UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

WASHINGTON, DC 20549

FORM 10-Q

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

For the quarterly period ended March 31, 2023

or

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

For the transition period from                  to                

Commission File Number 000-51274

FRONTIER FUNDS

FRONTIER DIVERSIFIED FUND;

FRONTIER LONG/SHORT COMMODITY FUND;

FRONTIER MASTERS FUND;

FRONTIER BALANCED FUND;

FRONTIER SELECT FUND;

FRONTIER GLOBAL FUND;

FRONTIER HERITAGE FUND

(Exact Name of Registrant as specified in Its Charter)

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

c/o Frontier Fund Management, LLC

25568 Genesee Trail Road

Golden, Colorado 80401

(Address of Principal Executive Offices)

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

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

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

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

Title of Each Class

Frontier Diversified Fund Class 2 and Class 3 Units;

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

Frontier Masters Fund Class 2 and Class 3 Units;

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

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

Frontier Global Fund Class 1 and Class 2 Units;

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

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

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

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

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

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

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

Table of Contents

		Pages
PART I – FINANCIAL INFORMATION		1
Item 1.	Series Financial Statements	1
	Consolidated Statements of Financial Condition as of March 31, 2023 (Unaudited) and December 31, 2022	1
	Consolidated Condensed Schedules of Investments as of March 31, 2023 (Unaudited) and December 31, 2022	4
	Consolidated Statements of Operations for the three months ended March 31, 2023 and 2022 (Unaudited)	10
	Consolidated Statements of Changes in Owners’ Capital for the three months ended March 31, 2023 (Unaudited)	13
	Consolidated Statements of Cash Flows for the three months ended March 31, 2023 and 2022 (Unaudited)	17
	Notes to Financial Statements (Unaudited)	20
	Trust Financial Statements (1)
	Combined Consolidated Statements of Financial Condition as of March 31, 2023 (Unaudited) and December 31, 2022	45
	Combined Consolidated Condensed Schedules of Investments as of March 31, 2023 (Unaudited) and December 31, 2022	46
	Combined Consolidated Statements of Operations for the three months ended March 31, 2023 and 2022 (Unaudited)	48
	Combined Consolidated Statement of Changes in Owners’ Capital for the three months ended March 31, 2023 (Unaudited)	49
	Combined Consolidated Statements of Cash Flows for the three months ended March 31, 2023 and 2022 (Unaudited)	50
	Notes to Consolidated Financial Statements (Unaudited)	51
Item 2.	Management’s Discussion and Analysis of Financial Condition and Results of Operations	68
Item 3.	Quantitative and Qualitative Disclosures About Market Risk	95
Item 4.	Controls and Procedures	100
PART II – OTHER INFORMATION		102
Item 1.	Legal Proceedings	102
Item 1A.	Risk Factors	102
Item 2.	Unregistered Sales of Equity Securities and Use of Proceeds	102
Item 3.	Defaults Upon Senior Securities	102
Item 4.	Mine Safety Disclosures	102
Item 5.	Other Information	102
Item 6.	Exhibits	103
SIGNATURES		104

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

i

Special Note About Forward-Looking Statements

THIS REPORT CONTAINS STATEMENTS WHICH CONSTITUTE FORWARD-LOOKING STATEMENTS WITHIN THE MEANING OF THE PRIVATE SECURITIES LITIGATION REFORM ACT OF 1995 AND OTHER FEDERAL SECURITIES LAWS. THESE FORWARD-LOOKING STATEMENTS REFLECT THE MANAGING OWNER’S CURRENT EXPECTATIONS ABOUT THE FUTURE RESULTS, PERFORMANCE, PROSPECTS AND OPPORTUNITIES OF THE TRUST. THE MANAGING OWNER HAS TRIED TO IDENTIFY THESE FORWARD-LOOKING STATEMENTS BY USING WORDS SUCH AS “MAY,” “WILL,” “EXPECT,” “ANTICIPATE,” “BELIEVE,” “INTEND,” “SHOULD,” “ESTIMATE” OR THE NEGATIVE OF THOSE TERMS OR SIMILAR EXPRESSIONS. THESE FORWARD-LOOKING STATEMENTS ARE BASED ON INFORMATION CURRENTLY AVAILABLE TO THE MANAGING OWNER AND ARE SUBJECT TO 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 MARCH 31, 2023, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION TO UPDATE THIS INFORMATION.

ii

 PART I. FINANCIAL INFORMATION

Item 1. Series Financial Statements

The Series of Frontier Funds

Consolidated Statements of Financial Condition

March 31, 2023 (Unaudited) and December 31, 2022

	Frontier Diversified Fund				Frontier Masters Fund				Frontier Long/Short Commodity Fund
	3/31/2023		12/31/2022		3/31/2023		12/31/2022		3/31/2023		12/31/2022
ASSETS
Cash and cash equivalents	$	93,640	$	46,604	$	44,347	$	18,560	$	42,450	$	38,703
U.S. Treasury securities, at fair value		5,453		42,198		2,582		16,805		2,472		35,044
Investments in private investment companies, at fair value		2,185,883		2,779,566		480,599		705,739		1,120,774		1,281,982
Investments in unconsolidated trading companies, at fair value		56,000		28,671		26,521		11,418		25,386		23,810
Interest receivable		78		1,051		37		419		35		873
Total Assets	$	2,341,054	$	2,898,090	$	554,086	$	752,941	$	1,191,117	$	1,380,412
LIABILITIES & CAPITAL
LIABILITIES
Interest payable to Managing Owner	$	-	$	-	$	-	$	-	$	30	$	53
Redemptions payable		-		-		-		19,922		-		12,788
Service fees payable to Managing Owner		72		85		31		43		18		21
Trading fees payable to Managing Owner		8,252		9,653		3,430		4,443		3,182		3,447
Subscriptions in advance for service fee rebates		22,650		22,650		31,725		31,725		393		393
Other liabilities		3,796		1,730		1,796		688		1,951		1,437
Total Liabilities	$	34,770	$	34,118	$	36,982	$	56,821	$	5,574	$	18,139
CAPITAL
Managing Owner - Class 2		6,861		8,523		3,950		5,100		2,541		3,065
Managing Owner - Class 2a		-		-		-		-		8,435		9,328
Managing Owner - Class 3		16,050		20,433		1,401		2,214		-		-
Managing Owner - Class 3a		-		-		-		-		1,239		1,369
Limited Owner - Class 2		316,084		392,656		115,122		177,102		18,822		25,648
Limited Owner - Class 2a		-		-		-		-		72,958		80,689
Limited Owner - Class 3		1,967,289		2,442,360		396,631		511,704		897,054		998,095
Limited Owner - Class 3a		-		-		-		-		184,494		244,079
Total Owners’ Capital		2,306,284		2,863,972		517,104		696,120		1,185,543		1,362,273
Non-Controlling Interests		-		-		-		-		-		-
Total Capital		2,306,284		2,863,972		517,104		696,120		1,185,543		1,362,273
Total Liabilities and Capital	$	2,341,054	$	2,898,090	$	554,086	$	752,941	$	1,191,117	$	1,380,412
Units Outstanding
Class 2		4,163		4,163		1,624		1,925		215		262
Class 2a		N/A		N/A		N/A		N/A		1,251		1,251
Class 3		27,141		27,146		5,741		5,745		8,622		8,677
Class 3a		N/A		N/A		N/A		N/A		2,691		3,217
Net Asset Value per Unit
Class 2	$	77.57	$	96.37	$	73.31	$	94.64	$	99.18	$	109.65
Class 2a		N/A		N/A		N/A		N/A	$	65.04	$	71.93
Class 3	$	73.08	$	90.72	$	69.33	$	89.45	$	104.04	$	115.03
Class 3a		N/A		N/A		N/A		N/A	$	69.03	$	76.29

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

1

The Series of Frontier Funds

Consolidated Statements of Financial Condition

March 31, 2023 (Unaudited) and December 31, 2022

	Frontier Balanced Fund				Frontier Select Fund
	3/31/2023		12/31/2022		3/31/2023		12/31/2022
ASSETS
Cash and cash equivalents	$	16,273	$	221,344	$	52,492	$	33,183
U.S. Treasury securities, at fair value		988		200,417		3,057		30,046
Open trade equity, at fair value		3,147		1,670		-		-
Receivable from futures commission merchants		445,119		320,241		-		-
Investments in private investment companies, at fair value		6,692,902		8,944,014		1,046,915		1,449,919
Investments in unconsolidated trading companies, at fair value		10,145		136,169		31,392		20,414
Interest receivable		14		4,991		43		748
Other assets		1,170		-		-		-
Total Assets	$	7,169,758	$	9,828,846	$	1,133,899	$	1,534,310
LIABILITIES & CAPITAL
LIABILITIES
Redemptions payable	$	231	$	35,051	$	-	$	-
Incentive fees payable to Managing Owner		-		692		-		-
Management fees payable to Managing Owner		1,419		1,573		-		-
Interest payable to Managing Owner		680		2,306		223		342
Service fees payable to Managing Owner		12,941		16,784		2,855		3,630
Trading fees payable to Managing Owner		29,970		36,946		3,426		4,454
Risk analysis fees payable		10,312		10,442		-		-
Subscriptions in advance for service fee rebates		395,538		391,457		22,221		22,046
Other liabilities		-		6,867		2,127		1,232
Total Liabilities		451,091		502,118		30,852		31,704
CAPITAL
Managing Owner - Class 2		40,935		53,242		11,320		15,168
Managing Owner - Class 2a		30,171		43,282		-		-
Limited Owner - Class 1		5,123,213		7,134,145		1,038,376		1,417,113
Limited Owner - Class 1AP		57,564		74,869		8,007		10,554
Limited Owner - Class 2		1,104,034		1,549,544		45,344		59,771
Limited Owner - Class 3a		362,750		471,646		-		-
Total Owners’ Capital		6,718,667		9,326,728		1,103,047		1,502,606
Non-Controlling Interests		-		-		-		-
Total Capital		6,718,667		9,326,728		1,103,047		1,502,606
Total Liabilities and Capital	$	7,169,758	$	9,828,846	$	1,133,899	$	1,534,310
Units Outstanding
Class 1		67,689		71,936		19,358		19,894
Class 1AP		587		587		115		115
Class 2		8,657		9,318		614		616
Class 2a		262		290		N/A		N/A
Class 3a		3,166		3,166		N/A		N/A
Net Asset Value per Unit
Class 1	$	75.69	$	99.17	$	53.64	$	71.23
Class 1AP	$	98.07	$	127.56	$	69.57	$	91.71
Class 2	$	132.25	$	172.01	$	92.32	$	121.70
Class 2a	$	114.96	$	149.47		N/A		N/A
Class 3a	$	114.57	$	148.96		N/A		N/A

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

2

The Series of Frontier Funds

Consolidated Statements of Financial Condition

March 31, 2023 (Unaudited) and December 31, 2022

	Frontier Global Fund				Frontier Heritage Fund
	3/31/2023		12/31/2022		3/31/2023		12/31/2022
ASSETS
Cash and cash equivalents	$	97,330	$	26,333	$	47,175	$	45,466
U.S. Treasury securities, at fair value		5,668		23,843		2,747		41,167
Investments in private investment companies, at fair value		2,253,990		2,943,814		2,411,374		3,070,641
Investments in unconsolidated trading companies, at fair value		58,206		16,200		28,212		27,970
Interest receivable		81		594		39		1,025
Total Assets	$	2,415,275	$	3,010,784	$	2,489,547	$	3,186,269
LIABILITIES & CAPITAL
LIABILITIES
Redemptions payable	$	-	$	-	$	-	$	-
Interest payable to Managing Owner		260		302		193		447
Service fees payable to Managing Owner		5,513		6,437		5,373		6,432
Trading fees payable to Managing Owner		10,646		12,480		10,036		11,679
Subscriptions in advance for service fee rebates		163,190		162,385		81,684		79,667
Other liabilities		3,945		977		1,914		1,687
Total Liabilities		183,554		182,581		99,200		99,912
CAPITAL
Managing Owner - Class 2		22,491		28,821		24,629		31,125
Limited Owner - Class 1		2,120,606		2,689,125		2,185,165		2,830,832
Limited Owner - Class 1AP		-		-		10,184		12,657
Limited Owner - Class 2		88,624		110,257		170,369		211,743
Total Owners’ Capital		2,231,721		2,828,203		2,390,347		3,086,357
Non-Controlling Interests		-		-		-		-
Total Capital		2,231,721		2,828,203		2,390,347		3,086,357
Total Liabilities and Capital	$	2,415,275	$	3,010,784	$	2,489,547	$	3,186,269
Units Outstanding
Class 1		14,345		17,600		17,750		18,366
Class 1AP		-		-		64		64
Class 2		465		1,086		913		915
Net Asset Value per Unit
Class 1	$	147.83	$	185.27	$	123.11	$	154.14
Class 1AP		N/A		N/A	$	159.65	$	198.42
Class 2	$	238.92	$	297.25	$	213.66	$	265.55

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

3

The Series of Frontier Funds

Consolidated Condensed Schedules of Investments

March 31, 2023 (Unaudited)

	Frontier Diversified Fund					Frontier Masters Fund					Frontier Long/Short Commodity Fund
Description	Fair Value		% of Total Capital (Net Asset Value)			Fair Value		% of Total Capital (Net Asset Value)			Fair Value		% of Total Capital (Net Asset Value)
PRIVATE INVESTMENT COMPANIES (2)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	181,461		7.87	%	$	-		0.00	%	$	-		0.00	%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		398,676		17.29	%		-		0.00	%		-		0.00	%
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC		133,747		5.80	%		88,938		17.20	%		-		0.00	%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		463,951		20.12	%		-		0.00	%		-		0.00	%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		627,566		27.21	%		225,399		43.59	%		-		0.00	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		380,482		16.50	%		166,262		32.15	%		332,164		28.02	%
Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC)		-		0.00	%		-		0.00	%		220,784		18.62	%
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		-		0.00	%		-		0.00	%		567,826		47.90	%
Total Private Investment Companies	$	2,185,883		94.79	%	$	480,599		92.94	%	$	1,120,774		94.54	%
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2)
Frontier Trading Company XXXVIII, LLC	$	56,000		2.43	%	$	26,521		5.13	%	$	25,386		2.14	%
Total Investment in Unconsolidated Trading Companies	$	56,000		2.43	%	$	26,521		5.13	%	$	25,386		2.14	%

U.S. TREASURY SECURITIES (1) FACE VALUE	Fair Value				Fair Value				Fair Value
US Treasury Note 6.875% due 08/15/2025	$	5,453	0.24	%	$	2,582	0.50	%	$	2,472	0.21	%

Additional Disclosure on U.S. Treasury Securities	Face Value		Face Value		Face Value
US Treasury Note 6.875% due 08/15/2025 (1)	$	5,103	$	2,418	$	2,314

Additional Disclosure on U.S. Treasury Securities	Cost		Cost		Cost
US Treasury Note 6.875% due 08/15/2025 (1)	$	5,458	$	2,585	$	2,474

(1) See Note 2 to the Consolidated Financial Statements.

(2) See Note 5 to the Consolidated Financial Statements.

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

4

The Series of Frontier Funds

Consolidated Condensed Schedules of Investments

March 31, 2023 (Unaudited)

	Frontier						Frontier
	Balanced Fund						Select Fund
				% of Total Capital					% of Total Capital
Description	Fair Value			(Net Asset Value)			Fair Value		(Net Asset Value)
LONG FUTURES CONTRACTS*
Various agriculture futures contracts (U.S.)	$	18,140			0.27	%	$	-		0.00	%
Various currency futures contracts (U.S.)		(218	)		0.00	%		-		0.00	%
Various interest rates futures contracts (Europe)		2,266			0.03	%		-		0.00	%
Various interest rates futures contracts (Far East)		6,304			0.09	%		-		0.00	%
Various interest rates futures contracts (U.S.)		(2,406	)		-0.04	%		-		0.00	%
Various precious metal futures contracts (U.S.)		15,831			0.24	%		-		0.00	%
Total Long Futures Contracts	$	39,917			0.59	%	$	-		0.00	%
SHORT FUTURES CONTRACTS*
Various agriculture futures contracts (Far East)	$	12,010			0.18	%	$	-		0.00	%
Various agriculture futures contracts (Europe)		16,126			0.24	%		-		0.00	%
Various agriculture futures contracts (U.S.)		(2,714	)		-0.04	%		-		0.00	%
Various base metals futures contracts (U.S.)		(2,152	)		-0.03	%		-		0.00	%
Various energy futures contracts (U.S.)		(6,460	)		-0.10	%		-		0.00	%
Various stock index futures contracts (Canada)		(7,251	)		-0.11	%		-		0.00	%
Various stock index futures contracts (Europe)		(6,844	)		-0.10	%		-		0.00	%
Various stock index futures contracts (Far East)		(14,797	)		-0.22	%		-		0.00	%
Various stock index futures contracts (U.S.)		(24,688	)		-0.37	%		-		0.00	%
Total Short Futures Contracts	$	(36,770	)		-0.55	%	$	-		0.00	%
Total Open Trade Equity (Deficit)	$	3,147			0.04	%	$	-		0.00	%
PRIVATE INVESTMENT COMPANIES (2)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	259,427			3.86	%	$	-		0.00	%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,441,577			21.46	%		-		0.00	%
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC		735,981			10.95	%		310,965		28.19	%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		1,330,483			19.80	%		-		0.00	%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,569,644			23.36	%		-		0.00	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		1,355,790			20.18	%		735,950		66.72	%
Total Private Investment Companies	$	6,692,902			99.61	%	$	1,046,915		94.91	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (2)
Frontier Trading Company XXXVIII, LLC	$	10,145			0.15	%	$	31,392		2.85	%
Total Investment in Unconsolidated Trading Companies	$	10,145			0.15	%	$	31,392		2.85	%

U.S. TREASURY SECURITIES (1)
FACE VALUE	Fair Value				Fair Value
US Treasury Note 6.875% due 08/15/2025	$	988	0.01	%	$	3,057	0.28	%

Additional Disclosure on U.S. Treasury Securities	Face Value		Face Value
US Treasury Note 6.875% due 08/15/2025 (1)	$	925	$	2,862

Additional Disclosure on U.S. Treasury Securities	Cost		Cost
US Treasury Note 6.875% due 08/15/2025 (1)	$	989	$	3,059

* 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 2 to the Consolidated Financial Statements.

(2) See Note 5 to the Consolidated Financial Statements.

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

5

The Series of Frontier Funds

Consolidated Condensed Schedules of Investments

March 31, 2023 (Unaudited)

	Frontier Global					Frontier
	Fund					Heritage Fund
			% of Total Capital					% of Total Capital
Description	Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)
PRIVATE INVESTMENT COMPANIES (2)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	2,253,989		101.00	%	$	1,889,087		79.03	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		-		-			522,287		21.85	%
Total Private Investment Companies	$	2,253,989		101.00	%	$	2,411,374		100.88	%
INVESTMENT IN UNCONSOLIDATED COMPANIES (2)
Frontier Trading Company XXXVIII, LLC	$	58,206		2.61	%	$	28,212		1.18	%
Total Investment in Unconsolidated Trading Companies	$	58,206		2.61	%	$	28,212		1.18	%

U.S. TREASURY SECURITIES (1)
FACE VALUE	Fair Value				Fair Value
US Treasury Note 6.875% due 08/15/2025	$	5,668	0.25	%	$	2,747	0.11	%
Additional Disclosure on U.S. Treasury Securities		Face Value				Face Value
US Treasury Note 6.875% due 08/15/2025 (1)	$	5,306			$	2,572
Additional Disclosure on U.S. Treasury Securities		Cost				Cost
US Treasury Note 6.875% due 08/15/2025 (1)	$	5,673			$	2,749

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 2 to the Consolidated Financial Statements.

(2) See Note 5 to the Consolidated Financial Statements.

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

6

The Series of Frontier Funds

Consolidated Condensed Schedules of Investments

December 31, 2022

	Frontier Diversified Fund					Frontier Masters Fund					Frontier Long/Short Commodity Fund
			% of Total Capital					% of Total Capital					% of Total Capital
Description	Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)
PRIVATE INVESTMENT COMPANIES (2)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	211,143		7.37	%	$	-		0.00	%	$	-		0.00	%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		453,405		15.83	%		-		0.00	%		-		0.00	%
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC		212,180		7.41	%		164,320		23.60	%		-		0.00	%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		667,783		23.32	%		-		0.00	%		-		0.00	%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		754,702		26.35	%		313,172		44.99	%		-		0.00	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		480,353		16.77	%		228,247		32.79	%		455,615		33.45	%
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC)		-		0.00	%		-		0.00	%		252,472		18.53	%
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		-		0.00	%		-		0.00	%		573,895		42.13	%
Total Private Investment Companies	$	2,779,566		97.05	%	$	705,739		101.38	%	$	1,281,982		94.11	%
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2)
Frontier Trading Company XXXVIII, LLC	$	28,671		1.00	%	$	11,418		1.64	%	$	23,810		1.75	%
Total Investment in Unconsolidated Trading Companies	$	28,671		1.00	%	$	11,418		1.64	%	$	23,810		1.75	%

U.S. TREASURY SECURITIES (1)
	Fair Value				Fair Value				Fair Value
US Treasury Note 6.875% due 08/15/2025	$	42,198	1.47	%	$	16,805	2.41	%	$	35,044	2.57	%
Additional Disclosure on U.S. Treasury Securities		Face Value				Face Value				Face Value
US Treasury Note 6.875% due 08/15/2025 (1)	$	39,704			$	15,812			$	32,973
Additional Disclosure on U.S. Treasury Securities		Cost				Cost				Cost
US Treasury Note 6.875% due 08/15/2025 (1)	$	42,270			$	16,834			$	35,105

(1) See Note 2 to the Consolidated Financial Statements.

(2) See Note 5 to the Consolidated Financial Statements.

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

7

The Series of Frontier Funds

Consolidated Condensed Schedules of Investments

December 31, 2022

	Frontier						Frontier
	Balanced Fund						Select Fund
				% of Total Capital					% of Total Capital
Description	Fair Value			(Net Asset Value)			Fair Value		(Net Asset Value)
LONG FUTURES CONTRACTS*
Various agriculture futures contracts (U.S.)	$	1,590			0.02	%	$	-		0.00	%
Various base metals futures contracts (U.S.)		897			0.01	%		-		0.00	%
Various currency futures contracts (U.S.)		(230	)		0.00	%		-		0.00	%
Total Long Futures Contracts	$	2,257			0.03	%	$	-		0.00	%
SHORT FUTURES CONTRACTS*
Various agriculture futures contracts (Europe)	$	(227	)		0.00	%	$	-		0.00	%
Various currency futures contracts (Europe)		67			0.00	%		-		0.00	%
Various currency futures contracts (Far East)		(55	)		0.00	%		-		0.00	%
Various currency futures contracts (U.S.)		(216	)		0.00	%		-		0.00	%
Various interest rates futures contracts (U.S.)		(50	)		0.00	%		-		0.00	%
Various stock index futures contracts (Far East)		(106	)		0.00	%		-		0.00	%
Total Short Futures Contracts	$	(587	)		0.00	%	$	-		0.00	%
Total Open Trade Equity (Deficit)	$	1,670			0.03	%	$	-		0.00	%
PRIVATE INVESTMENT COMPANIES (2)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	352,115			3.78	%	$	-		0.00	%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,803,881			19.34	%		-		0.00	%
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC		1,285,974			13.79	%		492,107		32.75	%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		1,747,568			18.74	%		-		0.00	%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		1,900,887			20.38	%		-		0.00	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		1,853,589			19.87	%		957,812		63.74	%
Total Private Investment Companies	$	8,944,014			95.90	%	$	1,449,919		96.49	%
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2)
Frontier Trading Company XXXVIII, LLC	$	136,169			1.46	%	$	20,414		1.36	%
Total Investment in Unconsolidated Trading Companies	$	136,169			1.46	%	$	20,414		1.36	%

U.S. TREASURY SECURITIES (1)
	Fair Value				Fair Value
US Treasury Note 6.875% due 08/15/2025	$	200,417	2.15	%	$	30,046	2.00	%
Additional Disclosure on U.S. Treasury Securities		Face Value				Face Value
US Treasury Note 6.875% due 08/15/2025 (1)	$	188,573			$	28,270
Additional Disclosure on U.S. Treasury Securities		Cost				Cost
US Treasury Note 6.875% due 08/15/2025 (1)	$	200,764			$	30,098

* 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 2 to the Consolidated Financial Statements.

(2) See Note 5 to the Consolidated Financial Statements.

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

8

The Series of Frontier Funds

Consolidated Condensed Schedules of Investments

December 31, 2022

	Frontier Global Fund					Frontier Heritage Fund
			% of Total Capital					% of Total Capital
Description	Fair Value		(Net Asset Value)			Fair Value		(Net Asset Value)
PRIVATE INVESTMENT COMPANIES (2)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	2,943,814		104.09	%	$	2,363,685		76.58	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		-		-			706,956		22.91	%
Total Private Investment Companies	$	2,943,814		104.09	%	$	3,070,641		99.49	%
INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (2)
Frontier Trading Company XXXVIII, LLC	$	16,200		0.57	%	$	27,970		0.91	%
Total Investment in Unconsolidated Trading Companies	$	16,200		0.57	%	$	27,970		0.91	%

U.S. TREASURY SECURITIES (1)
	Fair Value				Fair Value
US Treasury Note 6.875% due 08/15/2025	$	23,843	0.84	%	$	41,167	1.33	%
Additional Disclosure on U.S. Treasury Securities		Face Value				Face Value
US Treasury Note 6.875% due 08/15/2025 (1)	$	22,434			$	38,734
Additional Disclosure on U.S. Treasury Securities		Cost				Cost
US Treasury Note 6.875% due 08/15/2025 (1)	$	23,885			$	41,238

(1) See Note 2 to the Consolidated Financial Statements.

(2) See Note 5 to the Consolidated Financial Statements.

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

9

The Series of Frontier Funds

Consolidated Statements of Operations (Unaudited)

For the Three Months Ended March 31, 2023 and 2022

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	3/31/2023			3/31/2022			3/31/2023			3/31/2022			3/31/2023			3/31/2022
Investment income:
Interest - net	$	1,099		$	1,365		$	662		$	664		$	632		$	610
Total Income		1,099			1,365			662			664			632			610
Expenses:
Incentive Fees (rebate)		-			-			-			-			(5,126	)		-
Service Fees - Class 1		226			251			101			116			53			56
Due Diligence Fees		776			945			188			222			93			93
Trading Fees		24,576			27,593			10,339			11,781			9,572			8,468
Total Expenses		25,578			28,789			10,628			12,119			4,592			8,617
Investment (loss) - net		(24,479	)		(27,424	)		(9,966	)		(11,455	)		(3,960	)		(8,007	)
Realized and unrealized gain/(loss) on investments:
Net unrealized gain/(loss) on private investment companies		(562,102	)		1,081,696			(167,200	)		481,020			(131,235	)		302,405
Net realized gain/(loss) on private investment companies		33,702			(432,880	)		22,977			(229,832	)		8,908			1,048
Net realized gain/(loss) on U.S. Treasury securities		(1,172	)		(828	)		(653	)		(423	)		(992	)		(444	)
Net unrealized gain/(loss) on U.S. Treasury securities		(22	)		(1,921	)		(104	)		(561	)		57			(939	)
Change in fair value of investments in unconsolidated trading companies		(3,115	)		12,035			(1,772	)		4,469			(2,208	)		5,827
Net gain/(loss) on investments		(532,709	)		658,102			(146,752	)		254,673			(125,470	)		307,897
NET INCREASE/(DECREASE) IN CAPITAL
RESULTING FROM OPERATIONS		(557,188	)		630,678			(156,718	)		243,218			(129,430	)		299,890
Less: Operations attributable to non-controlling interests		-			-			-			-			-			-
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(557,188	)	$	630,678		$	(156,718	)	$	243,218		$	(129,430	)	$	299,890
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1		N/A			N/A			N/A			N/A			N/A			N/A
Class 2	$	(18.80	)	$	18.83		$	(21.33	)	$	26.27		$	(10.47	)	$	22.81
Class 2a		N/A			N/A			N/A			N/A		$	(6.89	)	$	14.85
Class 3	$	(17.64	)	$	17.74		$	(20.12	)	$	24.83		$	(10.99	)	$	23.93
Class 3a		N/A			N/A			N/A			N/A		$	(7.26	)	$	15.76

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

10

The Series of the Frontier Funds

Consolidated Statements of Operations (Unaudited)

For the Three Months Ended March 31, 2023 and 2022

	Frontier Balanced Fund						Frontier Select Fund
	3/31/2023			3/31/2022			3/31/2023			3/31/2022
Investment income:
Interest - net	$	890		$	-		$	-		$	-
Total Income/(loss)		890			-			-			-
Expenses:
Incentive Fees (rebate)		-			76,272			-			-
Interest - net		-			115			-			-
Management Fees		4,238			4,403			-			-
Service Fees - Class 1		47,651			61,363			9,621			10,925
Risk analysis Fees		970			1,321			-			-
Trading Fees		94,443			102,264			11,109			11,861
Total Expenses		147,302			245,738			20,730			22,786
Investment (loss) - net		(146,412	)		(245,738	)		(20,730	)		(22,786	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(286,481	)		271,469			-			-
Net unrealized gain/(loss) on private investment companies		(1,727,894	)		3,769,442			(355,158	)		976,044
Net realized gain/(loss) on private investment companies		46,098			(1,136,957	)		10,201			(513,536	)
Net change in open trade equity/(deficit)		1,477			42,742			-			-
Net realized gain/(loss) on U.S. Treasury securities		(3,540	)		(1,928	)		(1,009	)		(386	)
Net unrealized gain/(loss) on U.S. Treasury securities		505			(4,122	)		8			(811	)
Trading commissions		(2,532	)		(3,120	)		-			-
Change in fair value of investments in unconsolidated trading companies		(12,875	)		23,183			(2,211	)		5,154
Net gain/(loss) on investments		(1,985,242	)		2,960,709			(348,169	)		466,465
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS		(2,131,654	)		2,714,971			(368,899	)		443,679
Less: Operations attributable to non-controlling interests		-			-			-			-
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(2,131,654	)	$	2,714,971		$	(368,899	)	$	443,679
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(23.48	)	$	24.00		$	(17.59	)	$	20.19
Class 1AP	$	(29.49	)	$	30.95		$	(22.14	)	$	25.99
Class 2	$	(39.76	)	$	41.74		$	(29.38	)	$	34.51
Class 2a	$	(34.51	)	$	36.26			N/A			N/A
Class 3a	$	(34.39	)	$	36.14			N/A			N/A

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

11

The Series of the Frontier Funds

Consolidated Statements of Operations (Unaudited)

For the Three Months Ended March 31, 2023 and 2022

	Frontier Global Fund						Frontier Heritage Fund
	3/31/2023			3/31/2022			3/31/2023			3/31/2022
Investment income:
Interest - net	$	-		$	-		$	-		$	-
Total Income		-			-			-			-
Expenses:
Service Fees - Class 1		17,673			16,989			18,815			18,381
Trading Fees		32,425			30,349			30,792			27,156
Total Expenses		50,098			47,338			49,607			45,537
Investment (loss) - net		(50,098	)		(47,338	)		(49,607	)		(45,537	)
Realized and unrealized gain/(loss) on investments:
Net unrealized gain/(loss) on private investment companies		(593,634	)		874,900			(605,502	)		946,263
Net realized gain/(loss) on private investment companies		80,963			146,069			43,789			75,755
Net realized gain/(loss) on U.S. Treasury securities		(831	)		(513	)		(746	)		(532	)
Net unrealized gain/(loss) on U.S. Treasury securities		117			(1,446	)		91			(1,420	)
Change in fair value of investments in unconsolidated trading companies		(3,477	)		8,550			(3,161	)		8,272
Net gain/(loss) on investments		(516,862	)		1,027,560			(565,529	)		1,028,338
NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS		(566,960	)		980,222			(615,136	)		982,801
Less: Operations attributable to non-controlling interests		-			-			-			-
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS	$	(566,960	)	$	980,222		$	(615,136	)	$	982,801
NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT
Class 1	$	(37.44	)	$	52.45		$	(31.03	)	$	44.84
Class 1AP		N/A			N/A		$	(38.77	)	$	57.41
Class 2	$	(58.33	)	$	83.54		$	(51.89	)	$	76.82

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

12

The Series of Frontier Funds

Consolidated Statements of Changes in Owners’ Capital (Unaudited)

For the Three Months Ended March 31, 2023

	Frontier Diversified Fund																	Frontier Masters Fund
	Class 2			Class 2			Class 3			Class 3			Non-					Class 2			Class 2			Class 3			Class 3			Non-
	Managing Owner			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total
Owners’ Capital, December 31, 2022	$	8,523		$	392,656		$	20,433		$	2,442,360		$	-	$	2,863,972		$	5,100		$	177,102		$	2,214		$	511,704		$	-	$	696,120
Sale of Units		-			-			-			-			-		-			-			-			-			-			-		-
Redemption of Units		-			-			(500	)		-			-		(500	)		-			(21,898	)		(400	)		-			-		(22,298	)
Transfer of Units In(Out)		-			-			-			-			-		-			-			-			-			-			-		-
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(1,662	)		(76,572	)		(3,883	)		(475,071	)		-		(557,188	)		(1,150	)		(40,082	)		(413	)		(115,073	)		-		(156,718	)
Owners’ Capital, March 31, 2023	$	6,861		$	316,084		$	16,050		$	1,967,289		$	-	$	2,306,284		$	3,950		$	115,122		$	1,401		$	396,631			-	$	517,104
Owners’ Capital - Units, December 31, 2022		89			4,074			225			26,921								53			1,872			25			5,720
Sale of Units (including transfers)		-						-			-								-			-			-			-
Redemption of Units (including transfers)					-			(5	)		-								-			(301	)		(4	)		-
Owners’ Capital - Units, March 31, 2023		89			4,074			220			26,921								53			1,571			21			5,720
Net asset value per unit at December 31, 2022				$	96.37					$	90.72										$	94.64					$	89.45
Change in net asset value per unit for the three months ended March 31, 2023					(18.80	)					(17.64	)										(21.33	)				$	(20.12	)
Net asset value per unit at March 31, 2023				$	77.57					$	73.08										$	73.31					$	69.33

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

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

13

The Series of Frontier Funds

Consolidated Statements of Changes in Owners’ Capital (Unaudited)

For the Three Months Ended March 31, 2023

	Frontier Long/Short Commodity Fund
	Class 2						Class 3			Class 2a						Class 3a						Non-
	Managing Owner			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total
Owners’ Capital, December 31, 2022	$	3,065		$	25,648		$	998,095		$	9,328		$	80,689		$	1,369		$	244,079		$	-	$	1,362,273
Sale of Units		-			-			-			-			-			-			-			-		-
Redemption of Units		(250	)		(4,404	)		(6,087	)		-			-			-			(36,559	)		-		(47,300	)
Transfer of Units In(Out)		-			-			-			-			-			-			-			-		-
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(274	)		(2,422	)		(94,954	)		(893	)		(7,731	)		(130	)		(23,026	)		-		(129,430	)
Owners’ Capital, March 31, 2023	$	2,541		$	18,822		$	897,054		$	8,435		$	72,958		$	1,239		$	184,494		$	-	$	1,185,543
Owners’ Capital - Units, December 31, 2022		28			234			8,677			129			1,122			18			3,199
Sale of Units (including transfers)		-			-			-			-			-			-			-
Redemption of Units (including transfers)		(2	)		(45	)		(55	)		-			-			-			(526	)
Owners’ Capital - Units, March 31, 2023		26			189			8,622			129			1,122			18			2,673
Net asset value per unit at December 31, 2022				$	109.65		$	115.03					$	71.93					$	76.29
Change in net for the three months ended March 31, 2023					(10.47	)		(10.99	)					(6.89	)					(7.26	)
Net asset value per unit at March 31, 2023				$	99.18		$	104.04					$	65.04					$	69.03

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

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

14

The Series of Frontier Funds

Consolidated Statements of Changes in Owners’ Capital (Unaudited)

For the Three Months Ended March 31, 2023

	Frontier Balanced Fund
	Class 1			Class 1AP			Class 2						Class 2a						Class 3a			Non-
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Managing Owner			Limited Owners			Limited Owners			Controlling Interests		Total
Owners’ Capital, December 31, 2022	$	7,134,145		$	74,869		$	53,242		$	1,549,544		$	43,282		$	-		$	471,646		$	-	$	9,326,728
Sale of Units		-			-			-			-			-			-			-			-		-
Redemption of Units		(374,150	)		-			-			(98,257	)		(4,000	)		-			-			-		(476,407	)
Transfer of Units In (Out)		-			-			-			-			-			-			-			-		-
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(1,636,782	)		(17,305	)		(12,307	)		(347,253	)		(9,111	)		-			(108,896	)		-		(2,131,654	)
Owners’ Capital, March 31, 2023	$	5,123,213		$	57,564		$	40,935		$	1,104,034		$	30,171		$	-		$	362,750		$	-	$	6,718,667
Owners’ Capital - Units, December 31, 2022		71,936			587			310			9,008			290			-			3,166
Sale of Units (including transfers)		-			-			-			-			-			-			-
Redemption of Units (including transfers)		(4,247	)		-			-			(661	)		(28	)		-			-
Owners’ Capital - Units, March 31, 2023		67,689			587			310			8,347			262			-			3,166
Net asset value per unit at December 31, 2022	$	99.17		$	127.56					$	172.01					$	149.47		$	148.96
Change in net asset value for the three months ended March 31, 2023		(23.48	)		(29.49	)					(39.76	)					(34.51	)		(34.39	)
Net asset value per unit at March 31, 2023	$	75.69		$	98.07					$	132.25					$	114.96		$	114.57

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

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

15

The Series of Frontier Funds

Consolidated Statements of Changes in Owners’ Capital (Unaudited)

For the Three Months Ended March 31, 2023

	Frontier Select Fund																	Frontier Global Fund														Frontier Heritage Fund
	Class 1			Class 1AP			Class 2						Non-					Class 1			Class 2						Non-					Class 1			Class 1AP			Class 2						Non-
	Limited Owners			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total			Limited Owners			Limited Owners			Managing Owner			Limited Owners			Controlling Interests		Total
Owners’ Capital, December 31, 2022	$	1,417,113		$	10,554		$	15,168		$	59,771		$	-	$	1,502,606		$	2,689,125		$	28,821		$	110,257		$	-	$	2,828,203		$	2,830,832		$	12,657		$	31,125		$	211,743		$	-	$	3,086,357
Sale of Units		-			-			-			-			-		-			-			-			-			-		-			-			-			-			-			-		-
Redemption of Units		(30,410	)		-			(250	)		-			-		(30,660	)		(28,722	)		(800	)		-			-		(29,522	)		(80,374	)		-			(500	)		-			-		(80,874	)
Transfer of Units In(Out)		-			-			-						-		-			-			-			-			-		-			-			-			-			-			-		-
Net increase/(decrease) in Owners’ Capital resulting from operations attributable to controlling interests		(348,327	)		(2,547	)		(3,598	)		(14,427	)		-		(368,899	)		(539,797	)		(5,530	)		(21,633	)		-		(566,960	)		(565,293	)		(2,473	)		(5,996	)		(41,374	)		-		(615,136	)
Owners’ Capital, March 31, 2023	$	1,038,376		$	8,007		$	11,320		$	45,344		$	-	$	1,103,047		$	2,120,606		$	22,491		$	88,624		$	-	$	2,231,721		$	2,185,165		$	10,184		$	24,629		$	170,369		$	-	$	2,390,347
Owners’ Capital - Units, December 31, 2022		19,894			115			124			492								14,514			97			371								18,366			64			118			797
Sale of Units (including transfers)		-			-			-			-								-			-			-								-			-			-			-
Redemption of Units (including transfers)		(536	)		-			(2	)		-								(169	)		(3	)		-								(616	)		-			(2	)		-
Owners’ Capital - Units, March 31, 2023		19,358			115			122			492								14,345			94			371								17,750			64			116			797
Net asset value per unit at December 31, 2022	$	71.23		$	91.71					$	121.70							$	185.27					$	297.25							$	154.14		$	198.42					$	265.55
Change in net asset value per for the three months ended March 31, 2023		(17.59	)		(22.14	)					(29.38	)							(37.44	)					(58.33	)							(31.03	)		(38.77	)					(51.89	)
Net asset value per unit at March 31, 2023	$	53.64		$	69.57					$	92.32							$	147.83					$	238.92							$	123.11		$	159.65					$	213.66

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

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

16

The Series of Frontier Funds

Consolidated Statements of Cash Flows (Unaudited)

For the Three Months Ended March 31, 2023 and 2022

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	3/31/2023			3/31/2022			3/31/2023			3/31/2022			3/31/2023			3/31/2022
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(557,188	)	$	630,678		$	(156,718	)	$	243,218		$	(129,430	)	$	299,890
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		(24,810	)		83,003			(18,361	)		38,782			(28,544	)		34,723
Net unrealized (gain)/loss on U.S. Treasury securities		22			1,921			104			561			(57	)		939
Net realized (gain)/loss on U.S. Treasuries securities		1,172			828			653			423			992			444
Net unrealized (gain)/loss on private investment companies		562,102			(1,081,696	)		167,200			(481,020	)		131,235			(302,405	)
Net realized (gain)/loss on private investment companies		(33,702	)		432,880			(22,977	)		229,832			(8,908	)		(1,048	)
(Purchases) sales of:
Sales of U.S. Treasury securities		125,248			-			74,117			-			95,748			-
(Purchases) of U.S. Treasury securities		(65,986	)		(187,262	)		(42,953	)		(84,554	)		(36,199	)		(91,922	)
U.S. Treasury interest and premium paid/amortized		1,099			1,365			662			664			632			610
(Purchases) of Private Investment Companies		(119,829	)		(517,270	)		(76,538	)		(217,768	)		(20,967	)		(63,333	)
Sale of Private Investment Companies		185,112			623,019			157,456			412,820			59,848			207,329
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		(27,329	)		8,081			(15,103	)		4,136			(1,576	)		(3,242	)
Interest receivable		973			(282	)		382			(114	)		838			(299	)
Redemptions receivable from private investment companies		-			-			-			-			-			(711	)
Interest payable to Managing Owner		-			-			-			-			(23	)		11
Trading fees payable to Managing Owner		(1,401	)		955			(1,013	)		416			(265	)		(525	)
Service fees payable to Managing Owner		(13	)		13			(12	)		-			(3	)		3
Other liabilities		2,066			(2,044	)		1,108			(979	)		514			(90	)
Net cash provided by (used in) operating activities		47,536			(5,811	)		68,007			146,417			63,835			80,374
Cash Flows from Financing Activities:
Payments for redemption of units		(500	)		(68,010	)		(22,298	)		(190,773	)		(47,298	)		(56,940	)
Change in owner redemptions payable		-			277			(19,922	)		8,689			(12,790	)		(20,301	)
Net cash provided by (used in) financing activities		(500	)		(67,733	)		(42,220	)		(182,084	)		(60,088	)		(77,241	)
Net increase (decrease) in cash and cash equivalents		47,036			(73,544	)		25,787			(35,667	)		3,747			3,133
Cash and cash equivalents, beginning of period		46,604			165,491			18,560			76,703			38,703			40,528
Cash and cash equivalents, end of period	$	93,640		$	91,947		$	44,347		$	41,036		$	42,450		$	43,661

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

17

The Series of Frontier Funds

Consolidated Statements of Cash Flows (Unaudited)

For the Three Months Ended March 31, 2023 and 2022

	Frontier Balanced Fund						Frontier Select Fund
	3/31/2023			3/31/2022			3/31/2023			3/31/2022
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(2,131,654	)	$	2,714,971		$	(368,899	)	$	443,679
Adjustments to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities:
Change in:
Net change in open trade equity, at fair value		(1,477	)		14,836			-			-
Net change in ownership allocation of U.S. Treasury securities		98,484			(349,053	)		(37,121	)		33,191
Net unrealized (gain)/loss on U.S. Treasury securities		(505	)		4,122			(8	)		811
Net realized (gain)/loss on U.S. Treasury securities		3,540			1,928			1,009			386
Net unrealized (gain)/loss on private investment companies		1,727,894			(3,769,442	)		355,158			(976,044	)
Net realized (gain)/loss on private investment companies		(46,098	)		1,136,957			(10,201	)		513,536
(Purchases) sales of:
Sales of U.S. Treasury securities		376,140			-			103,386			-
(Purchases) of U.S. Treasury securities		(279,120	)		(245,678	)		(40,277	)		(85,056	)
U.S. Treasury interest and premium paid/amortized		890			(115	)		-			-
(Purchases) of Private Investment Companies		(297,065	)		(1,643,376	)		(14,020	)		(641,030	)
Sale of Private Investment Companies		866,381			2,299,318			72,067			738,297
Increase and/or decrease in:
Receivable from futures commission merchants		(124,878	)		583,917			-			-
Investments in unconsolidated trading companies, at fair value		126,024			(71,666	)		(10,978	)		(859	)
Interest receivable		4,977			(3,879	)		705			(235	)
Other assets		(1,170	)		-			-			-
Redemptions receivable from private investment companies		-			(3,894	)		-			(339	)
Incentive fees payable to Managing Owner		(692	)		22,261			-			-
Management fees payable to Managing Owner		(154	)		170			-			-
Interest payable to Managing Owner		(1,626	)		(4	)		(119	)		41
Trading fees payable to Managing Owner		(6,976	)		3,920			(1,028	)		617
Service fees payable to Managing Owner		(3,843	)		2,500			(775	)		748
Risk analysis fees payable		(130	)		1,321			-			-
Subscriptions in advance for service fee rebates		4,081			5,215			175			211
Other liabilities		(6,867	)		8,538			895			(27	)
Net cash provided by (used in) operating activities		306,156			712,867			49,969			27,927
Cash Flows from Financing Activities:
Payments for redemption of units		(476,405	)		(448,666	)		(30,660	)		(37,062	)
Change in owner redemptions payable		(34,822	)		(20,384	)		-			-
Net cash provided by (used in) financing activities		(511,227	)		(469,050	)		(30,660	)		(37,062	)
Net increase (decrease) in cash and cash equivalents		(205,071	)		243,817			19,309			(9,135	)
Cash and cash equivalents, beginning of period		221,344			188,010			33,183			51,140
Cash and cash equivalents, end of period	$	16,273		$	431,827		$	52,492		$	42,005

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

18

The Series of Frontier Funds

Consolidated Statements of Cash Flows (Unaudited)

For the Three Months Ended March 31, 2023 and 2022

	Frontier Global Fund						Frontier Heritage Fund
	3/31/2023			3/31/2022			3/31/2023			3/31/2022
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(566,960	)	$	980,222		$	(615,136	)	$	982,801
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		(13,996	)		93,254			19,479			58,522
Net unrealized (gain)/loss on U.S. Treasury securities		(117	)		1,446			(91	)		1,420
Net realized (gain)/loss on U.S. Treasury securities		831			513			746			532
Net unrealized (gain)/loss on private investment companies		593,634			(874,900	)		605,502			(946,263	)
Net realized (gain)/loss on private investment companies		(80,963	)		(146,069	)		(43,789	)		(75,755	)
(Purchases) sale of:
Sales of U.S. Treasury Securities		93,842			-			84,761			-
(Purchases) of U.S. Treasury securities		(62,385	)		(170,130	)		(66,474	)		(166,132	)
(Purchases) of Private Investment Companies		(56,623	)		(206,524	)		(57,102	)		(53,273	)
Sale of Private Investment Companies		233,776			534,460			154,655			318,307
Increase and/or decrease in:
Investments in unconsolidated trading companies, at fair value		(42,006	)		6,686			(242	)		(10,568	)
Interest receivable		513			(199	)		986			(653	)
Interest payable to Managing Owner		(42	)		88			(254	)		231
Trading fees payable to Managing Owner		(1,834	)		1,788			(1,643	)		2,056
Service fees payable to Managing Owner		(924	)		1,282			(1,059	)		1,542
Subscriptions in advance for service fee rebates		805			771			2,017			1,879
Other liabilities		2,968			(1,617	)		227			80
Net cash provided by (used in) operating activities		100,519			221,071			82,583			114,726
Cash Flows from Financing Activities:
Payments for redemption of units		(29,522	)		(305,109	)		(80,873	)		(98,954	)
Change in owner redemptions payable		-			25,386						14,972
Net cash provided by (used in) financing activities		(29,522	)		(279,723	)		(80,874	)		(83,982	)
Net increase (decrease) in cash and cash equivalents		70,997			(58,652	)		1,709			30,744
Cash and cash equivalents, beginning of period		26,333			128,021			45,466			48,839
Cash and cash equivalents, end of period	$	97,330		$	69,369		$	47,175		$	79,583

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

19

Notes to Financial Statements

1. Organization and Purpose

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

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

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

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

The Trust, with respect to each Series:

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

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

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

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

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

20

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

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

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

21

As of March 31, 2023, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into two separate Classes—Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund and Frontier Heritage Fund separates Units into three separate Classes—Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Global Fund, separates Units into two separate Classes—Class 1 and Class 2. The Trust, with respect to the Frontier Balanced Fund, separates Units into 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 four separate Classes—Class 2, Class 2a, Class 3 and Class 3a.

Between April 15, 2016 and May 10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus. Each Master Fund is sponsored and operated by New Hyde Park Alts, LLC (“New Hyde Park”). New Hyde Park 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 75-95% 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. All the funds are invested in Galaxy Plus entities.  

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

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

2. Significant Accounting Policies

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

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

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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 New Hyde Park, that create exposure to a variety of third party professional managed futures and foreign exchange advisors. Galaxy Plus is available to qualified high-net-worth individuals and institutional investors. Trading Companies in which a Series has a controlling and majority interest as calculated on that Series’ pro-rata net asset value in the Trading Company are consolidated by such Series. Investments in Trading Companies in which a Series does not have a controlling and majority interest and all interests in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair value represents the proportionate share of the Series’ interest in the NAV in a Trading Company or Galaxy Plus entity. The equity interest held by Series of the Trust is shown as investments in unconsolidated Trading Companies or investments in private investment companies in the consolidated statements of financial condition. The income or loss attributable thereto in proportion of investment level is shown in the consolidated statements of operations as change in fair value of investments in unconsolidated Trading Companies or net unrealized gain/(loss) on private investment companies.

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

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 consolidated financial statements and the reported amounts of revenue and expenses during the reporting period. The valuation of swap contracts requires significant estimates as well as the valuation of certain other investments. Please refer to Note 3 for discussion of valuation methodology. Actual results could differ from these estimates, and such differences could be material.

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

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

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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 consolidated statements of operations as net unrealized gain/(loss) on U.S. Treasury securities. Accrued interest is reported on the consolidated statements of financial condition as interest receivable. 

Receivable from Futures Commission Merchants—The Series of the Trust deposit assets with a FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, with respect to the Series, earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of March 31, 2023 and December 31, 2022 included restricted cash for margin requirements of $62,418 and $320,939 respectively, for the Frontier Balanced Fund.

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

Any change in net unrealized gain or loss from the preceding period is reported in the 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 is recognized in the period earned and the instruments are marked-to-market daily based on third party information. Transaction costs are recognized as incurred and reflected separately in the consolidated statements of operations.

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

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

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

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

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

Income Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740 Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the consolidated 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’, consolidated 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 2019 through 2022 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

Fees and Expenses—All management fees, incentive fees, service fees, risk analysis fees (for closed Series only) and trading fees of the Trust, with respect to the Series, are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust, with respect to the Series. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the consolidated statements 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 consolidated 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 consolidated statements of operations.

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Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the Commodity Trading Advisors up to 10% of New Net Profits (as defined in the prospectus). If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period for a particular series, then the Managing Owner is obligated to return any amount in excess to the Series. The returned amounts are recorded as Incentive Fee (Rebate) on the consolidated 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 Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents.

Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2022, 2021 and 2020, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2023 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as subscriptions in advance for service fee rebates of $22,650, $393, $31,725, $395,538, $22,221, $163,190 and $81,684 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of March 31, 2023.

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

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

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

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

Subsequent Events—Each Series follows the provisions of ASC 855, Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the consolidated financial statements are issued. Refer to Note 11.

3. Fair Value Measurements

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

Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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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, compares 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, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. Swap contracts are reported at fair value using Level 3 inputs. All swap investments were liquidated in 2020.

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

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.

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The following table summarizes investment in each Series measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value.

March 31, 2023	Practical Expedient		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value
Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	56,000	$	-	$	-	$	-	$	56,000
U.S. Treasury Securities		-		5,453		-		-		5,453
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		26,521		-		-		-		26,521
U.S. Treasury Securities		-		2,582		-		-		2,582
Frontier Long/Short Commodity Fund
Investment in Unconsolidated Trading Companies		25,386		-		-		-		25,386
U.S. Treasury Securities		-		2,472		-		-		2,472
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		10,145		-		-		-		10,145
Open Trade Equity (Deficit)				3,147		-		-		3,147
U.S. Treasury Securities		-		988		-		-		988
Frontier Select Fund						-
Investment in Unconsolidated Trading Companies		31,392		-		-		-		31,392
U.S. Treasury Securities		-		3,057		-		-		3,057
Frontier Global Fund						-
Investment in Unconsolidated Trading Companies		58,206		-		-		-		58,206
U.S. Treasury Securities		-		5,668		-		-		5,668
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		28,212		-		-		-		28,212
U.S. Treasury Securities		-		2,747		-		-		2,747

December 31, 2022	Practical Expedient		Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Total Fair Value
Frontier Diversified Fund
Investment in Unconsolidated Trading Companies	$	28,671	$	-	$	-	$	-	$	28,671
U.S. Treasury Securities		-		42,198		-		-		42,198
Frontier Masters Fund
Investment in Unconsolidated Trading Companies		11,418		-		-		-		11,418
U.S. Treasury Securities		-		16,805		-		-		16,805
Frontier Long/Short Commodity Fund
Investment in Unconsolidated Trading Companies		23,810		-		-		-		23,810
U.S. Treasury Securities		-		35,044		-		-		35,044
Frontier Balanced Fund
Investment in Unconsolidated Trading Companies		136,169		-		-		-		136,169
Open Trade Equity (Deficit)		-		1,670		-		-		1,670
U.S. Treasury Securities		-		200,417		-		-		200,417
Frontier Select Fund
Investment in Unconsolidated Trading Companies		20,414		-		-		-		20,414
U.S. Treasury Securities		-		30,046		-		-		30,046
Frontier Global Fund
Investment in Unconsolidated Trading Companies		16,200		-		-		-		16,200
U.S. Treasury Securities		-		23,843		-		-		23,843
Frontier Heritage Fund
Investment in Unconsolidated Trading Companies		27,970		-		-		-		27,970
U.S. Treasury Securities		-		41,167		-		-		41,167

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4. Swap Contracts

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

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

The Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined by the rating agencies. As of March 31, 2023, none of the Trust’s assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as collateral within the swap fair value within the Statements of Financial Condition. The cash held with the counterparty is not restricted.

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

To help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series’ exposure and remove cash from the Series’ total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000 and may not exceed 40% of the index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap. All swap investments were liquidated in the year 2020.

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5. Investments in Unconsolidated Trading Companies and Private Investment Companies

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

The Galaxy Plus entities are made up of feeder funds in which the 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 each of the Series’ investments in unconsolidated Trading Companies as of March 31, 2023 and December 31, 2022:

	As of March 31, 2023					As of December 31, 2022
	Percentage of					Percentage of
	Series Total					Series Total
	Capital Invested in					Capital Invested in
Series	Unconsolidated Trading Companies			Fair Value		Unconsolidated Trading Companies			Fair Value
Frontier Diversified Series —
Frontier Trading Company XXXVIII		2.43	%	$	56,000		1.00	%	$	28,671
Frontier Masters Fund ---
Frontier Trading Company XXXVIII		5.13	%	$	26,521		1.64	%	$	11,418
Frontier Long/Short Commodity Fund ---
Frontier Trading Company XXXVIII		2.14	%	$	25,386		1.75	%	$	23,810
Frontier Balanced Fund ---
Frontier Trading Company XXXVIII		0.15	%	$	10,145		1.46	%	$	136,169
Frontier Select Fund  ---
Frontier Trading Company XXXVIII		2.85	%	$	31,392		1.36	%	$	20,414
Frontier Global Fund  ---
Frontier Trading Company XXXVIII		2.61	%	$	58,206		0.57	%	$	16,200
Frontier Heritage Fund ---
Frontier Trading Company XXXVIII		1.18	%	$	28,212		0.91	%	$	27,970

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The following tables summarize each of the Series’ equity in earnings from unconsolidated Trading Companies and private investment companies for the three months ended March 31, 2023 and 2022.

Three months ended March 31, 2023 and 2022

	Three Months Ended March, 2023												Three Months Ended March, 2022
							Change in			Net									Change in			Net
	Trading			Realized			Unrealized			Income			Trading			Realized			Unrealized			Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)
Frontier Balanced Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	(12,875	)	$	(12,875	)	$	-		$	-		$	17,133		$	17,133
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(1,360	)		50,862			(362,820	)		(313,318	)		(1,053	)		668,170			75,759			742,876
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(1,240	)		(122,350	)		53,815			(69,775	)		(3,806	)		(756,826	)		113,144			(647,488	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(4,767	)		(9,130	)		(236,700	)		(250,597	)		(4,122	)		708,976			84,876			789,730
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(1,601	)		33,105			(387,067	)		(355,563	)		(2,189	)		452,000			243,765			693,576
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(3,310	)		123,129			(436,341	)		(316,522	)		(6,669	)		704,792			39,340			737,463
Galaxy Plus Fund - Quantica Managed Futures Master Fund (507) LLC		(933	)		(29,518	)		(345,856	)		(376,307	)		(572	)		797,312			(478,381	)		318,359
Galaxy Plus Fund JL Cyril Systematic Feeder Fund (547) LLC)		-			-			-			-			-			-			(2,031	)		(2,031	)
Total	$	(13,211	)	$	46,098		$	(1,727,844	)	$	(1,694,957	)	$	(18,411	)	$	2,574,424		$	93,605		$	2,649,618
Frontier Global Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	(3,477	)	$	(3,477	)	$	-		$	-		$	6,591		$	6,591
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(2,037	)		80,963			(591,597	)		(512,671	)		(1,390	)		884,077			138,282			1,020,969
Total	$	(2,037	)	$	80,963		$	(595,074	)	$	(516,148	)	$	(1,390	)	$	884,077		$	144,873		$	1,027,560
Frontier Select Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	(2,211	)	$	(2,211	)	$	-		$	-		$	3,957		$	3,957
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(1,834	)		14,722			(195,180	)		(182,292	)		(2,678	)		220,374			127,200			344,896
Galaxy Plus Fund JL Cyril Systematic Feeder Fund (547) LLC)		-			-			-			-			-			-			(845	)		(845	)
Galaxy Plus Fund - Quantica Managed Futures Master Fund (507) LLC		(365	)		(4,521	)		(157,778	)		(162,664	)		(216	)		299,148			(180,475	)		118,457
Total	$	(2,199	)	$	10,201		$	(355,169	)	$	(347,167	)	$	(2,894	)	$	519,522		$	(50,163	)	$	466,465
Frontier Heritage Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	(3,161	)	$	(3,161	)	$	-		$	-		$	6,321		$	6,321
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(1,685	)		21,425			(452,046	)		(432,306	)		(1,041	)		663,179			95,200			757,338
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(1,287	)		22,364			(150,483	)		(129,406	)		(2,189	)		197,710			69,158			264,679
Total	$	(2,972	)	$	43,789		$	(605,690	)	$	(564,873	)	$	(3,230	)	$	860,889		$	170,679		$	1,028,338
Frontier Long/Short Commodity Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	(2,208	)	$	(2,208	)	$	-		$	-		$	4,443		$	4,443
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(111	)		1,090			(3,439	)		(2,460	)		(270	)		70,364			(7,272	)		62,822
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(860	)		8,581			(94,342	)		(86,621	)		(1,373	)		114,799			61,788			175,214
Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC)		(252	)		(763	)		(32,231	)		(33,246	)		(2,454	)		(268,651	)		336,523			65,418
Total	$	(1,223	)	$	8,908		$	(132,220	)	$	(124,535	)	$	(4,097	)	$	(83,488	)	$	395,482		$	307,897
Frontier Diversified Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	(3,115	)	$	(3,115	)	$	-		$	-		$	9,287		$	9,287
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(551	)		14,884			(144,088	)		(129,755	)		(401	)		253,501			32,227			285,327
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(721	)		(8,332	)		(39,843	)		(48,896	)		(1,980	)		(379,839	)		54,380			(327,439	)
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(1,253	)		799			(63,314	)		(63,768	)		(946	)		163,333			16,830			179,217
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(576	)		24,602			(152,578	)		(128,552	)		(1,046	)		260,120			12,523			271,597
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(952	)		5,344			(96,252	)		(91,860	)		(1,476	)		137,574			41,852			177,950
Galaxy Plus Fund - JL Cyril Systematic Feeder Fund (547) LLC)		-			-			-			-			-			-			(399	)		(399	)
Galaxy Plus Fund - Quantica Managed Futures Master Fund (507) LLC		(157	)		(3,595	)		(61,816	)		(65,568	)		(110	)		153,723			(91,051	)		62,562
Total	$	(4,210	)	$	33,702		$	(561,006	)	$	(531,514	)	$	(5,959	)	$	588,412		$	75,649		$	658,102
Frontier Masters Fund
Frontier Trading Company XXXVIII, LLC	$	-		$	-		$	(1,772	)	$	(1,772	)	$	-		$	-		$	3,485		$	3,485
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		(204	)		25,534			(77,572	)		(52,242	)		(174	)		108,713			18,397			126,936
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(417	)		(647	)		(41,245	)		(42,309	)		(684	)		64,081			(63,397	)		-
Galaxy Plus Fund - TT Feeder Fund (531) LLC		-			-			-			-			-			-			(242	)		(242	)
Galaxy Plus Fund - JL Cyril Systematic Feeder Fund (547) LLC)		-			-			-			-			-			-			89,775			89,775
Galaxy Plus Fund - Quantica Managed Futures Master Fund (507) LLC		(113	)		(1,910	)		(47,650	)		(49,673	)		(64	)		88,318			(53,535	)		34,719
Total	$	(734	)	$	22,977		$	(168,239	)	$	(145,996	)	$	(922	)	$	261,112		$	(5,517	)	$	254,673

32

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 - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	24 hours	Daily	None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC	24 hours	Daily	None
Frontier Masters Fund
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC	24 hours	Daily	None
Frontier Long/Short Commodity Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC)	24 hours	Daily	None
Galaxy Plus Fund - LRR Feeder Fund (552) LLC)	24 hours	Daily	None
Frontier Balanced Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	24 hours	Daily	None
Galaxy Plus Fund - QIM Feeder Fund (526) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quest Feeder Fund (517) LLC	24 hours	Daily	None
Frontier Select Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC	24 hours	Daily	None
Frontier Global Fund
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None
Frontier Heritage Fund
Multi-Strategy
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Trend Following
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	24 hours	Daily	None

33

6. Transactions with Affiliates

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

Expenses

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

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

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

34

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 consolidated statements of operations. Because the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier Global Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

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

The Managing Owner has determined that the purchase of additional units of the relevant series will commence in 2023. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $22,650, $393, $31,725, $395,538, $22,221, $163,190 and $81,684 for the Frontier Diversified, Long/Short Commodity, Masters, Balanced, Select, Global and Heritage Funds, respectively, as of March 31, 2023.

35

The following table summarizes fees earned by the Managing Owner for the three months ended March 31, 2023 and 2022.

Three Months Ended March 31, 2023	Incentive (Rebate) Fees			Management Fee		Service Fee		Trading Fee
Frontier Diversified Fund	$	-		$	-	$	226	$	24,576
Frontier Masters Fund		-			-		101		10,339
Frontier Long/Short Commodity Fund		(5,126	)		-		53		9,572
Frontier Balanced Fund		-			4,238		47,651		94,443
Frontier Select Fund		-			-		9,621		11,109
Frontier Global Fund		-			-		17,673		32,425
Frontier Heritage Fund		-			-		18,815		30,792

Three Months Ended March 31, 2022	Incentive (Rebate) Fees		Management Fee		Service Fee		Trading Fee
Frontier Diversified Fund	$	-	$	-	$	251	$	27,593
Frontier Masters Fund		-		-		116		11,781
Frontier Long/Short Commodity Fund		-		-		56		8,468
Frontier Balanced Fund		76,272		4,403		61,363		102,264
Frontier Select Fund		-		-		10,925		11,861
Frontier Global Fund		-		-		16,989		30,349
Frontier Heritage Fund		-		-		18,381		27,156

The following table summarizes fees payable to the Managing Owner as of March 31, 2023 and December 31, 2022.

As of March 31, 2023	Incentive (Rebate) Fees		Management Fees		Interest Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	-	$	-	$	-	$	72	$	8,252
Frontier Masters Fund		-		-		-		31		3,430
Frontier Long/Short Commodity Fund		-		-		30		18		3,182
Frontier Balanced Fund		-		1,419		680		12,941		29,970
Frontier Select Fund		-		-		223		2,855		3,426
Frontier Global Fund		-		-		260		5,513		10,646
Frontier Heritage Fund		-		-		193		5,373		10,036

As of December 31, 2022	Incentive (Rebate) Fees		Management Fees		Interest Fees		Service Fees		Trading Fees
Frontier Diversified Fund	$	-	$	-	$	-	$	85	$	9,653
Frontier Masters Fund		-		-		-		43		4,443
Frontier Long/Short Commodity Fund		-		-		53		21		3,447
Frontier Balanced Fund		692		1,573		2,306		16,784		36,946
Frontier Select Fund		-		-		342		3,630		4,454
Frontier Global Fund		-		-		302		6,437		12,480
Frontier Heritage Fund		-		-		447		6,432		11,679

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

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

36

The following table outlines the interest paid by each Series to the Managing Owner and its ratio to average net assets for the three months ended March 31, 2023 and 2022:

	March 31, 2023		March 31, 2022		March 31, 2023			March 31, 2022
Three Months Ended	Gross Amount Paid to the Managing Owner		Gross Amount Paid to the Managing Owner		Ratio to Average Net Assets			Ratio to Average Net Assets
Frontier Diversified Fund Class 1	$	-	$	-		0.00	%		0.00	%
Frontier Diversified Fund Class 2		-		-		0.00	%		0.00	%
Frontier Diversified Fund Class 3		-		-		0.00	%		0.00	%
Frontier Masters Fund Class 1		-		-		0.00	%		0.00	%
Frontier Masters Fund Class 2		-		-		0.00	%		0.00	%
Frontier Masters Fund Class 3		-		-		0.00	%		0.00	%
Frontier Long/Short Commodity Fund Class 2		3		3		0.01	%		0.01	%
Frontier Long/Short Commodity Fund Class 3		109		106		0.01	%		0.01	%
Frontier Long/Short Commodity Fund Class 1a		-		-		0.00	%		0.00	%
Frontier Long/Short Commodity Fund Class 2a		-		-		0.00	%		0.00	%
Frontier Long/Short Commodity Fund Class 3a		-		-		0.00	%		0.00	%
Frontier Balanced Fund Class 1		2,699		2,350		0.04	%		0.03	%
Frontier Balanced Fund Class 1AP		29		21		0.04	%		0.03	%
Frontier Balanced Fund Class 2		614		493		0.04	%		0.03	%
Frontier Balanced Fund Class 2a		3		3		0.01	%		0.01	%
Frontier Balanced Fund Class 3a		37		25		0.01	%		0.01	%
Frontier Select Fund Class 1		764		594		0.06	%		0.04	%
Frontier Select Fund Class 1AP		6		5		0.06	%		0.04	%
Frontier Select Fund Class 2		41		31		0.06	%		0.04	%
Frontier Global Fund Class 1		847		839		0.04	%		0.04	%
Frontier Global Fund Class 1AP		-		-		0.00	%		0.00	%
Frontier Global Fund Class 2		44		73		0.04	%		0.04	%
Frontier Heritage Fund Class 1		751		854		0.03	%		0.03	%
Frontier Heritage Fund Class 1AP		3		3		0.03	%		0.03	%
Frontier Heritage Fund Class 2		65		81		0.03	%		0.03	%
Total	$	6,015	$	5,481

7. Financial Highlights

The following information presents the financial highlights of the Series for the three months ended March 31, 2023, and 2022. This data has been derived from the information presented in the consolidated financial statements.

For the three months ended March 31, 2023

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	Class 2			Class 3			Class 2			Class 3			Class 2			Class 2a			Class 3			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2022	$	96.37		$	90.72		$	94.64		$	89.45		$	109.65		$	71.93		$	115.03		$	76.29
Net operating results:
Interest income		0.04			0.03			0.09			0.09			0.05			0.03			0.05			0.04
Expenses		(0.85	)		(0.80	)		(1.44	)		(1.36	)		(0.37	)		(0.24	)		(0.39	)		(0.26	)
Net gain/(loss) on investments, net of non-controlling interests		(17.98	)		(16.87	)		(19.98	)		(18.84	)		(10.15	)		(6.69	)		(10.65	)		(7.04	)
Net income/(loss)		(18.80	)		(17.64	)		(21.33	)		(20.12	)		(10.47	)		(6.89	)		(10.99	)		(7.26	)
Net asset value, March 31, 2023	$	77.57		$	73.08		$	73.31		$	69.33		$	99.18		$	65.04		$	104.04		$	69.03
Ratios to average net assets
Net investment income/(loss)		-3.74	%		-3.74	%		-6.29	%		-6.29	%		-2.44	%		-2.44	%		-2.44	%		-2.70	%
Expenses before incentive fees (3)(4)		3.91	%		3.91	%		6.72	%		6.72	%		3.04	%		3.04	%		3.04	%		3.38	%
Expenses after incentive fees (3)(4)		3.91	%		3.91	%		6.72	%		6.72	%		2.64	%		3.04	%		3.04	%		2.90	%
Total return before incentive fees (2)		-19.50	%		-19.45	%		-22.54	%		-22.49	%		-9.95	%		-9.58	%		-9.95	%		-10.00	%
Total return after incentive fees (2)		-19.50	%		-19.45	%		-22.54	%		-22.49	%		-9.55	%		-9.58	%		-9.55	%		-9.52	%

37

	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, 2022	$	99.17		$	127.56		$	172.01		$	149.47		$	148.96		$	71.23		$	91.71		$	121.70
Net operating results:
Interest income		0.01			0.01			0.02			0.01			0.01			0.00			0.00			0.00
Expenses		(1.77	)		(1.40	)		(1.89	)		(1.64	)		(1.63	)		(1.02	)		(0.68	)		(0.91	)
Net gain/(loss) on investments, net of non-controlling interests		(21.73	)		(28.10	)		(37.88	)		(32.89	)		(32.78	)		(16.57	)		(21.45	)		(28.47	)
Net income/(loss)		(23.48	)		(29.49	)		(39.76	)		(34.51	)		(34.39	)		(17.59	)		(22.14	)		(29.38	)
Net asset value, March 31, 2023	$	75.69		$	98.07		$	132.25		$	114.96		$	114.57		$	53.64		$	69.57		$	92.32
Ratios to average net assets
Net investment income/(loss)		-7.95	%		-4.87	%		-4.87	%		-4.87	%		-4.87	%		-6.25	%		-3.26	%		-3.26	%
Expenses before incentive fees (3)(4)		7.99	%		4.91	%		4.91	%		4.91	%		4.91	%		6.25	%		3.26	%		3.26	%
Expenses after incentive fees (3)(4)		7.99	%		4.91	%		4.91	%		4.91	%		4.91	%		6.25	%		3.26	%		3.26	%
Total return before incentive fees (2)		-23.68	%		-23.12	%		-23.11	%		-23.09	%		-23.09	%		-24.69	%		-24.14	%		-24.14	%
Total return after incentive fees (2)		-23.68	%		-23.12	%		-23.11	%		-23.09	%		-23.09	%		-24.69	%		-24.14	%		-24.14	%
Incentive fee per share		-			-			-			-			-			-			-			-
Incentive Fee to ANA		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%		0.00	%

	Frontier Global Fund						Frontier Heritage Fund
	Class 1			Class 2			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2022	$	185.27		$	297.25		$	154.14		$	198.42		$	265.55
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00
Expenses		(3.38	)		(3.45	)		(2.59	)		(2.00	)		(2.68	)
Net gain/(loss) on investments, net of non-controlling interests		(34.07	)		(54.88	)		(28.45	)		(36.77	)		(49.21	)
Net income/(loss)		(37.44	)		(58.33	)		(31.03	)		(38.77	)		(51.89	)
Net asset value, March 31, 2023	$	147.83		$	238.92		$	123.11		$	159.65		$	213.66
Ratios to average net assets
Net investment income/(loss)		-8.20	%		-5.21	%		-7.48	%		-4.49	%		-4.49	%
Expenses before incentive fees (3)(4)		8.20	%		5.21	%		7.48	%		4.49	%		4.49	%
Expenses after incentive fees (3)(4)		8.20	%		5.21	%		7.48	%		4.49	%		4.49	%
Total return before incentive fees (2)		-20.21	%		-19.62	%		-20.13	%		-19.54	%		-19.54	%
Total return after incentive fees (2)		-20.21	%		-19.62	%		-20.13	%		-19.54	%		-19.54	%

(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 consolidated 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 is included in the total return.

38

For the three months ended March 31, 2022

	Frontier Diversified Fund						Frontier Masters Fund						Frontier Long/Short Commodity Fund
	Class 2			Class 3			Class 2			Class 3			Class 2			Class 2a			Class 3			Class 3a
Per unit operating performance (1)
Net asset value, December 31, 2021	$	88.98		$	83.56		$	70.17		$	66.15		$	89.97		$	58.75		$	94.38		$	62.16
Net operating results:
Interest income		0.04			0.04			0.07			0.07			0.05			0.03			0.05			0.03
Expenses		(0.85	)		(0.80	)		(1.29	)		(1.22	)		(0.64	)		(0.42	)		(0.67	)		(0.44	)
Net gain/(loss) on investments, net of non-controlling interests		19.64			18.50			27.48			25.98			23.40			15.24			24.55			16.17
Net income/(loss)		18.83			17.74			26.27			24.83			22.81			14.85			23.93			15.76
Net asset value, March 31, 2022	$	107.81		$	101.30		$	96.44		$	90.98		$	112.78		$	73.60		$	118.31		$	77.92
Ratios to average net assets
Net investment income/(loss)		-3.46	%		-3.46	%		-6.16	%		-6.16	%		-2.50	%		-2.50	%		-2.50	%		-2.50	%
Expenses before incentive fees (3)(4)		3.63	%		3.63	%		6.52	%		6.52	%		2.70	%		2.70	%		2.70	%		2.70	%
Expenses after incentive fees (3)(4)		3.63	%		3.63	%		6.52	%		6.52	%		2.70	%		2.70	%		2.70	%		2.70	%
Total return before incentive fees (2)		21.16	%		21.24	%		37.44	%		37.53	%		25.35	%		25.28	%		25.35	%		25.36	%
Total return after incentive fees (2)		21.16	%		21.24	%		37.44	%		37.53	%		25.35	%		25.28	%		25.35	%		25.36	%

	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, 2021	$	82.82		$	103.38		$	139.40		$	120.98		$	120.57		$	63.39		$	79.21		$	105.10
Net operating results:
Interest income		(0.00	)		(0.00	)		(0.00	)		(0.00	)		(0.00	)		0.00			0.00			0.00
Expenses		(2.32	)		(2.05	)		(2.76	)		(2.39	)		(2.39	)		(1.06	)		(0.67	)		(0.89	)
Net gain/(loss) on investments, net of non-controlling interests		26.33			32.99			44.50			38.66			38.52			21.26			26.67			35.40
Net income/(loss)		24.00			30.95			41.74			36.26			36.14			20.19			25.99			34.51
Net asset value, March 31, 2022	$	106.82		$	134.33		$	181.14		$	157.24		$	156.71		$	83.58		$	105.20		$	139.61
Ratios to average net assets
Net investment income/(loss)		-8.06	%		-4.98	%		-4.98	%		-4.98	%		-4.98	%		-6.10	%		-3.09	%		-3.09	%
Expenses before incentive fees (3)(4)		7.32	%		4.24	%		4.24	%		4.24	%		4.24	%		6.10	%		3.09	%		3.09	%
Expenses after incentive fees (3)(4)		8.06	%		4.98	%		4.98	%		4.98	%		4.98	%		6.10	%		3.09	%		3.09	%
Total return before incentive fees (2)		29.72	%		30.67	%		30.68	%		30.71	%		30.71	%		31.86	%		32.82	%		32.83	%
Total return after incentive fees (2)		28.98	%		29.94	%		29.94	%		29.97	%		29.97	%		31.86	%		32.82	%		32.83	%
Incentive fee per share		0.67			0.85			1.14			0.99			0.99			#			-			-
Incentive Fee to ANA		0.74	%		0.74	%		0.74	%		0.74	%		0.74	%		0.00	%		0.00	%		0.00	%

	Frontier Global Fund						Frontier Heritage Fund
	Class 1			Class 2			Class 1			Class 1AP			Class 2
Per unit operating performance (1)
Net asset value, December 31, 2021	$	109.45		$	170.40		$	103.43		$	129.19		$	172.91
Net operating results:
Interest income		0.00			0.00			0.00			0.00			0.00
Expenses		(2.62	)		(2.51	)		(2.15	)		(1.55	)		(2.08	)
Net gain/(loss) on investments, net of non-controlling interests		55.07			86.05			47.00			58.96			78.90
Net income/(loss)		52.45			83.54			44.84			57.41			76.82
Net asset value, March 31, 2022	$	161.90		$	253.94		$	148.27		$	186.60		$	249.73
Ratios to average net assets
Net investment income/(loss)		-7.97	%		-4.95	%		-7.08	%		-4.06	%		-4.06	%
Expenses before incentive fees (3)(4)		7.97	%		4.95	%		7.08	%		4.06	%		4.06	%
Expenses after incentive fees (3)(4)		7.97	%		4.95	%		7.08	%		4.06	%		4.06	%
Total return before incentive fees (2)		47.92	%		49.02	%		43.35	%		44.44	%		44.43	%
Total return after incentive fees (2)		47.92	%		49.02	%		43.35	%		44.44	%		44.43	%

(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.

39

(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 consolidated 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 is included in the total return.

* Class 1 of Frontier Masters Fund was closed as of April 1, 2021 and Frontier Diversified Fund Class 1 was closed as of July 21, 2021.

8. Derivative Instruments and Hedging Activities

The Series’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not enter into or hold positions for hedging purposes as defined under ASC 815, Derivatives and Hedging (“ASC 815”). The detail of the fair value of the Series’ derivatives by instrument types as of March 31, 2023 and 2022 is included in the consolidated condensed schedules of investments. See Note 4 for further disclosure related to each Series’ position in swap contracts.

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

For the Three Months Ended March 31, 2023

Monthly average contracts:	Bought		Sold
Frontier Trading Company I LLC		312		300

For the Three Months Ended March 31, 2022

Monthly average contracts:
	Bought		Sold
Frontier Trading Company I LLC		373		367

40

The following tables summarize the consolidated trading revenues for the three months ended March 31, 2023 and 2022 by sector:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2023

Type of contract	Frontier Balanced Fund
Agriculturals	$	(24,078	)
Currencies		(117,002	)
Energies		29,280
Interest rates		(99,325	)
Metals		(14,347	)
Stock indices		(61,009	)
Realized trading income/(loss)(1)	$	(286,481	)

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2022

Type of contract	Frontier Balanced Fund
Agriculturals	$	(37,319	)
Currencies		183,465
Energies		107,870
Interest rates		27,127
Metals		(188,863	)
Stock indices		179,189
Realized trading income/(loss)(1)	$	271,469

(1) Amounts recorded in the consolidated statements of operations under net realized gain(loss) on futures forwards and options.

41

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

for the Three Months Ended March 31, 2023

Type of contract	Frontier Balanced Fund
Agriculturals	$	42,199
Currencies		(2,076	)
Energies		(6,460	)
Interest rates		8,506
Metals		12,781
Stock indices		(53,473	)
Change in unrealized trading income/(loss)(1)	$	1,477

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

for the Three Months Ended March 31, 2022

Type of contract	Frontier Balanced Fund
Agriculturals	$	(2,154	)
Currencies		(3,547	)
Energies		14,760
Interest rates		17,389
Metals		15,429
Stock indices		865
Change in unrealized trading income/(loss)(1)	$	42,742

(1) Amounts recorded in the consolidated statements of operations under net change in open trade equity/(deficit)

Certain financial instruments and derivative instruments are eligible for offset in the consolidated 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 consolidated statements of financial condition.

42

The following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements as disclosed on the consolidated statements of financial condition as of March 31, 2023 and December 31, 2022.

As of March 31, 2023

Frontier Balanced Fund	Gross Amounts of recognized Derivative Assets/Liabilities		Gross Amounts offset in the Consolidated Statements of Financial Condition			Net Amounts Presented in the Consolidated Statements of Financial Condition
Open Trade Equity/(Deficit)	$	138,206	$	(135,059	)	$	3,147

As of December 31, 2022

Frontier Balanced Fund	Gross Amounts of recognized Derivative Assets		Gross Amounts offset in the Consolidated Statements of Financial Condition			Net Amounts Presented in the Consolidated Statements of Financial Condition
Open Trade Equity/(Deficit)	$	3,438	$	(1,768	)	$	1,670

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 consolidated 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.

43

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, clearing house 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, bad faith or willful misconduct. The Trust has had no prior claims or payments pursuant to these agreements. The Trust’s individual maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust that have not yet occurred. However, based on experience the Trust expects the risk of loss to be remote. Maximum exposure is unfulfilled obligations of the Series up to the amount of equity at risk with the custodian of the referenced Series as allocated from the Trading Company. The Series have not recorded any liability for the indemnifications in the accompanying consolidated financial statements as it expects any possibility of losses to be remote.

11. Subsequent Events

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

From April 1, 2023 through May 15, 2023, Frontier Balanced Fund, Frontier Diversified Fund, Frontier Heritage Fund, Frontier Long/Short Commodity Fund, Frontier Masters Fund, Frontier Select Fund and Frontier Global Fund paid $44,095, $137,507, $11,034, $72,352, $10,155, $81,841 and $46,229, respectively, in redemptions. 

44

Frontier Funds

Combined Consolidated Statements of Financial Condition

March 31, 2023 (Unaudited) and December 31, 2022

	March 31, 2023		December 31, 2022
ASSETS
Cash and cash equivalents	$	393,707	$	430,193
U.S. Treasury securities, at fair value		22,967		389,520
Receivable from futures commission merchants		445,119		320,241
Open trade equity, at fair value		3,147		1,670
Investments in private investment companies, at fair value		16,428,299		21,440,327
Interest receivable		327		9,701
Other assets		1,170		-
Total Assets	$	17,294,736	$	22,591,652
LIABILITIES & CAPITAL
LIABILITIES
Redemptions payable	$	231	$	67,761
Incentive fees payable to Managing Owner		-		692
Management fees payable to Managing Owner		1,419		1,573
Interest payable to Managing Owner		1,386		3,450
Trading fees payable to Managing Owner		68,942		83,102
Service fees payable to Managing Owner		26,803		33,432
Risk analysis fees payable		10,312		10,442
Subscriptions in advance for service fee rebates		717,401		710,323
Other liabilities		15,529		14,618
Total Liabilities		842,023		925,393
OWNERS’ CAPITAL
Managing Owner Units		170,023		221,670
Limited Owner Units		16,282,690		21,444,589
Total Owners’ Capital		16,452,713		21,666,259
Total Liabilities and Owners’ Capital	$	17,294,736	$	22,591,652

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

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Frontier Funds

Combined Consolidated Condensed Schedule of Investments (Unaudited)

March 31, 2023

Description	Fair Value			% of Total Capital (Net Asset Value)
LONG FUTURES CONTRACTS *
Various agriculture futures contracts (U.S.)	$	18,140			0.11	%
Various currency futures contracts (U.S.)		(218	)		0.00	%
Various interest rates futures contracts (Europe)		2,266			0.01	%
Various interest rates futures contracts (Far East)		6,304			0.04	%
Various interest rates futures contracts (U.S.)		(2,406	)		-0.01	%
Various precious metal futures contracts (U.S.)		15,831			0.10	%
Total Long Futures Contracts	$	39,917			0.25	%
SHORT FUTURES CONTRACTS *
Various agriculture futures contracts (Far East)	$	12,010			0.07	%
Various agriculture futures contracts (Europe)		16,126			0.10	%
Various agriculture futures contracts (U.S.)		(2,714	)		-0.02	%
Various base metals futures contracts (U.S.)		(2,152	)		-0.01	%
Various energy futures contracts (U.S.)		(6,460	)		-0.04	%
Various stock index futures contracts (Canada)		(7,251	)		-0.04	%
Various stock index futures contracts (Europe)		(6,844	)		-0.04	%
Various stock index futures contracts (Far East)		(14,797	)		-0.09	%
Various stock index futures contracts (U.S.)		(24,688	)		-0.15	%
Total Short Futures Contracts	$	(36,770	)		-0.22	%
Total Open Trade Equity (Deficit)	$	3,147			0.03	%
PRIVATE INVESTMENT COMPANIES (2)
Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC)	$	220,784			1.34	%
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC		1,269,631			7.72	%
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		440,888			2.68	%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		1,840,253			11.19	%
Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC		235,862			1.43	%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		1,794,434			10.91	%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		6,565,686			39.91	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		3,492,935			21.23	%
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		567,826			3.45	%
Total Private Investment Companies	$	16,428,299			95.22	%
U.S. TREASURY SECURITIES
FACE VALUE
Total Investment in Unconsolidated Trading Companies	$	22,967			0.14	%
Total U.S. Treasury Securities	$	22,967			0.14	%

* 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 Combined Consolidated Financial Statements, Note 5.

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

46

Frontier Funds

Combined Consolidated Condensed Schedule of Investments
December 31, 2022

				% of Total Capital
Description	Fair Value			(Net Asset Value)
LONG FUTURES CONTRACTS *
Various agriculture futures contracts (U.S.)	$	1,590			0.01	%
Various base metals futures contracts (U.S.)		897			0.00	%
Various currency futures contracts (U.S.)		(230	)		0.00	%
Total Long Futures Contracts	$	2,257			0.01	%
SHORT FUTURES CONTRACTS *
Various agriculture futures contracts (Europe)	$	(227	)		0.00	%
Various currency futures contracts (Europe)		67			0.00	%
Various currency futures contracts (Far East)		(55	)		0.00	%
Various currency futures contracts (U.S.)		(216	)		0.00	%
Various interest rates futures contracts (U.S.)		(50	)		0.00	%
Various stock index futures contracts (Far East)		(106	)		0.00	%
Total Short Futures Contracts	$	(587	)		0.00	%
Total Open Trade Equity (Deficit)	$	1,670			0.01	%
PRIVATE INVESTMENT COMPANIES (1)
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC	$	563,258			2.60	%
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		2,257,286			10.42	%
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC		2,154,581			9.94	%
Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC		264,652			1.22	%
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		2,415,351			11.15	%
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC		8,276,260			38.20	%
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		4,682,572			21.61	%
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC)		252,472			1.17	%
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		573,895			2.65	%
Total Private Investment Companies	$	21,440,327			98.96	%
U.S. TREASURY SECURITIES
US Treasury Note 6.875% due 08/15/2025		389,520			1.80	%
Total U.S. Treasury Securities	$	389,520			1.80	%

* 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 Combined Consolidated Financial Statements, Note 5.

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

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Frontier Funds

Combined Consolidated Statements of Operations (Unaudited)

For the Three Months Ended March 31, 2023 and 2022

	March 31, 2023			March 31, 2022
Investment income:
Interest - net	$	3,283		$	2,524
Total Income		3,283			2,524
Expenses:
Incentive Fees (rebate)		(5,126	)		76,272
Management Fees		4,238			4,403
Risk analysis Fees		970			1,321
Service Fees - Class 1		94,140			108,081
Due Diligence Fees		1,057			1,260
Trading Fees		213,256			219,472
Total Expenses		308,535			410,809
Investment income/(loss) - net		(305,252	)		(408,285	)
Realized and unrealized gain/(loss) on investments:
Net realized gain/(loss) on futures, forwards and options		(286,481	)		271,469
Net unrealized gain/(loss) on private investment companies		(4,179,241	)		8,459,282
Net realized gain/(loss) on private investment companies		254,335			(2,050,355	)
Net change in open trade equity/(deficit)		1,477			42,742
Net realized gain/(loss) on U.S. Treasury securities		(8,943	)		(5,054	)
Net unrealized gain/(loss) on U.S. Treasury securities		652			(11,220	)
Trading commissions		(2,532	)		(3,120	)
Net gain/(loss) on investments		(4,220,733	)		6,703,744
NET INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS	$	(4,525,985	)	$	6,295,459

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

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Frontier Funds

Combined Consolidated Statements of Changes in Owners’ Capital (Unaudited)
for the Three Months Ended March 31, 2023

	Managing Owner			Limited Owners			Total
Owners’ Capital, December 31, 2022	$	221,670		$	21,444,589		$	21,666,259
Sale of Units (including transfers)		-			-			-
Redemption of Units (including transfers)		(6,700	)		(680,861	)		(687,561	)
Payment made by Related Party		-			-			-
Payment made by Managing Owner		-			-			-
Net increase/(decrease) in Owners’		(44,947	)		(4,481,038	)		(4,525,985	)
Capital resulting from operations
Owners’ Capital, March 31, 2023	$	170,023		$	16,282,690		$	16,452,713

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

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Frontier Funds
Combined Consolidated Statements of Cash Flows (Unaudited)

For the Three Months Ended March 31, 2023 and 2022

	March 31, 2023			March 31, 2022
Cash Flows from Operating Activities:
Net increase/(decrease) in capital resulting from operations	$	(4,525,985	)	$	6,295,459
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		(1,477	)		14,836
Net change in ownership allocation of U.S. Treasury Securities		3,397			687
Net unrealized (gain)/loss on private investment companies		4,179,242			(8,459,281	)
Net realized (gain)/loss on private investment companies		(254,335	)		2,050,355
Net unrealized (gain)/loss on U.S. Treasury securities		(652	)		11,220
Net realized (gain)/loss on U.S. Treasuries securities		8,943			5,054
(Purchases) sales of:
(Purchases) of U.S. Treasury securities		(601,661	)		(1,039,000	)
Sales of U.S. Treasury securities		953,242			-
(Purchases) of Private Investment Companies		(642,173	)		(3,342,520	)
Sales of Private Investment Companies		1,729,295			5,133,547
U.S. Treasury interest and premium paid/amortized		3,283			2,524
Increase and/or decrease in:
Receivable from futures commission merchants		(124,878	)		583,917
Interest receivable		9,374			(5,661	)
Other assets		(1,170	)		-
Redemptions receivable from private investment companies		-			(4,944	)
Incentive fees payable to Managing Owner		(692	)		22,261
Management fees payable to Managing Owner, net of change in receivable		(154	)		170
Interest payable to Managing Owner		(2,064	)		367
Trading fees payable to Managing Owner		(14,160	)		9,227
Service fees payable to Managing Owner		(6,629	)		6,088
Risk analysis fees payable		(130	)		1,321
Subscriptions in advance for service fee rebates		7,078			8,076
Other liabilities		911			3,861
Net cash provided by operating activities		718,605			1,297,564
Cash Flows from Financing Activities:
Payment for redemption of capital		(687,561	)		(1,205,512	)
Redemptions payable		(67,530	)		8,644
Net cash provided by (used in) financing activities		(755,091	)		(1,196,868	)
Net increase (decrease) in cash and cash equivalents		(36,486	)		100,696
Cash and cash equivalents, beginning of period		430,193			698,732
Cash and cash equivalents, end of period	$	393,707		$	799,428

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

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Frontier Funds

Notes to Combined Consolidated Financial Statements

1. Organization and Purpose

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

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

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

The Trust has seven (7) separate and distinct Series of Units issued and outstanding: Frontier Diversified Fund, Frontier Masters Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund, and Frontier Heritage Fund. The Trust’s combined consolidated financial statements are comprised of each unitized Series’ consolidated financial statements being combined to present all Series in aggregate. However, the combined 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”) or to an unaffiliated series limited liability company (“Galaxy Plus entities” or “Galaxy Plus entity”). Except as otherwise described in these notes, each Trading Company and Galaxy Plus entity has one-year renewable contracts with its own independent commodity trading advisor(s), or each, a Trading Advisor, that will manage all or a portion of such Trading Company’s and Galaxy Plus assets and make the trading decisions for the assets of each Series invested in such Trading Company and Galaxy Plus entity. Each Trading Company and Galaxy Plus entity will segregate its assets from any other Trading Company and Galaxy Plus entity;

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

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

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

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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 Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund, and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series. Class 1AP was created as a sub-class of Class 1 and it has been presented separately because the fees applicable to it are different from those applicable to Class 1. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents; and

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

Frontier Masters Fund Class 1 was closed as of April 1, 2021 and Frontier Diversified Fund Class 1 was closed as of July 21, 2021.

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 December 31, 2022, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into two separate Classes—Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund and Frontier Heritage Fund separates Units into three separate Classes—Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Global Fund, separates Units into two separate Classes—Class 1 and Class 2. The Trust, with respect to the Frontier Balanced Fund, separates Units into 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 four separate Classes—Class 2, Class 2a, Class 3 and Class 3a.

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

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

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

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 New Hyde Park, 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 combined consolidated statements of financial condition.

The income or loss attributable thereto in proportion to the investment level of the private investment companies is shown in the combined consolidated statements of operations as net unrealized gain/(loss) on private investment companies. The consolidated financial statements of the Series and Trading Companies are combined to form the combined consolidated financial statements of the Trust. All intercompany transactions have been eliminated in combination.

53

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 combined 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. Treasury securities and assets held at an FCM of up to two percentage points of the aggregate percentage yield (annualized) of net asset value less any fair market value related to swaps, is paid to the Managing Owner by the Frontier Balanced Fund (Class 1, and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the Series, and shown net on the combined consolidated statements 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 combined consolidated statements of financial condition as interest receivable.

Receivable from Futures Commission Merchants—The Trust deposits assets with an FCM subject to CFTC regulations and various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin requirements. Cash with the clearing broker as of March 31, 2023 and December 31, 2022 included restricted cash for margin requirements of $62,418 and $320,241 for the Frontier Balanced Fund.

Investment Transactions—Futures, options on futures, forward and swap contracts are recorded on a trade date basis and realized gains or losses are recognized when contracts are settled. Unrealized gains or losses on open contracts (the difference between contract trade price and market price) are reported in the combined 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 combined 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 combined consolidated statements of operations.

54

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

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

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

Income Taxes—The Trust applies the provisions of ASC 740 Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the combined consolidated financial statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust for the quarter ended March 31, 2023.

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The 2019 through 2022 tax years generally remain subject to examination by U.S. federal and most state tax authorities.

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

Fees and Expenses—All management fees, incentive fees, service fees, risk analysis fees (for closed Series only) and trading fees of the Trust are paid to the Managing Owner. It is the responsibility of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating expenses and continuing offering costs of the Trust. Only management fees and incentive fees related to assets allocated through Trading Companies are included in expense on the combined consolidated statements 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 combined consolidated 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 combined consolidated statements of operations.

Incentive Fee (rebate)—The Managing Owner is allowed to share in the incentive fees earned by the Commodity Trading Advisors up to 10% of New Net Profits (as defined in the prospectus). If the Managing Owner’s share of the incentive fee exceeds 10% of new net profits during the period, then the Managing Owner is obligated to return any amount in excess. The returned amounts are recorded as Incentive Fee (Rebate) on the combined consolidated 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 Global Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2 and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent (0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2 Units of the Frontier Diversified Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a Units of the applicable Series for administrative purposes. Currently the service fee is not charged to Class 1AP investors. The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services rendered and expenses incurred by such selling agents.

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Each Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units. During 2022, 2021 and 2020, the Series were not allowed to issue additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence in 2023 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates of $717,401 and $710,323 as of March 31, 2023 and December 31, 2022, respectively.

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.

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

Subsequent Events—The Trust follows the provisions of ASC 855, Subsequent Events, which establishes general standards of accounting for and disclosure of events that occur after the balance sheet date and up through the date the financial statements are issued. Refer to Note 11.

3.  Fair Value Measurements

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

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Level 1 Inputs

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

Level 2 Inputs

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

Level 3 Inputs

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

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

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

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

Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews, compares 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, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The Swap Contracts are reported at fair value using Level 3 inputs. All swap investments were liquidated in 2020.

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

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The following table summarizes the instruments that comprise the Trust’s combined consolidated financial asset portfolio, in aggregate, measured at fair value on a recurring basis as of March 31, 2023 and December 31, 2022, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

March 31, 2023	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	3,147	$	-	$	-	$	3,147
U.S. Treasury Securities		22,967		-		-		22,967

December 31, 2022	Level 1 Inputs		Level 2 Inputs		Level 3 Inputs		Fair Value
Open Trade Equity (Deficit)	$	1,670	$	-	$	-	$	1,670
U.S. Treasury Securities		389,520		-		-		389,520

4. Swap Contracts

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

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

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

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

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

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5. Investments in Private Investment Companies

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

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

The following table summarizes the Trust’s equity in earnings from each of the private investment companies during the three months ended March 31, 2023 and 2022:

Three months ended March 31, 2023 and 2022 

	Three Months Ended March, 2023												Three Months Ended March, 2022
	Trading			Realized			Change in Unrealized			Net Income			Trading			Realized			Change in Unrealized			Net Income
	Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)			Commissions			Gain/(Loss)			Gain/(Loss)			(Loss)
Galaxy Plus Fund - Aspect Feeder Fund (532) LLC	$	(5,837	)	$	193,668		$	(1,628,123	)	$	(1,440,292	)	$	(4,059	)	$	2,577,640		$	359,865		$	2,933,446
Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC		(1,961	)		(130,682	)		13,972			(118,671	)		(5,786	)		(1,136,665	)		167,524			(974,927	)
Galaxy Plus Fund - LRR Feeder Fund (522) LLC		(111	)		1,090			(3,439	)		(2,460	)		(270	)		70,364			(7,272	)		62,822
Galaxy Plus Fund - QIM Feeder Fund (526) LLC		(6,020	)		(8,331	)		(300,014	)		(314,365	)		(5,068	)		872,309			101,706			968,947
Galaxy Plus Fund - Quest Feeder Fund (517) LLC		(2,177	)		57,707			(539,645	)		(484,115	)		(3,235	)		712,120			256,288			965,173
Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC		-			7,697			(36,516	)		(28,819	)		-			-			67,491			67,491
Galaxy Plus Fund - TT Feeder Fund (531) LLC		-			-			-			-			-			-			(242	)		(242	)
Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC		(8,660	)		173,493			(1,013,843	)		(849,010	)		(15,069	)		1,439,330			275,941			1,700,202
Galaxy Plus Fund – JL Cyril Systematic Feeder Fund (547) LLC)		-			-			-			-			-			-			86,500			86,500
Galaxy Plus Fund – Volt Diversified Alpha Feeder Fund (550) LLC)		(252	)		(763	)		(32,231	)		(33,246	)		(2,454	)		(268,651	)		336,523			65,418
Galaxy Plus Fund - Quantica Managed Futures Master Fund (507) LLC		(1,568	)		(39,544	)		(613,100	)		(654,212	)		(962	)		1,338,501			(803,442	)		534,097
Total	$	(26,586	)	$	254,335		$	(4,152,939	)	$	(3,925,190	)	$	(36,903	)	$	5,604,948		$	840,882		$	6,408,927

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 - Welton GDP Feeder Fund (538) LLC	24 hours	Daily	None
Galaxy Plus Fund - Quantica Managed Futures Feeder Fund (507) LLC	24 hours	Daily	None
Galaxy Plus Fund - Volt Diversified Alpha Feeder Fund (550) LLC)	24 hours	Daily	None
Galaxy Plus Fund - LRR Feeder Fund (552) 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

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6. Transactions with Affiliates

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

The Managing Owner may make purchases or redemptions at any time on the same terms as any Limited Owner. The Trust has and will continue to have certain relationships with the Managing Owner and its affiliates.

Expenses

Management Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain percentage of the assets in the Galaxy Plus entities attributable to such Series’ (including notional assets), calculated on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies on the combined consolidated statements of operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs, is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class 3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund, and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged to the Series by the Managing Owner.

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

Trading Fees—In connection with each Series’ trading activities the Frontier Balanced Fund, Frontier Select Fund, Frontier Global Fund (formerly 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 combined consolidated statements of operations. Because the Frontier Balanced Fund, Frontier Diversified Fund, Frontier Masters Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier Global Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.

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

As of March 31, 2023, the Trust had a payable to the Managing Owner in the amounts of $0, $1,419, $1,386, $68,942 and $26,803 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

As of December 31, 2022, the Trust had a payable to the Managing Owner in the amounts of $692, $1,573, $3,450, $83,102 and $33,432 for incentive fees, management fees, interest, trading fees, and service fees, respectively.

For the three months ended March 31, 2023, the Managing Owner earned $(5,126), $4,238, $970, $94,140 and $213,256 for incentive fees (rebate), management fees, risk analysis fees, service fees, and trading fees, respectively.

For the three months ended March 31, 2022, the Managing Owner earned $76,272, $4,403, $1,321, $108,081 and $219,472 for incentive fees, management fees, risk analysis 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.

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Aggregate interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers, of up to the first 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. During the three months ended March 31, 2023 and 2022, the Trust paid $6,015 and $5,481, respectively, of such interest income to the Managing Owner. Such amounts are not included in the combined consolidated statements of operations of the Trust. All other interest income is recorded by the Trust on the combined consolidated statements of operations.

Frontier Masters Fund Class 1 was closed as of April 1, 2021, and Frontier Diversified Fund Class 1 was closed as of July 21, 2021.  

7. Financial Highlights

The following information presents the financial highlights of the Trust for the three months ended March 31, 2023, and 2022 This data has been derived from the information presented in the combined consolidated financial statements.

Three months ended March 31

	2023			2022
Ratios to average net assets (1)
Net investment income/(loss) (1)		-6.43	%		-6.50	%
Expenses before incentive fees (3)		6.52	%		6.20	%
Expenses after incentive fees (3)		6.50	%		6.55	%
Total return before incentive fees (2)		-23.24	%		29.11	%
Total return after incentive fees (2)		-23.21	%		28.76	%

(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 Combined Consolidated Statements of Operations of the Trust. See footnote 6.

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

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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 December 31, 2022 and 2021 is included in the combined consolidated condensed schedules of investments. See Note 4 for further disclosure related to the Trust’s positions in swap contracts. There are embedded management fees in transacting these swaps ranging from 1% to 1.5% based on fair value of swaps and the embedded incentive fees ranging from 15% to 25% based on net new trading profits on swaps.

For the three months ended March 31, 2023 and 2022, the monthly average of futures, forwards and options contracts bought was approximately 312 and 373, respectively and the monthly average of futures, forwards, and options contracts sold was approximately 300 and 367, respectively.

The following tables summarize the Trust’s combined consolidated trading revenues for the three months ended March 31, 2023 and 2022 by contract type:

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2023

Type of contract
Agriculturals	$	(24,078	)
Currencies		(117,002	)
Energies		29,280
Interest rates		(99,325	)
Metals		(14,347	)
Stock indices		(61,009	)
Realized trading income/(loss)(1)	$	(286,481	)

(1) Amounts recorded in the combined consolidated statements of operations under net realized gain(loss) on futures forwards and options.

Realized Trading Revenue from Futures, Forwards and Options

for the Three Months Ended March 31, 2022

Type of contract
Agriculturals	$	(37,319	)
Currencies		183,465
Energies		107,870
Interest rates		27,127
Metals		(188,863	)
Stock indices		179,189
Realized trading income/(loss)(1)	$	271,469

(1) Amounts recorded in the combined consolidated statements of operations under net realized gain(loss) on futures forwards and options.

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

for the Three Months Ended March 31, 2023

Type of contract
Agriculturals	$	42,199
Currencies		(2,076	)
Energies		(6,460	)
Interest rates		8,506
Metals		12,781
Stock indices		(53,473	)
Change in unrealized trading income/(loss)(1)	$	1,477

(1) Amounts recorded in the combined consolidated statements of operations under net change in open trade equity/(deficit).

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

for the Three Months Ended March 31, 2022

Type of contract
Agriculturals	$	(2,154	)
Currencies		(3,547	)
Energies		14,760
Interest rates		17,389
Metals		15,429
Stock indices		865
Change in unrealized trading income/(loss)(1)	$	42,742

(1) Amounts recorded in the combined consolidated statements of operations under net change in open trade equity/(deficit).

Certain financial instruments and derivative instruments are eligible for offset in the combined consolidated 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 combined consolidated statements of financial condition.

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The following tables present gross and net information about the Trust’s assets and liabilities subject the master netting arrangements as disclosed on the combined consolidated statements of financial condition as of March 31, 2023 and December 31, 2022:

As of March 31, 2023

	Gross Amounts of recognized Derivative Assets		Gross Amounts offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
Open Trade Equity/(Deficit)	$	138,206	$	(135,059	)	$	3,147

As of December 31, 2022

	Gross Amounts of recognized Derivative Assets		Gross Amounts offset in the Statements of Financial Condition			Net Amounts Presented in the Statements of Financial Condition
Open Trade Equity/(Deficit)	$	3,438	$	(1,768	)	$	1,670

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 combined consolidated 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 Series up to the amount of equity at risk with the custodian of the referenced Series as allocated from the Trading Company. 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 combined consolidated financial statements as it expects any possibility of losses to be remote.

11. Subsequent Events

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

From April 1, 2023 through May 15, 2023, the Trust paid $403,213 in redemptions.

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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 2022 Annual Report on Form 10-K for the year ended December 31, 2022.

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 invested 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 management fees or 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.

For the three months ended March 31, 2023, none of the series owned a swap investment and thus were not subject to any related embedded management and/or incentive fees.

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).

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.

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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 adopted Accounting 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 Combined Consolidated Statements of Operations.

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

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

Selection and Replacement of Trading Advisors

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

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

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.

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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 docile 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) 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. Portfolios comprised of multiple Trading Advisors can provide diversification across trading methodologies, trading time horizons, and markets traded, resulting in more consistent performance returns and overall lower volatility.

As of March 31, 2023, the trading system of each of the major Trading Advisors and the means by which the Series access those Trading Advisors were as follows:

Major Commodity Trading Advisor	Trading System Style	Accessed Through
Aspect Capital Limited	Systematic	Galaxy Plus
Fort, L.P.	Systematic	Galaxy Plus
Horizon3 Investment Management LLP	Systematic	Trading Company
Quantica Capital AG	Systematic	Galaxy Plus
Quantitative Investment Management, LLC	Systematic	Galaxy Plus
Quest Partners LLC	Systematic	Galaxy Plus
Rosetta Capital Management, LLC	Discretionary	Galaxy Plus
Volt Capital Management AB	Systematic	Galaxy Plus
Welton Investment Partners LLC	Systematic	Galaxy Plus

Wimmer Horizon LLP, accessed through Frontier Trading Company I, was rebranded as Horizon3 Investment Management LLP, effective January 20, 2023. The trading strategy remains the same.

As of March 31, 2023, the allocation of the assets of each applicable Series of the Trust among the Trading Advisors was as follows:

Allocation as of March 31, 2023 (expressed as a percentage of aggregate notional exposure to commodity trading programs)

Advisor	Frontier Diversified Fund			Frontier Long/Short Commodity Fund			Frontier Masters Fund			Frontier Balanced Fund			Frontier Select Fund			Frontier Global Fund			Frontier Heritage Fund
Aspect Capital Limited		33	%		-			55	%		23	%		-			100	%		87	%
Fort, L.P.		9	%		-			-			4	%		-			-			-
Horizon3 Investment Management LLP		-			-			-			13	%		-			-			-
Quantica Capital AG		8	%		-			24	%		12	%		47	%		-			-
Quantitative Investment Management, LLC		20	%		-			-			21	%		-			-			-
Quest Partners LLC		20	%		-			-			16	%		-			-			-
Rosetta Capital Management, LLC		-			57	%		-			-			-			-			-
Volt Capital Management AB		-			25	%		-			-			-			-			-
Welton Investment Partners LLC		10	%		18	%		21	%		11	%		53	%		-			13	%

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Liquidity and Capital Resources

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

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

A portion of each Trading Company’s assets is used as margin to maintain that Trading Company’s forward currency contract positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At March 31, 2023, cash deposited at the clearing brokers was $62,419 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 4.75% to 5.00%, this amount is estimated to be 4.75%. 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 US. Treasure Securities assets net of premiums and cash 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 Long/Short Commodity Fund (Class 2 and Class 3), Frontier Global Fund, Frontier Select Fund and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. 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.

Approximately 75% to 95% 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 CEA and regulations there under. The remaining approximately 5% to 25% of the Trust’s assets will normally be invested in cash equivalents and short-term investments, such as money market funds and time deposits held by the clearing broker, the over-the-counter counterparties and by U.S. federally chartered banks. As of March 31, 2023, total cash and cash equivalents held at banking institutions were $93,640 for the Frontier Diversified Fund, $42,450 for the Frontier Long/Short Commodity Fund, $44,347 for the Frontier Masters Fund, $16,273 for the Frontier Balanced Fund, $52,492 for the Frontier Select Fund, $97,330 for the Frontier Global Fund, and $47,175 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 March 31, 2023, the redemptions payable was $231 for the Frontier Balanced Fund. During the year ended December 31, 2022, the Trust was able to pay all redemptions on a timely basis. 

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.

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

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

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 Combined Consolidated Statement of Financial Condition, a table of contractual obligations has not been presented.

Results of Operations for the Three Months Ended March 31, 2023

Series Returns and Other Information

The returns for each Series and Class of Units for the three months ended March 31, 2023 and 2022, and related information, are discussed below. The activities of the Trust on a combined consolidated basis are explained through the activity of each underlying Series. Please refer to the discussion of the Series activities in relation to the Trust on a combined consolidated basis.

Each Series had exposure to commodity interest positions within one or more sectors during the three months ended March 31, 2023 and 2022. The performance of each Series was impacted over the course of the year 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 each of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts the performance of the relevant Series’ positions within each of the relevant sectors (determined by the Managing Owner using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses chargeable to the Series) during the periods presented.

Three Months Ended March 31, 2023 Compared to Three Months Ended March 31, 2022.

Frontier Diversified Fund

The Frontier Diversified Fund—Class 2 NAV lost 19.50% and gained 21.16%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 19.45% and gained 21.24%, respectively, for the three months ended March 31, 2023 and 2022.

For the three months ended March 31, 2023, the Frontier Diversified Fund recorded total expenses of $25,578, net investment loss of $24,479, and net realized/unrealized loss on investments of $532,709, resulting in a net decrease in Owners’ capital from operations of $557,188. For the three months ended March 31, 2022, the Frontier Diversified Fund recorded total expenses of $28,789, net investment loss of $27,424, and net realized/unrealized gain on investments of $658,102, resulting in a net increase in Owners’ capital from operations of $630,678.

Please see additional discussion under “Three Months Ended March 31, 2023 Compared to Three Months Ended March 31, 2022–Frontier Diversified Fund.”

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Frontier Masters Fund

The Frontier Masters Fund—Class 2 NAV lost 22.54% and gained 37.44%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 22.49% and gained 37.53%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Masters Fund recorded total expenses of $10,628, net investment loss of $9,966, and net realized/unrealized loss on investments of $146,752, resulting in a net decrease in Owners’ capital from operations of $156,718. For the three months ended March 31, 2022, the Frontier Masters Fund recorded total expenses of $12,119, net investment loss of $11,455, and net realized/unrealized gain on investments of $254,673, resulting in a net increase in Owners’ capital from operations of $243,218.

Please see additional discussion under “Three Months Ended March 31, 2023 Compared to Three Months Ended March 31, 2022–Frontier Masters Fund.”

Frontier Long/Short Commodity Fund

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 9.55% and gained 25.35%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 9.55% and gained 25.35%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV lost 9.58% and gained 25.28%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 9.52% and gained 25.36%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Long/Short Commodity Fund recorded total expenses of $4,592, net investment loss of $3,960, and net realized/unrealized loss on investments of $125,470, resulting in a net decrease in Owners’ capital from operations of $129,430. For the three months ended March 31, 2022, the Frontier Long/Short Commodity Fund recorded total expenses of $8,617, net investment loss of $8,007, and net realized/unrealized gain on investments of $307,897, resulting in a net increase in Owners’ capital from operations of $299,890.  

Please see additional discussion under “Three Months Ended Month 31, 2023 Compared to Three Months Ended March 31, 2022–Frontier Long/Short Commodity Fund.”

Frontier Balanced Fund

The Frontier Balanced Fund—Class 1 NAV lost 23.68% and gained 28.98%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 23.11% and gained 29.94%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Balanced Fund—Class 2a NAV lost 23.09% and gained 29.97%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Balanced Fund—Class 3a NAV lost 23.09% and gained 29.97%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Balanced Fund—Class 1AP NAV lost 23.12% and gained 29.94%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Balanced Fund recorded total expenses of $147,302, net investment loss of $146,412, and net realized/unrealized loss on investments of $1,985,242, resulting in a net decrease in Owners’ capital from operations of $2,131,654. For the three months ended March 31, 2022, the Frontier Balanced Fund recorded total expenses of $245,738, net investment loss of $245,738, and net realized/unrealized gain on investments of $2,960,709, resulting in a net increase in Owners’ capital from operations of $2,714,971.

Please see additional discussion under “Three Months Ended March 31, 2023 Compared to Three Months Ended March 31, 2022–Frontier Balanced Fund.”

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Frontier Select Fund

The Frontier Select Fund—Class 1 NAV lost 24.69% and gained 31.86%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 24.14% and gained 32.83%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV lost 24.14% and gained 32.82%, respectively, for the three months ended March 31, 2023 and 2022.

For the three months ended March 31, 2023, the Frontier Select Fund recorded total expenses of $20,730, net investment loss of $20,730, and net realized/unrealized loss on investments of $348,169, resulting in a net decrease in Owners’ capital from operations of $368,899. For the three months ended March 31, 2022, the Frontier Select Fund recorded total expenses of $22,786, net investment loss of $22,786, and net realized/unrealized gain on investments of $466,465, resulting in a net increase in Owners’ capital from operations of $443,679.

Please see additional discussion under “Three Months Ended March 31, 2023 Compared to Three Months Ended March 31, 2022–Frontier Select Fund.”

Frontier Global Fund

The Frontier Global Fund—Class 1 NAV lost 20.21% and gained 47.92%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Global Fund —Class 2 NAV lost 19.62% and gained 49.02%, respectively, for the three months ended March 31, 2023 and 2022.

For the three months ended March 31, 2023, the Frontier Global Fund recorded total expenses of $50,098, net investment loss of $50,098, and net realized/unrealized loss on investments of $516,862, resulting in a net decrease in Owners’ capital from operations of $566,960. For the three months ended March 31, 2022, the Frontier Global Fund recorded total expenses of $47,338, net investment loss of $47,338, and net realized/unrealized gain on investments of $1,027,560, resulting in a net increase in Owners’ capital from operations of $980,222.

Please see additional discussion under “Three Months Ended March 31, 2023 Compared to Three Months Ended March 31, 2022–Frontier Global Fund.” 

Frontier Heritage Fund

The Frontier Heritage Fund—Class 1 NAV lost 20.13% and gained 43.35%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV lost 19.54% and gained 44.43%, respectively for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV lost 19.54% and gained 44.44%, respectively, for the three months ended March 31, 2023 and 2022.

For the three months ended March 31, 2023, the Frontier Heritage Fund recorded total expenses of $49,607, net investment loss of $49,607, and net realized/unrealized loss on investments of $565,529, resulting in a net decrease in Owners’ capital from operations of $615,136. For the three months ended March 31, 2022, the Frontier Heritage Fund recorded total expenses of $45,537, net investment loss of $45,537, and net realized/unrealized gain on investments of $1,028,338, resulting in a net increase in Owners’ capital from operations of $982,801. 

Please see additional discussion under “Three Months Ended March 31, 2023 Compared to Three Months Ended March 31, 2022–Frontier Heritage Fund.”

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Three months ended March 31, 2023 Compared to three Months Ended March 31, 2022

Frontier Diversified Fund 

2023

The Frontier Diversified Fund—Class 2 NAV lost 19.50% and gained 21.16%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV lost 19.45% and gained 21.24%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Diversified Fund recorded total expenses of $25,578, net investment loss of $24,479, and net realized/unrealized loss on investments of $532,709, resulting in a net decrease in Owners’ capital from operations of $557,188. For the three months ended March 31, 2022, the Frontier Diversified Fund recorded total expenses of $28,789, net investment loss of $27,424, and net realized/unrealized gain on investments of $658,102, resulting in a net increase in Owners’ capital from operations of $630,678.

The NAV per Unit, Class 2, decreased from $96.37 at December 31, 2022 to $77.57 as of March 31, 2023. The NAV per Unit, Class 3 decreased from $90.72 at December 31, 2022 to $73.08 as of March 31, 2023. Total Class 2 subscriptions and redemptions for the period were $0 and $0, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $500, respectively. Ending capital at March 31, 2023 was $322,945 for Class 2, and $1,983,339 for Class 3. Ending capital at December 31, 2022 was $401,179 for Class 2, and $2,462,793 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. 

75

Three of the six sectors traded in the Frontier Diversified Fund were profitable in Q1 2023. Agriculturals, Currencies and Energies were profitable while Interest Rates, Metals and Stock Indices finished negative for the quarter.

Agriculturals, Currencies and Energies were positive year-to-date (“YTD”) while Interest Rates, Metals and Stock Indices were negative YTD.

In terms of major CTA performance, none of the six major CTAs in the Frontier Diversified Fund were profitable in Q1 2023 while Aspect, Fort, Quantica, QIM, Quest and Welton finished negative for the quarter. In terms of YTD performance none of the six major CTAs were positive YTD while Aspect, Fort, Quantica, QIM, Quest and Welton were negative YTD.

2022

The Frontier Diversified Fund—Class 1 NAV gained 0% and gained 2.67%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Diversified Fund—Class 2 NAV gained 21.16% and gained 3.11%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Diversified Fund—Class 3 NAV gained 21.24% and gained 3.16%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses.

For the three months ended March 31, 2022, the Frontier Diversified Fund recorded total expenses of $28,789, net investment loss of $27,424, and net realized/unrealized gain on investments of $658,102, resulting in a net increase in Owners’ capital from operations of $630,678. For the three months ended March 31, 2021, the Frontier Diversified Fund recorded total expenses of $37,188, net investment loss of $35,601, and net realized/unrealized gain on investments of $155,800, resulting in a net increase in Owners’ capital from operations of $120,199.

The NAV per Unit, Class 2, increased from $88.98 at December 31, 2021 to $107.81 as of March 31, 2022. The NAV per Unit, Class 3 increased from $83.56 at December 31, 2021 to $101.30 as of March 31, 2022. Total Class 2 subscriptions and redemptions for the period were $0 and $0, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $68,010, respectively. Ending capital at March 31, 2022 was $462,253 for Class 2, and $3,133,555 for Class 3. Ending capital at December 31, 2021 was $381,517 for Class 2, and $2,651,623 for Class 3.

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

Five of the six sectors traded in the Frontier Diversified Fund were profitable in Q1 2022. Metals, Currencies, Energies, Agriculturals and Interest Rates were profitable while Stock Indices finished negative for the quarter.

Metals, Currencies, Energies, Agriculturals and Interest Rates were positive year-to-date (“YTD”) while Stock Indices were negative YTD.

In terms of major CTA performance, five of the six major CTAs in the Frontier Diversified Fund were profitable in Q1 2022. Aspect, Quantica, QIM, Quest and Welton finished positive for the quarter. Fort finished negative for the quarter. In terms of YTD performance Aspect, Quantica, QIM, Quest and Welton were positive YTD while Fort was negative YTD.

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Frontier Masters Fund

2023

The Frontier Masters Fund—Class 2 NAV lost 22.54% and gained 37.44%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV lost 22.49% and gained 37.53%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Masters Fund recorded total expenses of $10,628, net investment loss of $9,966, and net realized/unrealized loss on investments of $146,752, resulting in a net decrease in Owners’ capital from operations of $156,718. For the three months ended March 31, 2022, the Frontier Masters Fund recorded total expenses of $12,119, net investment loss of $11,455, and net realized/unrealized gain on investments of $254,673, resulting in a net increase in Owners’ capital from operations of $243,218.

The NAV per Unit, Class 2, decreased from $94.64 at December 31, 2022 to $73.31 as of March 31, 2023. The NAV per Unit, Class 3, decreased from $89.45 at December 31, 2022 to $69.33 as of March 31, 2023. Total Class 2 subscriptions and redemptions for the period were $0 and $21,898, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $400, respectively. Ending capital at March 31, 2023 was $119,072 for Class 2, and $398,032 for Class 3. Ending capital at December 31, 2022 was $182,202 for Class 2, and $513,918 for Class 3.

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

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Two of the six sectors which traded in the Frontier Masters Fund were profitable in Q1 2023 and two of the six were profitable YTD. Agriculturals and Energies were profitable for Q1 2023 while Currencies, Interest Rates, Metals and Stock Indices finished negative for the quarter. Agriculturals and Energies were profitable YTD while Currencies, Interest Rates, Metals and Stock Indices finished negative YTD.

In terms of major CTA performance no CTAs were positive for the quarter while Aspect, Quantica and Welton finished negative for the quarter. No CTAs were positive YTD while Aspect, Quantica and Welton were negative YTD.

2022

The Frontier Masters Fund—Class 1 NAV lost 0% and gained 4.10%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Masters Fund—Class 2 NAV gained 37.44% and gained 4.55%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Masters Fund—Class 3 NAV gained 37.53% and gained 4.61%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses.

For the three months ended March 31, 2022, the Frontier Masters Fund recorded total expenses of $12,119, net investment loss of $11,455, and net realized/unrealized gain on investments of $254,673, resulting in a net increase in Owners’ capital from operations of $243,218. For the three months ended March 31, 2021, the Frontier Masters Fund recorded total expenses of $15,364, net investment loss of $14,509, and net realized/unrealized gain on investments of $58,531, resulting in a net increase in Owners’ capital from operations of $44,022.

The NAV per Unit, Class 2, increased from $70.17 at December 31, 2021 to $96.44 as of March 31, 2022. The NAV per Unit, Class 3, increased from $66.15 at December 31, 2021 to $90.98 as of March 31, 2022. Total Class 2 subscriptions and redemptions for the period were $0 and $49,917, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $140,856, respectively. Ending capital at March 31, 2022 was $205,913 for Class 2, and $554,206 for Class 3. Ending capital at December 31, 2021 was $198,399 for Class 2, and $509,275 for Class 3.

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

Five of the six sectors which traded in the Frontier Masters Fund were profitable in Q1 2022 and five of the six were profitable YTD. Metals, Currencies, Energies, Agriculturals and Interest Rates were profitable for Q1 2022 while Stock Indices finished negative for the quarter. Metals, Currencies, Energies, Agriculturals and Interest Rates were profitable YTD while Stock Indices finished negative YTD.

In terms of major CTA performance Aspect, Quantica and Welton finished positive for the quarter. No CTAs were negative for the quarter. Aspect, Quantica and Welton were positive YTD. No CTAs were negative YTD.

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Frontier Long/Short Commodity Fund

2023

The Frontier Long/Short Commodity Fund—Class 2 NAV lost 9.55% and gained 25.35%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 3 NAV lost 9.55% and gained 25.35%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 2a NAV lost 9.58% and gained 25.28%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 9.52% and gained 25.36%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Long/Short Commodity Fund recorded total expenses of $4,592, net investment loss of $3,960, and net realized/unrealized loss on investments of $125,470, resulting in a net decrease in Owners’ capital from operations of $129,430. For the three months ended March 31, 2022, the Frontier Long/Short Commodity Fund recorded total expenses of $8,617, net investment loss of $8,007, and net realized/unrealized gain on investments of $307,897, resulting in a net increase in Owners’ capital from operations of $299,890.

The NAV per Unit, Class 2, decreased from $109.65 as of December 31, 2022 to $99.18 at March 31, 2023. The NAV per Unit, Class 3, decreased from $115.03 as of December 31, 2022 to $104.04 at March 31, 2023. The NAV per Unit, Class 2a, decreased from $71.93 as of December 31, 2022 to $65.04 at March 31, 2023. The NAV per Unit, Class 3a, decreased from $76.29 as of December 31, 2022 to $69.03 at March 31, 2023. Total Class 2 subscriptions and redemptions for the twelve months were $0 and $4,654, respectively. Total Class 3 subscriptions and redemptions for the three months were $0 and $6,087, respectively. Total Class 2a subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 3a subscriptions and redemptions for the three months were $0 and $36,559, respectively. Ending capital at March 31, 2023 is $21,363 for Class 2, $897,054 for Class 3, $81,393 for Class 2a, and $185,733 for Class 3a. Ending capital at December 31, 2022 is $28,713 for Class 2, $998,095 for Class 3, $90,017 for Class 2a, and $245,448 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. 

80

None of the seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q1 2023 and none of the seven were profitable YTD. Energies, Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished Q1 2023 negative while none finished positive for the quarter. Energies, Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished negative YTD. None were positive YTD.

In terms of major CTA performance Rosetta finished positive for the quarter. Volt and Welton were negative for the quarter. In terms of YTD performance, Rosetta was positive YTD while Volt and Welton were negative YTD. 

2022

The Frontier Long/Short Commodity Fund—Class 2 NAV gained 25.35% and gained 5.12%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 3 NAV gained 25.35% and gained 5.11%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Long/Short Commodity Fund—Class 2a NAV gained 25.28% and gained 5.79%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV gained 25.36% and gained 5.82%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses.

For the three months ended March 31, 2022, the Frontier Long/Short Commodity Fund recorded total expenses of $8,617, net investment loss of $8,007, and net realized/unrealized gain on investments of $307,897, resulting in a net increase in Owners’ capital from operations of $299,890. For the three months ended March 31, 2021, the Frontier Long/Short Commodity Fund recorded total expenses of $8,909, net investment loss of $7,630, and net realized/unrealized gain on investments of $75,732, resulting in a net increase in Owners’ capital from operations of $68,102.

81

The NAV per Unit, Class 2, increased from $89.97 as of December 31, 2021 to $112.78 at March 31, 2022. The NAV per Unit, Class 3, increased from $94.38 as of December 31, 2021 to $118.31 at March 31, 2022. The NAV per Unit, Class 2a, increased from $58.75 as of December 31, 2021 to $73.60 at March 31, 2022. The NAV per Unit, Class 3a, increased from $62.16 as of December 31, 2021 to $77.92 at March 31, 2022. Total Class 2 subscriptions and redemptions for the twelve months were $0 and $500, respectively. Total Class 3 subscriptions and redemptions for the three months were $0 and $56,440, respectively. Total Class 2a subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 3a subscriptions and redemptions for the three months were $0 and $0, respectively.

Ending capital at March 31, 2022 is $30,904 for Class 2, $1,086,238 for Class 3, $105,066 for Class 2a, and $261,066 for Class 3a. Ending capital at December 31, 2021 is $25,166 for Class 2, $923,058 for Class 3, $83,858 for Class 2a, and $208,242 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.

82

All seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q1 2022 and all seven were profitable YTD. Energies, Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished Q1 2022 positive while none finished negative for the quarter. Energies, Base Metals, Grains, Meats, Precious Metals, Softs and Financials finished positive YTD. None were negative YTD.

In terms of major CTA performance Rosetta and Welton finished positive for the quarter. Volt was negative for the quarter.

In terms of YTD performance, Rosetta and Welton were positive YTD while Volt was negative YTD. 

Frontier Balanced Fund

2023

The Frontier Balanced Fund—Class 1 NAV lost 23.68% and gained 28.98%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Balanced Fund—Class 2 NAV lost 23.11% and gained 29.94%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Balanced Fund—Class 2a NAV lost 23.09% and gained 29.97%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Balanced Fund—Class 3a NAV lost 23.09% and gained 29.97%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Balanced Fund—Class 1AP NAV lost 23.12% and gained 29.94%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Balanced Fund recorded total expenses of $147,302, net investment loss of $146,412, and net realized/unrealized loss on investments of $1,985,242, resulting in a net decrease in Owners’ capital from operations of $2,131,654. For the three months ended March 31, 2022, the Frontier Balanced Fund recorded total expenses of $245,738, net investment loss of $245,738, and net realized/unrealized gain on investments of $2,960,709, resulting in a net increase in Owners’ capital from operations of $2,714,971.

The NAV per Unit, Class 1, decreased from $99.17 as of December 31, 2022 to $75.69 at March 31, 2023. The NAV per Unit, Class 1AP, decreased from $127.56 as of December 31, 2022 to $98.07 at March 31, 2023. The NAV per Unit, Class 2, decreased from $172.01 as of December 31, 2022 to $132.25 at March 31, 2023. For Class 2a, the NAV per Unit decreased from $149. 47 as of December 31, 2022 to $114.96 at March 31, 2023. For Class 3a, the NAV per Unit decreased from $148.96 as of December 31, 2022 to $114.57 at March 31, 2023. Total Class 1 subscriptions and redemptions for the three months were $0 and $374,150, respectively. Total Class 1AP subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months were $0 and $98,257, respectively. Total Class 2a subscriptions and redemptions for the three months were $0 and $4,000, respectively. Total Class 3a subscriptions and redemptions for the three months were $0 and $0, respectively. Ending capital at March 31, 2023, was $5,123,213 for Class 1, $57,564 for Class 1 AP, $1,144,969 for Class 2, $30,171 for Class 2a and $362,750 for Class 3a. Ending capital at December 31, 2022, was $7,134,145 for Class 1, $74,869 for Class 1 AP, $1,602,786 for Class 2, $43,282 for Class 2a and $471,646 for Class 3a.

83

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

84

Two of the six sectors which traded in the Frontier Balanced Fund were profitable in Q1 2023 and two of the six were profitable YTD. Agriculturals and Energies were profitable for Q1 2023 while Currencies, Interest Rates, Metals and Stock Indices finished negative for the quarter. Agriculturals and Energies were profitable YTD while Currencies, Interest Rates, Metals and Stock Indices finished negative YTD.

In terms of major CTA performance, no CTAs finished positive for the quarter while Aspect, Fort, Quantica, QIM, Welton and Horizon3 finished negative for the quarter. No CTAs finished positive YTD while Aspect, Fort, Quantica, QIM, Welton and Horizon3 were negative YTD.

2022

The Frontier Balanced Fund—Class 1 NAV gained 28.98% and gained 4.32%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Balanced Fund—Class 2 NAV gained 29.94% and gained 5.11%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Balanced Fund—Class 2a NAV gained 29.97% and gained 5.11%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Balanced Fund—Class 3a NAV gained 29.97% and gained 5.11%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Balanced Fund—Class 1AP NAV gained 29.94% and gained 5.10%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses.

85

For the three months ended March 31, 2022, the Frontier Balanced Fund recorded total expenses of $245,738, net investment loss of $245,738, and net realized/unrealized gain on investments of $2,960,709, resulting in a net increase in Owners’ capital from operations of $2,714,971. For the three months ended March 31, 2021, the Frontier Balanced Fund recorded total expenses of $237,551, net investment loss of $237,551, and net realized/unrealized gain on investments of $740,524, resulting in a net increase in Owners’ capital from operations of $502,973.

The NAV per Unit, Class 1, increased from $82.82 as of December 31, 2021 to $106.82 at March 31, 2022. The NAV per Unit, Class 1AP, increased from $103.38 as of December 31, 2021 to $134.33 at March 31, 2022. The NAV per Unit, Class 2, increased from $139.40 as of December 31, 2021 to $181.14 at March 31, 2022. For Class 2a, the NAV per Unit increased from $120.98 as of December 31, 2021 to $157.24 at March 31, 2022. For Class 3a, the NAV per Unit increased from $120.57 as of December 31, 2021 to $156.71 at March 31, 2022. Total Class 1 subscriptions and redemptions for the three months were $0 and $437,606, respectively. Total Class 1AP subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months were $0 and $6,060, respectively. Total Class 2a subscriptions and redemptions for the three months were $0 and $5,000, respectively. Total Class 3a subscriptions and redemptions for the three months were $0 and $0, respectively. Ending capital at March 31, 2022, was $9,141,503 for Class 1, $85,797 for Class 1 AP, $1,985,183 for Class 2, $66,671 for Class 2a and $496,184 for Class 3a. Ending capital at December 31, 2021, was $7,471,841 for Class 1, $66,027 for Class 1 AP, $1,533,078 for Class 2, $56,328 for Class 2a and $381,759 for Class 3a.

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

86

Five of the six sectors traded in the Frontier Balanced Fund were profitable in Q1 2022 and five of the six were profitable YTD. Metals, Currencies, Energies, Agriculturals and Interest Rates were profitable for Q1 2022 while Stock Indices finished negative for the quarter. Metals, Currencies, Energies, Agriculturals and Interest Rates were positive YTD while Stock Indices were negative YTD.

In terms of major CTA performance, Aspect, Quantica, QIM, Welton and Wimmer Horizon finished positive for the quarter. Fort was negative for the quarter.

Aspect, Quantica, QIM, Welton and Wimmer Horizon were positive YTD while Fort was negative YTD.

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Frontier Select Fund

2023

The Frontier Select Fund—Class 1 NAV lost 24.69% and gained 31.86%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Select Fund—Class 2 NAV lost 24.14% and gained 32.83%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Select Fund—Class 1AP NAV lost 24.14% and gained 32.82%, respectively, for the three months ended March 31, 2023 and 2022.

For the three months ended March 31, 2023, the Frontier Select Fund recorded total expenses of $20,730, net investment loss of $20,730, and net realized/unrealized loss on investments of $348,169, resulting in a net decrease in Owners’ capital from operations of $368,899. For the three months ended March 31, 2022, the Frontier Select Fund recorded total expenses of $22,786, net investment loss of $22,786, and net realized/unrealized gain on investments of $466,465, resulting in a net increase in Owners’ capital from operations of $443,679.

The NAV per Unit, Class 1, decreased from $71.23 as of December 31, 2022 to $53.64 at March 31, 2023. The NAV per Unit, Class 1AP, decreased from $91.71 as of December 31, 2022 to $69.57 at March 31, 2023. The NAV per Unit, Class 2, decreased from $121.70 as of December 31, 2022 to $92.32 at March 31, 2023. Total Class 1 subscriptions and redemptions for the three months ended March 31, 2023, were $0 and $30,410, respectively. Total Class 1AP subscriptions and redemptions for the three months ended March 31, 2022, were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2022, were $0 and $250, respectively. Ending capital at March 31, 2023 was $1,038,376 for Class 1, $8,007 for Class 1AP, and $56,664 for Class 2. Ending capital at December 31, 2022 was $1,417,113 for Class 1, $10,554 for Class 1AP, and $74,939 for Class 2.

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

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Two of the six sectors which traded in the Frontier Select Fund were profitable in Q1 2023 and two of the six were profitable YTD. Agriculturals and Energies were profitable for Q1 2023 while Currencies, Interest Rates, Metals and Stock Indices finished negative for the quarter. Agriculturals and Energies were profitable YTD while Currencies, Interest Rates, Metals and Stock Indices finished negative YTD.

In terms of major CTA performance, no CTAs finished positive for the quarter while Quantica and Welton finished negative for the quarter. No CTAs finished positive YTD while Quantica and Welton finished negative YTD.

2022

The Frontier Select Fund—Class 1 NAV gained 31.86% and gained 6.84%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Select Fund—Class 2 NAV gained 32.83% and gained 7.64%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Select Fund—Class 1AP NAV gained 32.82% and gained 7.64%, respectively, for the three months ended March 31, 2022 and 2021.

For the three months ended March 31, 2022, the Frontier Select Fund recorded total expenses of $22,786, net investment loss of $22,786, and net realized/unrealized gain on investments of $466,465, resulting in a net increase in Owners’ capital from operations of $443,679. For the three months ended March 31, 2021, the Frontier Select Fund recorded total expenses of $22,793, net investment loss of $22,793, and net realized/unrealized gain on investments of $131,786, resulting in a net increase in Owners’ capital from operations of $108,993.

The NAV per Unit, Class 1, increased from $63.39 as of December 31, 2021 to $83.58 at March 31, 2022. The NAV per Unit, Class 1AP, increased from $79.21 as of December 31, 2021 to $105.20 at March 31, 2022. The NAV per Unit, Class 2, increased from $105.10 as of December 31, 2021 to $139.61 at March 31, 2022. Total Class 1 subscriptions and redemptions for the three months ended March 31, 2022, were $0 and $30,962, respectively. Total Class 1AP subscriptions and redemptions for the three months ended March 31, 2022, were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months ended March 31, 2022, were $0 and $6,100, respectively. Ending capital at March 31, 2022 was $1,721,629 for Class 1, $13,626 for Class 1AP, and $87,232 for Class 2. Ending capital at December 31, 2021 was $1,334,518 for Class 1, $10,259 for Class 1AP, and $71,093 for Class 2.

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

Five of the six sectors traded in the Frontier Select Fund were profitable in Q1 2022 and five of the six were profitable YTD. Metals, Currencies, Energies, Agriculturals and Interest Rates were positive while Stock Indices were negative for the quarter. Metals, Currencies, Energies, Agriculturals and Interest Rates were profitable YTD while Stock Indices finished negative YTD.

In terms of major CTA performance, Quantica and Welton finished positive for the quarter while no CTA’s finished negative for the quarter. Quantica and Welton finished positive YTD while no CTA’s finished negative YTD.

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Frontier Global Fund

2023

The Frontier Global Fund—Class 1 NAV lost 20.21% and gained 47.92%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Global Fund—Class 2 NAV lost 19.62% and gained 49.02%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Global Fund recorded total expenses of $50,098, net investment loss of $50,098, and net realized/unrealized loss on investments of $516,862, resulting in a net decrease in Owners’ capital from operations of $566,960. For the three months ended March 31, 2022, the Frontier Global Fund recorded total expenses of $47,338, net investment loss of $47,338, and net realized/unrealized gain on investments of $1,027,560, resulting in a net increase in Owners’ capital from operations of $980,222.

The NAV per Unit, Class 1, decreased from $185.27 at December 31, 2022 to $147.83 as of March 31, 2023. The NAV per Unit, Class 2, decreased from $297.25 at December 31, 2022 to $238.92 as of March 31, 2023. Total Class 1 subscriptions and redemptions for the period were $0 and $28,722, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $800, respectively. Ending capital at March 31, 2023 was $2,120,606 for Class 1, $111,115 for Class 2. Ending capital at December 31, 2022 was $2,689,125 for Class 1 and $139,078 for Class 2.

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

Two of the six sectors which traded in the Frontier Select Fund were profitable in Q1 2023 and two of the six were profitable YTD. Agriculturals and Energies were profitable for Q1 2023 while Currencies, Interest Rates, Metals and Stock Indices finished negative for the quarter. Agriculturals and Energies were profitable YTD while Currencies, Interest Rates, Metals and Stock Indices finished negative YTD.

2022

The Frontier Global Fund—Class 1 NAV gained 47.92% and gained 3.09%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Global Fund—Class 2 NAV gained 49.02% and gained 3.85%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses.

For the three months ended March 31, 2022, the Frontier Global Fund recorded total expenses of $47,338, net investment loss of $47,338, and net realized/unrealized gain on investments of $1,027,560, resulting in a net increase in Owners’ capital from operations of $980,222. For the three months ended March 31, 2021, the Frontier Global Fund recorded total expenses of $55,068, net investment loss of $55,068, and net realized/unrealized gain on investments of $143,706, resulting in a net increase in Owners’ capital from operations of $88,638.

The NAV per Unit, Class 1, increased from $109.45 at December 31, 2021 to $161.90 as of March 31, 2022. The NAV per Unit, Class 2, increased from $170.40 at December 31, 2021 to $253.94 as of March 31, 2022. Total Class 1 subscriptions and redemptions for the period were $0 and $160,162, respectively. Total Class 2 subscriptions and redemptions for the period were $0 and $144,947, respectively. Ending capital at March 31, 2022 was $2,660,475 for Class 1, $125,979 for Class 2 and Ending capital at December 31, 2021 was $1,926,328 for Class 1 and $185,013 for Class 2.

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

 

Five of the six sectors traded in the Frontier Global Fund were profitable in Q1 2022 and five of the six were profitable YTD. Metals, Currencies, Energies, Agriculturals and Interest Rates were positive while Stock Indices were negative for the quarter. Metals, Currencies, Energies, Agriculturals and Interest Rates were positive YTD while Stock Indices were negative YTD.

Frontier Heritage Fund

2023

The Frontier Heritage Fund—Class 1 NAV lost 20.13% and gained 43.35%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV lost 19.54% and gained 44.43%, respectively for the three months ended March 31, 2023 and 2022, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV lost 19.54% and gained 44.44%, respectively, for the three months ended March 31, 2023 and 2022, net of fees and expenses.

For the three months ended March 31, 2023, the Frontier Heritage Fund recorded total expenses of $49,607, net investment loss of $49,607, and net realized/unrealized loss on investments of $565,529, resulting in a net decrease in Owners’ capital from operations of $615,136. For the three months ended March 31, 2022, the Frontier Heritage Fund recorded total expenses of $45,537, net investment loss of $45,537, and net realized/unrealized gain on investments of $1,028,338, resulting in a net increase in Owners’ capital from operations of $982,801.

The NAV per Unit, Class 1, decreased from $154.14 as of December 31, 2022 to $123.11 at March 31, 2023. The NAV per Unit, Class 1AP, decreased from $198.42 as of December 31, 2022 to $159.65 at March 31, 2023. The NAV per Unit, Class 2, decreased from $265.55 as of December 31, 2022 to $213.66 at March 31, 2023. Total Class 1 subscriptions and redemptions for the three months were $0 and $80,374, respectively. Total Class 1AP subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months were $0 and $500, respectively. Ending capital at March 31, 2023 was $2,185,165 for Class 1, $10,184 for Class 1AP, and $194,998 for Class 2. Ending capital at December 31, 2022 was $2,830,832 for Class 1, $12,657 for Class 1AP, and $242,868 for Class 2.

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

Two of the six sectors which traded in the Frontier Heritage Fund were profitable in Q1 2023 and two of the six were profitable YTD. Agriculturals and Energies were profitable for Q1 2023 while Currencies, Interest Rates, Metals and Stock Indices finished negative for the quarter. Agriculturals and Energies were profitable YTD while Currencies, Interest Rates, Metals and Stock Indices finished negative YTD.

In terms of major CTA performance, no CTAs were positive for the quarter while Aspect and Welton were negative for the quarter. No CTAs were positive YTD while Aspect and Welton were negative YTD.

2022

The Frontier Heritage Fund—Class 1 NAV gained 43.35% and gained 7.99%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV gained 44.43% and gained 8.79%, respectively for the three months ended March 31, 2022 and 2021, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV gained 44.44% and gained 8.79%, respectively, for the three months ended March 31, 2022 and 2021, net of fees and expenses.

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For the three months ended March 31, 2022, the Frontier Heritage Fund recorded total expenses of $45,537, net investment loss of $45,537, and net realized/unrealized gain on investments of $1,028,338, resulting in a net increase in Owners’ capital from operations of $982,801. For the three months ended March 31, 2021, the Frontier Heritage Fund recorded total expenses of $39,833, net investment loss of $39,833, and net realized/unrealized gain on investments of $227,118, resulting in a net increase in Owners’ capital from operations of $187,285.

The NAV per Unit, Class 1, increased from $103.43 as of December 31, 2021 to $148.27 at March 31, 2022. The NAV per Unit, Class 1AP, increased from $129.19 as of December 31, 2021 to $186.60 at March 31, 2022. The NAV per Unit, Class 2, increased from $172.91 as of December 31, 2021 to $249.73 at March 31, 2022. Total Class 1 subscriptions and redemptions for the three months were $0 and $98,204, respectively. Total Class 1AP subscriptions and redemptions for the three months were $0 and $0, respectively. Total Class 2 subscriptions and redemptions for the three months were $0 and $750, respectively. Ending capital at March 31, 2022 was $2,913,912 for Class 1, $11,903 for Class 1AP, and $280,340 for Class 2. Ending capital at December 31, 2021 was $2,119,250 for Class 1, $8,242 for Class 1AP, and $194,816 for Class 2.

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

Five of the six sectors traded in the Frontier Heritage Fund were profitable in Q1 2022 and five of the six were profitable YTD. Metals, Currencies, Energies, Agriculturals and Interest Rates were positive while Stock Indices were negative for the quarter. Metals, Currencies, Energies, Agriculturals and Interest Rates were positive YTD while Stock Indices were negative YTD.

In terms of major CTA performance, Aspect and Welton were positive for Q1 2022 while no CTAs were negative for the quarter. Aspect and Welton were positive YTD while no CTAs were negative YTD.

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Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK.

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

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

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

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

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

Quantitative Market Risk

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.

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Value at Risk by Market Sectors

The following tables present the trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of March 31, 2023 and December 31, 2022. All open position trading risk exposures of the Series have been included in calculating the figures set forth below. 

DOMESTIC EXPOSURE

Frontier Balanced Fund:

	March 31, 2023					December 31, 2022
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	2,406		0.04	%	$	50		0.00	%
Currencies		62,637		0.93	%		321,385		3.45	%
Stock Indices		24,688		0.37	%		-		0.00	%
Metals		17,982		0.27	%		897		0.01	%
Agriculturals/Softs		20,854		0.31	%		1,590		0.02	%
Energy		6,460		0.10	%		-		0.00	%
Total:	$	135,027		2.01	%	$	323,922		3.48	%

Value at Risk: Foreign Markets

The following table presents the portion of trading value at risk associated with each Series’ exposure to open positions (as held by the Trading Companies) by market sector as of March 31, 2023 and December 31, 2022, on foreign markets. All open position trading risk exposures of the Series have been included in calculating the figures set forth below.

FOREIGN EXPOSURE

Frontier Balanced Fund:

	March 31, 2023					December 31, 2022
	VALUE		% OF TOTAL			VALUE		% OF TOTAL
	AT RISK		CAPITALIZATION			AT RISK		CAPITALIZATION
MARKET SECTOR
Interest Rates	$	8,570		0.13	%	$	-		0.00	%
Currencies		-		0.00	%		122		0.00	%
Stock Indices		28,891		0.43	%		106		0.00	%
Agriculturals/Softs		28,136		0.42	%		227		0.00	%
Total:	$	65,597		0.98	%	$	455		0.00	%

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.

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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 March 31, 2023, 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 Global 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. 

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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.

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

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

Cyber Risks and Security

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

The Trust requires usernames 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.

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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 March 31, 2023 (the “Evaluation Date”). Any control system, no matter how well designed and operated, can only provide 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 its evaluation, the management 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.

Report on Management’s Assessment of Internal Control over Financial Reporting  

The management of the Managing Owner is responsible for establishing and maintaining adequate internal control over financial reporting by the Trust.  

The Managing Owner’s internal control over financial reporting is a process designed to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with accounting principles generally accepted in the United States. 

The internal control over financial reporting for the Trust and each Series includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with accounting principles generally accepted in the United States, and that receipts and expenditures are being made only in accordance with authorizations of the management of the Managing Owner; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use or disposition of assets that could have a material effect on the financial statements of the Trust or any Series.  

100

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements on a timely basis. All internal control systems, no matter how well designed, have inherent limitations, including the possibility of human error and the circumvention of overriding controls. Accordingly, even effective internal control over financial reporting can provide only reasonable assurance with respect to financial statement preparation. Also, projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate.  

Management assessed the effectiveness of the internal control over financial reporting for the Trust and each Series as of March 31, 2023, based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its 2013 report entitled Internal Control-Integrated Framework. 

Based on that assessment, the Trust’s Chief Executive Officer and Chief Financial Officer concluded that the Trust maintained effective internal control over financial reporting as of March 31, 2023.

This quarterly report does not include an attestation report of the Trust’s independent registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Trust’s independent registered public accounting firm pursuant to the rules of the SEC that permit the Trust to provide only management’s report in this quarterly report.

Scope of Exhibit 31 Certifications  

The certifications of the Chief Executive Officer and Chief Financial Officer of the Managing Owner as of March 31, 2023 and as of May 15, 2023 (the date of this filing) are included as Exhibits 31.1 and 31.2, respectively, to this Form 10-Q, and apply not only to the Trust as a whole but also to each Series individually.  

101

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.

There have been no material changes to the risk factors set forth under Part I, Item 1A. “Risk Factors.” in the Trust’s annual report on Form 10-K for the fiscal year ended December 31, 2022. 

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

The following table provides information regarding the sale of unregistered Units by the Trust for the three months ended March 31, 2023. 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.

102

ITEM 6. EXHIBITS.

31.1	Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed herewith)
31.2	Certification of Principal Financial Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15d-14(a) of the Securities Exchange Act of 1934. (filed 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)
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104	Cover Page Interactive Data File (formatted as Inline XBRL and contained in Exhibit 101).

103

SIGNATURES

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

	Frontier Funds
	(Registrant)
Date: May 15, 2023	By:	/s/ Patrick J. Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds
Date: May 15, 2023	By:	/s/ Patrick F. Hart
		Patrick F. Hart
		President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

104

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: May 15, 2023	By:	/s/ Patrick J. Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds
Date: May 15, 2023	By:	/s/ Patrick F. Hart
		Patrick F. Hart
		President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

105

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: May 15, 2023	By:	/s/ Patrick J. Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds
Date: May 15, 2023	By:	/s/ Patrick F. Hart
		Patrick F. Hart
		President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

106

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 Global Fund,
	a Series of Frontier Funds
	(Registrant)
Date: May 15, 2023	By:	/s/ Patrick J. Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds
Date: May 15, 2023	By:	/s/ Patrick F. Hart
		Patrick F. Hart
		President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

107

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: May 15, 2023	By:	/s/ Patrick J. Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds
Date: May 15, 2023	By:	/s/ Patrick F. Hart
		Patrick F. Hart
		President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

108

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: May 15, 2023	By:	/s/ Patrick J. Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds
Date: May 15, 2023	By:	/s/ Patrick F. Hart
		Patrick F. Hart
		President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

109

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: May 15, 2023	By:	/s/ Patrick J. Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds
Date: May 15, 2023	By:	/s/ Patrick F. Hart
		Patrick F. Hart
		President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

110

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: May 15, 2023	By:	/s/ Patrick J. Kane
		Patrick J. Kane
		Chairman and Chief Financial Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds
Date: May 15, 2023	By:	/s/ Patrick F. Hart
		Patrick F. Hart
		President and Chief Executive Officer of Frontier Fund Management LLC, the Managing Owner of Frontier Funds

111