		17,519,728			19.83	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		2,964,484			3.36	%
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		956,430			1.08	%
		Total Private Investment Companies	$	53,040,972			60.03	%
U.S. TREASURY SECURITIES
FACE VALUE			Fair Value			Fair Value
$	10,737,000	US Treasury Note 6.875% due 08/15/2025 (Cost $13,711,448)		13,553,995			15.34	%
		Total U.S. Treasury Securities	$	13,553,995			15.34	%

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

(1) 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.

61

Frontier Funds

Consolidated Condensed Schedule of Investments

December 31, 2017

			Fair			% of Total Capital
Description			Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
		Various base metals futures contracts (U.S.)	$	1,088,822			0.96	%
		Various currency futures contracts (Canada)		18,470			0.02	%
		Various currency futures contracts (Europe)		27,263			0.02	%
		Various currency futures contracts (Oceanic)		20,670			0.02	%
		Various currency futures contracts (U.S.)		(52,460	)		-0.05	%
		Various energy futures contracts (U.S.)		513,613			0.45	%
		Various energy futures contracts (Europe)		(11,873	)		-0.01	%
		Various interest rates futures contracts (Europe)		(118,226	)		-0.10	%
		Various interest rates futures contracts (Far East)		(4,756	)		0.00	%
		Various interest rates futures contracts (Oceanic)		(23,380	)		-0.02	%
		Various interest rates futures contracts (U.S.)		(25,875	)		-0.02	%
		Various precious metal futures contracts (U.S.)		18,190			0.02	%
		Various soft futures contract (Europe)		(372	)		0.00	%
		Various soft futures contract (U.S.)		55,621			0.05	%
		Various stock index futures contracts (Africa)		4,465			0.00	%
		Various stock index futures contracts (Canada)		5,605			0.00	%
		Various stock index futures contracts (Europe)		(104,638	)		-0.09	%
		Various stock index futures contracts (Far East)		96,403			0.08	%
		Various stock index futures contracts (Oceanic)		2,815			0.00	%
		Various stock index futures contracts (U.S.)		197,228			0.17	%
		Total Long Futures Contracts	$	1,707,585			1.50	%
SHORT FUTURES CONTRACTS *
		Various base metals futures contracts (U.S.)	$	(411,270	)		-0.36	%
		Various currency futures contracts (Europe)		(89,175	)		-0.08	%
		Various currency futures contracts (Far East)		(50,066	)		-0.04	%
		Various currency futures contracts (U.S.)		40,897			0.04	%
		Various energy futures contracts (U.S.)		(77,171	)		-0.07	%
		Various interest rates futures contracts (Canada)		(4,439	)		0.00	%
		Various interest rates futures contracts (Europe)		(6,824	)		-0.01	%
		Various interest rates futures contracts (Oceanic)		1,509			0.00	%
		Various interest rates futures contracts (U.S.)		104,111			0.09	%
		Various precious metal futures contracts (U.S.)		(153,585	)		-0.14	%
		Various soft futures contract (U.S.)		93,576			0.08	%
		Various soft futures contracts (Europe)		35,920			0.03	%
		Various stock index futures contracts (U.S.)		(45,128	)		-0.04	%
		Total Short Futures Contracts	$	(561,645	)		-0.50	%
CURRENCY FORWARDS *
		Various currency forwards contracts (NA)	$	422,474			0.37	%
		Total Currency Forwards	$	422,474			0.37	%
		Total Open Trade Equity (Deficit)	$	1,568,414			1.37	%
SWAPS (1)
		Frontier Brevan Howard swap (U.S.)	$	3,094,367			2.72	%
		Frontier XXXIV Balanced select swap (U.S.)		11,340,960			9.97	%
		Frontier XXXV Diversified select swap (U.S.)		6,376,472			5.60	%
		Frontier XXXVII L/S select swap (U.S.)		397,039			0.35	%
		Total Swaps	$	21,208,838			18.64	%
PRIVATE INVESTMENT COMPANIES (2)
		Galaxy Plus Fund - Chesapeake Feeder Fund (518)	$	1,774,375			1.56	%
		Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC		6,507,863			5.72	%
		Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		3,759,970			3.31	%
		Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		7,523,327			6.61	%
		Galaxy Plus Fund - QIM Feeder Fund (526) LLC		6,607,668			5.81	%
		Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		6,204,663			5.45	%
		Galaxy Plus Fund - Quest Fit Feeder Fund (517) LLC		2,151,869			1.89	%
		Galaxy Plus Fund - Quest Feeder Fund (517) LLC		759,647			0.67	%
		Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,919,350			1.69	%
		Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		23,045,760			20.26	%
		Galaxy Plus Fund - TT Feeder Fund (531) LLC		5,195,266			4.57	%
		Galaxy Plus Fund - LRR Feeder Fund (522) LLC		1,483,477			1.30	%
		Total Private Investment Companies	$	66,933,235			58.84	%
U.S. TREASURY SECURITIES
FACE VALUE			Fair Value			Fair Value
$	8,269,000	US Treasury Note 6.875% due 08/15/2025 (Cost $10,985,078)		10,887,786			9.57	%
		Total U.S. Treasury Securities	$	10,887,786			9.57	%

* 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.

62

Frontier Funds

Consolidated Statements of Operations

For the Three Months Ended June 30, 2018 and 2017 (unaudited)

	2018			2017
Investment income:
Interest - net	$	56,231		$	43,459
Total Income		56,231			43,459
Expenses:
Incentive Fees (rebate)		—			(87,670	)
Management Fees		230,232			684,035
Risk analysis Fees		20,922			38,478
Service Fees - Class 1		411,318			689,028
Trading Fees		761,690		��	1,595,112
Other Fees		—			223,055
Total Expenses		1,424,162			3,142,038
Investment income/(loss) - net		(1,367,931	)		(3,098,579	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		715,860			(2,121,364	)
Net unrealized gain/(loss) on private investment companies		1,333,361			(6,770,235	)
Net realized gain/(loss) on private investment companies		(421,358	)		2,383,096
Net change in open trade equity/(deficit)		249,677			(1,132,840	)
Net unrealized gain/(loss) on swap contracts		56,022			527,815
Net realized gain/(loss) on U.S. Treasury securities		(112,843	)		(1,194,489	)
Net unrealized gain/(loss) on U.S. Treasury securities		34,631			1,744,284
Trading commissions		(32,749	)		(44,377	)
Net gain/(loss) on investments		1,822,601			(6,608,110	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	454,670		$	(9,706,689	)

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

63

Frontier Funds

Consolidated Statements of Operations

For the Six Months Ended June 30, 2018 and 2017 (unaudited)

	2018			2017
Investment income:
Interest - net	$	116,557		$	157,978
Total Income		116,557			157,978
Expenses:
Incentive Fees (rebate)		148,409			(205,571	)
Management Fees		461,121			1,212,823
Risk analysis Fees		43,720			85,159
Service Fees - Class 1		877,098			1,433,011
Trading Fees		1,632,215			3,126,515
Other Fees		—			223,055
Total Expenses		3,162,563			5,874,992
Investment income/(loss) - net		(3,046,006	)		(5,717,014	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(38,891	)		(17,179	)
Net unrealized gain/(loss) on private investment companies		(7,806,201	)		(3,031,749	)
Net realized gain/(loss) on private investment companies		423,435			4,806,521
Net change in open trade equity/(deficit)		(514,240	)		(2,870,827	)
Net unrealized gain/(loss) on swap contracts		1,588,330			(568,884	)
Net realized gain/(loss) on U.S. Treasury securities		(401,667	)		(2,129,137	)
Net unrealized gain/(loss) on U.S. Treasury securities		21,019			2,880,938
Trading commissions		(51,747	)		(114,392	)
Net gain/(loss) on investments		(6,779,962	)		(1,044,709	)
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(9,825,968	)	$	(6,761,723	)

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

64

Frontier Funds

Consolidated Statements of Changes in Owners’ Capital

For the Six Months Ended June 30, 2018 (Unaudited)

	Managing			Limited
	Owner			Owners			Total
Owners’ Capital, December 31, 2017		1,159,984			112,604,281			113,764,265
Sale of Units (including transfers)		—			—			—
Redemption of Units (including transfers)		—			(15,595,187	)		(15,595,187	)
Payment made by Related Party		—			—			—
Net increase/(decrease) in Owners’
Capital resulting from operations		(261,221	)		(9,564,747	)		(9,825,968	)
Owners’ Capital, June 30, 2018	$	898,763		$	87,444,347		$	88,343,110

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.

65

Frontier Funds

Consolidated Statements of Cash Flows

For the Six Months Ended June 30, 2018 and 2017 (unaudited)

	2018			2017
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(9,825,968	)	$	(6,761,723	)
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		498,388			3,549,571
Net change in ownership allocation of U.S. Treasury Securities		—
Net unrealized (gain)/loss on swap contracts		(1,588,330	)		568,884
Net unrealized (gain)/loss on U.S. Treasury securities		(21,019	)		(2,880,938	)
Net realized (gain)/loss on U.S. Treasuries securities		401,667			2,129,137
Net unrealized (gain)/loss on private investment companies		7,806,201			3,031,749
Net realized (gain)/loss on private investment companies		(423,435	)		(4,806,521	)
(Purchases) sales of:
(Purchases) of U.S. Treasury securities		13,523,255			—
Sales of U.S. Treasury securities		(16,729,100	)		31,077,911
(Purchases) of Private Investment Companies		(17,440,372	)		(41,133,231	)
Sales of Private Investment Companies		23,949,869			77,366,330
Reduction of collateral in Swap contracts		3,100,000			3,600,050
U.S. Treasury interest and premium paid/amortized		158,988			271,301
Increase and/or decrease in:
Receivable from futures commission merchants		10,869,332			12,231,207
Interest receivable		(62,590	)		38,007
Receivable from related parties		58,146			87,670
Other assets		—			(369,483	)
Incentive fees payable to Managing Owner		(53,036	)		—
Management fees payable to Managing Owner		(15,342	)		(185,530	)
Interest payable to Managing Owner		(4,502	)		131,313
Trading fees payable to Managing Owner		(225,266	)		(19,392	)
Service fees payable to Managing Owner		89,964			19,036
Due from Managing Owner		31,887			—
Risk analysis fees payable		(4,132	)		60,837
Payables to related parties		—			(85,078	)
Other liabilities		(9,653	)		(125,617	)
Net cash provided by operating activities		14,084,952			77,795,490
Cash Flows from Financing Activities:
Proceeds from sale of capital		—			6,678,069
Payment for redemption of capital		(15,595,187	)		(77,766,064	)
Redemptions payable		173,229			27,493,233
Net cash used in financing activities		(15,421,958	)		(43,594,762	)
Net increase (decrease) in cash and cash equivalents		(1,337,006	)		34,200,728
Cash and cash equivalents, beginning of period		2,695,377			4,747,043
Cash and cash equivalents, end of period	$	1,358,371		$	38,947,771

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

66

Frontier Funds

Notes to Consolidated Financial Statements (Unaudited)

1. Organization and Purpose

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

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

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

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier 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.

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;

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● 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. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund, and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents; and

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

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

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As of June 30, 2018, 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 Fund separates Units into a maximum of three separate Classes- Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes— Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to TranstrendB.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do not invest in Galaxy Plus, their assets are split between investments in Trading Companies and investments in the pooled cash management account.

As of June 30, 2018, Frontier Winton Fund has invested a portion of its assets into two Trading Companies, and a single Trading Advisor manages 100% of the assets invested in each of these Trading Companies. 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.

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 a risk analysis fee (for closed Series only), all of which is allocated to the Series, if consolidated by a Series. Galaxy Plus is a series of Delaware limited liability companies, sponsored by Gemini Alternative Funds, LLC, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Investment interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Trust’s interest in the NAV in the Galaxy Plus entities. The equity interest held by Trust is shown as investments in private investment companies in the statements of financial condition. The income or 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.

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

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

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), Frontier Long/Short Commodity Fund (Class 2 and Class 3), 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) 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.

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Receivable from Futures Commission Merchants—The Trust deposits assets with an FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of June 30, 2018 included restricted cash for margin requirements of $1,610,929 for the Frontier Trading Company I LLC and $3,921,107 for Frontier Trading Company II LLC.

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.

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

Income Taxes—The Trust applies the provisions of ASC 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, 2017. The 2014 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 is treated as a partnership for Federal income tax purposes and, assuming that at least 90% of the gross income of the Trust constitutes “qualifying income” within the meaning of Section 7704(d) of the Code, (ii) the Trust is not a publicly traded partnership treated as a corporation, and (iii) the discussion set forth in the Prospectus under the heading “U.S. Federal Income Tax Consequences” correctly summarizes the material Federal income tax consequences as of the date of the Prospectus to potential U.S. Limited Owners of the purchase, ownership and disposition of Series Units of the Trust.

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

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.

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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.

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.

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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. 

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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 June 30, 2018 and December 31, 2017 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value.

June 30, 2018	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	1,149,398	$	(79,372	)	$	—	$	1,070,026
Swap Contracts		—		—			19,697,168		19,697,168
U.S. Treasury Securities		13,553,995		—			—		13,553,995
								Total
December 31, 2017	Level 1 Inputs		Level 2 Inputs			Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	1,145,940	$	422,474		$	—	$	1,568,414
Swap Contracts		—		—			21,208,838		21,208,838
U.S. Treasury Securities		10,887,786		—			—		10,887,786

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.

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	For the Six months ended June 30, 2018
Balance of recurring Level 3 assets as of January 1, 2018		21,208,838
Total gains or losses (realized/unrealized):
Included in earnings-realized		—
Included in earnings-unrealized		1,588,330
Proceeds from collateral reduction		(3,100,000	)
Purchase of investments		—
Sale of investments		—
Transfers in and/or out of Level 3		—
Balance of recurring Level 3 assets as of June 30, 2018		19,697,168
	For the Year ended December 31, 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		(402,290	)
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 December 31, 2017	$	21,208,838

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 six months ended June 30, 2018, 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 June 30, 2018:

Swap contracts $ 1,588,330

The total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments still held at December 31, 2017:

Swap contracts $ (402,290 )

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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 June 30, 2018 and December 31, 2017, approximately 1.34% or $1,180,900 and 3.80% or $4,284,450, 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 six months ended June 30, 2018:

	XXXIV Balanced select swap	XXXV Diversified select swap	XXXVII L/S select swap	Brevan Howard
	Total Return Swap	Total Return Swap	Total Return Swap	Total Return Swap
Counterparty	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG	DeutscheBank AG
Notional Amount	$11,735,292	$3,054,369	$653,610	$2,072,056
Termination Date	8/2/2018	8/2/2018	8/7/2018	3/27/2023
Cash Collateral	$86,000	$86,000	$29,950	$978,950
Swap Value	$10,384,609	$5,703,800	$402,975	$2,024,884
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Change in Unrealized Gain/(Loss)	$1,129,650	$513,328	$35,886	($90,533)
Fair Value as of June 30, 2018	$10,470,609	$5,789,800	$432,925	$3,003,834
Advance on swap appreciation	($4,926,555)	($2,500,000)	($115,000)	($1,900,000)

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The Trust had invested in the following swap contracts as of and for the year ended December 31, 2017:

	XXXIV Balanced select swap	XXXV Diversified select swap	XXXVII L/S select swap	XXXIX Brevan Howard
	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	$982,500
Swap Value	$9,254,959	$5,190,472	$367,089	$2,111,867
Investee Returns	Total Returns	Total Returns	Total Returns	Total Returns
Realized Gain/(Loss)	$0	$0	$0	$0
Change in Unrealized Gain/(Loss)	($84,491)	($47,375)	$26,621	($297,047)
Fair Value as of 12/31/2017	$11,340,959	$6,376,472	$397,039	$3,094,367
Advance on swap appreciation	($4,926,555)	($2,500,000)	($115,000)	($1,900,000)

5. Investments in Private Investment Companies

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

The Galaxy Plus entities are made up 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.

The following table summarizes the Trust’s equity in earnings from each of the private investment companies during the three and six months ended June 30, 2018 and 2017:

				Thee Months Ended June 30, 2018												Three Months Ended June 30, 2017
							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)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	(18,210	)	$	(211,229	)	$	96,828		$	(132,611	)	$	(43,490	)	$	(360,324	)	$	(203,949	)	$	(607,763	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		—			—			—			—			(78,010	)		(143,543	)		(62,813	)		(284,366	)
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(24,246	)		204,335			(60,057	)		120,032			(35,149	)		136,451			(51,240	)		50,062
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(279,001	)		(910,595	)		1,645,342			455,746			(359,641	)		1,915,649			(341,693	)		1,214,315
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(24,197	)		472,234			(87,469	)		360,568			(80,271	)		958,650			(1,127,955	)		(249,576	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(804	)		(62	)		(201,421	)		(202,287	)		—			—			(1,103,885	)		(1,103,885	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(57,884	)		424,725			601,499			968,340			(156,995	)		(182,145	)		215,301			(123,839	)
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(32,845	)		(213,339	)		26,389			(219,795	)		(121,432	)		105,059			(11,858	)		(28,231	)
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(15,080	)		(107,644	)		50,578			(72,146	)		(27,397	)		1,910,426			(1,894,086	)		(11,057	)
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC		—			—			(49,181	)		(49,181	)		—			—			(334,584	)		(334,584	)
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(20,302	)		50,363			72,752			102,813			(26,272	)		455,907			(997,236	)		(567,601	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(240,251	)		(74,466	)		(104,759	)		(419,476	)		(272,608	)		(820,414	)		(1,247,592	)		(2,340,614	)
Total	$	(712,820	)	$	(365,678	)	$	1,990,501		$	912,003		$	(1,201,265	)	$	3,975,716		$	(7,161,590	)	$	(4,387,139	)

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				Six Months Ended June 30, 2018												Six Months Ended June 30, 2017
							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)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	(68,124	)	$	(282,837	)	$	9,237		$	(341,724	)	$	(83,685	)	$	(636,904	)	$	28,297		$	(692,292	)
Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC		—			(76,396	)		68,413			(7,983	)		(166,385	)		(416,417	)		624,463			41,661
Galaxy Plus Fund - Doherty Feeder Fund (528) LLC		(51,029	)		(229,609	)		2,223			(278,415	)		(87,250	)		241,203			(56,055	)		97,898
Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC		(521,358	)		929,287			(178,780	)		229,149			(1,107,801	)		2,788,186			1,239,617			2,920,002
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(53,977	)		(151,779	)		19,215			(186,541	)		(168,674	)		1,725,922			(616,019	)		941,229
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(804	)		(62	)		(54,811	)		(55,677	)		(570,790	)		—			(1,045,200	)		(1,615,990	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(115,169	)		(944,354	)		62,600			(996,923	)		(1,731,202	)		6,324,463			(698,534	)		3,894,727
Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC		(99,908	)		(98,637	)		17,730			(180,815	)		(289,593	)		789,927			340,209			840,543
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(29,450	)		(83,146	)		6,332			(106,264	)		(68,406	)		2,476,474			(3,156,838	)		(748,770	)
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC		—			—			(76,792	)		(76,792	)		—			—			(1,045,438	)		(1,045,438	)
Galaxy Plus Fund - TT Feeder Fund (531) LLC		(95,405	)		(147,216	)		(333,152	)		(575,773	)		(26,272	)		455,907			(997,235	)		(567,600	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(543,620	)		(4,460,709	)		195,593			(4,808,736	)		(304,329	)		(774,633	)		(1,212,236	)		(2,291,198	)
Total	$	(1,578,844	)	$	(5,545,458	)	$	(262,192	)	$	(7,386,494	)	$	(4,604,387	)	$	12,974,128		$	(6,594,969	)	$	1,774,772

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 - 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 - QuestFIT Feeder Fund (535) Segregated Portfolio	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.

79

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier 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 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any management fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2018, the range of management fees embedded based on fair value of swaps in (i) swaps owned by Frontier Diversified Fund was 1.00% per annum, (ii) swaps owned by Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.50% per annum, and (iv) swaps owned by Frontier Heritage Fund was 1.00% per annum, and the Managing Owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. These embedded management fees may be higher or lower in the future.

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

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

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Incentive Fees— Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. Because the Frontier Balanced Fund, Frontier Diversified Fund, Frontier Masters Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier 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. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2018, the range of incentive fees as a percentage of net new trading profits on swaps embedded in (i) swaps owned by Frontier Diversified Fund was 20-25% per annum, (ii) swaps owned by Frontier Balanced Fund was 20-25% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 25% per annum, and (iv) swaps owned by Frontier Heritage Fund was 15% per annum, and the Managing Owner has waived the entire incentive fee due to it from those Series in respect of such Series’ investment in swaps.These embedded incentive fees may be higher or lower in the future.

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

As of June 30, 2018, the Trust had a payable to the Managing Owner in the amounts of $0, $75,630, $21,505, $109,218, and $238,410 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

As of December 31, 2017, the Trust had a payable to the Managing Owner in the amounts of $53,036, $90,972, $26,007, $334,485 and $148,445 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

For the three months ended June 30, 2018 the Trust paid the Managing Owner $0, $230,232, $411,318 and $761,690 for incentive fees, management fees, service fees, and trading fees, respectively.

For the three months ended June 30, 2017, the Trust paid the Managing Owner $(87,670), $684,035, $689,028 and $1,595,112 for incentive fees, management fees, service fees, and trading fees, respectively.

For the six months ended June 30, 2018 the Trust paid the Managing Owner $148,409, $461,121, $877,096 and $1,632,215 for incentive fees, management fees, service fees, and trading fees, respectively.

For the six months ended June 30, 2017, the Trust paid the Managing Owner $(205,571), $1,212,823, $1,433,011 and $3,126,515 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 six months ended June 30, 2018 and 2017, amounts received or receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $0 and $0, respectively.

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 Long/Short Commodity Fund (Class 2 and Class 3), 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) 100% of the interest is retained by the respective Series. During the six months ended June 30, 2018 and 2017, the Trust paid $100,968 and $272,752, 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.

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7. Financial Highlights

The following information presents the financial highlights of the Trust for the three and six months ended June 30, 2018 and 2017. This data has been derived from the information presented in the consolidated financial statements.

Three months ended
	2018			2017
Ratios to average net assets (1)
Net investment gain/(loss) (1)		-5.90	%		-7.26	%
Expenses before incentive fees (3)		6.14	%		7.26	%
Expenses after incentive fees (3)		6.14	%		7.31	%
Total return before incentive fees (2)		0.49	%		-5.57	%
Total return after incentive fees (2)		0.49	%		-5.52	%
Six months ended
	2018			2017
Ratios to average net assets (1)
Net investment gain/(loss) (1)		-6.03	%		-6.27	%
Expenses before incentive fees (3)		6.12	%		6.44	%
Expenses after incentive fees (3)		6.27	%		6.33	%
Total return before incentive fees (2)		-9.74	%		-3.66	%
Total return after incentive fees (2)		-9.89	%		-3.55	%

(1) Annualized with the exception of incentive fees.

(2) Total returns are not annualized.

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

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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 June 30, 2018 and December 31, 2017 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 months ended June 30, 2018 and June 30, 2017, the monthly average of forwards, options and futures contracts bought was approximately 707 and 8,309, respectively and sold was approximately 613 and 8,305, respectively.

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The following tables summarize the trading revenues for the three and six months ended June 30, 2018 and 2017 by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2018

Type of contract
Metals	$	110,822
Currencies		(735,456	)
Energies		1,237,113
Agriculturals		154,718
Interest rates		132,403
Stock indices		(183,740	)
Realized trading income/(loss)(1)	$	715,860

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2017

Type of contract
Metals	$	(570,768	)
Currencies		(2,143,294	)
Energies		(950,808	)
Agriculturals		1,082,959
Interest rates		(1,564,619	)
Stock indices		2,025,166
Realized trading income/(loss)(1)	$	(2,121,364	)

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

Unrealized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2018

Type of contract
Metals	$	206,966
Currencies		(9,676	)
Energies		(90,184	)
Agriculturals		(21,184	)
Interest rates		72,443
Stock indices		91,312
Change in unrealized trading income/(loss)(1)	$	249,677

Unrealized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended June 30, 2017

Type of contract
Metals	$	(198,389	)
Currencies		(239,580	)
Energies		(22,496	)
Agriculturals		(577,434	)
Interest rates		(144,507	)
Stock indices		49,566
Change in unrealized trading income/(loss)(1)	$	(1,132,840	)

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

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Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2018

Type of contract
Metals	$	286,692
Currencies		(1,063,187	)
Energies		972,529
Agriculturals		(9,340	)
Interest rates		(46,591	)
Stock indices		(178,994	)
Realized trading income/(loss)(1)	$	(38,891	)

Realized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2017

Type of contract
Metals	$	(1,284,897	)
Currencies		(1,824,831	)
Energies		(1,767,386	)
Agriculturals		480,386
Interest rates		(2,391,866	)
Stock indices		6,771,415
Realized trading income/(loss)(1)	$	(17,179	)

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

Unrealized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2018

Type of contract
Metals	$	(382,688	)
Currencies		(278,092	)
Energies		(61,956	)
Agriculturals		21,007
Interest rates		384,926
Stock indices		(197,437	)
Change in unrealized trading income/(loss)(1)	$	(514,240	)

Unrealized Trading Revenue from Futures, Forwards and Options

for the Six Months Ended June 30, 2017

Type of contract
Metals	$	(187,544	)
Currencies		(994,318	)
Energies		(318,845	)
Agriculturals		(345,693	)
Interest rates		(938,210	)
Stock indices		(86,217	)
Change in unrealized trading income/(loss)(1)	$	(2,870,827	)

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

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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 June 30, 2018 and December 31, 2017:

As of June 30, 2018						Net Amounts
			Gross Amounts			Presented in the
	Gross Amounts of		offset in the			Statements of
	recognized		Statements of			Financial
	Derivative Assets		Financial			Condition
Open Trade Equity/(Deficit)	$	1,882,018	$	(811,992	)	$	1,070,026
Swap Contracts		19,697,168		—			19,697,168
As of December 31, 2017						Net Amounts
			Gross Amounts			Presented in the
			offset in the			Consolidated
	Gross Amounts		Consolidated			Statements of
	of recognized		Statements of			Financial
	Derivative Assets		Financial Condition			Condition
Open Trade Equity/(Deficit)	$	2,758,014	$	(1,189,600	)	$	1,568,414
Swap Contracts		21,208,838		—			21,208,838

9. Trading Activities and Related Risks

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

The term “off-balance sheet risk” refers to an unrecorded potential liability that, even though it does not appear on the statements of financial condition, may result in future obligation or loss in excess of the amount paid by the Series for a particular investment. Each Trading Company 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.

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

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

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

10. Indemnifications and Guarantees

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

On July 26, 2018, the swaps terminating on August 2, 2018 and August 7, 2018 were extended to July 31, 2023. 

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

Introduction

The following discussion and analysis contain 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 2017 Annual Report on Form 10-K for the year ended December 31, 2017.

Overview

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

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

All management fees, incentive fees, service fees, risk analysis fee (for closed Series only) and trading fees of the Trust are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the Statement of Operations. The Series are all charged management and incentive fees on the assets allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment companies on the Statements of Operations. As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. In each case, the embedded incentive fee was accrued based on the net new trading profits of the swap. The Series are also charged management and incentive fees on assets allocated to swaps. Such fees are embedded in the fair value of the swap and are included in net unrealized gain (loss) on swap contracts on the Statements of Operations. Embedded in the swap fair value is management and incentive fees being paid to Trading Advisors. As of June 30, 2018, the management fees and range of incentive fees by Trading Company were as follows:

Trading Company	Management Fee			Incentive Fee
Frontier Trading Company XXXIV LLC		1	%		20-25	%
Frontier Trading Company XXXV LLC		1	%		20-25	%
Frontier Trading Company XXXVII LLC		1.5	%		25	%
Frontier Trading Company XXXIX LLC		1	%		15	%

For further discussion of fees paid by the Trust, see Item 1-Notes 2 and 6 “Significant Accounting Policies” and “Transactions with Affiliates”, respectively, in the Notes to Financial Statements (unaudited)

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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.

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.

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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) extensive due diligence questionnaires and (4) 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
Crabel Capital Partners LLPC	Systematic	Swap
Doherty Advisors, LLC	Discretionary	Galaxy Plus
Emil Van Essen, LLC	Discretionary	Galaxy Plus
Fort, L.P.	Systematic	Galaxy Plus
H2O Asset Management	Systematic	Swap
J E Moody & Company	Systematic	Swap
Landmark Trading Company	Discretionary	Galaxy Plus
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 June 30, 2018, the allocation of the assets of each applicable Series of the Trust between the Trading Advisors was as follows:

Allocation as of June 30, 2018 (expressed as a percentage of aggregate notional exposure to commodity trading programs)
				Frontier
	Frontier			Long/Short			Frontier			Frontier						Frontier			Frontier
	Diversified			Commodity			Masters			Balanced			Frontier			Winton			Heritage
Advisor	Fund			Fund			Fund			Fund			Select Fund			Fund			Fund
Aspect Capital Limited		3	%		—			—			4	%		—			—			—
Beach Horizon		—			—			—			4	%		—			—			—
BH-DG Systematic Trading LLP		—			—			—			—			19	%		—			16	%
Crabel Capital Partners, LLPC		5	%		—			—			4	%		—			—			—
Doherty		5	%								4	%
Emil Van Essen, LLC		11	%		28	%		27	%		10	%		—			—			—
Fort, L.P.		11	%		—			—			12	%		—			—			—
H2O Asset Management		13	%		—			—			16	%		—			—			—
J E Moody & Company		—			13	%		—			—			—			—			—
Landmark		1	%		3	%					1	%
Quantitative Investment Management, LLC		13	%		—			—			13	%		—			—			—
Quantmetrics Capital Management LLP		8	%		—			—			7	%		—			—			—
Quest Partners LLC		3	%		—						1	%
Red Oak Commodity Advisors, Inc.		—			5	%		—			—			—			—			—
Rosetta Capital Management, LLC		—			26	%		—			—			—			—			—
Transtrend B.V.		—			—			16	%		—			35	%		—			—
Welton Investment Partners LLC		14	%		25	%		25	%		13	%		46	%		—			40	%
Winton Capital Management Ltd.		13	%		—			32	%		11	%		—			100	%		44	%

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 June 30, 2018, cash deposited at the clearing brokers was $9,715,070 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 1.75% to 2.00%, this amount is estimated to be 1.75%. 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 June 30, 2018, total cash and cash equivalents held at banking institutions were $175,643 for the Frontier Diversified Fund, $93,070 for the Frontier Masters Fund, $64,571 for the Frontier Long/Short Commodity Fund, $313,542 for the Frontier Balanced Fund, $42,141 for the Frontier Select Fund, $577,591 for the Frontier Winton Fund, and $91,814 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 three months ended June 30, 2018, 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.

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

Disclosure of Contractual Obligations

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

Results of Operations

Series Returns and Other Information

The returns for each Series and Class of Units for the three months ended June 30, 2018 and 2017, and related information, are discussed below. The activities of the Trust on a consolidated basis are explained through the activity of the underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a consolidated basis.

Each Series had exposure to commodity interest positions within one or more sectors during the three months ended June 30, 2018 and 2017. 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 June 30, 2018 Compared to Three Months Ended June 30, 2017.

Frontier Diversified Fund

The Frontier Diversified Fund— Class 1 NAV gained 1.66% and lost 6.35%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV gained 2.10% and lost 5.94%, respectively for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV gained 2.16% and lost 5.88%, respectively for the three months ended June 30, 2018 and 2017.

For the three months ended June 30, 2018, the Frontier Diversified Fund recorded net loss on investments of $161,110, net investment gain of $537,649, and total expenses of $171,531 resulting in a net increase in Owners’ capital from operations of $376,539. For the three months ended June 30, 2017, the Frontier Diversified Fund recorded net loss on investments of $512,876, net investment loss of $664,367, and total expenses of $537,010 resulting in a net decrease in Owners’ capital from operations of $1,177,243.

Please see additional discussion under “Six Months Ended June 30, 2018 Compared to Six Months Ended June 30, 2017 –Frontier Diversified Fund.”

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Frontier Masters Fund

The Frontier Masters Fund—Class 1 NAV gained 1.05% and lost 9.47% for the three months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV gained 1.49% and lost 9.06% for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV gained 1.56% and lost 9.01% for the three months ended June 30, 2018 and 2017, net of fees and expenses.

For the three months ended June 30, 2018, the Frontier Masters Fund recorded net gain on investments of $202,533, net investment loss of $139,474, and total expenses of $147,789, resulting in a net increase in Owners’ capital from operations of $63,059. For the three months ended June 30, 2017, the Frontier Masters Fund recorded net loss on investments of $1,135,045, net investment loss of $251,133, and total expenses of $270,455 resulting in a net decrease in Owners’ capital from operations of $1,386,178.

Please see additional discussion under “Six Months Ended June 30, 2018 Compared to Six Months Ended June 30, 2017— Frontier Masters Fund.”

Frontier Long/Short Commodity Fund

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 5.27% and lost 12.62%, respectively, for the three months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 5.27% and lost 9.50% respectively for the three months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV lost 9.09% and lost 11.97% respectively, for the three months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV lost 8.69% and lost 12.87% respectively, for the three months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 8.63% and lost 10.91%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses.

For the three months ended June 30, 2018, the Frontier Long/Short Commodity Fund recorded net loss on investments of $204,528, net investment loss of $18,502, and total expenses of $21,926, resulting in a net decrease in Owners’ capital from operations of $223,030. For the three months ended June 30, 2017, the Frontier Long/Short Commodity Fund recorded net loss on investments of $739,137, net investment loss of $7,124, and total expenses of $7,124, resulting in a net decrease in Owners’ capital from operations of $746,261.

Please see additional discussion under “Six Months Ended June 30, 2018 Compared to Six Months Ended June 30, 2017 – Frontier Long/Short Commodity Fund.”

Frontier Balanced Fund

The Frontier Balanced Fund—Class 1 NAV gained 0.22% and lost 5.78%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV gained 0.98% and lost 5.07%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV gained 1.02% and lost 4.82%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV gained 1.02% and lost 4.82%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV gained 0.97% and lost 5.08% for the three months ended June 30, 2018 and 2017, net of fees and expenses.

For the three months ended June 30, 2018, the Frontier Balanced Fund recorded net gain on investments of $739,375 net investment loss of $598,409, and total expenses of $606,837, resulting in a net increase in Owners’ capital from operations of $140,996. For the three months ended June 30, 2017, the Frontier Balanced Fund recorded net loss on investments of $1,981,799, net investment loss of $1,239,866, and total expenses of $1,239,866, resulting in a net decrease in Owners’ capital from operations of $3,221,665.

Please see additional discussion under “Six Months Ended June 30, 2018 Compared to Six Months Ended June 30, 2017 – Frontier Balanced Fund.”

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Frontier Select Fund

The Frontier Select Fund—Class 1 NAV lost 2.25% and lost 12.34%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 1.52% and lost 11.68% respectively for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV lost 1.51% and lost 11.69%, respectively, for the three months ended June 30, 2018 and 2017.

For the three months ended June 30, 2018, the Frontier Select Fund recorded net loss on investments of $68,312, net investment loss of $61,382 and total expenses of $61,382, resulting in a net decrease in Owners’ capital from operations of $129,694. For the three months ended June 30, 2017, the Frontier Select Fund recorded net loss on investments of $1,387,409, net investment loss of $131,020, and total expenses of $131,020, resulting in a net decrease in Owners’ capital from operations of $1,159,529, after non-controlling interests of $358,900.

Please see additional discussion under “Six Months Ended June 30, 2018 Compared to Six Months Ended June 30, 2017 – Frontier Select Fund.”

Frontier Winton Fund

The Frontier Winton Fund—Class 1 NAV gained 2.81% and lost 5.78%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Winton Fund —Class 2 NAV gained 3.36% and lost 5.06%, respectively, for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Winton Fund —Class 1AP NAV gained 3.45% and lost 4.84%, respectively, for the three months ended June 30, 2018 and 2017.

For the three months ended June 30, 2018, the Frontier Winton Fund recorded net gain on investments of $621,227, net investment loss of $293,292, and total expenses of $293,292, resulting in a net increase in Owners’ capital from operations of $327,935. For the three months ended June 30, 2017, the Frontier Winton Fund recorded net loss on investments of $1,992,821, net investment loss of $550,038, and total expenses of $550,038, resulting in a net decrease in Owners’ capital from operations of $1,580,780, after non-controlling interests of $962,079.

Please see additional discussion under “Six Months Ended June 30, 2018 Compared to Six Months Ended June 30, 2017 – Frontier Winton Fund.”

Frontier Heritage Fund

The Frontier Heritage Fund—Class 1 NAV lost 1.74% and lost 5.42%, respectively, for the three months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Heritage Fund —Class 2 NAV lost 1.01% and lost 4.70%, respectively for the three months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Heritage Fund —Class 1AP NAV lost 1.01% and lost 5.33%, respectively, for the three months ended June 30, 2018 and 2017.

For the three months ended June 30, 2018, the Frontier Heritage Fund recorded net loss on investments of $26,200, net investment loss of $102,050, and total expenses of $102,050, resulting in a net decrease in Owners’ capital from operations of $86,681, after non-controlling interests of $41,569. For the three months ended June 30, 2017, the Frontier Heritage Fund recorded net loss on investments of $379,650, net investment loss of $158,873, and total expenses of $158,873, resulting in a net decrease in Owners’ capital from operations of $435,032, after non-controlling interests of $103,491.

Please see additional discussion under “Six Months Ended June 30, 2018 Compared to Six Months Ended June 30, 2017 – Frontier Heritage Fund.”

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Six months ended June 30, 2018 Compared to Six Months Ended June 30, 2017.

Frontier Diversified Fund

2018

The Frontier Diversified Fund— Class 1 NAV lost 6.97% and lost 4.04%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV lost 6.15% and lost 3.25%, respectively for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 6.04% and lost 3.12%, respectively for the six months ended June 30, 2018 and 2017.

For the six months ended June 30, 2018, the Frontier Diversified Fund recorded net loss on investments of $977,245 net investment loss of $348,202, and total expenses of $366,240 resulting in a net decrease in Owners’ capital from operations of $1,325,447. The NAV per Unit, Class 1, decreased from $116.41 at December 31, 2017 to $108.30 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $135.19 at December 31, 2017 to $126.87 as of June 30, 2018. The NAV per Unit, Class 3 decreased from $125.68 at December 31, 2017 to $118.09 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $213,456, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $776,442, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $842,320, respectively. Ending capital at June 30, 2018 was $1,951,083 for Class 1, $8,276,500 for Class 2 and $8,081,439 for Class 3. Ending capital at December 31, 2017 was $2,332,222 for Class 1, $9,632,746 for Class 2 and $9,501,719 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.

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Four sectors traded in the Frontier Diversified Fund were profitable in Q2 2018 and three were profitable YTD. Currencies, Energies and Interest Rates were profitable for Q2 2018 while Metals, Agriculturals and Stock Indices finished negative for the quarter. Currencies, Energies and Interest Rates were profitable for YTD while Metals, Agriculturals and Stock Indices finished negative YTD.

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

Crabel, Emil Van Essen and H2O were positive YTD while Aspect, Fort, Quantitative Investment Management, Quantmetrics, Welton and Winton were negative YTD.

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2017

The Frontier Diversified Fund—Class 1 NAV lost 4.04% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV lost 3.25% for the six months ended June 30, 2017, net of fees and expenses, the Frontier Diversified Fund—Class 3 NAV lost 3.12% for the six months ended June 30, 2017.

For the six months ended June 30, 2017, the Frontier Diversified Fund recorded net gain on investments of $1,343,155, net investment loss of $915,569, and total expenses of $1,012,966 resulting in a net increase in Owners’ capital from operations of $427,586. The NAV per Unit, Class 1, decreased from $116.43 at December 31, 2016 to $111.73 as of June 30, 2017. The NAV per Unit, Class 2, decreased from $132.94 at December 31, 2016 to $128.62 as of June 30, 2017. The NAV per Unit, Class 3 decreased from $123.27 at December 31, 2016 to $119.42 as of June 30, 2017. Total Class 1 subscriptions and redemptions for the period were $3,063 and $1,505,635, respectively. Total Class 2 subscriptions and redemptions for the period were $599,571 and $27,266,024, respectively. Total Class 3 subscriptions and redemptions for the period were $1,165,601 and $3,200,976, respectively. Ending capital at June 30, 2017 was $3,546,064 for Class 1, $12,393,834 for Class 2 and $10,754,659 for Class 3. Ending capital at December 31, 2016 was $5,189,420 for Class 1, $38,231,581 for Class 2 and $13,515,181 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.

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One of the six sectors traded in the Frontier Diversified Fund was profitable in Q2 2017 and one of the six was profitable YTD. Stock Indices was profitable for Q2 2017 while Metals, Currencies, Energies, Agriculturals, and Interest Rates finished negative for the quarter. Stock Indices was profitable for YTD while Metals, Currencies, Energies, Agriculturals, and Interest Rates finished negative YTD

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

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

Frontier Masters Fund

2018

The Frontier Masters Fund—Class 1 NAV lost 13.43% and lost 9.23%, respectively, for the six months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 12.67%, and lost 8.45%, respectively for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 12.56% and lost 8.33%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses.

For the six months ended June 30, 2018, the Frontier Masters Fund recorded net loss on investments of $1,260,314, net investment loss of $312,421, and total expenses of $329,155, resulting in a net decrease in Owners’ capital from operations of $1,572,735. The NAV per Unit, Class 1, decreased from $114.74 at December 31, 2017 to $99.33 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $133.27 at December 31, 2017 to $116.38 as of June 30, 2018. The NAV per Unit, Class 3, decreased from $124.40 at December 31, 2017 to $108.77 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $323,341, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $1,417,097, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $1,335,657, respectively. Ending capital at June 30, 2018 was $2,205,345 for Class 1, $1,620,107 for Class 2 and $3,563,115 for Class 3. Ending capital at December 31, 2017 was $2,913,542 for Class 1, $3,538,600 for Class 2 and $5,504,998 for Class 3.

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

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Two of the six sectors traded in the Frontier Masters Fund were profitable in Q2 2018 and one of the six was profitable YTD. Energies and Interest Rates were profitable for Q2 2018 while Metals, Currencies, Agriculturals and Stock Indices finished negative for the quarter. Energies were profitable for YTD while Metals, Currencies, Agriculturals, Interest Rates and Stock Indices finished negative YTD.

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

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

111

2017

The Frontier Masters Fund—Class 1 NAV lost 9.23% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Masters Fund —Class 2 NAV lost 8.45% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 8.33% for the six months ended June 30, 2017.

For the six months ended June 30, 2017, the Frontier Masters Fund recorded net loss on investments of $746,206, net investment loss of $515,216, and total expenses of $574,633, resulting in a net decrease in Owners’ capital from operations of $1,261,422. The NAV per Unit, Class 1, decreased from $112.80 at December 31, 2016 to $102.39 as of June 30, 2017. The NAV per Unit, Class 2, decreased from $128.78 at December 31, 2016 to $117.90 as of June 30, 2017. The NAV per Unit, Class 3, decreased from $119.89 at December 31, 2016 to $109.90 as of June 30, 2017. Total Class 1 subscriptions and redemptions for the period were $2,610 and $1,482,436, respectively. Total Class 2 subscriptions and redemptions for the period were $65,000 and $1,638,595, respectively. Total Class 3 subscriptions and redemptions for the period were $1,313,252 and $885,947, respectively. Ending capital at June 30, 2017 was $3,511,940 for Class 1, $3,733,458 for Class 2 and $6,036,371 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.

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

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Two of the six sectors traded in the Frontier Masters Fund was profitable in Q2 2017 and two of the six was profitable YTD. Energies and stock Indices was profitable for Q2 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

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

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

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Frontier Long/Short Commodity Fund

2018

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 8.02% and lost 10.20%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 8.02% and lost 6.68% respectively for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV lost 12.99% and lost 9.86% respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV lost 12.24% and lost 9.73% respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 8.02% and lost 7.20%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses.

For the six months ended June 30, 2018, the Frontier Long/Short Commodity Fund recorded net loss on investments of $307,921, net investment loss of $39,817, and total expenses of $47,276, resulting in a net decrease in Owners’ capital from operations of $347,738. The NAV per Unit, Class 2, decreased from $115.81 at December 31, 2017 to $106.52 as of June 30, 2018. The NAV per Unit, Class 3, decreased from $121.50 at December 31, 2017 to $111.75 as of June 30, 2018. The NAV per Unit, Class 1a, decreased from $81.35 at December 31, 2017 to $70.78 as of June 30, 2018. The NAV per Unit, Class 2a, decreased from $93.59 at December 31, 2017 to $82.13 as of June 30, 2018. The NAV per Unit, Class 3a, decreased from $97.99 at December 31, 2017 to $86.11 as of June 30, 2018. Total Class 2 redemptions for the period were $93,781. Total Class 3 redemptions for the period were $174,654. Total Class 1a redemptions were $69,082. Class 2a redemptions for the period were $90,372. Class 3a subscriptions and redemptions for the period were $0 and $174,654 respectively. Ending capital at June 30, 2018 was $152,086 for Class 2, $2,102,829 for Class 3, $35,941 for Class 1a, $307,608 for Class 2a and $697,725 for Class 3a. Ending capital at December 31, 2017 was $258,900 for Class 2, $2,472,994 for Class 3, $107,619 for Class 1a, $442,644 for Class 2a and $971,895 for Class 3a.

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.

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One of the seven sectors traded in the Frontier Long/Short Commodity Fund was profitable in Q2 2018 and one of the seven was profitable YTD. Energies were profitable for Q2 2018 while Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished negative for the quarter. Energies were profitable for YTD while Base Metals, Grains, Meats, Precious Metals Softs and financials finished negative YTD.

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

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

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2017

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 10.20% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 6.68% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV 9.86%, for the six months ended June 30, 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV lost 9.73% , for the six months ended June 30, 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 7.20% for the six months ended June 30, 2017, net of fees and expenses.

For the six months ended June 30, 2017, the Frontier Long/Short Commodity Fund recorded net loss on investments of $304,104, net investment loss of $91,370, and total expenses of $91,370, resulting in a net decrease in Owners’ capital from operations of $395,474. For the six months ended June 30, 2016, the Frontier Long/Short Commodity Fund recorded net gain on investments of $266,941, net investment loss of $412,977, and total expenses of $450,190, resulting in a net decrease in Owners’ capital from operations of $146,036. The NAV per Unit, Class 2, decreased from $129.56 at December 31, 2016 to $116.35 as of June 30, 2017. The NAV per Unit, Class 3, decreased from $130.80 at December 31, 2016 to $122.06 as of June 30, 2017. The NAV per Unit, Class 1a, decreased from $92.788 at December 31, 2016 to $83.63 as of June 30, 2017. The NAV per Unit, Class 2a, decreased from $105.67 at December 31, 2016 to $95.39 as of June 30, 2017. The NAV per Unit, Class 3a, decreased from $107.50 at December 31, 2016 to $99.76 as of June 30, 2017. Total Class 2 redemptions for the period were $442,538. Total Class 3 redemptions for the period were $1,170,731. Total Class 1a redemptions for the period were $1,508,395. Class 2a redemptions for the period were $389,743. Class 3a subscriptions and redemptions for the period were $946,844 and $581,655, respectively. Ending capital, excluding Managing Owner Capital, at June 30, 2017 was $340,489 for Class 2, $3,042,194 for Class 3, $399,914 for Class 1a, $525,851 for Class 2a and $1,415,657 for Class 3a. Ending capital, excluding Managing Owner Capital, at December 31, 2016 was $808,137 for Class 2, $4,404,630 for Class 3, $1,913,059 for Class 1a, $962,925 for Class 2a and $1,174,183 for Class 3a.

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

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Two of the seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q2 2017 and three of the seven were profitable YTD. Energies and Meats were profitable for Q2 2017 while Base Metals, Grains, Precious Metals, 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 finished positive for the quarter. Chesapeake, JE Moody, Red Oak, 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.

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Frontier Balanced Fund

2018

The Frontier Balanced Fund—Class 1 NAV lost 7.91% and lost 3.68%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 6.50% and lost 2.24%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost 6.51% and lost 1.94%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV lost 6.51% and 1.94%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV lost 6.56% and lost 2.25% for the six months ended June 30, 2018 and 2017, net of fees and expenses.

For the six months ended June 30, 2018, the Frontier Balanced Fund recorded net loss on investments of $2,167,882 net investment loss of $1,396,357, and total expenses of $1,421,301, resulting in a net decrease in Owners’ capital from operations of $3,564,239. The NAV per Unit, Class 1, decreased from $135.96 at December 31, 2017 to $125.21 as of June 30, 2018. The NAV per Unit, Class 1AP, decreased from $150.56 at December 31, 2017 to $140.68 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $202.90 at December 31, 2017 to $189.72 as of June 30, 2018. The NAV per Unit, Class 2a, decreased from $175.77 at December 31, 2017 to $164.33 as of June 30, 2018. The NAV per Unit, Class 3a, decreased from $175.18 at December 31, 2017 to $163.77 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $4,685,378 respectively. Total Class 1AP redemptions for the period were $4,344. Total Class 2 subscriptions and redemptions for the period were $0 and $800,571, respectively. Total Class 2a subscriptions and redemptions for the period were $0 and $75,968, respectively. Total Class 3a redemptions for the period were $262,250. Ending capital at June 30, 2018 was $31,143,397 for Class 1, $557,664 for Class 1AP, $5,726,766 for Class 2, $381,727 for Class 2a, and $1,029,875 for Class 3a. Ending capital at December 31, 2017 was $38,744,003 for Class 1, $601,247 for Class 1AP, $6,977,027 for Class 2, $529,931 for Class 2a and $1,379,971 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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Two of the six sectors traded in the Frontier Balanced Fund were profitable in Q2 2018 and three of the six were profitable YTD. Currencies and Energies were profitable for Q2 2018 while Currencies, Energies and Interest Rates were profitable YTD. Metals, Agriculturals, Interest Rates and Stock Indices were negative for the quarter, while Agriculturals and Stock Indices finished negative YTD.

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

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

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2017

The Frontier Balanced Fund—Class 1 NAV lost 3.68% for the six months ended June 30, 2017, net of fees and expenses; The Frontier Balanced Fund—Class 1AP NAV lost 2.25% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 2.24% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost 1.94% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV 1.94% for the six months ended June 30, 2017, net of fees and expenses.

For the six months ended June 30, 2017, the Frontier Balanced Fund recorded net gain on investments of $944,993 net investment loss of $2,220,183, and total expenses of $2,221,344, resulting in a net increase in Owners’ capital from operations of $1,275,190. The NAV per Unit, Class 1, decreased from $134.80 at December 31, 2016 to $129.84 as of June 30, 2017. The NAV per Unit, Class 1AP, decreased from $144.97 at December 31, 2016 to $141.71 as of June 30, 2017. The NAV per Unit, Class 2, decreased from $194.99 at December 31, 2016 to $190.62 as of June 30, 2017. The NAV per Unit, Class 2a, decreased from $169.05 at December 31, 2016 to $165.77 as of June 30, 2017. The NAV per Unit, Class 3a, decreased from $168.49 at December 31, 2016 to $165.22 as of June 30, 2017. Total Class 1 subscriptions and redemptions for the period were $34,075 and $11,054,137 respectively. Total Class 1AP redemptions for the period were $90,030. Total Class 2 subscriptions and redemptions for the period were $4,937 and $12,374,697, respectively. Total Class 2a subscriptions and redemptions for the period were $123,835 and $90,774, respectively. Total Class 3a redemptions for the period were $298,717. Ending capital at June 30, 2017 was $44,414,176 for Class 1, $576,197 for Class 1AP, $10,322,148 for Class 2, $535,428 for Class 2a, and $1,430,724 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.

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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One of the six sectors traded in the Frontier Diversified Fund were profitable in Q2 2017 and one of the six were profitable YTD. Stock Indices was profitable for Q2 2016 while and Metals, Currencies, Energies, 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 and H20 finished positive for the quarter. Aspect, Beach Horizon, Crabel, Fort, Quantitative Investment Management, Quantmetrics, Welton and Winton were negative for the quarter.

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

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Frontier Select Fund

2018

The Frontier Select Fund—Class 1 NAV lost 17.19% and lost 16.23%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 15.95% and lost 15.00% respectively for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV lost 15.95% and 15.09%, respectively, for the six months ended June 30, 2018 and 2017.

For the six months ended June 30, 2018, the Frontier Select Fund recorded net loss on investments of $963,157, net investment loss of $138,665, and total expenses of $138,665, resulting in a net decrease in Owners’ capital from operations of $1,101,822. The NAV per Unit, Class 1, decreased from $90.27 at December 31, 2017 to $74.75 as of June 30, 2018. The NAV per Unit, Class 1AP, decreased from $100.02 at December 31, 2017 to $84.05 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $132.73 at December 31, 2017 to $111.56 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $651,487 respectively. Total Class 1AP redemptions for the period were $3,144. Total Class 2 subscriptions and redemptions for the period were $0 and $338,374, respectively. Ending capital at June 30, 2018 was $4,305,014 for Class 1, $17,614 for Class 1AP and $384,473 for Class 2. Ending capital at December 31, 2017 was $5,912,980 for Class 1, $23,354 for Class 1AP and $865,594 for Class 2.

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

146

147

148

149

150

Two of the six sectors traded in the Frontier Select Fund were profitable in Q2 2018 and two of the six were profitable YTD. Energies and Interest Rates were positive while Metals, Currencies, Agriculturals and Stock Indices were negative for the quarter. Energies and Interest Rates were profitable YTD while Metals, Currencies Agriculturals and Stock Indices finished negative YTD.

In terms of major CTA performance, Transtrend finished positive for the quarter and Brevan Howard finished negative. There was no positive CTA performance in the Frontier Select Fund YTD.

151

2017

The Frontier Select Fund—Class 1 NAV lost 16.23% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Select Fund—Class 1AP NAV lost 15.09% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 15.00% for the six months ended June 30, 2017, net of fees and expenses.

For the six months ended June 30, 2017, the Frontier Select Fund recorded net loss on investments of $1,753,774, net investment loss of $312,399, and total expenses of $312,399, resulting in a net decrease in Owners’ capital from operations of $1,652,963, after non-controlling interests of $413,210. The NAV per Unit, Class 1, decreased from $94.06 at December 31, 2016 to $78.79 as of June 30, 2017. The NAV per Unit, Class 1AP, decreased from $101.16 at December 31, 2016 to $85.90 as of June 30, 2017. The NAV per Unit, Class 2, decreased from $134.25 at December 31, 2016 to $114.11 as of June 30, 2017. Total Class 1 subscriptions and redemptions for the period were $1,467 and $2,611,797 respectively. Total Class 1AP redemptions for the period were $4,175. Total Class 2 subscriptions and redemptions for the period were $98,345 and 243,446, respectively. Ending capital at June 30, 2017 was $6,488,427 for Class 1, $21,735 for Class 1AP and $1,059,308 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.

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

152

Two of the six sectors traded in the Frontier Select Fund were profitable in Q2 2017 and one of the six was profitable YTD. Agriculturals and Stock Indices were positive while Metals, Currencies, Energies, and Interest Rates were negative for the quarter. Stock Indices were profitable YTD while Metals, Currencies, Energies, Agriculturals and Interest Rates finished negative YTD.

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

Frontier Winton Fund

2018

The Frontier Winton Fund—Class 1 NAV lost 6.55% and lost 6.74%, respectively, for the six months ended June 30, 20187 and 2017, net of fees and expenses; the Frontier Winton Fund —Class 2 NAV lost 6.02% and lost 5.37%, respectively, for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Winton Fund —Class 1AP NAV lost 5.24% and lost 5.36%, respectively, for the three months ended June 30, 2018 and 2017.

For the six months ended June 30, 2018, the Frontier Winton Fund recorded net loss on investments of $405,326, net investment loss of $600,787, and total expenses of $600,787, resulting in a net decrease in Owners’ capital from operations of $1,006,113. The NAV per Unit, Class 1, decreased from $159.08 at December 31, 2017 to $148.66 as of June 30, 2018. The NAV per Unit, Class 1AP, decreased from $176.44 at December 31, 2017 to $167.19 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $216.50 at December 31, 2017 to $203.47 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $925,257, respectively. There were no subscriptions or redemptions for Class 1AP. Total Class 2 subscriptions and redemptions for the period were $0 and $872,124, respectively. Ending capital at June 30, 2018 was $10,409,429 for Class 1, $35,695 for Class 1AP, and $758,361 for Class 2. Ending capital at December 31, 2017 was $13,102,614 for Class 1, $37,761 for Class 1AP and $1,709,275 for Class 2.

153

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

154

155

Three of the six sectors traded in the Frontier Winton Fund were profitable in Q2 2018. Metals, Energies and Interest Rates were positive while Currencies, Agriculturals and Stock Indices were negative for the quarter. Energies and Interest Rates are positive YTD while Metals, Currencies, Agriculturals and Stock Indicies are negative YTD.

156

2017

The Frontier Winton Fund—Class 1 NAV lost 6.74% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Winton Fund—Class 1AP NAV lost 5.36% for the six months ended June 30, 2017, net of fees and expenses the Frontier Winton Fund —Class 2 NAV lost 5.37% for the six months ended June 30, 2017, net of fees and expenses.

For the six months ended June 30, 2017, the Frontier Winton Fund recorded net loss on investments of $1,306,010, net investment loss of $1,089,598, and total expenses of $1,089,598, resulting in a net decrease in Owners’ capital from operations of $1,829,067, after non-controlling interest of $566,541. The NAV per Unit, Class 1, decreased from $154.51 at December 31, 2016 to $144.09 as of June 30, 2017. The NAV per Unit, Class 1AP, decreased from $166.17 at December 31, 2016 to $157.26 as of June 30, 2017. The NAV per Unit, Class 2, decreased from $210.98 at December 31, 2016 to $199.66 as of June 30, 2017. Total Class 1 subscriptions and redemptions for the period were $1,424,276 and 6,908,947 respectively. There were no subscriptions or redemptions for Class 1AP. Total Class 2 subscriptions and redemptions for the period were $267,829 and $586,221, respectively. Ending capital at June 30, 2017 was $13,587,716 for Class 1, $33,575 for Class 1AP, and $10,513,105 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.

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

Four of the six sectors traded in the Frontier Winton Fund were profitable in Q2 2018. Metals, Energies, Agriculturals, and Interest Rates were positive while Currencies, and Stock Indices were negative for the quarter. Energies and Interest Rates were positive YTD while Metals, Currencies, Agriculturals and Stock Indices were negative YTD.

157

Frontier Heritage Fund

2018

The Frontier Heritage Fund—Class 1 NAV lost 15.27% and lost 8.86%, respectively, for the six months ended June 30, 2018 and 2017 net of fees and expenses; the Frontier Heritage Fund —Class 2 NAV lost 14.00% and lost 7.51%, respectively for the six months ended June 30, 2018 and 2017, net of fees and expenses; the Frontier Heritage Fund —Class 1AP NAV lost 14.02% and lost 7.51%, respectively, for the six months ended June 30, 2018 and 2017.

For the six months ended June 30, 2018, the Frontier Heritage Fund recorded net loss on investments of $718.522, net investment loss income $218,825, and total expenses of $218,825, resulting in a net decrease in Owners’ capital from operations of $893,452, after non-controlling interests of $43,895. The NAV per Unit, Class 1, decreased from $121.19 at December 31, 2017 to $102.68 as of June 30, 2018. The NAV per Unit, Class 1AP, decreased from $134.28 at December 31, 2017 to $115.46 as of June 30, 2018. The NAV per Unit, Class 2, decreased from $179.70 at December 31, 2017 to $154.54 as of June 30, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $698,774, respectively. Total Class 1AP redemptions were 4,081. Total Class 2 subscriptions and redemptions for the period were $0 and $7,000, respectively. Ending capital at June 30, 2018 was $3,951,288 for Class 1, $1,019 for Class 1AP and $647,010 for Class 2. Ending capital at December 31, 2017 was $5,435,871 for Class 1, $6,083 for Class 1AP and $760,672 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.

158

159

160

161

162

163

Three of the six sectors traded in the Frontier Heritage Fund were profitable in Q2 2018 and two of the six were profitable YTD. Energies, Agriculturals and Interest Rates were positive while Metals, Currencies and Stock Indices were negative for the quarter. Energies and Interest Rates were profitable YTD while Metals, Currencies, Agriculturals and Interest Rates finished negative YTD.

In terms of major CTA performance, Transtrend was positive for Q2 while both Brevan Howard and Winton were negative for the quarter and YTD.

164

2017

The Frontier Heritage Fund—Class 1 NAV lost 8.86% for the six months ended June 30, 2017, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV lost 7.51% for the six months ended June 30, 2017, net of fees and expenses the Frontier Heritage Fund —Class 2 NAV lost 7.51% for the six months ended June 30, 2017, net of fees and expenses.

For the six months ended June 30, 2017, the Frontier Heritage Fund recorded net loss on investments of $753,020, net investment of $325,031, and total expenses of $325,021, resulting in a net decrease in Owners’ capital from operations of $775,192. For the six months ended June 30, 2016, the Frontier Heritage Fund recorded net gain on investments of $1,194,432, net investment loss of $325,031, and total expenses of $325,021, resulting in a net decrease in Owners’ capital from operations of $775,192. The NAV per Unit, Class 1, decreased from $119.58 at December 31, 2016 to $108.98 as of June 30, 2017. The NAV per Unit, Class 1AP, decreased from $128.60 at December 31, 2016 to $118.94 as of June 30, 2017. The NAV per Unit, Class 2, decreased from $172.10 to $159.18 as of June 30, 2017. Total Class 1 subscriptions and redemptions for the period were $602,789 and $1,810,226, respectively. There were no subscriptions or redemptions for Class 1AP. Total Class 2 subscriptions and redemptions for the period were $24,575 and $1,620,492. Ending capital, excluding Managing Owner Capital, at June 30, 2017 was $5,692,454 for Class 1, $5,388 for Class 1AP and $980,885 for Class 2. Ending capital, excluding Managing Owner Capital, at December 31, 2016 was $8,702,101 for Class 1, $46,823 for Class 1AP and $2,907,959 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.

165

Two of the six sectors traded in the Frontier Heritage Fund were profitable in Q2 2017 and one of the six was profitable YTD. Agriculturals and Stock Indices were positive while Metals, Metals, Currencies, Energies, 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, both Winton and Brevan Howard finished negative for the quarter and YTD.

166

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. 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.

167

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 June 30, 2018 and December 31, 2017. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

DOMESTIC EXPOSURE
Frontier Diversified Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	5,714,104		31.21	%	$	6,395,053		29.79	%
Currencies		164,345		0.90	%		63,093		0.29	%
Stock Indices		2,230		0.01	%		34,558		0.16	%
Metals		65,243		0.36	%		218,878		1.02	%
Agriculturals/Softs		24,282		0.13	%		14,196		0.07	%
Energy		39,704		0.22	%		66,604		0.31	%
Total:	$	6,009,908		32.82	%	$	6,792,381		31.64	%
Frontier Long/Short Commodity Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	402,975		12.23	%	$	397,039		9.33	%
Currencies		—		0.00	%		—		0.00	%
Stock Indices		—		0.00	%		—		0.00	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		—		0.00	%		—		0.00	%
Energy		—		0.00	%		—		0.00	%
Total:	$	402,975		12.23	%	$	397,039		9.33	%
Frontier Masters Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	9,310		0.13	%	$	10,512		0.09	%
Currencies		148,495		2.01	%		35,692		0.30	%
Stock Indices		2,015		0.03	%		19,550		0.16	%
Metals		58,951		0.80	%		123,822		1.04	%
Agriculturals/Softs		21,941		0.30	%		8,031		0.07	%
Energy		35,875		0.49	%		37,679		0.32	%
Total:	$	276,586		3.74	%	$	235,286		3.38	%
Frontier Balanced Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	10,405,242		26.79	%	$	11,368,274		23.64	%
Currencies		1,297,309		3.34	%		167,215		0.35	%
Stock Indices		4,465		0.01	%		51,406		0.11	%
Metals		185,628		0.48	%		462,467		0.96	%
Agriculturals/Softs		62,733		0.16	%		70,758		0.15	%
Energy		95,771		0.25	%		222,766		0.46	%
Total:	$	12,051,148		31.03	%	$	12,342,887		25.67	%
Frontier Select Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	981,739		20.86	%	$	1,500,264		22.06	%
Currencies		—		0.00	%		—		0.00	%
Stock Indices		—		0.00	%		—		0.00	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		—		0.00	%		—		0.00	%
Energy		—		0.00	%		—		0.00	%
Total:	$	981,739		20.86	%	$	1,500,264		22.06	%
Frontier Winton Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	42,826		0.38	%	$	61,564		0.41	%
Currencies		683,077		6.14	%		209,040		1.40	%
Stock Indices		9,267		0.08	%		114,498		0.77	%
Metals		271,175		2.44	%		725,189		4.85	%
Agriculturals/Softs		100,926		0.91	%		47,034		0.31	%
Energy		165,025		1.48	%		220,673		1.48	%
Total:	$	1,272,295		11.43	%	$	1,377,999		9.22	%
Frontier Heritage Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	1,051,039		20.47	%	$	1,606,116		23.68	%
Currencies		125,912		2.45	%		40,791		0.60	%
Stock Indices		1,708		0.03	%		22,343		0.33	%
Metals		49,986		0.97	%		141,511		2.09	%
Agriculturals/Softs		18,604		0.36	%		9,178		0.14	%
Energy		30,419		0.59	%		43,061		0.63	%
Total:	$	1,277,667		24.88	%	$	1,863,001		27.47	%

168

FORIEGN EXPOSURE
Frontier Diversified Fund
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	13,775		0.08	%	$	20,044		0.09	%
Currencies		—		0.00	%		29,397		0.14	%
Stock Indices		2,530		0.01	%		29,331		0.14	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		1,129		0.01	%		3,343		0.02	%
Total:	$	17,908		0.10	%	$	83,811		0.39	%
Frontier Long/Short Commodity Fund
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	—		0.00	%	$	—		0.00	%
Currencies		—		0.00	%		—		0.00	%
Stock Indices		—		0.00	%		—		0.00	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		—		0.00	%		—		0.00	%
Total:	$	—		0.00	%	$	—		0.00	%
Frontier Masters Fund
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	12,446		0.17	%	$	11,339		0.09	%
Currencies		—		0.00	%		16,630		0.14	%
Stock Indices		2,286		0.03	%		16,593		0.14	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		1,020		0.01	%		1,891		0.02	%
Energy		428		0.01	%		960		0.01	%
Total:	$	16,181		0.22	%	$	47,413		0.40	%
Frontier Balanced Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	144,349		0.37	%	$	57,304		0.12	%
Currencies		—		0.00	%		43,214		0.09	%
Stock Indices		21,268		0.05	%		54,910		0.11	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		17,451		0.04	%		17,823		0.04	%
Energy		948		0.00	%		2,495		0.01	%
Total:	$	184,016		0.47	%	$	175,746		0.37	%
Frontier Select Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	—		0.00	%	$	—		0.00	%
Currencies		—		0.00	%		—		0.00	%
Stock Indices		—		0.00	%		—		0.00	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		—		0.00	%		—		0.00	%
Energy		—		0.00	%		—		0.00	%
Total:	$	—		0.00	%	$	—		0.00	%
Frontier Winton Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	57,254		0.51	%	$	66,410		0.44	%
Currencies		—		0.00	%		97,397		0.65	%
Stock Indices		10,516		0.09	%		97,179		0.65	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		4,693		0.04	%		11,075		0.07	%
Energy		1,968		0.02	%		5,623		0.04	%
Total:	$	74,431		0.67	%	$	277,684		1.86	%
Frontier Heritage Fund:
	June 30, 2018					December 31, 2017
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	10,554		0.21	%	$	12,959		0.19	%
Currencies		—		0.00	%		19,006		0.28	%
Stock Indices		1,938		0.04	%		18,963		0.28	%
Metals		—		0.00	%		—		0.00	%
Agriculturals/Softs		865		0.02	%		2,161		0.03	%
Energy		363		0.01	%		1,097		0.02	%
Total:	$	13,720		0.27	%	$	54,186		0.80	%

169

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 three 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 June 30, 2018, 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, 2017 through April 28, 2017; thereafter 100% of the interest is retained by the respective Series.

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.

170

Stock Indices

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

Metals

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

Agriculturals/Softs

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

Energy

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

Other Trading Risks

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

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

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

171

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.

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 Chairman and Chief 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 June 30, 2018 (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 Chairman and Chief 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.

172

Changes in Internal Control Over Financial Reporting

There were no changes in the Trust’s internal control over financial reporting for the quarter ended June 30, 2018.

Scope of Exhibit 31 Certifications

The certification of the Chairman and Chief 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 six months ended June 30, 2018. 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.

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

173

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

174

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: August 14, 2018	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman, Chief Financial Officer, Chief Accounting Officer and Managing Member of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

175

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: August 14, 2018	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman, Chief Financial Officer, Chief Accounting Officer and Managing Member of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

176

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: August 14, 2018	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman, Chief Financial Officer, Chief Accounting Officer and Managing Member of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

177

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: August 14, 2018	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman, Chief Financial Officer, Chief Accounting Officer and Managing Member of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

178

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: August 14, 2018	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman, Chief Financial Officer, Chief Accounting Officer and Managing Member of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

179

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: August 14, 2018	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman, Chief Financial Officer, Chief Accounting Officer and Managing Member of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

180

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: August 14, 2018	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman, Chief Financial Officer, Chief Accounting Officer and Managing Member of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

181

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: August 14, 2018	By:	/s/Patrick J. Kane
		Patrick J. Kane
		Chairman, Chief Financial Officer, Chief Accounting Officer and Managing Member of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

182