UNITED
STATESSECURITIES AND EXCHANGE COMMISSIONWASHINGTON, DC 20549








FORM
10-Q






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



For
the Period Ended June 30, 2018



OR



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



Commission
File Number 000-51274








FRONTIER
FUNDS

FRONTIER
DIVERSIFIED FUND;FRONTIER MASTERS FUND;FRONTIER LONG/SHORT COMMODITY FUND;FRONTIER BALANCED FUND;FRONTIER SELECT FUND;FRONTIER WINTON FUND;FRONTIER HERITAGE FUND(Exact Name of Registrant as specified in its Charter)








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



c/o
Frontier Fund Management LLC25568 Genesee Trail RoadGolden, Colorado 80401(Address of Principal Executive Offices)



(303)
454-5500(Registrants Telephone Number)








Securities
to be registered pursuant to Section 12(b) of the Act: NoneSecurities registered pursuant to Section 12(g) of the Act:Frontier Diversified Fund Class 1, Class 2 and Class 3 Units;Frontier Long/Short Commodity Fund Class 2, Class 3, Class 1a, Class 2a and Class 3a Units;Frontier Masters Fund Class 1, Class 2 and Class 3 Units;Frontier Balanced Fund Class 1, Class 1AP, Class 2, Class 2a and Class 3a Units;Frontier Select Fund Class 1, Class 1AP and Class 2 Units;Frontier Winton Fund Class 1, Class 1AP and Class 2 Units;Frontier Heritage Fund Class 1, Class 1AP and Class 2 Units








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



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



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



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



Indicate
by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act). YesoNo  x












TABLE
OF CONTENTS



PART I – FINANCIAL INFORMATION





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



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

2


Table of Contents


Special
Note About Forward-Looking Statements



THIS
REPORT CONTAINS STATEMENTS WHICH CONSTITUTE FORWARD-LOOKING STATEMENTS WITHIN THE MEANING OF THE PRIVATE SECURITIES LITIGATION
REFORM ACT OF 1995 AND OTHER FEDERAL SECURITIES LAWS. THESE FORWARD-LOOKING STATEMENTS REFLECT THE MANAGING OWNERS CURRENT
EXPECTATIONS ABOUT THE FUTURE RESULTS, PERFORMANCE, PROSPECTS AND OPPORTUNITIES OF THE TRUST. THE MANAGING OWNER HAS TRIED TO
IDENTIFY THESE FORWARD-LOOKING STATEMENTS BY USING WORDS SUCH AS MAY, WILL, EXPECT, ANTICIPATE,
BELIEVE, INTEND, SHOULD, ESTIMATE OR THE NEGATIVE OF THOSE TERMS OR SIMILAR EXPRESSIONS.
THESE FORWARD-LOOKING STATEMENTS ARE BASED ON INFORMATION CURRENTLY AVAILABLE TO THE MANAGING OWNER AND ARE SUBJECT TO A NUMBER
OF RISKS, UNCERTAINTIES AND OTHER FACTORS, BOTH KNOWN, SUCH AS THOSE DESCRIBED IN THE RISK FACTORS SECTION UNDER PART
II ITEM 1A AND ELSEWHERE IN THIS REPORT, AND UNKNOWN, THAT COULD CAUSE THE TRUSTS ACTUAL RESULTS, PERFORMANCE, PROSPECTS
OR OPPORTUNITIES TO DIFFER MATERIALLY FROM THOSE EXPRESSED IN, OR IMPLIED BY, THESE FORWARD-LOOKING STATEMENTS.



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



UNLESS
EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF JUNE 30, 2018, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION
TO UPDATE THIS INFORMATION.

3


Table of Contents


PART
I. FINANCIAL INFORMATION



| | ITEM 1. | Series
                                         Financial Statements
| | ------- | --------------------------------------------------------------------

4


Table of Contents


|The
    Series of Frontier Funds                   
|---------------------------------------------------
|Statements
    of Financial Condition              
|June
    30, 2018 (unaudited) and December 31, 2017



|                                                                   |  | Frontier             |            |  | Frontier         |   |            | Frontier                      | 
|------------------------------------------------------------------ |  | -------------------- | ---------- |  | ---------------- | - | ---------- | ----------------------------- | 
|                                                                   |  | Diversified
    Fund |            |  | Masters
    Fund |   |            | Long/Short
    Commodity Fund | 
|                                                                   |  | 6/30/2018            |            |  | 12/31/2017       |   |            | 6/30/2018                     | 
|ASSETS                                                             |  |                      |            |  |                  |   |            |                               | 
|Cash and cash equivalents                                          |  | $                    | 175,643    |  |                  | $ | 189,890    |                               | 
|U.S. Treasury securities, at fair value                            |  |                      | 1,752,590  |  |                  |   | 767,049    |                               | 
|Incentive fees receivable                                          |  |                      | —          |  |                  |   | —          |                               | 
|Swap contracts, at fair value                                      |  |                      | 5,789,800  |  |                  |   | 6,376,472  |                               | 
|Investments in private investment companies,
    at fair value     |  |                      | 11,853,253 |  |                  |   | 14,501,510 |                               | 
|Investments in unconsolidated trading companies,
    at fair value |  |                      | 1,257,449  |  |                  |   | 2,225,210  |                               | 
|Interest receivable                                                |  |                      | 35,859     |  |                  |   | 15,127     |                               | 
|Other assets                                                       |  |                      | —          |  |                  |   | —          |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|Total
    Assets                                                   |  | $                    | 20,864,594 |  |                  | $ | 24,075,258 |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|LIABILITIES
    & CAPITAL                                          |  |                      |            |  |                  |   |            |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|LIABILITIES                                                        |  |                      |            |  |                  |   |            |                               | 
|Owner redemptions payable                                          |  | $                    | —          |  |                  | $ | —          |                               | 
|Incentive fees payable to Managing Owner                           |  |                      | —          |  |                  |   | 12,847     |                               | 
|Management fees payable to Managing Owner                          |  |                      | 4,148      |  |                  |   | 4,049      |                               | 
|Interest payable to Managing Owner                                 |  |                      | —          |  |                  |   | —          |                               | 
|Service fees payable to Managing Owner                             |  |                      | 2,806      |  |                  |   | 3,614      |                               | 
|Trading fees payable to Managing Owner                             |  |                      | 46,612     |  |                  |   | 61,188     |                               | 
|Advance on unrealized swap appreciation                            |  |                      | 2,500,000  |  |                  |   | 2,500,000  |                               | 
|Other liabilities                                                  |  |                      | 2,006      |  |                  |   | 26,873     |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|Total Liabilities                                                  |  |                      | 2,555,572  |  |                  |   | 2,608,571  |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|CAPITAL                                                            |  |                      |            |  |                  |   |            |                               | 
|Managing Owner - Class 2                                           |  |                      | 3,154      |  |                  |   | 3,361      |                               | 
|Managing Owner - Class 2a                                          |  |                      | —          |  |                  |   | —          |                               | 
|Managing Owner - Class 3                                           |  |                      | 180,802    |  |                  |   | 213,164    |                               | 
|Managing Owner - Class 3a                                          |  |                      | —          |  |                  |   | —          |                               | 
|Limited Owner - Class 1                                            |  |                      | 1,951,083  |  |                  |   | 2,332,222  |                               | 
|Limited Owner - Class 1a                                           |  |                      | —          |  |                  |   | —          |                               | 
|Limited Owner - Class 2                                            |  |                      | 8,273,346  |  |                  |   | 9,629,385  |                               | 
|Limited Owner - Class 2a                                           |  |                      | —          |  |                  |   | —          |                               | 
|Limited Owner - Class 3                                            |  |                      | 7,900,637  |  |                  |   | 9,288,555  |                               | 
|Limited Owner - Class 3a                                           |  |                      | —          |  |                  |   | —          |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|Total Owners Capital                                              |  |                      | 18,309,022 |  |                  |   | 21,466,687 |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|Non-Controlling Interests                                          |  |                      | —          |  |                  |   | —          |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|Total Capital                                                      |  |                      | 18,309,022 |  |                  |   | 21,466,687 |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|Total
    Liabilities and Capital                                  |  | $                    | 20,864,594 |  |                  | $ | 24,075,258 |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|Units Outstanding                                                  |  |                      |            |  |                  |   |            |                               | 
|Class 1                                                            |  |                      | 18,015     |  |                  |   | 20,035     |                               | 
|Class 1a                                                           |  |                      | N/A        |  |                  |   | N/A        |                               | 
|Class 2                                                            |  |                      | 65,236     |  |                  |   | 71,254     |                               | 
|Class 2a                                                           |  |                      | N/A        |  |                  |   | N/A        |                               | 
|Class 3                                                            |  |                      | 68,432     |  |                  |   | 75,601     |                               | 
|Class 3a                                                           |  |                      | N/A        |  |                  |   | N/A        |                               | 
|                                                                   |  |                      |            |  |                  |   |            |                               | 
|Net Asset Value per Unit                                           |  |                      |            |  |                  |   |            |                               | 
|Class 1                                                            |  | $                    | 108.30     |  |                  | $ | 116.41     |                               | 
|Class 1a                                                           |  |                      | N/A        |  |                  |   | N/A        |                               | 
|Class 2                                                            |  | $                    | 126.87     |  |                  | $ | 135.19     |                               | 
|Class 2a                                                           |  |                      | N/A        |  |                  |   | N/A        |                               | 
|Class 3                                                            |  | $                    | 118.09     |  |                  | $ | 125.68     |                               | 
|Class 3a                                                           |  |                      | N/A        |  |                  |   | N/A        |                               | 



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

5


Table of Contents


|The
    Series of Frontier Funds                   
|---------------------------------------------------
|Statements
    of Financial Condition              
|June
    30, 2018 (unaudited) and December 31, 2017



|                                                                   |  | Frontier
    Balanced Fund |            |  | Frontier
    Select Fund |  
|------------------------------------------------------------------ |  | -------------------------- | ---------- |  | ------------------------ | -
|                                                                   |  | 6/30/2018                  |            |  | 12/31/2017               |  
|ASSETS                                                             |  |                            |            |  |                          |  
|Cash
    and cash equivalents                                      |  | $                          | 313,542    |  |                          | $
|U.S.
    Treasury securities, at fair value                        |  |                            | 3,128,559  |  |                          |  
|Open
    trade equity, at fair value                               |  |                            | 116,742    |  |                          |  
|Receivable
    from futures commission merchants                   |  |                            | 2,360,013  |  |                          |  
|Swap
    contracts, at fair value                                  |  |                            | 10,470,609 |  |                          |  
|Investments
    in private investment companies, at fair value     |  |                            | 25,309,092 |  |                          |  
|Investments
    in unconsolidated trading companies, at fair value |  |                            | 2,445,919  |  |                          |  
|Interest
    receivable                                            |  |                            | 64,012     |  |                          |  
|Due
    from Managing Owner                                        |  |                            | —          |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|Total
    Assets                                                   |  | $                          | 44,208,488 |  |                          | $
|                                                                   |  |                            |            |  |                          |  
|LIABILITIES
    & CAPITAL                                          |  |                            |            |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|LIABILITIES                                                        |  |                            |            |  |                          |  
|Owner
    redemptions payable                                      |  | $                          | 55,512     |  |                          | $
|Incentive
    fees payable to Managing Owner                       |  |                            | —          |  |                          |  
|Management
    fees payable to Managing Owner                      |  |                            | 11,594     |  |                          |  
|Interest
    payable to Managing Owner                             |  |                            | 6,818      |  |                          |  
|Service
    fees payable to Managing Owner                         |  |                            | 64,568     |  |                          |  
|Trading
    fees payable to Managing Owner                         |  |                            | 110,648    |  |                          |  
|Risk
    analysis fees payable                                     |  |                            | 8,688      |  |                          |  
|Advance
    on unrealized swap appreciation                        |  |                            | 4,926,555  |  |                          |  
|Other
    liabilities                                              |  |                            | 184,676    |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|Total
    Liabilities                                              |  |                            | 5,369,059  |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|CAPITAL                                                            |  |                            |            |  |                          |  
|Managing
    Owner - Class 1                                       |  |                            | —          |  |                          |  
|Managing
    Owner - Class 2                                       |  |                            | 131,083    |  |                          |  
|Managing
    Owner - Class 2a                                      |  |                            | 263,155    |  |                          |  
|Limited
    Owner - Class 1                                        |  |                            | 31,143,397 |  |                          |  
|Limited
    Owner - Class 1AP                                      |  |                            | 557,664    |  |                          |  
|Limited
    Owner - Class 2                                        |  |                            | 5,595,683  |  |                          |  
|Limited
    Owner - Class 2a                                       |  |                            | 118,572    |  |                          |  
|Limited
    Owner - Class 3a                                       |  |                            | 1,029,875  |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|Total
    Owners Capital                                          |  |                            | 38,839,429 |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|Non-Controlling
    Interests                                      |  |                            | —          |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|Total
    Capital                                                  |  |                            | 38,839,429 |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|Total
    Liabilities and Capital                                  |  | $                          | 44,208,488 |  |                          | $
|                                                                   |  |                            |            |  |                          |  
|Units
    Outstanding                                              |  |                            |            |  |                          |  
|Class
    1                                                        |  |                            | 248,720    |  |                          |  
|Class
    1AP                                                      |  |                            | 3,964      |  |                          |  
|Class
    2                                                        |  |                            | 30,186     |  |                          |  
|Class
    2a                                                       |  |                            | 2,323      |  |                          |  
|Class
    3a                                                       |  |                            | 6,289      |  |                          |  
|                                                                   |  |                            |            |  |                          |  
|Net
    Asset Value per Unit                                       |  |                            |            |  |                          |  
|Class
    1                                                        |  | $                          | 125.21     |  |                          | $
|Class
    1AP                                                      |  | $                          | 140.68     |  |                          | $
|Class
    2                                                        |  | $                          | 189.72     |  |                          | $
|Class
    2a                                                       |  | $                          | 164.33     |  |                          | $
|Class
    3a                                                       |  | $                          | 163.77     |  |                          | $



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

6


Table of Contents


|The
    Series of Frontier Funds                   
|---------------------------------------------------
|Statements
    of Financial Condition              
|June
    30, 2018 (unaudited) and December 31, 2017



|                                                                   |  | Frontier
    Winton Fund |            |  | Frontier
    Heritage Fund |  
|------------------------------------------------------------------ |  | ------------------------ | ---------- |  | -------------------------- | -
|                                                                   |  | 6/30/2018                |            |  | 12/31/2017                 |  
|ASSETS                                                             |  |                          |            |  |                            |  
|Cash
    and cash equivalents                                      |  | $                        | 577,591    |  |                            | $
|U.S.
    Treasury securities, at fair value                        |  |                          | 5,763,275  |  |                            |  
|Swap
    contracts, at fair value                                  |  |                          | —          |  |                            |  
|Investments
    in private investment companies, at fair value     |  |                          | —          |  |                            |  
|Investments
    in unconsolidated trading companies, at fair value |  |                          | 4,972,156  |  |                            |  
|Interest
    receivable                                            |  |                          | 117,920    |  |                            |  
|Receivable
    from related parties                                |  |                          | —          |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|Total
    Assets                                                   |  | $                        | 11,430,942 |  |                            | $
|                                                                   |  |                          |            |  |                            |  
|LIABILITIES
    & CAPITAL                                          |  |                          |            |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|LIABILITIES                                                        |  |                          |            |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|Owner
    redemptions payable                                      |  | $                        | 71,202     |  |                            | $
|Management
    fees payable to Managing Owner                      |  |                          | 41,441     |  |                            |  
|Interest
    payable to Managing Owner                             |  |                          | 11,561     |  |                            |  
|Service
    fees payable to Managing Owner                         |  |                          | 21,229     |  |                            |  
|Trading
    fees payable to Managing Owner                         |  |                          | 23,650     |  |                            |  
|Due
    to Managing Owner                                          |  |                          | —          |  |                            |  
|Advance
    on unrealized swap appreciation                        |  |                          | —          |  |                            |  
|Other
    liabilities                                              |  |                          | 58,374     |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|Total
    Liabilities                                              |  |                          | 227,457    |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|CAPITAL                                                            |  |                          |            |  |                            |  
|Managing
    Owner - Class 2                                       |  |                          | 114,755    |  |                            |  
|Limited
    Owner - Class 1                                        |  |                          | 10,409,429 |  |                            |  
|Limited
    Owner - Class 1AP                                      |  |                          | 35,695     |  |                            |  
|Limited
    Owner - Class 2                                        |  |                          | 643,606    |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|Total
    Owners Capital                                          |  |                          | 11,203,485 |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|Non-Controlling
    Interests                                      |  |                          | —          |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|Total
    Capital                                                  |  |                          | 11,203,485 |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|Total
    Liabilities and Capital                                  |  | $                        | 11,430,942 |  |                            | $
|                                                                   |  |                          |            |  |                            |  
|Units
    Outstanding                                              |  |                          |            |  |                            |  
|Class
    1                                                        |  |                          | 70,021     |  |                            |  
|Class
    1AP                                                      |  |                          | 214        |  |                            |  
|Class
    2                                                        |  |                          | 3,727      |  |                            |  
|                                                                   |  |                          |            |  |                            |  
|Net
    Asset Value per Unit                                       |  |                          |            |  |                            |  
|Class
    1                                                        |  | $                        | 148.66     |  |                            | $
|Class
    1AP                                                      |  | $                        | 167.19     |  |                            | $
|Class
    2                                                        |  | $                        | 203.47     |  |                            | $



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

7


Table of Contents


|The
    Series of Frontier Funds     
|-------------------------------------
|Condensed
    Schedule of Investments
|June
    30, 2018 (unaudited)        



|                                                       |            |            |  |                                                           | Frontier         |   |            | Frontier           |            |  | Frontier                  |           
|------------------------------------------------------ | ---------- | ---------- |  | --------------------------------------------------------- | ---------------- | - | ---------- | ------------------ | ---------- |  | ------------------------- | ----------
|                                                       |            |            |  |                                                           | Diversified Fund |   |            | Masters Fund       |            |  | Long/Short Commodity Fund |           
|                                                       |            |            |  |                                                           | Fair             |   |            | % of Total Capital |            |  | Fair                      |           
|Description                                            |            |            |  |                                                           | Value            |   |            | (Net Asset Value)  |            |  | Value                     |           
|SWAPS (1)                                              |            |           
|                                                       |            |            |  | Frontier XXXV Diversified select swap (U.S.)              |                  | $ | 5,789,800  |                    |            |  | 31.62                     | %         
|                                                       |            |            |  | Frontier XXXVII L/S select swap (U.S.)                    |                  |   | —          |                    |            |  | —                         |           
|                                                       |            |            |  | Total Swaps                                               |                  | $ | 5,789,800  |                    |            |  | 31.62                     | %         
|                                                       |            |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|PRIVATE
    INVESTMENT COMPANIES (3)                   |            |            |  |                                                           |                  |   |            |                    |           
|                                                       |            |            |  | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC          |                  | $ | 1,439,993  |                    |            |  | 7.86                      | %         
|                                                       |            |            |  | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC          |                  |   | 1,257,708  |                    |            |  | 6.87                      | %         
|                                                       |            |            |  | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  |                  |   | 1,717,944  |                    |            |  | 9.38                      | %         
|                                                       |            |            |  | Galaxy Plus Fund - QIM Feeder Fund (526) LLC              |                  |   | 1,540,487  |                    |            |  | 8.41                      | %         
|                                                       |            |            |  | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC     |                  |   | 1,965,538  |                    |            |  | 10.74                     | %         
|                                                       |            |            |  | Galaxy Plus Fund - Quest Feeder Fund (517) LLC            |                  |   | 376,799    |                    |            |  | 2.06                      | %         
|                                                       |            |            |  | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC           |                  |   | 396,085    |                    |            |  | 2.16                      | %         
|                                                       |            |            |  | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC       |                  |   | 3,067,825  |                    |            |  | 16.76                     | %         
|                                                       |            |            |  | Galaxy Plus Fund - TT Feeder Fund (531) LLC               |                  |   | —          |                    |            |  | 0.00                      | %         
|                                                       |            |            |  | Galaxy Plus Fund - LRR Feeder Fund (522) LLC              |                  |   | 90,874     |                    |            |  | 0.50                      | %         
|                                                       |            |            |  | Total Private Investment Companies                        |                  | $ | 11,853,253 |                    |            |  | 64.74                     | %         
|                                                       |            |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|INVESTMENT
    IN UNCONSOLIDATED TRADING COMPANIES (3) |            |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|                                                       |            |            |  | Frontier Trading Company XXXVIII, LLC                     |                  | $ | 320,823    |                    |            |  | 1.75                      | %         
|                                                       |            |            |  | Frontier Trading Company II, LLC                          |                  |   | 936,626    |                    |            |  | 5.12                      | %         
|                                                       |            |            |  | Total Investment in Unconsolidated Trading Companies      |                  | $ | 1,257,449  |                    |            |  | 6.87                      | %         
|                                                       |            |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|U.S.
    TREASURY SECURITIES (2)                       |            |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|FACE VALUE                                             |            |            |  |                                                           | Fair Value       |   |            |                    |            |  |                           | Fair Value
|$                                                      | 10,737,000 |            |  | US Treasury Note 6.875% due 08/15/2025 (Cost $13,711,448) |                  | $ | 1,752,590  |                    |            |  | 9.57                      | %         
|                                                       |            |            |  |                                                           |                  | $ | 1,752,590  |                    |            |  | 9.57                      | %         
|                                                       |            |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|Additional
    Disclosure on U.S. Treasury Securities  |            | Face Value |  |                                                           |                  |   |            |                    | Face Value |  |                           |           
|                                                       |            |            |  | US Treasury Note 6.875% due 08/15/2025 (2)                |                  | $ | 1,388,341  |                    |            |  |                           |           
|                                                       |            |            |  |                                                           |                  | $ | 1,388,341  |                    |            |  |                           |           
|                                                       |            |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|Additional
    Disclosure on U.S. Treasury Securities  |            | Cost       |  |                                                           |                  |   |            |                    | Cost       |  |                           |           
|                                                       |            |            |  | US Treasury Note 6.875% due 08/15/2025 (2)                |                  | $ | 1,772,950  |                    |            |  |                           |           
|                                                       |            |            |  |                                                           |                  | $ | 1,772,950  |                    |            |  |                           |           



| | (1) | See
Note 4 to the Financial Statements.
| | --- | ---------------------------------------

| | (2) | See
Note 2 to the Financial Statements.
| | --- | ---------------------------------------

| | (3) | See
Note 5 to the Financial Statements.
| | --- | ---------------------------------------



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

8


Table of Contents


|The
    Series of Frontier Funds     
|-------------------------------------
|Condensed
    Schedule of Investments
|June
    30, 2018 (unaudited)        



|                                                      |            |                |  |                                                               | Frontier          |   |            | Frontier              |               
|----------------------------------------------------- | ---------- | -------------- |  | ------------------------------------------------------------- | ----------------- | - | ---------- | --------------------- | --------------
|                                                      |            |                |  |                                                               | Balanced
    Fund |   |            | Select
    Fund       |               
|                                                      |            |                |  |                                                               | Fair              |   |            | % of Total Capital    |               
|Description                                           |            |                |  |                                                               | Value             |   |            | (Net
    Asset Value) |               
|LONG
    FUTURES CONTRACTS*                           |            |                |  |                                                               |                   |   |            |                       |               
|                                                      |            |                |  | Various
    base metals futures contracts (U.S.)              |                   | $ | (24,913    | )                     |               
|                                                      |            |                |  | Various energy futures
    contracts (U.S.)                   |                   |   | 16,266     |                       |               
|                                                      |            |                |  | Various interest rates
    futures contracts (Canada)         |                   |   | (6,685     | )                     |               
|                                                      |            |                |  | Various interest rates
    futures contracts (Europe)         |                   |   | 96,445     |                       |               
|                                                      |            |                |  | Various interest rates
    futures contracts (Far East)       |                   |   | 9,212      |                       |               
|                                                      |            |                |  | Various interest rates
    futures contracts (Oceanic)        |                   |   | 75         |                       |               
|                                                      |            |                |  | Various soft futures
    contracts (U.S.)                     |                   |   | (4,575     | )                     |               
|                                                      |            |                |  | Various stock index
    futures contracts (Canada)            |                   |   | 514        |                       |               
|                                                      |            |                |  | Various stock index
    futures contracts (Oceanic)           |                   |   | 3,843      |                       |               
|                                                      |            |                |  | Various
    agriculture futures contracts (Europe)            |                   |   | (58        | )                     |               
|                                                      |            |                |  | Total
    Long Futures Contracts                              |                   | $ | 90,124     |                       |               
|SHORT
    FUTURES CONTRACTS*                          |            |                |  |                                                               |                   |   |            |                       |               
|                                                      |            |                |  | Various agriculture
    futures contracts (U.S.)              |                   | $ | 9,375      |                       |               
|                                                      |            |                |  | Various base metals
    futures contracts (U.S.)              |                   |   | 15,975     |                       |               
|                                                      |            |                |  | Various interest rates
    futures contracts (Oceanic)        |                   |   | (4,348     | )                     |               
|                                                      |            |                |  | Various precious metal
    futures contracts (U.S.)           |                   |   | 14,095     |                       |               
|                                                      |            |                |  | Various soft futures
    contracts (Far East)                 |                   |   | 15,131     |                       |               
|                                                      |            |                |  | Various soft futures
    contracts (U.S.)                     |                   |   | (160       | )                     |               
|                                                      |            |                |  | Various
    stock index futures contracts (Africa)            |                   |   | (12,359    | )                     |               
|                                                      |            |                |  | Total
    Short Futures Contracts                             |                   | $ | 37,709     |                       |               
|CURRENCY
    FORWARDS*                                |            |                |  |                                                               |                   |   |           
|                                                      |            |                |  | Various
    currency forwards contracts (NA)                  |                   | $ | (11,091    | )                     |               
|                                                      |            |                |  | Total
    Currency Forwards                                   |                   | $ | (11,091    | )                     |               
|                                                      |            |                |  | Total
    Open Trade Equity (Deficit)                         |                   | $ | 116,742    |                       |               
|SWAP
    (1)                                          |            |                |  |                                                               |                   |   |            |                       |               
|                                                      |            |                |  | Frontier
    XXXIV Balanced select swap (U.S.)                |                   | $ | 10,470,609 |                       |               
|                                                      |            |                |  | Total
    Swap                                                |                   | $ | 10,470,609 |                       |               
|                                                      |            |                |  |                                                               |                   |   |            |                       |               
|PRIVATE
    INVESTMENT COMPANIES (3)                  |            |                |  |                                                               |                   |   |            |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - EvE
    STP Feeder Fund (516) LLC          |                   | $ | 3,161,396  |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - Aspect
    Feeder Fund (532) LLC           |                   |   | 1,189,194  |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - Doherty
    Feeder Fund (528) LLC          |                   |   | 2,264,802  |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - Fort
    Contrarian Feeder Fund (510) LLC  |                   |   | 3,781,763  |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - QIM
    Feeder Fund (526) LLC              |                   |   | 3,340,414  |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - Quantmetrics
    Feeder Fund (527) LLC     |                   |   | 4,326,430  |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - LRR
    Feeder Fund (522) LLC              |                   |   | 218,329    |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - Welton
    GDP Feeder Fund (538) LLC       |                   |   | 6,649,656  |                       |               
|                                                      |            |                |  | Galaxy Plus Fund - TT
    Feeder Fund (531) LLC               |                   |   | —          |                       |               
|                                                      |            |                |  | Galaxy
    Plus Fund - Quest Feeder Fund (517) LLC            |                   |   | 377,108    |                       |               
|                                                      |            |                |  | Total
    Private Investment Companies                        |                   | $ | 25,309,092 |                       |               
|                                                      |            |                |  |                                                               |                   |   |            |                       |               
|INVESTMENT
    IN UNCONSOLIDATED COMPANIES (3)        |            |                | 
|                                                      |            |                |  | Frontier Trading Company
    II, LLC                          |                   | $ | 1,873,215  |                       |               
|                                                      |            |                |  | Frontier Trading Company
    XXXVIII, LLC                     |                   |   | 572,704    |                       |               
|                                                      |            |                |  | Frontier
    Trading Company XXXIX, LLC                       |                   |   | —          |                       |               
|                                                      |            |                |  | Total
    Investment in Unconsolidated Trading Companies      |                   | $ | 2,445,919  |                       |               
|                                                      |            |                |  |                                                               |                   |   |            |                       |               
|U.S.
    TREASURY SECURITIES (2)                     
|FACE
    VALUE                                        |            |                |  |                                                               | Fair
    Value    |   |            |                       |               
|$                                                     | 10,737,000 |                |  | US
    Treasury Note 6.875% due 08/15/2025 (Cost $13,711,448) |                   |   | 3,128,559  |                       |               
|                                                      |            |                |  |                                                               |                   | $ | 3,128,559  |                       |               
|                                                      |            |                |  |                                                               |                   |   |            |                       |               
|Additional
    Disclosure on U.S. Treasury Securities |            | Face
    Value |  |                                                               |                   |   |            |                       | Face
    Value
|                                                      |            |                |  | US
    Treasury Note 6.875% due 08/15/2025 (2)                |                   | $ | 2,478,334  |                       |               
|                                                      |            |                |  |                                                               |                   | $ | 2,478,334  |                       |               
|                                                      |            |                |  |                                                               |                   |   |            |                       |               
|Additional
    Disclosure on U.S. Treasury Securities |            | Cost           |  |                                                               |                   |   |            |                       | Cost          
|                                                      |            |                |  | US
    Treasury Note 6.875% due 08/15/2025 (2)                |                   | $ | 3,164,902  |                       |               
|                                                      |            |                |  |                                                               |                   | $ | 3,164,902  |                       |               



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

| | (1) | See
Note 4 to the Financial Statements.
| | --- | ---------------------------------------

| | (2) | See
Note 2 to the Financial Statements.
| | --- | ---------------------------------------

| | (3) | See
Note 5 to the Financial Statements.
| | --- | ---------------------------------------



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

9


Table of Contents


|The
    Series of Frontier Funds     
|-------------------------------------
|Condensed
    Schedule of Investments
|June
    30, 2018 (unaudited)        



|                                                      |            |                |  |                                                               | Frontier        |   |           | Frontier              |               
|----------------------------------------------------- | ---------- | -------------- |  | ------------------------------------------------------------- | --------------- | - | --------- | --------------------- | --------------
|                                                      |            |                |  |                                                               | Winton
    Fund |   |           | Heritage
    Fund     |               
|                                                      |            |                |  |                                                               | Fair            |   |           | % of Total Capital    |               
|Description                                           |            |                |  |                                                               | Value           |   |           | (Net
    Asset Value) |               
|SWAP
    (1)                                          |            |                |  |                                                               |                 |   |           |                      
|                                                      |            |                |  | Frontier
    Brevan Howard swap (U.S.)                        |                 | $ | —         |                       |               
|                                                      |            |                |  | Total
    Swap                                                |                 | $ | —         |                       |               
|                                                      |            |                |  |                                                               |                 |   |           |                       |               
|PRIVATE
    INVESTMENT COMPANIES (3)                  |            |                |  |                                                               |                 |   |           |                      
|                                                      |            |                |  | Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC       |                 | $ | —         |                       |               
|                                                      |            |                |  | Total
    Private Investment Companies                        |                 | $ | —         |                       |               
|                                                      |            |                |  |                                                               |                 |   |           |                       |               
|INVESTMENT
    IN UNCONSOLIDATED COMPANIES (3)        |            |                |  |                                                               |                 |   |           |                      
|                                                      |            |                |  | Frontier Trading Company
    II, LLC                          |                 | $ | 3,917,150 |                       |               
|                                                      |            |                |  | Frontier
    Trading Company XXXVIII, LLC                     |                 |   | 1,055,006 |                       |               
|                                                      |            |                |  | Total
    Investment in Unconsolidated Trading Companies      |                 | $ | 4,972,156 |                       |               
|                                                      |            |                |  |                                                               |                 |   |           |                       |               
|U.S.
    TREASURY SECURITIES (2)                      |            |                |  |                                                               |                 |   |           |                      
|FACE
    VALUE                                        |            |                |  |                                                               | Fair
    Value  |   |           |                       |               
|$                                                     | 10,737,000 |                |  | US
    Treasury Note 6.875% due 08/15/2025 (Cost $13,711,448) |                 | $ | 5,763,275 |                       |               
|                                                      |            |                |  |                                                               |                 | $ | 5,763,275 |                       |               
|                                                      |            |                |  |                                                               |                 |   |           |                       |               
|Additional
    Disclosure on U.S. Treasury Securities |            | Face
    Value |  |                                                               |                 |   |           |                       | Face
    Value
|                                                      |            |                |  | US
    Treasury Note 6.875% due 08/15/2025 (2)                |                 | $ | 4,565,464 |                       |               
|                                                      |            |                |  |                                                               |                 | $ | 4,565,464 |                       |               
|                                                      |            |                |  |                                                               |                 |   |           |                       |               
|Additional
    Disclosure on U.S. Treasury Securities |            | Cost           |  |                                                               |                 |   |           |                       | Cost          
|                                                      |            |                |  | US
    Treasury Note 6.875% due 08/15/2025 (2)                |                 | $ | 5,830,225 |                       |               
|                                                      |            |                |  |                                                               |                 | $ | 5,830,225 |                       |               



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

| | (1) | See
Note 4 to the Financial Statements.
| | --- | ---------------------------------------

| | (2) | See
Note 2 to the Financial Statements.
| | --- | ---------------------------------------

| | (3) | See
Note 5 to the Financial Statements.
| | --- | ---------------------------------------



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

10


Table of Contents


|The
    Series of Frontier Funds     
|-------------------------------------
|Condensed
    Schedule of Investments
|December
    31, 2017                



|                                                       |           |            |  |                                                           | Frontier         |   |            | Frontier           |            |  | Frontier                  |           
|------------------------------------------------------ | --------- | ---------- |  | --------------------------------------------------------- | ---------------- | - | ---------- | ------------------ | ---------- |  | ------------------------- | ----------
|                                                       |           |            |  |                                                           | Diversified Fund |   |            | Masters Fund       |            |  | Long/Short Commodity Fund |           
|                                                       |           |            |  |                                                           | Fair             |   |            | % of Total Capital |            |  | Fair                      |           
|Description                                            |           |            |  |                                                           | Value            |   |            | (Net Asset Value)  |            |  | Value                     |           
|SWAPS
    (1)                                          |           |            |  |                                                           |                  |   |            |                    |            |  |                          
|                                                       |           |            |  | Frontier XXXV Diversified select swap (U.S.)              |                  | $ | 6,376,472  |                    |            |  | 29.70                     | %         
|                                                       |           |            |  | Frontier XXXVII L/S select swap (U.S.)                    |                  |   | —          |                    |            |  | —                         |           
|                                                       |           |            |  | Total Swaps                                               |                  | $ | 6,376,472  |                    |            |  | 29.70                     | %         
|                                                       |           |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|PRIVATE
    INVESTMENT COMPANIES (3)                   |           |            |  |                                                          
|                                                       |           |            |  | Galaxy Plus Fund - Chesapeake Feeder Fund (518)           |                  | $ | 484,742    |                    |            |  | 2.26                      | %         
|                                                       |           |            |  | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC          |                  |   | 1,447,461  |                    |            |  | 6.74                      | %         
|                                                       |           |            |  | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC          |                  |   | 1,253,230  |                    |            |  | 5.84                      | %         
|                                                       |           |            |  | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  |                  |   | 1,713,788  |                    |            |  | 7.98                      | %         
|                                                       |           |            |  | Galaxy Plus Fund - QIM Feeder Fund (526) LLC              |                  |   | 2,203,960  |                    |            |  | 10.27                     | %         
|                                                       |           |            |  | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC     |                  |   | 2,067,025  |                    |            |  | 9.63                      | %         
|                                                       |           |            |  | Galaxy Plus Fund - Quest Feeder Fund (517) LLC            |                  |   | 379,664    |                    |            |  | 1.77                      | %         
|                                                       |           |            |  | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC           |                  |   | 479,522    |                    |            |  | 2.23                      | %         
|                                                       |           |            |  | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC       |                  |   | 4,343,060  |                    |            |  | 20.23                     | %         
|                                                       |           |            |  | Galaxy Plus Fund - TT Feeder Fund (531) LLC               |                  |   | —          |                    |            |  | 0.00                      | %         
|                                                       |           |            |  | Galaxy Plus Fund - LRR Feeder Fund (522) LLC              |                  |   | 129,058    |                    |            |  | 0.60                      | %         
|                                                       |           |            |  | Total Private Investment Companies                        |                  | $ | 14,501,510 |                    |            |  | 67.54                     | %         
|                                                       |           |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|INVESTMENT
    IN UNCONSOLIDATED TRADING COMPANIES (3) |           |            |  |                                                           |                  |   |            |                   
|                                                       |           |            |  | Frontier Trading Company XXXVIII, LLC                     |                  | $ | 151,600    |                    |            |  | 0.71                      | %         
|                                                       |           |            |  | Frontier Trading Company II, LLC                          |                  |   | 2,073,610  |                    |            |  | 9.66                      | %         
|                                                       |           |            |  | Total Investment in Unconsolidated Trading Companies      |                  | $ | 2,225,210  |                    |            |  | 10.37                     | %         
|                                                       |           |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|U.S.
    TREASURY SECURITIES (2)                       |          
|FACE
VALUE                                             |           |            |  |                                                           | Fair
Value       |   |            |                    |            |  |                           | Fair
Value
|$                                                      | 9,000,000 |            |  | US Treasury Note 6.875% due 08/15/2025 (Cost $12,218,715) |                  | $ | 767,049    |                    |            |  | 3.57                      | %         
|                                                       |           |            |  |                                                           |                  | $ | 767,049    |                    |            |  | 3.57                      | %         
|                                                       |           |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|Additional
    Disclosure on U.S. Treasury Securities  |           | Face
Value |  |                                                           |                  |   |            |                    | Face
Value |  |                           |           
|                                                       |           |            |  | US Treasury Note 6.875% due 08/15/2025 (2)                |                  | $ | 582,555    |                    |            |  |                           |           
|                                                       |           |            |  |                                                           |                  | $ | 582,555    |                    |            |  |                           |           
|                                                       |           |            |  |                                                           |                  |   |            |                    |            |  |                           |           
|Additional
    Disclosure on U.S. Treasury Securities  |           | Cost       |  |                                                           |                  |   |            |                    | Cost       |  |                           |           
|                                                       |           |            |  | US Treasury Note 6.875% due 08/15/2025 (2)                |                  | $ | 774,221    |                    |            |  |                           |           
|                                                       |           |            |  |                                                           |                  | $ | 774,221    |                    |            |  |                           |           



| | (1) | See
Note 4 to the Financial Statements.
| | --- | ---------------------------------------

| | (2) | See
Note 2 to the Financial Statements.
| | --- | ---------------------------------------

| | (3) | See
Note 5 to the Financial Statements.
| | --- | ---------------------------------------



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

11


Table of Contents


|The
    Series of Frontier Funds     
|-------------------------------------
|Condensed
    Schedule of Investments
|December
    31, 2017                



|                                                      |           |            |  |                                                           | Frontier      |   |            | Frontier           |           
|----------------------------------------------------- | --------- | ---------- |  | --------------------------------------------------------- | ------------- | - | ---------- | ------------------ | ----------
|                                                      |           |            |  |                                                           | Balanced Fund |   |            | Select Fund        |           
|                                                      |           |            |  |                                                           | Fair          |   |            | % of Total Capital |           
|Description                                           |           |            |  |                                                           | Value         |   |            | (Net Asset Value)  |           
|LONG
    FUTURES CONTRACTS*                           |           |            |  |                                                          
|                                                      |           |            |  | Various base metals futures contracts (U.S.)              |               | $ | 61,371     |                    |           
|                                                      |           |            |  | Various energy futures contracts (U.S.)                   |               |   | 96,294     |                    |           
|                                                      |           |            |  | Various interest rates futures contracts (Europe)         |               |   | 3,733      |                    |           
|                                                      |           |            |  | Various interest rates futures contracts (Far East)       |               |   | (1,776     | )                  |           
|                                                      |           |            |  | Various interest rates futures contracts (Oceanic)        |               |   | (15,653    | )                  |           
|                                                      |           |            |  | Various soft futures contract (U.S.)                      |               |   | 31,613     |                    |           
|                                                      |           |            |  | Various stock index futures contracts (Canada)            |               |   | 4,274      |                    |           
|                                                      |           |            |  | Various stock index futures contracts (Europe)            |               |   | (237       | )                  |           
|                                                      |           |            |  | Various stock index futures contracts (Far East)          |               |   | 5,757      |                    |           
|                                                      |           |            |  | Various stock index futures contracts (Oceanic)           |               |   | (1,525     | )                  |           
|                                                      |           |            |  | Various stock index futures contracts (U.S.)              |               |   | 604        |                    |           
|                                                      |           |            |  | Total Long Futures Contracts                              |               | $ | 184,455    |                    |           
|SHORT
    FUTURES CONTRACTS*                          |           |            |  |                                                           |              
|                                                      |           |            |  | Various base metals futures contracts (U.S.)              |               | $ | (66,901    | )                  |           
|                                                      |           |            |  | Various currency futures contracts (U.S.)                 |               |   | 40,897     |                    |           
|                                                      |           |            |  | Various energy futures contracts (U.S.)                   |               |   | (28,561    | )                  |           
|                                                      |           |            |  | Various interest rates futures contracts (Canada)         |               |   | (5,167     | )                  |           
|                                                      |           |            |  | Various interest rates futures contracts (Oceanic)        |               |   | 1,509      |                    |           
|                                                      |           |            |  | Various precious metal futures contracts (U.S.)           |               |   | (12,435    | )                  |           
|                                                      |           |            |  | Various soft futures contract (U.S.)                      |               |   | 18,277     |                    |           
|                                                      |           |            |  | Various soft futures contracts (Europe)                   |               |   | 12,909     |                    |           
|                                                      |           |            |  | Total Short Futures Contracts                             |               | $ | (39,472    | )                  |           
|CURRENCY
    FORWARDS*                                |           |            |  |                                                           |               |   |           
|                                                      |           |            |  | Various currency forwards contracts (NA)                  |               | $ | 33,569     |                    |           
|                                                      |           |            |  | Total Currency Forwards                                   |               | $ | 33,569     |                    |           
|                                                      |           |            |  | Total Open Trade Equity (Deficit)                         |               | $ | 178,552    |                    |           
|SWAP
    (1)                                          |           |            |  |                                                           |               |   |            |                    |           
|                                                      |           |            |  | Frontier XXXIV Balanced select swap (U.S.)                |               | $ | 11,340,959 |                    |           
|                                                      |           |            |  | Total Swap                                                |               | $ | 11,340,959 |                    |           
|                                                      |           |            |  |                                                           |               |   |            |                    |           
|PRIVATE
    INVESTMENT COMPANIES (3)                  |           |            |  |                                                           |               |   |            |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC          |               | $ | 2,896,099  |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - Aspect Feeder Fund (532) LLC           |               |   | 1,439,828  |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - Doherty Feeder Fund (528) LLC          |               |   | 2,506,740  |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC  |               |   | 5,809,539  |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - QIM Feeder Fund (526) LLC              |               |   | 4,403,708  |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC     |               |   | 4,137,638  |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - LRR Feeder Fund (522) LLC              |               |   | 258,329    |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC       |               |   | 8,670,031  |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - TT Feeder Fund (531) LLC               |               |   | —          |                    |           
|                                                      |           |            |  | Galaxy Plus Fund - Quest Feeder Fund (517) LLC            |               |   | 379,983    |                    |           
|                                                      |           |            |  | Total Private Investment Companies                        |               | $ | 30,501,895 |                    |           
|                                                      |           |            |  |                                                           |               |   |            |                    |           
|INVESTMENT
    IN UNCONSOLIDATED COMPANIES (3)        |           |            |  |                                                           |               |   |            |                    |           
|                                                      |           |            |  | Frontier Trading Company II, LLC                          |               | $ | 3,046,981  |                    |           
|                                                      |           |            |  | Frontier Trading Company XXXVIII, LLC                     |               |   | 131,195    |                    |           
|                                                      |           |            |  | Frontier Trading Company XXXIX, LLC                       |               |   | —          |                    |           
|                                                      |           |            |  | Total Investment in Unconsolidated Trading Companies      |               | $ | 3,178,176  |                    |           
|                                                      |           |            |  |                                                           |               |   |            |                    |           
|U.S.
    TREASURY SECURITIES (2)                      |           |            |  |                                                           |               |   |            |                    |           
|FACE VALUE                                            |           |            |  |                                                           | Fair
Value    |   |            |                    |           
|$                                                     | 9,000,000 |            |  | US Treasury Note 6.875% due 08/15/2025 (Cost $12,218,715) |               | $ | 663,808    |                    |           
|                                                      |           |            |  |                                                           |               | $ | 663,808    |                    |           
|                                                      |           |            |  |                                                           |               |   |            |                    |           
|Additional
    Disclosure on U.S. Treasury Securities |           | Face
Value |  |                                                           |               |   |            |                    | Face
Value
|                                                      |           |            |  | US Treasury Note 6.875% due 08/15/2025 (2)                |               | $ | 504,145    |                    |           
|                                                      |           |            |  |                                                           |               | $ | 504,145    |                    |           
|                                                      |           |            |  |                                                           |               |   |            |                    |           
|Additional
    Disclosure on U.S. Treasury Securities |           | Cost       |  |                                                           |               |   |            |                    | Cost      
|                                                      |           |            |  | US Treasury Note 6.875% due 08/15/2025 (2)                |               | $ | 670,014    |                    |           
|                                                      |           |            |  |                                                           |               | $ | 670,014    |                    |           



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

| | (1) | See
Note 4 to the Financial Statements.
| | --- | ---------------------------------------

| | (2) | See
Note 2 to the Financial Statements.
| | --- | ---------------------------------------

| | (3) | See
Note 5 to the Financial Statements.
| | --- | ---------------------------------------



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

12


Table of Contents


|The
    Series of Frontier Funds     
|-------------------------------------
|Condensed
    Schedule of Investments
|December
    31, 2017                



|                                                      |           |            |  |                                                           | Frontier    |   |           | Frontier           |           
|----------------------------------------------------- | --------- | ---------- |  | --------------------------------------------------------- | ----------- | - | --------- | ------------------ | ----------
|                                                      |           |            |  |                                                           | Winton Fund |   |           | Heritage Fund      |           
|                                                      |           |            |  |                                                           | Fair        |   |           | % of Total Capital |           
|Description                                           |           |            |  |                                                           | Value       |   |           | (Net Asset Value)  |           
|SWAP
    (1)                                          |           |            |  |                                                           |             |   |           |                   
|                                                      |           |            |  | Frontier Brevan Howard swap (U.S.)                        |             | $ | —         |                    |           
|                                                      |           |            |  | Total Swap                                                |             | $ | —         |                    |           
|                                                      |           |            |  |                                                           |             |   |           |                    |           
|PRIVATE
    INVESTMENT COMPANIES (3)                  |           |            |  |                                                           |             |   |           |                   
|                                                      |           |            |  | Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC       |             | $ | —         |                    |           
|                                                      |           |            |  | Total Private Investment Companies                        |             | $ | —         |                    |           
|                                                      |           |            |  |                                                           |             |   |           |                    |           
|INVESTMENT
    IN UNCONSOLIDATED COMPANIES (3)        |           |            |  |                                                           |             |   |          
|                                                      |           |            |  | Frontier Trading Company II, LLC                          |             | $ | 6,867,383 |                    |           
|                                                      |           |            |  | Frontier Trading Company XXXVIII, LLC                     |             |   | 1,120,192 |                    |           
|                                                      |           |            |  | Total Investment in Unconsolidated Trading Companies      |             | $ | 7,987,575 |                    |           
|                                                      |           |            |  |                                                           |             |   |           |                    |           
|U.S.
    TREASURY SECURITIES (2)                      |           |            |  |                                                           |             |   |           |                    |           
|FACE VALUE                                            |           |            |  |                                                           | Fair Value  |   |           |                    |           
|$                                                     | 9,000,000 |            |  | US Treasury Note 6.875% due 08/15/2025 (Cost $12,218,715) |             | $ | 5,667,825 |                    |           
|                                                      |           |            |  |                                                           |             | $ | 5,667,825 |                    |           
|                                                      |           |            |  |                                                           |             |   |           |                    |           
|Additional
    Disclosure on U.S. Treasury Securities |           | Face Value |  |                                                           |             |   |           |                    | Face Value
|                                                      |           |            |  | US Treasury Note 6.875% due 08/15/2025 (2)                |             | $ | 4,304,570 |                    |           
|                                                      |           |            |  |                                                           |             | $ | 4,304,570 |                    |           
|                                                      |           |            |  |                                                           |             |   |           |                    |           
|Additional
    Disclosure on U.S. Treasury Securities |           | Cost       |  |                                                           |             |   |           |                    | Cost      
|                                                      |           |            |  | US Treasury Note 6.875% due 08/15/2025 (2)                |             | $ | 5,720,817 |                    |           
|                                                      |           |            |  |                                                           |             | $ | 5,720,817 |                    |           



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

| | (1) | See
Note 4 to the Financial Statements.
| | --- | ---------------------------------------

| | (2) | See
Note 2 to the Financial Statements.
| | --- | ---------------------------------------

| | (3) | See
Note 5 to the Financial Statements.
| | --- | ---------------------------------------



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

13


Table of Contents


|The
    Series of Frontier Funds                     
|-----------------------------------------------------
|Statements
    of Operations                         
|For
    the Three Months Ended June 30, 2018 and 2017
|(Unaudited)                                          



|                                                                                                                 |  | Frontier
    Diversified Fund |          |   | Frontier
    Masters Fund |   |            | Frontier
    Long/Short
Commodity Fund | 
|---------------------------------------------------------------------------------------------------------------- |  | ----------------------------- | -------- | - | ------------------------- | - | ---------- | -------------------------------------- | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|                                                                                                                 |  | 6/30/2018                     |          |   | 6/30/2017                 |   |            | 6/30/2018                              | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|Investment income:                                                                                               |  |                               |          |   |                           |   |            |                                        | 
|Interest -
    net                                                                                               |  | $                             | 10,421   |   |                           | $ | 24,134     |                                        | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|Total Income                                                                                                     |  |                               | 10,421   |   |                           |   | 24,134     |                                        | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|Expenses:                                                                                                        |  |                               |          |   |                           |   |            |                                        | 
|Incentive Fees (rebate)                                                                                          |  |                               | —        |   |                           |   | —          |                                        | 
|Management Fees                                                                                                  |  |                               | 13,229   |   |                           |   | 27,784     |                                        | 
|Service Fees - Class 1                                                                                           |  |                               | 14,689   |   |                           |   | 41,352     |                                        | 
|Trading Fees                                                                                                     |  |                               | 143,613  |   |                           |   | 466,107    |                                        | 
|Other Fees                                                                                                       |  |                               | —        |   |                           |   | 1,767      |                                        | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|Total Expenses                                                                                                   |  |                               | 171,531  |   |                           |   | 537,010    |                                        | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|Investment (loss) - net                                                                                          |  |                               | (161,110 | ) |                           |   | (512,876   | )                                      | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|Realized and unrealized
    gain/(loss) on investments:                                                          |  |                               |          |   |                           |   |            |                                        | 
|Net realized gain/(loss) on futures, forwards
    and options                                                    |  |                               | —        |   |                           |   | —          |                                        | 
|Net unrealized gain/(loss) on private investment
    companies                                                   |  |                               | 420,646  |   |                           |   | (1,426,002 | )                                      | 
|Net realized gain/(loss) on private investment
    companies                                                     |  |                               | (87,670  | ) |                           |   | 612,995    |                                        | 
|Net change in open trade equity/(deficit)                                                                        |  |                               | —        |   |                           |   | —          |                                        | 
|Net unrealized gain/(loss) on swap contracts                                                                     |  |                               | 61,335   |   |                           |   | 300,207    |                                        | 
|Net realized gain/(loss) on U.S. Treasury securities                                                             |  |                               | (12,780  | ) |                           |   | (179,129   | )                                      | 
|Net unrealized gain/(loss) on U.S. Treasury
    securities                                                       |  |                               | 2,073    |   |                           |   | 361,275    |                                        | 
|Trading commissions                                                                                              |  |                               | —        |   |                           |   | —          |                                        | 
|Change in fair value of
    investments in unconsolidated trading companies                                      |  |                               | 154,045  |   |                           |   | (333,713   | )                                      | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|Net gain/(loss) on investments                                                                                   |  |                               | 537,649  |   |                           |   | (664,367   | )                                      | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|NET
    INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS                                                |  |                               | 376,539  |   |                           |   | (1,177,243 | )                                      | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|Less:
    Operations attributable to non-controlling interests                                                   |  |                               | —        |   |                           |   |            |                                        | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|NET
    INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                             | 376,539  |   |                           | $ | (1,177,243 | )                                      | 
|                                                                                                                 |  |                               |          |   |                           |   |            |                                        | 
|NET INCREASE/(DECREASE)
    IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT |  |                               |          |   |                           |   |            |                                        | 
|Class 1                                                                                                          |  | $                             | 1.77     |   |                           | $ | (7.58      | )                                      | 
|Class 1a                                                                                                         |  |                               | N/A      |   |                           |   | N/A        |                                        | 
|Class 2                                                                                                          |  | $                             | 2.61     |   |                           | $ | (8.12      | )                                      | 
|Class 2a                                                                                                         |  |                               | N/A      |   |                           |   | N/A        |                                        | 
|Class 3                                                                                                          |  | $                             | 2.50     |   |                           | $ | (7.46      | )                                      | 
|Class 3a                                                                                                         |  |                               | N/A      |   |                           |   | N/A        |                                        | 



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

14


Table of Contents


|The
    Series of the Frontier Funds                 
|-----------------------------------------------------
|Statements
    of Operations                         
|For
    the Three Months Ended June 30, 2018 and 2017
|(Unaudited)                                          



|                                                                                                                 |  | Frontier
    Balanced Fund |          |   | Frontier
    Select Fund |  
|---------------------------------------------------------------------------------------------------------------- |  | -------------------------- | -------- | - | ------------------------ | -
|                                                                                                                 |  |                            |          |   |                          |  
|                                                                                                                 |  | 6/30/2018                  |          |   | 6/30/2017                |  
|                                                                                                                 |  |                            |          |   |                          |  
|Investment
    income:                                                                                           |  |                            |          |   |                          |  
|Interest
    - net                                                                                               |  | $                          | 8,428    |   |                          | $
|                                                                                                                 |  |                            |          |   |                          |  
|Total
    Income/(loss)                                                                                          |  |                            | 8,428    |   |                          |  
|                                                                                                                 |  |                            |          |   |                          |  
|Expenses:                                                                                                        |  |                            |          |   |                          |  
|Management Fees                                                                                                  |  |                            | 22,566   |   |                          |  
|Risk analysis Fees                                                                                               |  |                            | 1,692    |   |                          |  
|Service Fees - Class
    1                                                                                       |  |                            | 237,810  |   |                          |  
|Trading Fees                                                                                                     |  |                            | 344,769  |   |                          |  
|Other
    Fees                                                                                                   |  |                            | —        |   |                          |  
|                                                                                                                 |  |                            |          |   |                          |  
|Total
    Expenses                                                                                               |  |                            | 606,837  |   |                          |  
|                                                                                                                 |  |                            |          |   |                          |  
|Investment
    (loss) - net                                                                                      |  |                            | (598,409 | ) |                          |  
|                                                                                                                 |  |                            |          |   |                          |  
|Realized
    and unrealized gain/(loss) on investments:                                                          |  |                            |          |   |                          |  
|Net realized gain/(loss)
    on futures, forwards and options                                                    |  |                            | (257,661 | ) |                          |  
|Net unrealized gain/(loss)
    on private investment companies                                                   |  |                            | 858,677  |   |                          |  
|Net realized gain/(loss)
    on private investment companies                                                     |  |                            | (60,632  | ) |                          |  
|Net change in open
    trade equity/(deficit)                                                                    |  |                            | (187,927 | ) |                          |  
|Net unrealized gain/(loss)
    on swap contracts                                                                 |  |                            | 129,808  |   |                          |  
|Net realized gain/(loss)
    on U.S. Treasury securities                                                         |  |                            | (21,050  | ) |                          |  
|Net unrealized gain/(loss)
    on U.S. Treasury securities                                                       |  |                            | 3,423    |   |                          |  
|Trading commissions                                                                                              |  |                            | (21,312  | ) |                          |  
|Change
    in fair value of investments in unconsolidated trading companies                                      |  |                            | 296,049  |   |                          |  
|                                                                                                                 |  |                            |          |   |                          |  
|Net
    gain/(loss) on investments                                                                               |  |                            | 739,375  |   |                          |  
|                                                                                                                 |  |                            |          |   |                          |  
|NET
    INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS                                                |  |                            | 140,966  |   |                          |  
|                                                                                                                 |  |                            |          |   |                          |  
|Less:
    Operations attributable to non-controlling interests                                                   |  |                            | —        |   |                          |  
|                                                                                                                 |  |                            |          |   |                          |  
|NET
    INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                          | 140,966  |   |                          | $
|                                                                                                                 |  |                            |          |   |                          |  
|NET
    INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT |  |                            |          |   |                          |  
|Class 1                                                                                                          |  | $                          | 0.28     |   |                          | $
|Class 1AP                                                                                                        |  | $                          | 1.36     |   |                          | $
|Class 2                                                                                                          |  | $                          | 1.83     |   |                          | $
|Class 2a                                                                                                         |  | $                          | 1.65     |   |                          | $
|Class 3a                                                                                                         |  | $                          | 1.65     |   |                          | $



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

15


Table of Contents


|The
    Series of the Frontier Funds                 
|-----------------------------------------------------
|Statements
    of Operations                         
|For
    the Three Months Ended June 30, 2018 and 2017
|(Unaudited)                                          



|                                                                                                                 |  | Frontier
    Winton Fund |          |   | Frontier
    Heritage Fund |  
|---------------------------------------------------------------------------------------------------------------- |  | ------------------------ | -------- | - | -------------------------- | -
|                                                                                                                 |  |                          |          |   |                            |  
|                                                                                                                 |  | 6/30/2018                |          |   | 6/30/2017                  |  
|                                                                                                                 |  |                          |          |   |                            |  
|Investment
    income:                                                                                           |  |                          |          |   |                            |  
|Interest
    - net                                                                                               |  | $                        | —        |   |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|Total
    Income                                                                                                 |  |                          | —        |   |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|Expenses:                                                                                                        |  |                          |          |   |                            |  
|Management
    Fees                                                                                              |  |                          | 131,682  |   |                            |  
|Risk analysis Fees                                                                                               |  |                          | —        |   |                            |  
|Service Fees - Class
    1                                                                                       |  |                          | 80,907   |   |                            |  
|Trading Fees                                                                                                     |  |                          | 80,703   |   |                            |  
|Other                                                                                                            |  |                          | —        |   |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|Total
    Expenses                                                                                               |  |                          | 293,292  |   |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|Investment
    (loss) - net                                                                                      |  |                          | (293,292 | ) |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|Realized
    and unrealized gain/(loss) on investments:                                                          |  |                          |          |   |                            |  
|Net realized gain/(loss)
    on futures, forwards and options                                                    |  |                          | —        |   |                            |  
|Net unrealized gain/(loss)
    on private investment companies                                                   |  |                          | —        |   |                            |  
|Net realized gain/(loss)
    on private investment companies                                                     |  |                          | —        |   |                            |  
|Net change in open
    trade equity/(deficit)                                                                    |  |                          | —        |   |                            |  
|Net unrealized gain/(loss)
    on swap contracts                                                                 |  |                          | —        |   |                            |  
|Net realized gain/(loss)
    on U.S. Treasury securities                                                         |  |                          | (50,169  | ) |                            |  
|Net unrealized gain/(loss)
    on U.S. Treasury securities                                                       |  |                          | 25,139   |   |                            |  
|Trading commissions                                                                                              |  |                          | —        |   |                            |  
|Change
    in fair value of investments in unconsolidated trading companies                                      |  |                          | 646,257  |   |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|Net
    gain/(loss) on investments                                                                               |  |                          | 621,227  |   |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|NET
    INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS                                                |  |                          | 327,935  |   |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|Less:
    Operations attributable to non-controlling interests                                                   |  |                          | —        |   |                            |  
|                                                                                                                 |  |                          |          |   |                            |  
|NET
    INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                        | 327,935  |   |                            | $
|                                                                                                                 |  |                          |          |   |                            |  
|NET
    INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT |  |                          |          |   |                            |  
|Class 1                                                                                                          |  | $                        | 4.06     |   |                            | $
|Class 1AP                                                                                                        |  | $                        | 5.58     |   |                            | $
|Class 2                                                                                                          |  | $                        | 6.62     |   |                            | $



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

16


Table of Contents


|The
    Series of Frontier Funds                   
|---------------------------------------------------
|Statements
    of Operations                       
|For
    the Six Months Ended June 30, 2018 and 2017
|(Unaudited)                                        



|                                                                                                                 |  | Frontier
    Diversified Fund |            |   | Frontier
    Masters Fund |   |           | Frontier
    Long/Short Commodity Fund | 
|---------------------------------------------------------------------------------------------------------------- |  | ----------------------------- | ---------- | - | ------------------------- | - | --------- | -------------------------------------- | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|                                                                                                                 |  | 6/30/2018                     |            |   | 6/30/2017                 |   |           | 6/30/2018                              | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|Investment income:                                                                                               |  |                               |            |   |                           |   |           |                                        | 
|Interest -
    net                                                                                               |  | $                             | 18,038     |   |                           | $ | 97,397    |                                        | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|Total Income                                                                                                     |  |                               | 18,038     |   |                           |   | 97,397    |                                        | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|Expenses:                                                                                                        |  |                               |            |   |                           |   |           |                                        | 
|Incentive Fees (rebate)                                                                                          |  |                               | 1,881      |   |                           |   | (63,508   | )                                      | 
|Management Fees                                                                                                  |  |                               | 24,792     |   |                           |   | 55,742    |                                        | 
|Service Fees - Class 1                                                                                           |  |                               | 30,804     |   |                           |   | 86,185    |                                        | 
|Trading Fees                                                                                                     |  |                               | 308,763    |   |                           |   | 932,781   |                                        | 
|Other Fees                                                                                                       |  |                               | —          |   |                           |   | 1,766     |                                        | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|Total Expenses                                                                                                   |  |                               | 366,240    |   |                           |   | 1,012,966 |                                        | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|Investment (loss) - net                                                                                          |  |                               | (348,202   | ) |                           |   | (915,569  | )                                      | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|Realized and unrealized
    gain/(loss) on investments:                                                          |  |                               |            |   |                           |   |           |                                        | 
|Net unrealized gain/(loss) on private investment
    companies                                                   |  |                               | (1,526,351 | ) |                           |   | 374,758   |                                        | 
|Net realized gain/(loss) on private investment
    companies                                                     |  |                               | 71,595     |   |                           |   | 1,092,088 |                                        | 
|Net unrealized gain/(loss) on swap contracts                                                                     |  |                               | 513,328    |   |                           |   | 2,355     |                                        | 
|Net realized gain/(loss) on U.S. Treasury securities                                                             |  |                               | (36,355    | ) |                           |   | (354,609  | )                                      | 
|Net unrealized gain/(loss) on U.S. Treasury
    securities                                                       |  |                               | (3,864     | ) |                           |   | 572,567   |                                        | 
|Change in fair value of
    investments in unconsolidated trading companies                                      |  |                               | 4,402      |   |                           |   | (344,004  | )                                      | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|Net gain/(loss) on investments                                                                                   |  |                               | (977,245   | ) |                           |   | 1,343,155 |                                        | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|NET
    INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS                                                |  |                               | (1,325,447 | ) |                           |   | 427,586   |                                        | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|Less:
    Operations attributable to non-controlling interests                                                   |  |                               | —          |   |                           |   |           |                                        | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|NET
    INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                             | (1,325,447 | ) |                           | $ | 427,586   |                                        | 
|                                                                                                                 |  |                               |            |   |                           |   |           |                                        | 
|NET INCREASE/(DECREASE)
    IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT |  |                               |            |   |                           |   |           |                                        | 
|Class 1                                                                                                          |  | $                             | (8.11      | ) |                           | $ | (4.70     | )                                      | 
|Class 1a                                                                                                         |  |                               | N/A        |   |                           |   | N/A       |                                        | 
|Class 2                                                                                                          |  | $                             | (8.32      | ) |                           | $ | (4.32     | )                                      | 
|Class 2a                                                                                                         |  |                               | N/A        |   |                           |   | N/A       |                                        | 
|Class 3                                                                                                          |  | $                             | (7.59      | ) |                           | $ | (3.85     | )                                      | 
|Class 3a                                                                                                         |  |                               | N/A        |   |                           |   | N/A       |                                        | 



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

17


Table of Contents


|The
    Series of the Frontier Funds               
|---------------------------------------------------
|Statements
    of Operations                       
|For
    the Six Months Ended June 30, 2018 and 2017
|(Unaudited)                                        



|                                                                                                             |  | Frontier Balanced Fund |            |   | Frontier Select Fund |  
|------------------------------------------------------------------------------------------------------------ |  | ---------------------- | ---------- | - | -------------------- | -
|                                                                                                             |  |                        |            |   |                      |  
|                                                                                                             |  | 6/30/2018              |            |   | 6/30/2017            |  
|                                                                                                             |  |                        |            |   |                      |  
|Investment income:                                                                                           |  |                        |            |   |                      |  
|Interest - net                                                                                               |  | $                      | 24,944     |   |                      | $
|                                                                                                             |  |                        |            |   |                      |  
|Total Income/(loss)                                                                                          |  |                        | 24,944     |   |                      |  
|                                                                                                             |  |                        |            |   |                      |  
|Expenses:                                                                                                    |  |                        |            |   |                      |  
|Incentive Fees (rebate)                                                                                      |  |                        | 145,134    |   |                      |  
|Management Fees                                                                                              |  |                        | 42,902     |   |                      |  
|Risk analysis Fees                                                                                           |  |                        | 3,529      |   |                      |  
|Service Fees - Class 1                                                                                       |  |                        | 500,791    |   |                      |  
|Trading Fees                                                                                                 |  |                        | 728,945    |   |                      |  
|Other Fees                                                                                                   |  |                        | —          |   |                      |  
|                                                                                                             |  |                        |            |   |                      |  
|Total Expenses                                                                                               |  |                        | 1,421,301  |   |                      |  
|                                                                                                             |  |                        |            |   |                      |  
|Investment (loss) - net                                                                                      |  |                        | (1,396,357 | ) |                      |  
|                                                                                                             |  |                        |            |   |                      |  
|Realized and unrealized gain/(loss) on investments:                                                          |  |                        |            |   |                      |  
|Net realized gain/(loss) on futures, forwards and options                                                    |  |                        | (283,336   | ) |                      |  
|Net unrealized gain/(loss) on private investment companies                                                   |  |                        | (3,149,240 | ) |                      |  
|Net realized gain/(loss) on private investment companies                                                     |  |                        | 236,606    |   |                      |  
|Net change in open trade equity/(deficit)                                                                    |  |                        | (77,662    | ) |                      |  
|Net unrealized gain/(loss) on swap contracts                                                                 |  |                        | 1,129,650  |   |                      |  
|Net realized gain/(loss) on U.S. Treasury securities                                                         |  |                        | (44,907    | ) |                      |  
|Net unrealized gain/(loss) on U.S. Treasury securities                                                       |  |                        | (6,540     | ) |                      |  
|Trading commissions                                                                                          |  |                        | (28,937    | ) |                      |  
|Change in fair value of investments in unconsolidated trading companies                                      |  |                        | 56,484     |   |                      |  
|                                                                                                             |  |                        |            |   |                      |  
|Net gain/(loss) on investments                                                                               |  |                        | (2,167,882 | ) |                      |  
|                                                                                                             |  |                        |            |   |                      |  
|NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS                                                |  |                        | (3,564,239 | ) |                      |  
|                                                                                                             |  |                        |            |   |                      |  
|Less: Operations attributable to non-controlling interests                                                   |  |                        | —          |   |                      |  
|                                                                                                             |  |                        |            |   |                      |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                      | (3,564,239 | ) |                      | $
|                                                                                                             |  |                        |            |   |                      |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT |  |                        |            |   |                      |  
|Class 1                                                                                                      |  | $                      | (10.75     | ) |                      | $
|Class 1AP                                                                                                    |  | $                      | (9.88      | ) |                      | $
|Class 2                                                                                                      |  | $                      | (13.18     | ) |                      | $
|Class 2a                                                                                                     |  | $                      | (11.44     | ) |                      | $
|Class 3a                                                                                                     |  | $                      | (11.42     | ) |                      | $



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

18


Table of Contents


|The
    Series of the Frontier Funds               
|---------------------------------------------------
|Statements
    of Operations                       
|For
    the Six Months Ended June 30, 2018 and 2017
|(Unaudited)                                        



|                                                                                                             |  | Frontier Winton Fund |            |   | Frontier Heritage Fund |  
|------------------------------------------------------------------------------------------------------------ |  | -------------------- | ---------- | - | ---------------------- | -
|                                                                                                             |  |                      |            |   |                        |  
|                                                                                                             |  | 6/30/2018            |            |   | 6/30/2017              |  
|                                                                                                             |  |                      |            |   |                        |  
|Investment income:                                                                                           |  |                      |            |   |                        |  
|Interest - net                                                                                               |  | $                    | —          |   |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|Total Income                                                                                                 |  |                      | —          |   |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|Expenses:                                                                                                    |  |                      |            |   |                        |  
|Incentive Fees (rebate)                                                                                      |  |                      | —          |   |                        |  
|Management Fees                                                                                              |  |                      | 262,342    |   |                        |  
|Risk analysis Fees                                                                                           |  |                      | —          |   |                        |  
|Service Fees - Class 1                                                                                       |  |                      | 175,167    |   |                        |  
|Trading Fees                                                                                                 |  |                      | 163,278    |   |                        |  
|Other                                                                                                        |  |                      | —          |   |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|Total Expenses                                                                                               |  |                      | 600,787    |   |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|Investment (loss) - net                                                                                      |  |                      | (600,787   | ) |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|Realized and unrealized gain/(loss) on investments:                                                          |  |                      |            |   |                        |  
|Net realized gain/(loss) on futures, forwards and options                                                    |  |                      | —          |   |                        |  
|Net unrealized gain/(loss) on private investment companies                                                   |  |                      | —          |   |                        |  
|Net realized gain/(loss) on private investment companies                                                     |  |                      | —          |   |                        |  
|Net change in open trade equity/(deficit)                                                                    |  |                      | —          |   |                        |  
|Net unrealized gain/(loss) on swap contracts                                                                 |  |                      | —          |   |                        |  
|Net realized gain/(loss) on U.S. Treasury securities                                                         |  |                      | (205,194   | ) |                        |  
|Net unrealized gain/(loss) on U.S. Treasury securities                                                       |  |                      | 52,629     |   |                        |  
|Trading commissions                                                                                          |  |                      | —          |   |                        |  
|Change in fair value of investments in unconsolidated trading companies                                      |  |                      | (252,761   | ) |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|Net gain/(loss) on investments                                                                               |  |                      | (405,326   | ) |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|NET INCREASE/(DECREASE) IN CAPITAL  RESULTING FROM OPERATIONS                                                |  |                      | (1,006,113 | ) |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|Less: Operations attributable to non-controlling interests                                                   |  |                      | —          |   |                        |  
|                                                                                                             |  |                      |            |   |                        |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM  OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                    | (1,006,113 | ) |                        | $
|                                                                                                             |  |                      |            |   |                        |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS  ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT |  |                      |            |   |                        |  
|Class 1                                                                                                      |  | $                    | (10.42     | ) |                        | $
|Class 1AP                                                                                                    |  | $                    | (9.25      | ) |                        | $
|Class 2                                                                                                      |  | $                    | (13.03     | ) |                        | $



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

19


Table of Contents


|The
    Series of Frontier Funds                      
|------------------------------------------------------
|Statements
    of Changes in Owners Capital          
|For
    the Six Months Ended June 30, 2018 (unaudited)



|                                                                          |  | Frontier Diversified Fund |   |  | Frontier Masters
    Fund |  
|------------------------------------------------------------------------- |  | ------------------------- | - |  | ------------------------- | -
|                                                                          |  | Class 1                   |   |  | Class 1                   |  
|                                                                          |  | Managing
Owner            |   |  | Limited
Owners            |  
|Owners Capital, December 31, 2017                                        |  |                           | — |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|Sale of Units                                                             |  |                           | — |  |                           |  
|Redemption of Units                                                       |  |                           | — |  |                           |  
|Transfer of Units In(Out)                                                 |  |                           | — |  |                           |  
|Capital resulting from operations attributable to controlling interests   |  |                           | — |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|Owners Capital, June 30, 2018                                            |  | $                         | — |  |                           | $
|                                                                          |  |                           |   |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|Owners Capital - Units, December 31, 2017                                |  |                           | — |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|Sale of Units (including transfers)                                       |  |                           | — |  |                           |  
|Redemption of Units (including transfers)                                 |  |                           | — |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|Owners Capital - Units, June 30, 2018                                    |  |                           | — |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|Net asset value per unit at December 31, 2017                             |  |                           |   |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|Change in net asset value per unit for the Six months ended June 30, 2018 |  |                           |   |  |                           |  
|                                                                          |  |                           |   |  |                           |  
|Net asset value per unit at June 30, 2018                                 |  |                           |   |  |                           | $



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



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

20


Table of Contents


|The
    Series of Frontier Funds                      
|------------------------------------------------------
|Statements
    of Changes in Owners Capital          
|For
    the Six Months Ended June 30, 2018 (unaudited)



|                                                                          |  | Frontier Long/Short Commodity Fund |        |   |                |  
|------------------------------------------------------------------------- |  | ---------------------------------- | ------ | - | -------------- | -
|                                                                          |  |                                    |        |   |                |  
|                                                                          |  | Class 2                            |        |   | Class 3        |  
|                                                                          |  | Managing Owner                     |        |   | Limited Owners |  
|                                                                          |  |                                    |        |   |                |  
|Owners Capital, December 31, 2017                                        |  |                                    | 11,999 |   |                |  
|                                                                          |  |                                    |        |   |                |  
|Sale of Units                                                             |  |                                    | —      |   |                |  
|Redemption of Units                                                       |  |                                    | (4,500 | ) |                |  
|Transfer of Units In(Out)                                                 |  |                                    | —      |   |                |  
|Capital resulting from operations attributable to controlling interests   |  |                                    | (1,034 | ) |                |  
|                                                                          |  |                                    |        |   |                |  
|Owners Capital, June 30, 2018                                            |  | $                                  | 6,465  |   |                | $
|                                                                          |  |                                    |        |   |                |  
|Owners Capital - Units, December 31, 2017                                |  |                                    | 104    |   |                |  
|                                                                          |  |                                    |        |   |                |  
|Sale of Units (including transfers)                                       |  |                                    | —      |   |                |  
|Redemption of Units (including transfers)                                 |  |                                    | (43    | ) |                |  
|                                                                          |  |                                    |        |   |                |  
|Owners Capital - Units, June 30, 2018                                    |  |                                    | 61     |   |                |  
|                                                                          |  |                                    |        |   |                |  
|                                                                          |  |                                    |        |   |                |  
|Net asset value per unit at December 31, 2017                             |  |                                    |        |   |                |  
|                                                                          |  |                                    |        |   |                |  
|Change in net asset value per unit for the Six months ended June 30, 2018 |  |                                    |        |   |                |  
|                                                                          |  |                                    |        |   |                |  
|Net asset value per unit at June 30, 2018                                 |  |                                    |        |   |                | $



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



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

21


Table of Contents


|The
    Series of Frontier Funds                      
|------------------------------------------------------
|Statements
    of Changes in Owners Capital          
|For
    the Six Months Ended June 30, 2018 (unaudited)



|                                                                                                               |  | Frontier Balanced Fund |           
|-------------------------------------------------------------------------------------------------------------- |  | ---------------------- | ----------
|                                                                                                               |  | Class 1                |           
|                                                                                                               |  |                        |           
|                                                                                                               |  | Limited Owners         |           
|                                                                                                               |  |                        |           
|Owners Capital, December 31, 2017                                                                             |  |                        | 38,744,003
|                                                                                                               |  |                        |           
|Sale of Units (including transfers)                                                                            |  |                        | —         
|Redemption of Units (including transfers)                                                                      |  |                        | (4,685,378
|Net increase/(decrease) in Owners Capital resulting from operations attributable to controlling
    interests |  |                        | (2,915,228
|                                                                                                               |  |                        |           
|Owners Capital, June 30, 2018                                                                                 |  | $                      | 31,143,397
|                                                                                                               |  |                        |           
|Owners Capital - Units, December 31, 2017                                                                     |  |                        | 284,956   
|                                                                                                               |  |                        |           
|Sale of Units (including transfers)                                                                            |  |                        | —         
|Redemption of Units (including transfers)                                                                      |  |                        | (36,236   
|                                                                                                               |  |                        |           
|Owners Capital - Units, June 30, 2018                                                                         |  |                        | 248,720   
|                                                                                                               |  |                        |           
|                                                                                                               |  |                        |           
|Net asset value per unit at December 31, 2017                                                                  |  |                        | 135.96    
|                                                                                                               |  |                        |           
|Change in net asset value per unit for the Six months ended June 30, 2018                                      |  |                        | (10.75    
|                                                                                                               |  |                        |           
|Net asset value per unit at June 30, 2018                                                                      |  | $                      | 125.21    



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



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

22


Table of Contents


|The
    Series of Frontier Funds                      
|------------------------------------------------------
|Statements
    of Changes in Owners Capital          
|For
    the Six Months Ended June 30, 2018 (unaudited)



|                                                                          |  | Frontier Select Fund |           |   | Frontier Winton Fund |   |        | Frontier Heritage Fund | 
|------------------------------------------------------------------------- |  | -------------------- | --------- | - | -------------------- | - | ------ | ---------------------- | 
|                                                                          |  | Class 1              |           |   | Class 1AP            |   |        | Class 2                | 
|                                                                          |  | Limited Owners       |           |   | Limited Owners       |   |        | Managing Owner         | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Owners Capital, December 31, 2017                                        |  |                      | 5,912,980 |   |                      |   | 23,354 |                        | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Sale of Units                                                             |  |                      | —         |   |                      |   | —      |                        | 
|Redemption of Units                                                       |  |                      | (651,487  | ) |                      |   | (3,144 | )                      | 
|Operations attributable to non-controlling interests                      |  |                      | —         |   |                      |   | —      |                        | 
|Transfer of Units In(Out)                                                 |  |                      | (1,232    | ) |                      |   | 1,232  |                        | 
|Net increase/(decrease) in Owners                                        |  |                      |           |   |                      |   |        |                        | 
|Capital resulting from operations attributable to controlling interests   |  |                      | (955,247  | ) |                      |   | (3,828 | )                      | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Owners Capital, June 30, 2018                                            |  | $                    | 4,305,014 |   |                      | $ | 17,614 |                        | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Owners Capital - Units, December 31, 2017                                |  |                      | 65,502    |   |                      |   | 234    |                        | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Sale of Units (including transfers)                                       |  |                      | —         |   |                      |   | —      |                        | 
|Redemption of Units (including transfers)                                 |  |                      | (7,909    | ) |                      |   | (24    | )                      | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Owners Capital - Units, June 30, 2018                                    |  |                      | 57,593    |   |                      |   | 210    |                        | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Net asset value per unit at December 31, 2017                             |  |                      | 90.27     |   |                      |   | 100.02 |                        | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Change in net asset value per unit for the Six months ended June 30, 2018 |  |                      | (15.52    | ) |                      |   | (15.96 | )                      | 
|                                                                          |  |                      |           |   |                      |   |        |                        | 
|Net asset value per unit at June 30, 2018                                 |  | $                    | 74.75     |   |                      | $ | 84.07  |                        | 



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



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

23


Table of Contents


|The
    Series of Frontier Funds                   
|---------------------------------------------------
|Statements
    of Cash Flows                       
|For
    the Six Months Ended June 30, 2018 and 2017
|(Unaudited)                                        



|                                                                                                                                                   |  | Frontier
    Diversified Fund |            |   | Frontier
    Masters Fund |   |             | Frontier
    Long/Short
Commodity Fund | 
|-------------------------------------------------------------------------------------------------------------------------------------------------- |  | ----------------------------- | ---------- | - | ------------------------- | - | ----------- | -------------------------------------- | 
|                                                                                                                                                   |  |                               |            |   |                           |   |             |                                        | 
|                                                                                                                                                   |  | 6/30/2018                     |            |   | 6/30/2017                 |   |             | 6/30/2018                              | 
|                                                                                                                                                   |  |                               |            |   |                           |   |             |                                        | 
|Cash Flows from Operating
    Activities:                                                                                                          |  |                               |            |   |                           |   |             |                                        | 
|Net increase/(decrease)
    in capital resulting from operations                                                                                   |  | $                             | (1,325,447 | ) |                           | $ | 427,586     |                                        | 
|Adjustments to reconcile
    net increase/(decrease) in capital  resulting from operations to net cash provided by (used in) operating activities: |  |                               |            |   |                           |   |             |                                        | 
|Change
    in:                                                                                                                                     |  |                               |            |   |                           |   |             |                                        | 
|Net change in ownership
    allocation of U.S. Treasury securities                                                                                 |  |                               | (425,459   | ) |                           |   | (82,653     | )                                      | 
|Net unrealized (gain)/loss
    on swap contracts                                                                                                   |  |                               | (513,328   | ) |                           |   | (2,355      | )                                      | 
|Net unrealized (gain)/loss
    on U.S. Treasury securities                                                                                         |  |                               | 3,864      |   |                           |   | (572,567    | )                                      | 
|Net realized (gain)/loss
    on U.S. Treasury securities                                                                                           |  |                               | 36,355     |   |                           |   | 354,609     |                                        | 
|Net unrealized (gain)/loss
    on private investment companies                                                                                     |  |                               | 1,526,351  |   |                           |   | (374,758    | )                                      | 
|Net realized (gain)/loss
    on private investment companies                                                                                       |  |                               | (71,595    | ) |                           |   | (1,092,088  | )                                      | 
|(Purchases) sales
    of:                                                                                                                          |  |                               |            |   |                           |   |             |                                        | 
|Sales of U.S. Treasury
    securities                                                                                                              |  |                               | 1,223,057  |   |                           |   | 2,785,190   |                                        | 
|Purchase of U.S. Treasury
    securities                                                                                                           |  |                               | (1,841,423 | ) |                           |   | —           |                                        | 
|U.S. Treasury interest
    and premium paid/amortized                                                                                              |  |                               | 18,064     |   |                           |   | 25,473      |                                        | 
|Purchase of Private
    Investment Companies                                                                                                       |  |                               | (2,709,650 | ) |                           |   | (13,484,808 | )                                      | 
|Reduction of collateral
    in Swap contracts                                                                                                      |  |                               | 1,100,000  |   |                           |   | —           |                                        | 
|Sale of Private Investment
    Companies                                                                                                           |  |                               | 3,903,152  |   |                           |   | 33,924,196  |                                        | 
|Increase
    and/or decrease in:                                                                                                                   |  |                               |            |   |                           |   |             |                                        | 
|Investments in unconsolidated
    trading companies, at fair value                                                                                 |  |                               | 967,760    |   |                           |   | —           |                                        | 
|Prepaid service fees
    - Class 1                                                                                                                 |  |                               | —          |   |                           |   | 1,675,311   |                                        | 
|Interest receivable                                                                                                                                |  |                               | (20,732    | ) |                           |   | —           |                                        | 
|Receivable from related
    parties                                                                                                                |  |                               | —          |   |                           |   | (143,285    | )                                      | 
|Other assets                                                                                                                                       |  |                               | —          |   |                           |   | 231,671     |                                        | 
|Due to broker                                                                                                                                      |  |                               | —          |   |                           |   | (158,282    | )                                      | 
|Incentive fees payable
    to Managing Owner                                                                                                       |  |                               | (12,847    | ) |                           |   | —           |                                        | 
|Management fees payable
    to Managing Owner                                                                                                      |  |                               | 99         |   |                           |   | —           |                                        | 
|Interest payable to
    Managing Owner                                                                                                             |  |                               | —          |   |                           |   | (23,496     | )                                      | 
|Trading fees payable
    to Managing Owner                                                                                                         |  |                               | (14,577    | ) |                           |   | —           |                                        | 
|Service fees payable
    to Managing Owner                                                                                                         |  |                               | (807       | ) |                           |   | (2,163      | )                                      | 
|Payables to related
    parties                                                                                                                    |  |                               | —          |   |                           |   | 46,659      |                                        | 
|Interest payable                                                                                                                                   |  |                               | —          |   |                           |   | 12,252      |                                        | 
|Other
    liabilities                                                                                                                              |  |                               | (24,866    | ) |                           |   | (19,675     | )                                      | 
|                                                                                                                                                   |  |                               |            |   |                           |   |             |                                        | 
|Net
    cash provided by (used in) operating activities                                                                                            |  |                               | 1,817,971  |   |                           |   | 23,526,817  |                                        | 
|                                                                                                                                                   |  |                               |            |   |                           |   |             |                                        | 
|Cash Flows from Financing
    Activities:                                                                                                          |  |                               |            |   |                           |   |             |                                        | 
|Proceeds from sale
    of units                                                                                                                    |  |                               | —          |   |                           |   | 1,768,235   |                                        | 
|Payment for redemption
    of units                                                                                                                |  |                               | (1,832,218 | ) |                           |   | (31,972,635 | )                                      | 
|Change
    in owner redemptions payable                                                                                                            |  |                               | —          |   |                           |   | 18,863,693  |                                        | 
|                                                                                                                                                   |  |                               |            |   |                           |   |             |                                        | 
|Net
    cash provided by (used in) financing activities                                                                                            |  |                               | (1,832,218 | ) |                           |   | (11,340,707 | )                                      | 
|                                                                                                                                                   |  |                               |            |   |                           |   |             |                                        | 
|Net increase (decrease)
    in cash and cash equivalents                                                                                           |  |                               | (14,247    | ) |                           |   | 12,186,110  |                                        | 
|                                                                                                                                                   |  |                               |            |   |                           |   |             |                                        | 
|Cash
    and cash equivalents, beginning of period                                                                                                 |  |                               | 189,890    |   |                           |   | 674,227     |                                        | 
|Cash
    and cash equivalents, end of period                                                                                                       |  | $                             | 175,643    |   |                           | $ | 12,860,337  |                                        | 



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

24


Table of Contents


|The
    Series of Frontier Funds                   
|---------------------------------------------------
|Statements
    of Cash Flows                       
|For
    the Six Months Ended June 30, 2018 and 2017
|(Unaudited)                                        



|                                                                                                                                               |  | Frontier Balanced Fund |            |   | Frontier Select Fund |  
|---------------------------------------------------------------------------------------------------------------------------------------------- |  | ---------------------- | ---------- | - | -------------------- | -
|                                                                                                                                               |  | 6/30/2018              |            |   | 6/30/2017            |  
|                                                                                                                                               |  |                        |            |   |                      |  
|Cash Flows from Operating Activities:                                                                                                          |  |                        |            |   |                      |  
|Net increase/(decrease) in capital resulting from operations                                                                                   |  | $                      | (3,564,239 | ) |                      | $
|Adjustments to reconcile net increase/(decrease) in capital  resulting from operations to net cash provided by (used in) operating activities: |  |                        |            |   |                      |  
|Change in:                                                                                                                                     |  |                        |            |   |                      |  
|Net change in open trade equity, at fair value                                                                                                 |  |                        | 61,810     |   |                      |  
|Net change in ownership allocation of U.S. Treasury securities                                                                                 |  |                        | (838,524   | ) |                      |  
|Net unrealized (gain)/loss on swap contracts                                                                                                   |  |                        | (1,129,650 | ) |                      |  
|Net unrealized (gain)/loss on U.S. Treasury securities                                                                                         |  |                        | 6,540      |   |                      |  
|Net realized (gain)/loss on U.S. Treasury securities                                                                                           |  |                        | 44,907     |   |                      |  
|Net unrealized (gain)/loss on private investment companies                                                                                     |  |                        | 3,149,240  |   |                      |  
|Net realized (gain)/loss on private investment companies                                                                                       |  |                        | (236,606   | ) |                      |  
|(Purchases) sales of:                                                                                                                          |  |                        |            |   |                      |  
|Sales of U.S. Treasury securities                                                                                                              |  |                        | 1,519,248  |   |                      |  
|Purchases of U.S. Treasury securities                                                                                                          |  |                        | (3,228,823 | ) |                      |  
|U.S. Treasury interest and premium paid/amortized                                                                                              |  |                        | 31,901     |   |                      |  
|Purchase of Private Investment Companies                                                                                                       |  |                        | (5,716,331 | ) |                      |  
|Sale of Private Investment Companies                                                                                                           |  |                        | 7,996,499  |   |                      |  
|Reduction of collateral in Swap contracts                                                                                                      |  |                        | 2,000,000  |   |                      |  
|Increase and/or decrease in:                                                                                                                   |  |                        |            |   |                      |  
|Receivable from futures commission merchants                                                                                                   |  |                        | 5,098,083  |   |                      |  
|Change in control of ownership - trading companies                                                                                             |  |                        | —          |   |                      |  
|Investments in unconsolidated trading companies, at fair value                                                                                 |  |                        | 732,257    |   |                      |  
|Interest receivable                                                                                                                            |  |                        | (50,921    | ) |                      |  
|Receivable from related parties                                                                                                                |  |                        | —          |   |                      |  
|Other assets                                                                                                                                   |  |                        | —          |   |                      |  
|Incentive fees payable to Managing Owner                                                                                                       |  |                        | (40,189    | ) |                      |  
|Management fees payable to Managing Owner                                                                                                      |  |                        | 130        |   |                      |  
|Interest payable to Managing Owner                                                                                                             |  |                        | 4,289      |   |                      |  
|Trading fees payable to Managing Owner                                                                                                         |  |                        | (30,220    | ) |                      |  
|Service fees payable to Managing Owner                                                                                                         |  |                        | (23,581    | ) |                      |  
|Risk analysis fees payable                                                                                                                     |  |                        | (198       | ) |                      |  
|Due from Managing Owner                                                                                                                        |  |                        | 184,106    |   |                      |  
|Other liabilities                                                                                                                              |  |                        | 29,253     |   |                      |  
|                                                                                                                                               |  |                        |            |   |                      |  
|Net cash provided by (used in) operating activities                                                                                            |  |                        | 5,998,981  |   |                      |  
|                                                                                                                                               |  |                        |            |   |                      |  
|Cash Flows from Financing Activities:                                                                                                          |  |                        |            |   |                      |  
|Proceeds from sale of units                                                                                                                    |  |                        | —          |   |                      |  
|Payment for redemption of units                                                                                                                |  |                        | (5,828,511 | ) |                      |  
|Change in owner redemptions payable                                                                                                            |  |                        | (21,260    | ) |                      |  
|                                                                                                                                               |  |                        |            |   |                      |  
|Net cash provided by (used in) financing activities                                                                                            |  |                        | (5,849,771 | ) |                      |  
|                                                                                                                                               |  |                        |            |   |                      |  
|Net increase (decrease) in cash and cash equivalents                                                                                           |  |                        | 149,210    |   |                      |  
|                                                                                                                                               |  |                        |            |   |                      |  
|Cash and cash equivalents, beginning of period                                                                                                 |  |                        | 164,332    |   |                      |  
|Cash and cash equivalents, end of period                                                                                                       |  | $                      | 313,542    |   |                      | $



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

25


Table of Contents


|The
    Series of Frontier Funds                   
|---------------------------------------------------
|Statements
    of Cash Flows                       
|For
    the Six Months Ended June 30, 2018 and 2017
|(Unaudited)                                        



|                                                                                                                                               |  | Frontier Winton Fund |            |   | Frontier Heritage Fund |  
|---------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------------- | ---------- | - | ---------------------- | -
|                                                                                                                                               |  | 6/30/2018            |            |   | 6/30/2017              |  
|                                                                                                                                               |  |                      |            |   |                        |  
|Cash Flows from Operating Activities:                                                                                                          |  |                      |            |   |                        |  
|Net increase/(decrease) in capital resulting from operations                                                                                   |  | $                    | (1,006,113 | ) |                        | $
|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                                                                                                 |  |                      | —          |   |                        |  
|Net change in ownership allocation of U.S. Treasury securities                                                                                 |  |                      | (590,960   | ) |                        |  
|Net unrealized (gain)/loss on swap contracts                                                                                                   |  |                      | —          |   |                        |  
|Net unrealized (gain) loss on U.S. Treasury securities, at fair value                                                                          |  |                      | (52,629    | ) |                        |  
|Net realized (gain) loss on U.S. Treasury securities, at fair value                                                                            |  |                      | 205,194    |   |                        |  
|Net unrealized gain/(loss) on private investment companies                                                                                     |  |                      | —          |   |                        |  
|Net realized gain/(loss) on private investment companies                                                                                       |  |                      | —          |   |                        |  
|(Purchases) sale of:                                                                                                                           |  |                      |            |   |                        |  
|Sales of U.S. Treasury Securities                                                                                                              |  |                      | 6,903,212  |   |                        |  
|Purchases of U.S. Treasury Securities                                                                                                          |  |                      | (6,626,880 | ) |                        |  
|U.S. Treasury interest and premium paid/amortized                                                                                              |  |                      | 66,615     |   |                        |  
|Purchase of Private Investment Companies                                                                                                       |  |                      | —          |   |                        |  
|Sale of Private Investment Companies                                                                                                           |  |                      | —          |   |                        |  
|Increase and/or decrease in:                                                                                                                   |  |                      |            |   |                        |  
|Receivable from futures commission merchants                                                                                                   |  |                      | —          |   |                        |  
|Change in control of ownership of trading companies                                                                                            |  |                      | —          |   |                        |  
|Investments in unconsolidated trading companies, at fair value                                                                                 |  |                      | 3,015,420  |   |                        |  
|Interest receivable                                                                                                                            |  |                      | (6,139     | ) |                        |  
|Receivable from related parties                                                                                                                |  |                      | 58,146     |   |                        |  
|Management fees payable to Managing Owner                                                                                                      |  |                      | (11,598    | ) |                        |  
|Interest payable to Managing Owner                                                                                                             |  |                      | (9,431     | ) |                        |  
|Trading fees payable to Managing Owner                                                                                                         |  |                      | (19,924    | ) |                        |  
|Service fees payable to Managing Owner                                                                                                         |  |                      | (5,484     | ) |                        |  
|Risk analysis fees payable                                                                                                                     |  |                      | —          |   |                        |  
|Payables to related parties                                                                                                                    |  |                      | (152,219   | ) |                        |  
|Other liabilities                                                                                                                              |  |                      | (23,894    | ) |                        |  
|                                                                                                                                               |  |                      |            |   |                        |  
|Net cash provided by (used in) operating activities                                                                                            |  |                      | 1,743,316  |   |                        |  
|                                                                                                                                               |  |                      |            |   |                        |  
|Cash Flows from Financing Activities:                                                                                                          |  |                      |            |   |                        |  
|Proceeds from sale of units                                                                                                                    |  |                      | —          |   |                        |  
|Payment for redemption of units                                                                                                                |  |                      | (2,640,052 | ) |                        |  
|Pending owner additions                                                                                                                        |  |                      | —          |   |                        |  
|Change in owner redemptions payable                                                                                                            |  |                      | 71,202     |   |                        |  
|                                                                                                                                               |  |                      |            |   |                        |  
|Net cash provided by (used in) financing activities                                                                                            |  |                      | (2,568,850 | ) |                        |  
|                                                                                                                                               |  |                      |            |   |                        |  
|Net increase (decrease) in cash and cash equivalents                                                                                           |  |                      | (825,534   | ) |                        |  
|                                                                                                                                               |  |                      |            |   |                        |  
|Cash and cash equivalents, beginning of period                                                                                                 |  |                      | 1,403,125  |   |                        |  
|Cash and cash equivalents, end of period                                                                                                       |  | $                    | 577,591    |   |                        | $



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

26


Table of Contents


The
Series of the Frontier Funds

Notes
to Financial Statements (Unaudited)



1.
Organization and Purpose



Frontier
Funds (formerly Equinox Frontier Funds), which is referred to in this report as the Trust, was formed on August 8,
2003, as a Delaware statutory trust. The Trust is a multi-advisor commodity pool, as described in Commodity Futures Trading Commission
(the CFTC) Regulation § 4.10(d)(2). The Trust has authority to issue separate series, or each, a Series, of
units of beneficial interest (the Units) pursuant to the requirements of the Delaware Statutory Trust Act, as amended
(the Trust Act). The assets of each Series are valued and accounted for separately from the assets of other Series.
The Trust is not registered as an investment company under the Investment Company Act of 1940, as amended (the Investment
Company Act). The Trust is managed by Frontier Fund Management LLC (the Managing Owner). The Managing Owner
was incorporated in Delaware in November, 2016. The Managing Owner has delegated its commodity pool operator (CPO)
responsibilities to Wakefield Advisors LLC pursuant to the Commodity Pool Operator Delegation Agreement between the Managing Owner
and Wakefield Advisors LLC, which has been registered with the CFTC as a commodity pool operator since January 7, 2013, and has
been a member of the NFA since that date. Under the Commodity Pool Operator Delegation Agreement, Wakefield does not receive any
fees or remuneration from the Managing Owner in connection with the performance of its obligations thereunder. The Commodity Pool
Operator Delegation Agreement is effective until terminated by either the Managing Owner or Wakefield, or until Wakefield is no
longer registered as a CPO (unless excluded or exempt from CPO registration under the Commodity Exchange Act, as amended (the
Commodity Exchange Act)). The Managing Owner remains jointly and severally liable with Wakefield Advisors LLC for
violations of the Commodity Exchange Act and CPO Regulations. However, Wakefield Advisors LLC will indemnify the Managing Owner
from and against any and all loss, liability, damage, penalty, fine, cost, and expense (including attorneys, accountants,
experts, and other professionals fees and expenses incurred in investigation or defense of any and all demands,
claims, actions, suits, or arbitrations) actually and reasonably incurred by the Managing Owner, based upon, arising out of or
from, or in any way in connection with, any act, activity, conduct, performance, omission, or non-performance by the Wakefield
Advisors LLC of any of its functions as CPO or which violates the Commodity Exchange Act or CPO Regulations in connection with
its functions as CPO.



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



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



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



The
Trust, with respect to each Series:



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



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

27


Table of Contents


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



| | ● | calculates
the Net Asset Value (NAV) of its Units for each Series separately from the other Series;
| | - | -----------------------------------------------------------------------------------------------------



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



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



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

28


Table of Contents


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



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



As
of June 30, 2018, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund, separates Units into three
separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Winton Fund,
and Frontier Heritage separates Units into a maximum of three separate Classes—Class 1, Class 2 and Class 1AP. The Trust,
with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP,
Class 2, Class 2A and Class 3A.   The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units
into a maximum of five separate Classes—Class 1A, Class 2A, Class 2, Class 3A and Class 3. On May 10, 2017, the interests
Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.s TT Enhanced Risk (USD) Program, were transferred
to an individual Delaware limited liability company (Master Fund) in Galaxy Plus.  The Master Fund is
sponsored and operated by Gemini Alternative Funds, LLC (Sponsor).  The Sponsor has contracted with the Trading
Advisors to manage the portfolios of the Master Funds pursuant to the advisors respective program.  For those Series
that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master
Funds.  The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management
account that invests primarily in U.S. Treasury securities.  For those Series that do not invest in Galaxy Plus, their assets
are split between investments in Trading Companies and investments in the pooled cash management account.



As
of June 30, 2018, Frontier Winton Fund has invested a portion of its assets into two Trading Companies, and a single Trading
Advisor manages 100% of the assets invested in each of these Trading Companies. Each of the remaining Series has invested a portion of its
assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested
in such Trading Companies or Galaxy Plus entities.



2.
Significant Accounting Policies



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



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



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

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



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



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



Interest
Income—U.S. Treasury Securities are pooled for purposes of maximizing returns on these assets to investors of all Series.
Interest income from pooled cash management assets is recognized on the accrual basis and allocated daily to each Series based
upon its daily proportion of ownership of the pool.



Aggregate
interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing brokers,
of up to the first 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2), Frontier
Winton Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity
Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a)
100% of the interest is retained by the respective Series. All interest not paid to the Managing Owner is interest income to the
Series, and shown net on the statement of operations.



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



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



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

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



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



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



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



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



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

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Income
Taxes—The Trust, with respect to the Series, applies the provisions of ASC 740 Income Taxes (ASC 740),
which provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial
statements. This interpretation also provides guidance on derecognition, classification, interest and penalties, accounting in
interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of
preparing the Trust, with respect to the Series, financial statements to determine whether the tax positions are more-likely-than-not
of being sustained by the applicable tax authority. Tax positions with respect to tax at the Trusts level not deemed to
meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Managing
Owner has concluded there is no tax expense, interest or penalties to be recorded by the Trust, with respect to the Series. The
2014 through 2017 tax years generally remain subject to examination by U.S. federal and most state tax authorities.



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



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



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



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

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



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



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



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



3.
Fair Value Measurements



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



Level
1 Inputs



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



Level
2 Inputs



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

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Level
3 Inputs



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



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



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



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



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



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

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The
following table summarizes the instruments that comprise the Trust, with respect to the Series, financial asset portfolio, by
Series, measured at fair value on a recurring basis as of June 30, 2018 and December 31, 2017 segregated by the level of valuation
inputs within the fair value hierarchy utilized to measure fair value. Investments in private investment companies are valued
utilizing the net asset values provided by the underlying private investment companies as a practical expedient. Each Series applies
the practical expedient to its investments in private investment companies on an investment-by-investment basis, and consistently
with the Series entire position in a particular investment, unless it is probable that the Series will sell a portion of an investment
at an amount different from the net asset value of the investment.



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

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



The
changes in Level 3 assets measured at fair value on a recurring basis are summarized in the following tables. Swap contract asset
gains and losses (realized/unrealized) included in earnings are classified in realized and unrealized gain (loss) on investments
– net unrealized gain/(loss) on swap contracts on the statements of operations. Investment in unconsolidated trading
company asset gains and losses (realized/unrealized) included in earnings are classified in Change in fair value of investments
in unconsolidated trading companies. During the six months ended June 30, 2018, all identified Level 3 assets were components
of the Frontier Diversified Fund, Frontier Long/Short Commodity Fund, Frontier Balanced Fund, Frontier Select Fund, and Frontier
Heritage Fund.

36


Table of Contents


For
the Six Months Ended June 30, 2018

Swaps



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



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

37


Table of Contents


For
the Year Ended December 31, 2017

Swaps



|                                                                        |  |                           |            |   | Frontier Long/Short    |  
|----------------------------------------------------------------------- |  | ------------------------- | ---------- | - | ---------------------- | -
|                                                                        |  | Frontier Balanced Fund    |            |   | Commodity Fund         |  
|Balance of recurring Level 3 assets as of January 1, 2017               |  | $                         | 18,939,450 |   |                        | $
|Total gains or losses (realized/unrealized):                            |  |                           |            |   |                        |  
|Included in earnings-realized                                           |  |                           | —          |   |                        |  
|Included in earnings-unrealized                                         |  |                           | (84,491    | ) |                        |  
|Proceeds from collateral reduction                                      |  |                           | (7,514,000 | ) |                        |  
|Change in ownership allocation                                          |  |                           | —          |   |                        |  
|Transfers in and/or out of Level 3                                      |  |                           | —          |   |                        |  
|Balance of recurring Level 3 assets as of December 31, 2017             |  | $                         | 11,340,959 |   |                        | $
|                                                                        |  |                           |            |   |                        |  
|                                                                        |  | Frontier Diversified Fund |            |   | Frontier Heritage Fund |  
|Balance of recurring Level 3 assets as of January 1, 2017               |  | $                         | 8,637,847  |   |                        | $
|Total gains or losses (realized/unrealized):                            |  |                           |            |   |                        |  
|Included in earnings-realized                                           |  |                           | —          |   |                        |  
|Included in earnings-unrealized                                         |  |                           | (47,375    | ) |                        |  
|Proceeds from collateral reduction                                      |  |                           | (2,214,000 | ) |                        |  
|Change in ownership allocation                                          |  |                           | —          |   |                        |  
|Transfers in and/or out of Level 3                                      |  |                           | —          |   |                        |  
|Balance of recurring Level 3 assets as of December 31, 2017             |  | $                         | 6,376,472  |   |                        | $
|                                                                        |  |                           |            |   |                        |  
|For the Six Months Ended June 30, 2018                                  |  |                           |            |   |                       
|Investments in Unconsolidated Trading Companies:                        |  |                           |            |   |                       
|                                                                        |  |                           |            |   |                        |  
|                                                                        |  | Frontier                  |            |   |                        |  
|                                                                        |  | Select                    |            |   |                        |  
|                                                                        |  | Fund                      |            |   |                        |  
|Balance of recurring Level 3 assets as of January 1, 2018               |  | $                         | 579,073    |   |                        |  
|Change in fair value of investments in unconsolidated trading companies |  |                           | (43,894    | ) |                        |  
|Purchases of investments of unconsolidated trading
    companies        |  |                           | —          |   |                        |  
|Change in ownership allocation                                          |  |                           | —          |   |                        |  
|Transfers in and/or out of Level 3                                      |  |                           | —          |   |                        |  
|Balance of recurring Level 3 assets as of June 30, 2018                 |  | $                         | 535,179    |   |                        |  

38


Table of Contents


Investments
in Unconsolidated Trading Companies:



|                                                                            |  | Frontier Select Fund |           
|--------------------------------------------------------------------------- |  | -------------------- | ----------
|Balance of recurring Level 3 assets as of January 1, 2017                   |  | $                    | 3,147,279 
|Change in fair value of investments in
    unconsolidated trading companies |  |                      | (144,019  
|Change in ownership allocation                                              |  |                      | (2,424,187
|Transfers in and/or out of Level 3                                          |  |                      | —         
|Balance of recurring Level 3 assets as of December 31, 2017                 |  | $                    | 579,073   



The
Series of the Trust assess the levels of the investments at each measurement date, and transfers between levels are recognized
on the actual date of the event or change in circumstances that caused the transfer in accordance with the Series accounting
policy regarding the recognition of transfers between levels of the fair value hierarchy. During the six months ended June 30,
2018, the Trust did not transfer any assets between Levels 1, 2 or 3.



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



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



|               |  | Frontier Diversified |         |  | Frontier Long/Short |   |        | Frontier Balanced |  |   |                        | 
|-------------- |  | -------------------- | ------- |  | ------------------- | - | ------ | ----------------- |  | - | ---------------------- | 
|               |  | Fund                 |         |  | Commodity Fund      |   |        | Fund              |  |   | Frontier Heritage Fund | 
|Swap Contracts |  | $                    | 513,328 |  |                     | $ | 35,886 |                   |  | $ | 1,129,650              | 



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



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



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



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

39


Table of Contents


4.
Swap Contracts



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



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



The
Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole
discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The
procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to
initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing
Owners minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined
by the rating agencies. As of June 30, 2018, and December 31, 2017, approximately 10.8% and 10.2%, respectively, of the Trusts
assets were deposited with over-the-counter counterparties in order to initiate and maintain swaps and is recorded as collateral
within the swap fair value within the statement of financial condition. The cash held with the counterparty is not restricted.



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



To
help to reduce counterparty risk on the Series, the Managing Owner has the right to reduce the Series exposure and remove
cash from the Series total return swaps with Deutsche Bank AG. This cash holding shall be in excess of $250,000, and may
not exceed 40% of the Index exposure in total. Index exposure is defined as the total notional amount plus any profit. The Series
are charged interest on this cash holding and any amount removed will be offset against the final settlement value of the swap.
As of June 30, 2018, the Frontier Balanced Fund, the Frontier Diversified Fund, the Frontier Long/Short Commodity Fund and Frontier
Heritage Fund, have received from the swap counterparty $4,926,555, $2,500,000, $115,000 and $1,900,000, respectively. These amounts
are shown on the Statements of Financial Conditions of the respective Series under advance on unrealized swap appreciation, which
relates to the Trading Companies total return swaps with Deutsche Bank AG.



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



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

40


Table of Contents


The
Series have invested in the following swaps as of and for the year ended December 31, 2017:



|                                 |  |                        |  |                           |  | Frontier Long/Short Commodity |  |                       
|-------------------------------- |  | ---------------------- |  | ------------------------- |  | ----------------------------- |  | ----------------------
|                                 |  | Frontier Balanced Fund |  | Frontier Diversified Fund |  | Fund                          |  | Frontier Heritage Fund
|                                 |  | Total Return Swap      |  | Total Return Swap         |  | Total Return Swap             |  | Total Return Swap     
|Counterparty                     |  | DeutscheBank AG        |  | DeutscheBank AG           |  | DeutscheBank AG               |  | DeutscheBank AG       
|Notional Amount                  |  | $13,373,629            |  | $4,651,155                |  | $653,610                      |  | $2,072,056            
|Termination Date                 |  | 8/2/2018               |  | 8/2/2018                  |  | 8/7/2018                      |  | 3/26/2018             
|Cash Collateral                  |  | $2,086,000             |  | $1,186,000                |  | $29,950                       |  | $982,500              
|Swap Value                       |  | $9,254,959             |  | $5,190,472                |  | $367,089                      |  | $2,111,867            
|Investee Returns                 |  | Total Returns          |  | Total Returns             |  | Total Returns                 |  | Total Returns         
|Realized Gain/(Loss)             |  | $0                     |  | $0                        |  | $0                            |  | $0                    
|Change in Unrealized Gain/(Loss) |  | ($84,491)              |  | ($47,375)                 |  | $26,621                       |  | ($297,047)            
|Fair Value as of 12/31/2017      |  | $11,340,959            |  | $6,376,472                |  | $397,039                      |  | $3,094,367            
|Advance on swap appreciation     |  | ($4,926,555)           |  | ($2,500,000)              |  | ($115,000)                    |  | ($1,900,000)          



5.
Investments in Unconsolidated Trading Companies and Private Investment Companies



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



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



|                                             |  | As of June 30, 2018  |  | As of December 31, 2017
|-------------------------------------------- |  | -------------------- |  | -----------------------
|                                             |  | Percentage of        |  |                        
|                                             |  | Series Net           |  |                        
|                                             |  | Assets Invested      |  |                        
|                                             |  | in Unconsolidated    |  |                        
|                                             |  | Trading and Private  |  |                        
|                                             |  | Investment Companies |  | Fair Value             
|Series                                       |  |                      |  |                        
|                                             |  |                      |  |                        
|Frontier Diversified Series —                |  |                      |  |                        
|Frontier Trading Companies II and XXXVIII    |  | 6.87%                |  | $                      
|Frontier Masters Series —                    |  |                      |  |                        
|Frontier Trading Companies II and XXXVIII    |  | 13.83%               |  | $                      
|Frontier Long/Short Commodity Series —       |  |                      |  |                        
|Frontier Trading Company XXXVIII             |  | 3.58%                |  | $                      
|Frontier Balanced Series —                   |  |                      |  |                        
|Frontier Trading Companies II and XXXVIII    |  | 6.30%                |  | $                      
|Frontier Select Series —                     |  |                      |  |                        
|Frontier Trading Companies XXXVIII and XXXIX |  | 13.00%               |  | $                      
|Frontier Winton Fund                         |  |                      |  |                        
|Frontier Trading Companies II and XXXVIII    |  | 44.38%               |  | $                      
|Frontier Heritage Series —                   |  |                      |  |                        
|Frontier Trading Companies II and XXXVIII    |  | 17.36%               |  | $                      

41


Table of Contents


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



|                                                            |  | Three Months Ended June 30, 2018 |          |   | Three Months Ended June, 2017 |  
|----------------------------------------------------------- |  | -------------------------------- | -------- | - | ----------------------------- | -
|                                                            |  |                                  |          |   |                               |  
|                                                            |  | Trading                          |          |   | Realized                      |  
|                                                            |  | Commissions                      |          |   | Gain/(Loss)                   |  
|Frontier Balanced Fund —                                    |  |                                  |          |   |                               |  
|Frontier Trading Company II, LLC                            |  | $                                | —        |   |                               | $
|Frontier Trading Company XXXVIII, LLC                       |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC             |  |                                  | (13,073  | ) |                               |  
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC            |  |                                  | (14,629  | ) |                               |  
|Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC |  |                                  | (141,047 | ) |                               |  
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC    |  |                                  | (14,285  | ) |                               |  
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC                |  |                                  | (123     | ) |                               |  
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC                |  |                                  | (37,583  | ) |                               |  
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC       |  |                                  | (21,107  | ) |                               |  
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC              |  |                                  | (7,130   | ) |                               |  
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                  | (63,787  | ) |                               |  
|Total                                                       |  | $                                | (312,764 | ) |                               | $
|                                                            |  |                                  |          |   |                               |  
|Frontier Winton Fund —                                      |  |                                  |          |   |                               |  
|Frontier Trading Company II, LLC                            |  | $                                | —        |   |                               | $
|Frontier Trading Company XXXVIII, LLC                       |  |                                  | —        |   |                               |  
|Total                                                       |  | $                                | —        |   |                               | $
|                                                            |  |                                  |          |   |                               |  
|Frontier Select Fund —                                      |  |                                  |          |   |                               |  
|Frontier Trading Company XXXIX, LLC                         |  | $                                | —        |   |                               | $
|Frontier Trading Company XXXVIII, LLC                       |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - TT Feeder Fund (531) LLC                 |  |                                  | (10,721  | ) |                               |  
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                  | (42,595  | ) |                               |  
|Total                                                       |  | $                                | (53,316  | ) |                               | $
|                                                            |  |                                  |          |   |                               |  
|Frontier Heritage Fund —                                    |  |                                  |          |   |                               |  
|Frontier Trading Company II, LLC                            |  | $                                | —        |   |                               | $
|Frontier Trading Company XXXVIII, LLC                       |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                  | (42,603  | ) |                               |  
|Total                                                       |  | $                                | (42,603  | ) |                               | $
|                                                            |  |                                  |          |   |                               |  
|Frontier Long/Short Commodity Fund                          |  |                                  |          |   |                               |  
|Frontier Trading Company XXXVIII, LLC                       |  | $                                | —        |   |                               | $
|Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC         |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC |  |                                  | (25,765  | ) |                               |  
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC                |  |                                  | (681     | ) |                               |  
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                  | (19,032  | ) |                               |  
|Total                                                       |  | $                                | (45,478  | ) |                               | $
|                                                            |  |                                  |          |   |                               |  
|Frontier Diversified Fund —                                 |  |                                  |          |   |                               |  
|Frontier Trading Company II, LLC                            |  | $                                | —        |   |                               | $
|Frontier Trading Company XXXVIII, LLC                       |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC             |  |                                  | (5,137   | ) |                               |  
|Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC         |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC            |  |                                  | (9,617   | ) |                               |  
|Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC |  |                                  | (41,617  | ) |                               |  
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC    |  |                                  | (9,912   | ) |                               |  
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC                |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC                |  |                                  | (20,301  | ) |                               |  
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC       |  |                                  | (11,738  | ) |                               |  
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC              |  |                                  | (7,950   | ) |                               |  
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                  | (31,712  | ) |                               |  
|Total                                                       |  | $                                | (137,984 | ) |                               | $
|                                                            |  |                                  |          |   |                               |  
|Frontier Masters Fund —                                     |  |                                  |          |   |                               |  
|Frontier Trading Company II, LLC                            |  | $                                | —        |   |                               | $
|Frontier Trading Company XXXVIII, LLC                       |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC         |  |                                  | —        |   |                               |  
|Galaxy Plus Fund - Emil van Essen STP Feeder Fund (516) LLC |  |                                  | (70,572  | ) |                               |  
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                  | (44,250  | ) |                               |  
|Galaxy Plus Fund - TT Feeder Fund (531) LLC                 |  |                                  | (9,581   | ) |                               |  
|Total                                                       |  | $                                | (124,403 | ) |                               | $

42


Table of Contents


|                                                                |  | Six
    Months Ended June 30, 2018 |                                                              |   | Six
    Months Ended June, 2017 |  
|--------------------------------------------------------------- |  | ---------------------------------- | ------------------------------------------------------------ | - | ------------------------------- | -
|                                                                |  |                                    | Trading
                                         Commissions |   |                                 |  
|                                                                |  |                                    |                                                              |   |                                 |  
|Frontier
    Balanced Fund —                                    |  |                                    |                                                              |   |                                 |  
|Frontier
    Trading Company II, LLC                            |  | $                                  | —                                                            |   |                                 | $
|Frontier
    Trading Company XXXVIII, LLC                       |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - Aspect Feeder Fund (532) LLC             |  |                                    | (43,897                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Doherty Feeder Fund (528) LLC            |  |                                    | (31,385                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Emil van Essen STP Feeder Fund (516) LLC |  |                                    | (228,504                                                     | ) |                                 |  
|Galaxy
    Plus Fund - Fort Contrarian Feeder Fund (510) LLC    |  |                                    | (36,360                                                      | ) |                                 |  
|Galaxy
    Plus Fund - LRR Feeder Fund (522) LLC                |  |                                    | (123                                                         | ) |                                 |  
|Galaxy
    Plus Fund - QIM Feeder Fund (526) LLC                |  |                                    | (73,528                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Quantmetrics Feeder Fund (527) LLC       |  |                                    | (62,551                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Quest Feeder Fund (517) LLC              |  |                                    | (13,928                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                    | (137,437                                                     | ) |                                 |  
|Total                                                           |  | $                                  | (627,713                                                     | ) |                                 | $
|                                                                |  |                                    |                                                              |   |                                 |  
|Frontier
    Winton Fund —                                      |  |                                    |                                                              |   |                                 |  
|Frontier
    Trading Company II, LLC                            |  | $                                  | —                                                            |   |                                 | $
|Frontier
    Trading Company XXXVIII, LLC                       |  |                                    | —                                                            |   |                                 |  
|Total                                                           |  | $                                  | —                                                            |   |                                 | $
|                                                                |  |                                    |                                                              |   |                                 |  
|Frontier Select Fund —                                          |  |                                    |                                                              |   |                                 |  
|Frontier
    Trading Company XXXIX, LLC                         |  | $                                  |                                                              |   |                                 | $
|Frontier
    Trading Company XXXVIII, LLC                       |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - TT Feeder Fund (531) LLC                 |  |                                    | (61,704                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                    | (80,091                                                      | ) |                                 |  
|Total                                                           |  | $                                  | (141,795                                                     | ) |                                 | $
|                                                                |  |                                    |                                                              |   |                                 |  
|Frontier
    Heritage Fund —                                    |  |                                    |                                                              |   |                                 |  
|Frontier
    Trading Company II, LLC                            |  | $                                  |                                                              |   |                                 | $
|Frontier
    Trading Company XXXVIII, LLC                       |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                    | (95,378                                                      | ) |                                 |  
|Total                                                           |  | $                                  | (95,378                                                      | ) |                                 | $
|                                                                |  |                                    |                                                              |   |                                 |  
|Frontier
    Long/Short Commodity Fund                          |  |                                    |                                                              |   |                                 |  
|Frontier
    Trading Company XXXVIII, LLC                       |  | $                                  | —                                                            |   |                                 | $
|Galaxy
    Plus Fund - Chesapeake Feeder Fund (518) LLC         |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - Emil van Essen STP Feeder Fund (516) LLC |  |                                    | (55,540                                                      | ) |                                 |  
|Galaxy
    Plus Fund - LRR Feeder Fund (522) LLC                |  |                                    | (681                                                         | ) |                                 |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                    | (44,616                                                      | ) |                                 |  
|Total                                                           |  | $                                  | (56,221                                                      | ) |                                 | $
|                                                                |  |                                    |                                                              |   |                                 |  
|Frontier
    Diversified Fund —                                 |  |                                    |                                                              |   |                                 |  
|Frontier
    Trading Company II, LLC                            |  | $                                  | —                                                            |   |                                 | $
|Frontier
    Trading Company XXXVIII, LLC                       |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - Aspect Feeder Fund (532) LLC             |  |                                    | (21,609                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Chesapeake Feeder Fund (518) LLC         |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - Doherty Feeder Fund (528) LLC            |  |                                    | (19,728                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Emil van Essen STP Feeder Fund (516) LLC |  |                                    | (88,315                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Fort Contrarian Feeder Fund (510) LLC    |  |                                    | (19,585                                                      | ) |                                 |  
|Galaxy
    Plus Fund - LRR Feeder Fund (522) LLC                |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - QIM Feeder Fund (526) LLC                |  |                                    | (41,686                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Quantmetrics Feeder Fund (527) LLC       |  |                                    | (37,240                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Quest Feeder Fund (517) LLC              |  |                                    | (15,597                                                      | ) |                                 |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                    | (72,444                                                      | ) |                                 |  
|Total                                                           |  | $                                  | (316,204                                                     | ) |                                 | $
|                                                                |  |                                    |                                                              |   |                                 |  
|Frontier
    Masters Fund —                                     |  |                                    |                                                              |   |                                 |  
|Frontier
    Trading Company II, LLC                            |  | $                                  | —                                                            |   |                                 | $
|Frontier
    Trading Company XV, LLC                            |  |                                    | —                                                            |   |                                 |  
|Frontier
    Trading Company XXXVIII, LLC                       |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - Chesapeake Feeder Fund (518) LLC         |  |                                    | —                                                            |   |                                 |  
|Galaxy
    Plus Fund - Emil van Essen STP Feeder Fund (516) LLC |  |                                    | (149,210                                                     | ) |                                 |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC         |  |                                    | (100,181                                                     | ) |                                 |  
|Galaxy
    Plus Fund - TT Feeder Fund (531) LLC                 |  |                                    | (47,188                                                      | ) |                                 |  
|Total                                                           |  | $                                  | (296,579                                                     | ) |                                 | $

43


Table of Contents


The
Series investments in private investment companies have certain redemption and liquidity restrictions which are described
in the following table:



|                                                         |  | Redemptions   |  | Redemptions |  | Liquidity   
|-------------------------------------------------------- |  | ------------- |  | ----------- |  | ------------
|                                                         |  | Notice Period |  | Permitted   |  | Restrictions
|Frontier Diversified Fund                                |  |               |  |             |  |             
|Multi-Strategy                                           |  |               |  |             |  |             
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC    |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  | 24 hours      |  | Daily       |  | None        
|Trend Following                                          |  |               |  |             |  |             
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC             |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC           |  | 24 hours      |  | Daily       |  | None        
|Option Trading                                           |  |               |  |             |  |             
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC         |  | 24 hours      |  | Daily       |  | None        
|                                                         |  |               |  |             |  |             
|Frontier Masters Fund                                    |  |               |  |             |  |             
|Trend Following                                          |  |               |  |             |  |             
|Galaxy Plus Fund - TT Feeder Fund (531) LLC              |  | 24 hours      |  | Weekly      |  | None        
|Multi-Strategy                                           |  |               |  |             |  |             
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  | 24 hours      |  | Daily       |  | None        
|                                                         |  |               |  |             |  |             
|Frontier Long/Short Commodity Fund                       |  |               |  |             |  |             
|Multi-Strategy                                           |  |               |  |             |  |             
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  | 24 hours      |  | Daily       |  | None        
|                                                         |  |               |  |             |  |             
|Frontier Balanced Fund                                   |  |               |  |             |  |             
|Multi-Strategy                                           |  |               |  |             |  |             
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC    |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  | 24 hours      |  | Daily       |  | None        
|Trend Following                                          |  |               |  |             |  |             
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC             |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC           |  | 24 hours      |  | Daily       |  | None        
|Option Trading                                           |  |               |  |             |  |             
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC         |  | 24 hours      |  | Daily       |  | None        
|                                                         |  |               |  |             |  |             
|Frontier Select Fund                                     |  |               |  |             |  |             
|Trend Following                                          |  |               |  |             |  |             
|Galaxy Plus Fund - TT Feeder Fund (531) LLC              |  | 24 hours      |  | Weekly      |  | None        
|Multi-Strategy                                           |  |               |  |             |  |             
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  | 24 hours      |  | Daily       |  | None        

44


Table of Contents


6.
Transactions with Affiliates



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



Expenses



Management
Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional
assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage bases of the fees vary and are
in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain
percentage of the assets in the Galaxy Plus entities attributable to such Series (including notional assets), calculated
on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private
investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or
reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin in
respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated to the
Trading Advisors and any reference programs, is referred to herein as the notional assets of the Series. The annual
rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier Balanced Fund Class
1AP, Class 2a and Class 3a, 2.0% for the Frontier Winton Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class
3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund,
and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management
fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related
management fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument.
Any management fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would
otherwise be charged to the Series by the Managing Owner. As of the date of this report, for a Series that has invested in a swap,
the Managing Owner or Trading Advisor(s) do not receive any management fees directly from the Series for such swap, and instead
the relevant Trading Advisor receives compensation via the fees embedded in the swap. As of June 30, 2018, the management fees
embedded based on fair value of swaps in (i) swaps owned by Frontier Diversified Fund was 1.00% per annum, (ii) swaps owned by
Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.50% per annum, and (iv)
swaps owned by Frontier Heritage Fund was 1.00% per annum, and the Managing Owner has waived the entire management fee due to
it from those Series in respect of such Series investment in swaps. These embedded management fees may be higher or lower
in the future.



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

45


Table of Contents


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



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



Service
Fees—Investors who have purchased Class 1 or Class 1a Units of Frontier Diversified Fund, Frontier Masters Fund,
and Frontier Long/Short Commodity Fund are charged a service fee of up to two percent (2.0%) annually of the NAV (of the
purchase price, in case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such
Class 1 or Class 1a Units. The initial service fee, which is amortized monthly at an annual rate of up to two percent (2.0%)
of the average daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to
the selling agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a
portion of their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of
their purchase are subject to a redemption fee of up to two percent (2.0%) of the purchase price at which such investor
redeemed to reimburse the Managing Owner for the then unamortized balance of the prepaid initial service fee. Investors who
have purchased Class 1 or Class 1a Units of Frontier Balanced Fund, Frontier Heritage Fund, Frontier Select Fund, and
Frontier Winton Fund are charged a service fee of up to three percent (3.0%) annually of the NAV (of the purchase price, in
case of the initial service fee) of each Unit purchased, for the benefit of selling agents selling such Class 1 or Class 1a
Units. The initial service fee, which is amortized monthly at an annual rate of up to three percent (3.0%) of the average
daily NAV of Class 1 or Class 1a of such Series, is prepaid to the Managing Owner by each Series, and paid to the selling
agents by the Managing Owner in the month following sale; provided, however, that investors who redeem all or a portion of
their Class 1 and Class 1a Units of any Series during the first twelve (12) months following the effective date of their
purchase are subject to a redemption fee of up to three percent (3.0%) of the purchase price at which such investor redeemed
to reimburse the Managing Owner for the then-unamortized balance of the prepaid initial service fee. With respect to Class 2
and Class 2a Units of any Series, the Managing Owner pays an ongoing service fee to selling agents of up to one half percent
(0.5%) annually of the NAV of each Class 2 or Class 2a Unit (of which 0.25% will be charged to Limited Owners holding Class 2
Units of the Frontier Diversified Fund and Frontier Masters Fund or Class 2a Units of the Frontier Long/Short Commodity Fund
sold) until such Class 2 or Class 2a Units which are subject to the fee limitation are reclassified as Class 3 or Class 3a
Units of the applicable Series for administrative purposes.



Currently the service fee is not charged to Class 1AP investors.
The Managing Owner may also pay selling agents certain additional fees and expenses for administrative and other services
rendered and expenses incurred by such selling agents.

46


Table of Contents


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



Three
Months Ended June 30, 2018



|                                   |  | Incentive Fees (rebate) |   |  | Management Fees |   |         | Risk Analysis Fees |  |   | Service Fees |  |  | Trading Fees |        
|---------------------------------- |  | ----------------------- | - |  | --------------- | - | ------- | ------------------ |  | - | ------------ |  |  | ------------ | -------
|Frontier Diversified Fund          |  | $                       | — |  |                 | $ | 13,229  |                    |  | $ | —            |  |  | $            | 14,689 
|Frontier Masters Fund              |  |                         | — |  |                 |   | 28,862  |                    |  |   | —            |  |  |              | 12,929 
|Frontier Long/Short Commodity Fund |  |                         | — |  |                 |   | —       |                    |  |   | —            |  |  |              | 407    
|Frontier Balanced Fund             |  |                         | — |  |                 |   | 22,566  |                    |  |   | 1,692        |  |  |              | 237,810
|Frontier Select Fund               |  |                         | — |  |                 |   | —       |                    |  |   | —            |  |  |              | 33,273 
|Frontier Winton Fund               |  |                         | — |  |                 |   | 131,682 |                    |  |   | —            |  |  |              | 80,907 
|Frontier Heritage Fund             |  |                         | — |  |                 |   | 33,893  |                    |  |   | —            |  |  |              | 31,302 



Three
Months Ended June 30, 2017



|                                   |  | Incentive Fees (rebate) |         |   | Management Fees |   |         | Risk Analysis Fees |  |   | Service Fees |  |  | Trading Fees |        
|---------------------------------- |  | ----------------------- | ------- | - | --------------- | - | ------- | ------------------ |  | - | ------------ |  |  | ------------ | -------
|Frontier Diversified Fund          |  | $                       | —       |   |                 | $ | 27,784  |                    |  | $ | —            |  |  | $            | 41,352 
|Frontier Masters Fund              |  |                         | —       |   |                 |   | 58,094  |                    |  |   | —            |  |  |              | 24,160 
|Frontier Long/Short Commodity Fund |  |                         | (87,670 | ) |                 |   | —       |                    |  |   | —            |  |  |              | 3,510  
|Frontier Balanced Fund             |  |                         | —       |   |                 |   | 38,058  |                    |  |   | 3,133        |  |  |              | 384,415
|Frontier Select Fund               |  |                         | —       |   |                 |   | 26,454  |                    |  |   | —            |  |  |              | 60,437 
|Frontier Winton Fund               |  |                         | —       |   |                 |   | 227,131 |                    |  |   | 35,345       |  |  |              | 126,462
|Frontier Heritage Fund             |  |                         | —       |   |                 |   | 58,866  |                    |  |   | —            |  |  |              | 48,692 



Six
Months Ended June 30, 2018



|                                   |  | Incentive Fees (rebate) |         |  | Management Fees |   |         | Risk Analysis Fees |  |   | Service Fees |  |  | Trading Fees |        
|---------------------------------- |  | ----------------------- | ------- |  | --------------- | - | ------- | ------------------ |  | - | ------------ |  |  | ------------ | -------
|Frontier Diversified Fund          |  | $                       | 1,881   |  |                 | $ | 24,792  |                    |  | $ | —            |  |  | $            | 30,804 
|Frontier Masters Fund              |  |                         | —       |  |                 |   | 61,211  |                    |  |   | —            |  |  |              | 27,898 
|Frontier Long/Short Commodity Fund |  |                         | —       |  |                 |   | —       |                    |  |   | —            |  |  |              | 1,064  
|Frontier Balanced Fund             |  |                         | 145,134 |  |                 |   | 42,902  |                    |  |   | 3,529        |  |  |              | 500,791
|Frontier Select Fund               |  |                         | —       |  |                 |   | —       |                    |  |   | —            |  |  |              | 72,962 
|Frontier Winton Fund               |  |                         | —       |  |                 |   | 262,342 |                    |  |   | —            |  |  |              | 175,167
|Frontier Heritage Fund             |  |                         | 1,394   |  |                 |   | 69,874  |                    |  |   | —            |  |  |              | 68,410 



Six
Months Ended June 30, 2017



|                                   |  | Incentive Fees (rebate) |         |   | Management Fees |   |         | Risk Analysis Fees |  |   | Service Fees |  |  | Trading Fees |        
|---------------------------------- |  | ----------------------- | ------- | - | --------------- | - | ------- | ------------------ |  | - | ------------ |  |  | ------------ | -------
|Frontier Diversified Fund          |  | $                       | (63,508 | ) |                 | $ | 55,742  |                    |  | $ | —            |  |  | $            | 86,185 
|Frontier Masters Fund              |  |                         | —       |   |                 |   | 123,905 |                    |  |   | —            |  |  |              | 52,934 
|Frontier Long/Short Commodity Fund |  |                         | (87,670 | ) |                 |   | —       |                    |  |   | —            |  |  |              | 10,971 
|Frontier Balanced Fund             |  |                         | —       |   |                 |   | 76,537  |                    |  |   | 7,557        |  |  |              | 783,275
|Frontier Select Fund               |  |                         | —       |   |                 |   | 102,407 |                    |  |   | 6,829        |  |  |              | 129,768
|Frontier Winton Fund               |  |                         | (49,790 | ) |                 |   | 489,086 |                    |  |   | 70,773       |  |  |              | 269,091
|Frontier Heritage Fund             |  |                         | (4,603  | ) |                 |   | 117,858 |                    |  |   | —            |  |  |              | 100,787

47


Table of Contents


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



As
of June 30, 2018



|                                   |  | Incentive Fees |   |  | Management Fees |   |        | Interest Fees |  |   | Service Fees |  |  | Trading Fees |       
|---------------------------------- |  | -------------- | - |  | --------------- | - | ------ | ------------- |  | - | ------------ |  |  | ------------ | ------
|Frontier Diversified Fund          |  | $              | — |  |                 | $ | 4,148  |               |  | $ | —            |  |  | $            | 2,806 
|Frontier Masters Fund              |  |                | — |  |                 |   | 9,009  |               |  |   | —            |  |  |              | 2,656 
|Frontier Long/Short Commodity Fund |  |                | — |  |                 |   | —      |               |  |   | 184          |  |  |              | 28    
|Frontier Balanced Fund             |  |                | — |  |                 |   | 11,594 |               |  |   | 6,818        |  |  |              | 64,568
|Frontier Select Fund               |  |                | — |  |                 |   | —      |               |  |   | 979          |  |  |              | 9,996 
|Frontier Winton Fund               |  |                | — |  |                 |   | 41,441 |               |  |   | 11,561       |  |  |              | 21,229
|Frontier Heritage Fund             |  |                | — |  |                 |   | 9,438  |               |  |   | 1,963        |  |  |              | 7,935 



As
of December 31, 2017



|                                   |  | Incentive Fees |        |  | Management Fees |   |        | Interest Fees |  |   | Service Fees |  |  | Trading Fees |       
|---------------------------------- |  | -------------- | ------ |  | --------------- | - | ------ | ------------- |  | - | ------------ |  |  | ------------ | ------
|Frontier Diversified Fund          |  | $              | 12,847 |  |                 | $ | 4,049  |               |  | $ | —            |  |  | $            | 3,614 
|Frontier Masters Fund              |  |                | —      |  |                 |   | 8,949  |               |  |   | —            |  |  |              | 3,570 
|Frontier Long/Short Commodity Fund |  |                | —      |  |                 |   | —      |               |  |   | 103          |  |  |              | 172   
|Frontier Balanced Fund             |  |                | 40,189 |  |                 |   | 11,465 |               |  |   | 2,528        |  |  |              | 88,149
|Frontier Select Fund               |  |                | —      |  |                 |   | —      |               |  |   | 1,358        |  |  |              | 14,743
|Frontier Winton Fund               |  |                | —      |  |                 |   | 53,039 |               |  |   | 20,992       |  |  |              | 26,714
|Frontier Heritage Fund             |  |                | —      |  |                 |   | 13,471 |               |  |   | 2,608        |  |  |              | 11,483



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



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

48


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





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



49


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Six
Months Ended



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



50


Table of Contents


7.
Financial Highlights



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



|                                                                     |  | Frontier
    Diversified Fund |        |                                                    | Frontier
    Masters Fund  |   |             | Frontier
    Long/Short Commodity Fund | 
|-------------------------------------------------------------------- |  | ----------------------------- | ------ | -------------------------------------------------- | -------------------------- | - | ----------- | -------------------------------------- | 
|                                                                     |  | Class
    1                   |        |                                                    | Class
    2                |   |             | Class
    3                            | 
|Per
    unit operating performance (1)                               |  |                               |        |                                                    |                            |   |             |                                        | 
|Net
    asset value, March 31, 2018                                  |  | $                             | 106.53 |                                                    |                            | $ | 124.26      |                                        | 
|Net
    operating results:                                           |  |                               |        |                                                    |                            |   |             |                                        | 
|Interest
    income                                                  |  |                               | 0.06   |                                                    |                            |   | 0.07        |                                        | 
|Expenses                                                             |  |                               | (1.73  | )                                                  |                            |   | (1.07       | )                                      | 
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | 3.44   |                                                    |                            |   | 3.61        |                                        | 
|Net
    income/(loss)                                                |  |                               | 1.77   |                                                    |                            |   | 2.61        |                                        | 
|Net
    asset value, June 30, 2018                                   |  | $                             | 108.30 |                                                    |                            | $ | 126.87      |                                        | 
|                                                                     |  |                               |        |                                                    |                            |   |             |                                        | 
|Ratios
    to average net assets                                     |  |                               |        |                                                    |                            |   |             |                                        | 
|Net
    investment income/(loss)                                     |  |                               | -6.27  | %                                                  |                            |   | -3.20       | %                                      | 
|Expenses
    before incentive fees (3)(4)                            |  |                               | 6.50   | %                                                  |                            |   | 3.43        | %                                      | 
|Expenses
    after incentive fees (3)(4)                             |  |                               | 6.50   | %                                                  |                            |   | 3.43        | %                                      | 
|Total
    return before incentive fees (2)                           |  |                               | 1.66   | %                                                  |                            |   | 2.10        | %                                      | 
|Total
    return after incentive fees (2)                            |  |                               | 1.66   | %                                                  |                            |   | 2.10        | %                                      | 
|                                                                     |  |                               |        |                                                    |                            |   |             |                                        | 
|                                                                     |  | Frontier
    Balanced Fund    |        |                                                    |                            |   |             | Frontier
    Select Fund               | 
|                                                                     |  | Class
    1                   |        |                                                    | Class
    1AP              |   |             | Class
    2                            | 
|Per
    unit operating performance (1)                               |  |                               |        |                                                    |                            |   |             |                                        | 
|Net
    asset value, March 31, 2018                                  |  | $                             | 124.93 |                                                    |                            | $ | 139.33      |                                        | 
|Net
    operating results:                                           |  |                               |        |                                                    |                            |   |             |                                        | 
|Interest
    income                                                  |  |                               | 0.03   |                                                    |                            |   | 0.03        |                                        | 
|Expenses                                                             |  |                               | (2.08  | )                                                  |                            |   | (1.29       | )                                      | 
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | 2.33   |                                                    |                            |   | 2.61        |                                        | 
|Net
    income/(loss)                                                |  |                               | 0.28   |                                                    |                            |   | 1.35        |                                        | 
|Net
    asset value, June 30, 2018                                   |  | $                             | 125.21 |                                                    |                            | $ | 140.68      |                                        | 
|                                                                     |  |                               |        |                                                    |                            |   |             |                                        | 
|Ratios
    to average net assets                                     |  |                               |        |                                                    |                            |   |             |                                        | 
|Net
    investment income/(loss)                                     |  |                               | -6.64  | %                                                  |                            |   | -3.64       | %                                      | 
|Expenses
    before incentive fees (3)(4)                            |  |                               | 6.73   | %                                                  |                            |   | 3.73        | %                                      | 
|Expenses
    after incentive fees (3)(4)                             |  |                               | 6.73   | %                                                  |                            |   | 3.73        | %                                      | 
|Total
    return before incentive fees (2)                           |  |                               | 0.22   | %                                                  |                            |   | 0.97        | %                                      | 
|Total
    return after incentive fees (2)                            |  |                               | 0.22   | %                                                  |                            |   | 0.97        | %                                      | 
|                                                                     |  |                               |        |                                                    |                            |   |             |                                        | 
|                                                                     |  | Frontier
    Winton Fund      |        |                                                    | Frontier
    Heritage Fund |   |             |                                        | 
|                                                                     |  | Class
    1                   |        | Class
                                         1AP |                            |   | Class
    2 |                                        | 
|Per
    unit operating performance (1)                               |  |                               |        |                                                    |                            |   |             |                                        | 
|Net
    asset value, March 31, 2018                                  |  | $                             | 144.60 |                                                    |                            | $ | 161.61      |                                        | 
|Net
    operating results:                                           |  |                               |        |                                                    |                            |   |             |                                        | 
|Interest
    income                                                  |  |                               | 0.00   |                                                    |                            |   | 0.00        |                                        | 
|Expenses                                                             |  |                               | (3.72  | )                                                  |                            |   | (2.95       | )                                      | 
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | 7.78   |                                                    |                            |   | 8.53        |                                        | 
|Net
    income/(loss)                                                |  |                               | 4.06   |                                                    |                            |   | 5.58        |                                        | 
|Net
    asset value, June 30, 2018                                   |  | $                             | 148.66 |                                                    |                            | $ | 167.19      |                                        | 
|                                                                     |  |                               |        |                                                    |                            |   |             |                                        | 
|Ratios
    to average net assets                                     |  |                               |        |                                                    |                            |   |             |                                        | 
|Net
    investment income/(loss)                                     |  |                               | -10.21 | %                                                  |                            |   | -7.20       | %                                      | 
|Expenses
    before incentive fees (3)(4)                            |  |                               | -10.21 | %                                                  |                            |   | 7.20        | %                                      | 
|Expenses
    after incentive fees (3)(4)                             |  |                               | -10.21 | %                                                  |                            |   | 7.20        | %                                      | 
|Total
    return before incentive fees (2)                           |  |                               | 2.81   | %                                                  |                            |   | 3.45        | %                                      | 
|Total
    return after incentive fees (2)                            |  |                               | 2.81   | %                                                  |                            |   | 3.45        | %                                      | 



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

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

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

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

51


Table of Contents


|                                                                     |  | Frontier
    Diversified Fund |        |   | Frontier
    Masters Fund  |   |        | Frontier
    Long/Short Commodity Fund |                         
|-------------------------------------------------------------------- |  | ----------------------------- | ------ | - | -------------------------- | - | ------ | -------------------------------------- | ------------------------
|                                                                     |  | Class
    1                   |        |   | Class
    2                |   |        | Class
    3                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, December 31, 2017                               |  | $                             | 116.41 |   |                            | $ | 135.19 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.10   |   |                            |   | 0.12   |                                        |                         
|Expenses                                                             |  |                               | (3.56  | ) |                            |   | (2.23  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (4.65  | ) |                            |   | (6.21  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (8.11  | ) |                            |   | (8.32  | )                                      |                         
|Net
    asset value, June 30, 2018                                   |  | $                             | 108.30 |   |                            | $ | 126.87 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets                                     |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -6.37  | % |                            |   | -3.33  | %                                      |                         
|Expenses
    before incentive fees (3)(4)                            |  |                               | 6.55   | % |                            |   | 3.51   | %                                      |                         
|Expenses
    after incentive fees (3)(4)                             |  |                               | 6.56   | % |                            |   | 3.52   | %                                      |                         
|Total
    return before incentive fees (2)                           |  |                               | -6.96  | % |                            |   | -6.14  | %                                      |                         
|Total
    return after incentive fees (2)                            |  |                               | -6.97  | % |                            |   | -6.15  | %                                      |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|                                                                     |  | Frontier
    Balanced Fund    |        |   |                            |   |        |                                        | Frontier
    Select Fund
|                                                                     |  | Class
    1                   |        |   | Class
    1AP              |   |        | Class
    2                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, December 31, 2017                               |  | $                             | 135.96 |   |                            | $ | 150.56 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.08   |   |                            |   | 0.08   |                                        |                         
|Expenses                                                             |  |                               | (4.67  | ) |                            |   | (3.10  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (6.16  | ) |                            |   | (6.86  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (10.75 | ) |                            |   | (9.88  | )                                      |                         
|Net
    asset value, June 30, 2018                                   |  | $                             | 125.21 |   |                            | $ | 140.68 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets                                     |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -6.94  | % |                            |   | -3.95  | %                                      |                         
|Expenses
    before incentive fees (3)(4)                            |  |                               | 6.72   | % |                            |   | 3.72   | %                                      |                         
|Expenses
    after incentive fees (3)(4)                             |  |                               | 7.06   | % |                            |   | 4.07   | %                                      |                         
|Total
    return before incentive fees (2)                           |  |                               | -7.56  | % |                            |   | -6.22  | %                                      |                         
|Total
    return after incentive fees (2)                            |  |                               | -7.91  | % |                            |   | -6.56  | %                                      |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|                                                                     |  | Frontier
    Winton Fund      |        |   | Frontier
    Heritage Fund |   |        |                                        |                         
|                                                                     |  | Class
    1                   |        |   | Class
    1AP              |   |        | Class
    2                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, December 31, 2017                               |  | $                             | 159.08 |   |                            | $ | 176.44 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.00   |   |                            |   | 0.00   |                                        |                         
|Expenses                                                             |  |                               | (7.15  | ) |                            |   | (5.46  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (3.27  | ) |                            |   | (3.79  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (10.42 | ) |                            |   | (9.25  | )                                      |                         
|Net
    asset value, June 30, 2018                                   |  | $                             | 148.66 |   |                            | $ | 167.19 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets                                     |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -9.53  | % |                            |   | -6.53  | %                                      |                         
|Expenses
    before incentive fees (3)(4)                            |  |                               | 9.53   | % |                            |   | 6.53   | %                                      |                         
|Expenses
    after incentive fees (3)(4)                             |  |                               | 9.53   | % |                            |   | 6.53   | %                                      |                         
|Total
    return before incentive fees (2)                           |  |                               | -6.55  | % |                            |   | -5.24  | %                                      |                         
|Total
    return after incentive fees (2)                            |  |                               | -6.55  | % |                            |   | -5.24  | %                                      |                         



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

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

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

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

52


Table of Contents


|                                                                     |  | Frontier
    Diversified Fund |        |   | Frontier
    Masters Fund  |   |        | Frontier
    Long/Short Commodity Fund |                         
|-------------------------------------------------------------------- |  | ----------------------------- | ------ | - | -------------------------- | - | ------ | -------------------------------------- | ------------------------
|                                                                     |  | Class
    1                   |        |   | Class
    2                |   |        | Class
    3                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, March 31, 2017                                  |  | $                             | 119.31 |   |                            | $ | 136.74 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.06   |   |                            |   | 0.06   |                                        |                         
|Expenses                                                             |  |                               | (2.43  | ) |                            |   | (1.33  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (5.21  | ) |                            |   | (6.86  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (7.58  | ) |                            |   | (8.12  | )                                      |                         
|Net
    asset value, June 30, 2017                                   |  | $                             | 111.73 |   |                            | $ | 128.62 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets (3)                                 |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -7.96  | % |                            |   | -3.68  | %                                      |                         
|Expenses
    before incentive fees (rebate) (4)(5)                   |  |                               | 8.15   | % |                            |   | 3.87   | %                                      |                         
|Expenses
    after incentive fees (rebate) (4)(5)                    |  |                               | 8.15   | % |                            |   | 3.87   | %                                      |                         
|Total
    return before incentive fees (rebate) (2)                  |  |                               | -6.35  | % |                            |   | -5.94  | %                                      |                         
|Total
    return after incentive fees (rebate) (2)                   |  |                               | -6.35  | % |                            |   | -5.94  | %                                      |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|                                                                     |  | Frontier
    Balanced Fund    |        |   |                            |   |        |                                        | Frontier
    Select Fund
|                                                                     |  | Class
    1                   |        |   | Class
    1AP              |   |        | Class
    2                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, March 31, 2017                                  |  | $                             | 137.81 |   |                            | $ | 149.29 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.00   |   |                            |   | 0.00   |                                        |                         
|Expenses                                                             |  |                               | (2.60  | ) |                            |   | (1.70  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (5.37  | ) |                            |   | (5.88  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (7.97  | ) |                            |   | (7.58  | )                                      |                         
|Net
    asset value, June 30, 2017                                   |  | $                             | 129.84 |   |                            | $ | 141.71 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets (3)                                 |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -7.57  | % |                            |   | -4.56  | %                                      |                         
|Expenses
    before incentive fees (rebate) (4)(5)                   |  |                               | 7.57   | % |                            |   | 4.56   | %                                      |                         
|Expenses
    after incentive fees (rebate) (4)(5)                    |  |                               | 7.57   | % |                            |   | 4.56   | %                                      |                         
|Total
    return before incentive fees (rebate) (2)                  |  |                               | -5.78  | % |                            |   | -5.08  | %                                      |                         
|Total
    return after incentive fees (rebate) (2)                   |  |                               | -5.78  | % |                            |   | -5.08  | %                                      |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|                                                                     |  | Frontier
    Winton Fund      |        |   | Frontier
    Heritage Fund |   |        |                                        |                         
|                                                                     |  | Class
    1                   |        |   | Class
    1AP              |   |        | Class
    2                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, March 31, 2017                                  |  | $                             | 152.93 |   |                            | $ | 165.26 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.00   |   |                            |   | 0.00   |                                        |                         
|Expenses                                                             |  |                               | (3.38  | ) |                            |   | (2.45  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (5.46  | ) |                            |   | (5.55  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (8.84  | ) |                            |   | (8.00  | )                                      |                         
|Net
    asset value, June 30, 2017                                   |  | $                             | 144.09 |   |                            | $ | 157.26 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets (3)                                 |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -9.06  | % |                            |   | -6.05  | %                                      |                         
|Expenses
    before incentive fees (rebate) (4)(5)                   |  |                               | 9.06   | % |                            |   | 6.05   | %                                      |                         
|Expenses
    after incentive fees (rebate) (4)(5)                    |  |                               | 9.06   | % |                            |   | 6.05   | %                                      |                         
|Total
    return before incentive fees (rebate) (2)                  |  |                               | -5.78  | % |                            |   | -4.84  | %                                      |                         
|Total
    return after incentive fees (rebate) (2)                   |  |                               | -5.78  | % |                            |   | -4.84  | %                                      |                         



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

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

| | (3) | Annualized
with the exception of incentive fees.
| | --- | ------------------------------------------------

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

| | (5) | Expense
ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses
been included. The impact of those fees are included in the total return.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

53


Table of Contents


|                                                                     |  | Frontier
    Diversified Fund |        |   | Frontier
    Masters Fund  |   |        | Frontier
    Long/Short Commodity Fund |                         
|-------------------------------------------------------------------- |  | ----------------------------- | ------ | - | -------------------------- | - | ------ | -------------------------------------- | ------------------------
|                                                                     |  | Class
    1                   |        |   | Class
    2                |   |        | Class
    3                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, December 31, 2016                               |  | $                             | 116.43 |   |                            | $ | 132.94 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.22   |   |                            |   | 0.25   |                                        |                         
|Expenses                                                             |  |                               | (4.50  | ) |                            |   | (2.34  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (0.42  | ) |                            |   | (2.23  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (4.70  | ) |                            |   | (4.32  | )                                      |                         
|Net
    asset value, June 30, 2017                                   |  | $                             | 111.73 |   |                            | $ | 128.62 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets (3)                                 |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -7.39  | % |                            |   | -3.22  | %                                      |                         
|Expenses
    before incentive fees (rebate) (4)(5)                   |  |                               | 7.87   | % |                            |   | 3.70   | %                                      |                         
|Expenses
    after incentive fees (rebate) (4)(5)                    |  |                               | 7.75   | % |                            |   | 3.58   | %                                      |                         
|Total
    return before incentive fees (rebate) (2)                  |  |                               | -4.15  | % |                            |   | -3.37  | %                                      |                         
|Total
    return after incentive fees (rebate) (2)                   |  |                               | -4.04  | % |                            |   | -3.25  | %                                      |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|                                                                     |  | Frontier
    Balanced Fund    |        |   |                            |   |        |                                        | Frontier
    Select Fund
|                                                                     |  | Class
    1                   |        |   | Class
    1AP              |   |        | Class
    2                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, December 31, 2016                               |  | $                             | 134.80 |   |                            | $ | 144.97 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.00   |   |                            |   | 0.00   |                                        |                         
|Expenses                                                             |  |                               | (4.54  | ) |                            |   | (2.73  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (0.42  | ) |                            |   | (0.53  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (4.96  | ) |                            |   | (3.26  | )                                      |                         
|Net
    asset value, June 30, 2017                                   |  | $                             | 129.84 |   |                            | $ | 141.71 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets (3)                                 |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -6.69  | % |                            |   | -3.72  | %                                      |                         
|Expenses
    before incentive fees (rebate) (4)(5)                   |  |                               | 6.69   | % |                            |   | 3.72   | %                                      |                         
|Expenses
    after incentive fees (rebate) (4)(5)                    |  |                               | 6.69   | % |                            |   | 3.72   | %                                      |                         
|Total
    return before incentive fees (rebate) (2)                  |  |                               | -3.68  | % |                            |   | -2.25  | %                                      |                         
|Total
    return after incentive fees (rebate) (2)                   |  |                               | -3.68  | % |                            |   | -2.25  | %                                      |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|                                                                     |  | Frontier
    Winton Fund      |        |   | Frontier
    Heritage Fund |   |        |                                        |                         
|                                                                     |  | Class
    1                   |        |   | Class
    1AP              |   |        | Class
    2                            |                         
|Per
    unit operating performance (1)                               |  |                               |        |   |                            |   |        |                                        |                         
|Net
    asset value, December 31, 2016                               |  | $                             | 154.51 |   |                            | $ | 166.17 |                                        |                         
|Net
    operating results:                                           |  |                               |        |   |                            |   |        |                                        |                         
|Interest
    income                                                  |  |                               | 0.00   |   |                            |   | 0.00   |                                        |                         
|Expenses                                                             |  |                               | (6.43  | ) |                            |   | (4.54  | )                                      |                         
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | (3.99  | ) |                            |   | (4.37  | )                                      |                         
|Net
    income/(loss)                                                |  |                               | (10.42 | ) |                            |   | (8.91  | )                                      |                         
|Net
    asset value, June 30, 2017                                   |  | $                             | 144.09 |   |                            | $ | 157.26 |                                        |                         
|                                                                     |  |                               |        |   |                            |   |        |                                        |                         
|Ratios
    to average net assets (3)                                 |  |                               |        |   |                            |   |        |                                        |                         
|Net
    investment income/(loss)                                     |  |                               | -8.71  | % |                            |   | -5.75  | %                                      |                         
|Expenses
    before incentive fees (rebate) (4)(5)                   |  |                               | 8.88   | % |                            |   | 5.91   | %                                      |                         
|Expenses
    after incentive fees (rebate) (4)(5)                    |  |                               | 8.71   | % |                            |   | 5.75   | %                                      |                         
|Total
    return before incentive fees (rebate) (2)                  |  |                               | -6.91  | % |                            |   | -5.53  | %                                      |                         
|Total
    return after incentive fees (rebate) (2)                   |  |                               | -6.74  | % |                            |   | -5.36  | %                                      |                         



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

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

| | (3) | Annualized
with the exception of incentive fees.
| | --- | ------------------------------------------------

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

| | (5) | Expense
ratios do not include management and incentive fees at the Galaxy Plus entities. The ratios would have been higher had those expenses
been included. The impact of those fees are included in the total return.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

54


Table of Contents


8.
Derivative Instruments and Hedging Activities



The
Series primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including
interbank foreign Currencies), options contracts and other derivative instruments (including swap contracts). The Series do not
enter into or hold positions for hedging purposes as defined under ASC 815, Derivatives and Hedging (ASC 815).
The detail of the fair value of the Series derivatives by instrument types as of June 30, 2018 and December 31, 2017 is
included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series position in
swap contracts.



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



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



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



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



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

55


Table of Contents


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



|Realized Trading Revenue from Futures, Forwards and Options
|-----------------------------------------------------------
|for the Three Months Ended June 30, 2018                   



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



|Realized Trading Revenue from Futures, Forwards and Options
|-----------------------------------------------------------
|for the Three Months Ended June 30, 2017                   



|                                  |  | Frontier Balanced |          |   | Frontier Select |   |          | Frontier Winton | 
|--------------------------------- |  | ----------------- | -------- | - | --------------- | - | -------- | --------------- | 
|Type of contract                  |  | Fund              |          |   | Fund            |   |          | Fund            | 
|Metals                            |  | $                 | (63,053  | ) |                 | $ | (147,874 | )               | 
|Currencies                        |  |                   | (5,208   | ) |                 |   | (421,861 | )               | 
|Energies                          |  |                   | 62,147   |   |                 |   | (323,598 | )               | 
|Agriculturals                     |  |                   | (64,480  | ) |                 |   | 343,408  |                 | 
|Interest rates                    |  |                   | (265,202 | ) |                 |   | (248,354 | )               | 
|Stock indices                     |  |                   | 60,738   |   |                 |   | (70,118  | )               | 
|Realized trading income/(loss)(1) |  | $                 | (275,058 | ) |                 | $ | (868,397 | )               | 



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



|Unrealized Trading Revenue from Futures, Forwards and Options
|-------------------------------------------------------------
|for the Three Months Ended June 30, 2018                     



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



|Unrealized Trading Revenue from Futures, Forwards and Options
|-------------------------------------------------------------
|for the Three Months Ended June 30, 2017                     



|                                              |  | Frontier Balanced |          |   | Frontier Select |   |          | Frontier Winton | 
|--------------------------------------------- |  | ----------------- | -------- | - | --------------- | - | -------- | --------------- | 
|Type of contract                              |  | Fund              |          |   | Fund            |   |          | Fund            | 
|Metals                                        |  | $                 | (52,828  | ) |                 | $ | (9,063   | )               | 
|Currencies                                    |  |                   | (96,959  | ) |                 |   | (262,704 | )               | 
|Energies                                      |  |                   | 10,716   |   |                 |   | 104,687  |                 | 
|Agriculturals                                 |  |                   | (153,701 | ) |                 |   | (146,505 | )               | 
|Interest rates                                |  |                   | 85,379   |   |                 |   | (63,344  | )               | 
|Stock indices                                 |  |                   | (42,702  | ) |                 |   | 502,819  |                 | 
|Change in unrealized trading income/(loss)(1) |  | $                 | (250,095 | ) |                 | $ | 125,890  |                 | 



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

56


Table of Contents


|Realized Trading Revenue from Futures, Forwards and Options
|-----------------------------------------------------------
|for the Six Months Ended June 30, 2018                     



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



|Realized Trading Revenue from Futures, Forwards and Options
|-----------------------------------------------------------
|for the Six Months Ended June 30, 2017                     



|                                  |  | Frontier Balanced |          |   | Frontier Select |   |          | Frontier Winton | 
|--------------------------------- |  | ----------------- | -------- | - | --------------- | - | -------- | --------------- | 
|Type of contract                  |  | Fund              |          |   | Fund            |   |          | Fund            | 
|Metals                            |  | $                 | (77,540  | ) |                 | $ | (145,043 | )               | 
|Currencies                        |  |                   | (180,217 | ) |                 |   | (126,402 | )               | 
|Energies                          |  |                   | 36,154   |   |                 |   | (516,253 | )               | 
|Agriculturals                     |  |                   | (253,991 | ) |                 |   | 27,824   |                 | 
|Interest rates                    |  |                   | (452,270 | ) |                 |   | (768,438 | )               | 
|Stock indices                     |  |                   | 276,695  |   |                 |   | 832,876  |                 | 
|Realized trading income/(loss)(1) |  | $                 | (651,169 | ) |                 | $ | (695,436 | )               | 



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



|Unrealized Trading Revenue from Futures, Forwards and Options
|-------------------------------------------------------------
|for the Six Months Ended June 30, 2018                       



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



|Unrealized Trading Revenue from Futures, Forwards and Options
|-------------------------------------------------------------
|for the Six Months Ended June 30, 2017                       



|                                              |  | Frontier Balanced |          |   | Frontier Select |   |          | Frontier Winton | 
|--------------------------------------------- |  | ----------------- | -------- | - | --------------- | - | -------- | --------------- | 
|Type of contract                              |  | Fund              |          |   | Fund            |   |          | Fund            | 
|Metals                                        |  | $                 | (151,669 | ) |                 | $ | (51,351  | )               | 
|Currencies                                    |  |                   | (1,088   | ) |                 |   | (370,286 | )               | 
|Energies                                      |  |                   | 3,323    |   |                 |   | (146,125 | )               | 
|Agriculturals                                 |  |                   | (156,672 | ) |                 |   | 108,409  |                 | 
|Interest rates                                |  |                   | 6,812    |   |                 |   | (296,328 | )               | 
|Stock indices                                 |  |                   | (19,904  | ) |                 |   | 609,833  |                 | 
|Change in unrealized trading income/(loss)(1) |  | $                 | (319,198 | ) |                 | $ | (145,848 | )               | 



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

57


Table of Contents


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



The
following tables present gross and net information about the Series assets and liabilities subject to master netting arrangements
as disclosed on the statements of financial condition as of June 30, 2018 and December 31, 2017.



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

58


Table of Contents


|As of December
    31, 2017            |  |                       |            |  |                         |   |          | Net
    Amounts      | 
|-------------------------------------- |  | --------------------- | ---------- |  | ----------------------- | - | -------- | -------------------- | 
|                                       |  |                       |            |  | Gross
    Amounts       |   |          | Presented
    in the | 
|                                       |  | Gross
    Amounts     |            |  | offset
    in the       |   |          | Statements
    of    | 
|                                       |  | of
    recognized     |            |  | Statements
    of       |   |          | Financial            | 
|                                       |  | Derivative
    Assets |            |  | Financial
    Condition |   |          | Condition            | 
|Frontier Balanced
    Fund             |  |                       |            |  |                         |   |          |                      | 
|Open Trade
    Equity/(Deficit)        |  | $                     | 343,222    |  |                         | $ | (164,670 | )                    | 
|Swap Contracts                         |  |                       | 11,340,959 |  |                         |   | —        |                      | 
|                                       |  |                       |            |  |                         |   |          |                      | 
|Frontier Diversified
    Fund          |  |                       |            |  |                         |   |          |                      | 
|Swap Contracts                         |  | $                     | 6,376,472  |  |                         | $ | —        |                      | 
|                                       |  |                       |            |  |                         |   |          |                      | 
|Frontier
    Long/Short Commodity Fund |  |                       |            |  |                         |   |          |                      | 
|Swap Contracts                         |  | $                     | 397,039    |  |                         | $ | —        |                      | 
|                                       |  |                       |            |  |                         |   |          |                      | 
|Frontier Heritage
    Fund             |  |                       |            |  |                         |   |          |                      | 
|Swap Contracts                         |  | $                     | 3,094,367  |  |                         | $ | —        |                      | 



9.
Trading Activities and Related Risks



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



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



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



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



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



10.
Indemnifications and Guarantees noted in Management Discussion and Analysis



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



11.
Subsequent Events



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

59


Table of Contents


|Frontier
    Funds                                 
|---------------------------------------------------
|Consolidated
    Statements of Financial Condition 
|June
    30, 2018 (unaudited) and December 31, 2017



|                                                               |  | 6/30/18 |            |  | 12/31/17 |  
|-------------------------------------------------------------- |  | ------- | ---------- |  | -------- | -
|                                                               |  |         |            |  |          |  
|ASSETS                                                         |  |         |            |  |          |  
|                                                               |  |         |            |  |          |  
|Cash
    and cash equivalents                                  |  | $       | 1,358,371  |  |          | $
|U.S.
    Treasury securities, at fair value                    |  |         | 13,553,995 |  |          |  
|Receivable
    from futures commission merchants               |  |         | 9,715,270  |  |          |  
|Open
    trade equity, at fair value                           |  |         | 1,070,026  |  |          |  
|Incentive
    fee receivable                                   |  |         | 57,082     |  |          |  
|Swap
    contracts, at fair value                              |  |         | 19,697,168 |  |          |  
|Investments
    in private investment companies, at fair value |  |         | 53,040,972 |  |          |  
|Interest
    receivable                                        |  |         | 277,320    |  |          |  
|Due
    from Managing Owner                                    |  |         | —          |  |          |  
|Receivables
    from related party                             |  |         | —          |  |          |  
|                                                               |  |         |            |  |          |  
|Total
    Assets                                               |  | $       | 98,770,204 |  |          | $
|                                                               |  |         |            |  |          |  
|LIABILITIES
    & CAPITAL                                      |  |         |            |  |          |  
|                                                               |  |         |            |  |          |  
|LIABILITIES                                                    |  |         |            |  |          |  
|Owner
    redemptions payable                                  |  | $       | 250,002    |  |          | $
|Incentive
    fees payable to Managing Owner                   |  |         | —          |  |          |  
|Management
    fees payable to Managing Owner                  |  |         | 75,630     |  |          |  
|Interest
    payable to Managing Owner                         |  |         | 21,505     |  |          |  
|Trading
    fees payable to Managing Owner                     |  |         | 109,219    |  |          |  
|Service
    fees payable to Managing Owner                     |  |         | 238,409    |  |          |  
|Risk
    analysis fees payable                                 |  |         | 21,444     |  |          |  
|Advance
    on unrealized Swap Appreciation                    |  |         | 9,441,555  |  |          |  
|Other
    liabilities                                          |  |         | 269,330    |  |          |  
|                                                               |  |         |            |  |          |  
|Total
    Liabilities                                          |  |         | 10,427,094 |  |          |  
|                                                               |  |         |            |  |          |  
|OWNERS
    CAPITAL                                             |  |         |            |  |          |  
|Managing
    Owner Units                                       |  |         | 898,763    |  |          |  
|Limited
    Owner Units                                        |  |         | 87,444,347 |  |          |  
|                                                               |  |         |            |  |          |  
|Total
    Owners Capital                                       |  |         | 88,343,110 |  |          |  
|                                                               |  |         |            |  |          |  
|Total
    Liabilities and Owners Capital                       |  | $       | 98,770,204 |  |          | $



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

60


Table of Contents


|Frontier
    Funds                                
|--------------------------------------------------
|Consolidated
    Condensed Schedule of Investments
|6/30/2018
    (unaudited)                         



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



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

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

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



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

61


Table of Contents


|Frontier
    Funds                                
|--------------------------------------------------
|Consolidated
    Condensed Schedule of Investments
|December
    31, 2017                             



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



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

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

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



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

62


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|Frontier
    Funds                                               
|-----------------------------------------------------------------
|Consolidated
    Statements of Operations                        
|For
    the Three Months Ended June 30, 2018 and 2017 (unaudited)



|                                                                             |  | 2018 |            |   | 2017 |  
|---------------------------------------------------------------------------- |  | ---- | ---------- | - | ---- | -
|                                                                             |  |      |            |   |      |  
|Investment
    income:                                                       |  |      |            |   |      |  
|Interest
    - net                                                           |  | $    | 56,231     |   |      | $
|                                                                             |  |      |            |   |      |  
|Total
    Income                                                             |  |      | 56,231     |   |      |  
|                                                                             |  |      |            |   |      |  
|Expenses:                                                                    |  |      |            |   |      |  
|Incentive
    Fees (rebate)                                                  |  |      | —          |   |      |  
|Management
    Fees                                                          |  |      | 230,232    |   |      |  
|Risk
    analysis Fees                                                       |  |      | 20,922     |   |      |  
|Service
    Fees - Class 1                                                   |  |      | 411,318    |   |      |  
|Trading
    Fees                                                             |  |      | 761,690    |   |      |  
|Other
    Fees                                                               |  |      | —          |   |      |  
|                                                                             |  |      |            |   |      |  
|Total
    Expenses                                                           |  |      | 1,424,162  |   |      |  
|                                                                             |  |      |            |   |      |  
|Investment
    income/(loss) - net                                           |  |      | (1,367,931 | ) |      |  
|                                                                             |  |      |            |   |      |  
|Realized
    and unrealized gain/(loss) on investments:                      |  |      |            |   |      |  
|Net
    realized gain/(loss) on futures, forwards and options                |  |      | 715,860    |   |      |  
|Net
    unrealized gain/(loss) on private investment companies               |  |      | 1,333,361  |   |      |  
|Net
    realized gain/(loss) on private investment companies                 |  |      | (421,358   | ) |      |  
|Net
    change in open trade equity/(deficit)                                |  |      | 249,677    |   |      |  
|Net
    unrealized gain/(loss) on swap contracts                             |  |      | 56,022     |   |      |  
|Net
    realized gain/(loss) on U.S. Treasury securities                     |  |      | (112,843   | ) |      |  
|Net
    unrealized gain/(loss) on U.S. Treasury securities                   |  |      | 34,631     |   |      |  
|Trading
    commissions                                                      |  |      | (32,749    | ) |      |  
|                                                                             |  |      |            |   |      |  
|Net
    gain/(loss) on investments                                           |  |      | 1,822,601  |   |      |  
|                                                                             |  |      |            |   |      |  
|NET
    INCREASE/(DECREASE) IN OWNERS CAPITAL RESULTING
    FROM OPERATIONS |  | $    | 454,670    |   |      | $



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

63


Table of Contents


|Frontier
    Funds                                             
|---------------------------------------------------------------
|Consolidated
    Statements of Operations                      
|For
    the Six Months Ended June 30, 2018 and 2017 (unaudited)



|                                                                             |  | 2018 |            |   | 2017 |  
|---------------------------------------------------------------------------- |  | ---- | ---------- | - | ---- | -
|                                                                             |  |      |            |   |      |  
|Investment
    income:                                                       |  |      |            |   |      |  
|Interest
    - net                                                           |  | $    | 116,557    |   |      | $
|                                                                             |  |      |            |   |      |  
|Total
    Income                                                             |  |      | 116,557    |   |      |  
|                                                                             |  |      |            |   |      |  
|Expenses:                                                                    |  |      |            |   |      |  
|Incentive
    Fees (rebate)                                                  |  |      | 148,409    |   |      |  
|Management
    Fees                                                          |  |      | 461,121    |   |      |  
|Risk
    analysis Fees                                                       |  |      | 43,720     |   |      |  
|Service
    Fees - Class 1                                                   |  |      | 877,098    |   |      |  
|Trading
    Fees                                                             |  |      | 1,632,215  |   |      |  
|Other
    Fees                                                               |  |      | —          |   |      |  
|                                                                             |  |      |            |   |      |  
|Total
    Expenses                                                           |  |      | 3,162,563  |   |      |  
|                                                                             |  |      |            |   |      |  
|Investment
    income/(loss) - net                                           |  |      | (3,046,006 | ) |      |  
|                                                                             |  |      |            |   |      |  
|Realized
    and unrealized gain/(loss) on investments:                      |  |      |            |   |      |  
|Net
    realized gain/(loss) on futures, forwards and options                |  |      | (38,891    | ) |      |  
|Net
    unrealized gain/(loss) on private investment companies               |  |      | (7,806,201 | ) |      |  
|Net
    realized gain/(loss) on private investment companies                 |  |      | 423,435    |   |      |  
|Net
    change in open trade equity/(deficit)                                |  |      | (514,240   | ) |      |  
|Net
    unrealized gain/(loss) on swap contracts                             |  |      | 1,588,330  |   |      |  
|Net
    realized gain/(loss) on U.S. Treasury securities                     |  |      | (401,667   | ) |      |  
|Net
    unrealized gain/(loss) on U.S. Treasury securities                   |  |      | 21,019     |   |      |  
|Trading
    commissions                                                      |  |      | (51,747    | ) |      |  
|                                                                             |  |      |            |   |      |  
|Net
    gain/(loss) on investments                                           |  |      | (6,779,962 | ) |      |  
|                                                                             |  |      |            |   |      |  
|NET
    INCREASE/(DECREASE) IN OWNERS CAPITAL RESULTING
    FROM OPERATIONS |  | $    | (9,825,968 | ) |      | $



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

64


Table of Contents


|Frontier
    Funds                                       
|---------------------------------------------------------
|Consolidated
    Statements of Changes in Owners Capital
|For
    the Six Months Ended June 30, 2018 (Unaudited)   



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



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



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

65


Table of Contents


|Frontier
    Funds                                             
|---------------------------------------------------------------
|Consolidated
    Statements of Cash Flows                      
|For
    the Six Months Ended June 30, 2018 and 2017 (unaudited)



|                                                                                                                                                  |  | 2018 |             |   | 2017 |  
|------------------------------------------------------------------------------------------------------------------------------------------------- |  | ---- | ----------- | - | ---- | -
|                                                                                                                                                  |  |      |             |   |      |  
|Cash
    Flows from Operating Activities:                                                                                                         |  |      |             |   |      |  
|Net
    increase/(decrease) in capital resulting from operations                                                                                  |  | $    | (9,825,968  | ) |      | $
|Adjustments
    to reconcile net increase/(decrease) in capital resulting from operations to net cash provided by (used in) operating activities: |  |      |             |   |      |  
|Change
    in:                                                                                                                                    |  |      |             |   |      |  
|Net
    change in open trade equity                                                                                                               |  |      | 498,388     |   |      |  
|Net
    change in ownership allocation of U.S. Treasury Securities                                                                                |  |      | —           |   |      |  
|Net
    unrealized (gain)/loss on swap contracts                                                                                                  |  |      | (1,588,330  | ) |      |  
|Net
    unrealized (gain)/loss on U.S. Treasury securities                                                                                        |  |      | (21,019     | ) |      |  
|Net
    realized (gain)/loss on U.S. Treasuries securities                                                                                        |  |      | 401,667     |   |      |  
|Net
    unrealized (gain)/loss on private investment companies                                                                                    |  |      | 7,806,201   |   |      |  
|Net
    realized (gain)/loss on private investment companies                                                                                      |  |      | (423,435    | ) |      |  
|(Purchases)
    sales of:                                                                                                                         |  |      |             |   |      |  
|(Purchases)
    of U.S. Treasury securities                                                                                                       |  |      | 13,523,255  |   |      |  
|Sales
    of U.S. Treasury securities                                                                                                             |  |      | (16,729,100 | ) |      |  
|(Purchases)
    of Private Investment Companies                                                                                                   |  |      | (17,440,372 | ) |      |  
|Sales
    of Private Investment Companies                                                                                                         |  |      | 23,949,869  |   |      |  
|Reduction
    of collateral in Swap contracts                                                                                                     |  |      | 3,100,000   |   |      |  
|U.S.
    Treasury interest and premium paid/amortized                                                                                             |  |      | 158,988     |   |      |  
|Increase
    and/or decrease in:                                                                                                                  |  |      |             |   |      |  
|Receivable
    from futures commission merchants                                                                                                  |  |      | 10,869,332  |   |      |  
|Interest
    receivable                                                                                                                           |  |      | (62,590     | ) |      |  
|Receivable
    from related parties                                                                                                               |  |      | 58,146      |   |      |  
|Other
    assets                                                                                                                                  |  |      | —           |   |      |  
|Incentive
    fees payable to Managing Owner                                                                                                      |  |      | (53,036     | ) |      |  
|Management
    fees payable to Managing Owner                                                                                                     |  |      | (15,342     | ) |      |  
|Interest
    payable to Managing Owner                                                                                                            |  |      | (4,502      | ) |      |  
|Trading
    fees payable to Managing Owner                                                                                                        |  |      | (225,266    | ) |      |  
|Service
    fees payable to Managing Owner                                                                                                        |  |      | 89,964      |   |      |  
|Due
    from Managing Owner                                                                                                                       |  |      | 31,887      |   |      |  
|Risk
    analysis fees payable                                                                                                                    |  |      | (4,132      | ) |      |  
|Payables
    to related parties                                                                                                                   |  |      | —           |   |      |  
|Other
    liabilities                                                                                                                             |  |      | (9,653      | ) |      |  
|                                                                                                                                                  |  |      |             |   |      |  
|Net
    cash provided by operating activities                                                                                                     |  |      | 14,084,952  |   |      |  
|Cash
    Flows from Financing Activities:                                                                                                         |  |      |             |   |      |  
|                                                                                                                                                  |  |      |             |   |      |  
|Proceeds
    from sale of capital                                                                                                                 |  |      | —           |   |      |  
|Payment
    for redemption of capital                                                                                                             |  |      | (15,595,187 | ) |      |  
|Redemptions
    payable                                                                                                                           |  |      | 173,229     |   |      |  
|                                                                                                                                                  |  |      |             |   |      |  
|Net
    cash used in financing activities                                                                                                         |  |      | (15,421,958 | ) |      |  
|                                                                                                                                                  |  |      |             |   |      |  
|Net
    increase (decrease) in cash and cash equivalents                                                                                          |  |      | (1,337,006  | ) |      |  
|                                                                                                                                                  |  |      |             |   |      |  
|Cash
    and cash equivalents, beginning of period                                                                                                |  |      | 2,695,377   |   |      |  
|Cash
    and cash equivalents, end of period                                                                                                      |  | $    | 1,358,371   |   |      | $



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

66


Table of Contents


Frontier
Funds

Notes
to Consolidated Financial Statements (Unaudited)



| | 1. | Organization
                                         and Purpose
| | -- | -----------------------------------------------------------------



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



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



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



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



The
Trust, with respect to each Series:



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



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



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



| | ● | calculates
    the Net Asset Value (NAV) of its Units for each Series separately from the other Series;
| | - | ---------------------------------------------------------------------------------------------------------



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

67


Table of Contents


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



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



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

68


Table of Contents


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



As
of June 30, 2018, Frontier Winton Fund has invested a portion of its assets into two Trading Companies, and a single Trading
Advisor manages 100% of the assets invested in each of these Trading Companies. Each of the remaining Series has invested a portion of its
assets in several different Trading Companies or Galaxy Plus entities and one or more Trading Advisors may manage the assets invested
in such Trading Companies or Galaxy Plus entities.



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



| | 2. | Significant
Accounting Policies
| | -- | -------------------------------



The
following are the significant accounting policies of the Trust.



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



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

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



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



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



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



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

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



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



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



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



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



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



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

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



Income
Taxes—The Trust applies the provisions of ASC 740 Income Taxes(ASC 740), which provides guidance
for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. This interpretation
also provides guidance on derecognition, classification, interest and penalties, accounting in interim periods and disclosure.
ASC 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing the Trusts financial
statements to determine whether the tax positions are more-likely-than-not of being sustained by the applicable
tax authority. Tax positions with respect to tax at the Trusts level not deemed to meet the more-likely-than-not
threshold would be recorded as a tax benefit or expense in the current year. The Managing Owner has concluded there is no tax
expense, interest or penalties to be recorded by the Trust for the year ended December 31, 2017. The 2014 through 2017 tax years
generally remain subject to examination by U.S. federal and most state tax authorities.



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



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



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

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



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



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



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



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



| | 3. | Fair
Value Measurements
| | -- | -----------------------



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



Level
1 Inputs



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

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Level
2 Inputs



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



Level
3 Inputs



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



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



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



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



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

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The
following table summarizes the instruments that comprise the Trust financial asset portfolio, by Series, measured at fair value
on a recurring basis as of June 30, 2018 and December 31, 2017 segregated by the level of valuation inputs within the fair value
hierarchy utilized to measure fair value.





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



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

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|                                                            |  | For the Six months ended June 30, 2018 |            
|----------------------------------------------------------- |  | -------------------------------------- | -----------
|                                                            |  |                                        |            
|Balance of recurring Level 3 assets as of January 1, 2018   |  |                                        | 21,208,838 
|Total gains or losses (realized/unrealized):                |  |                                        |            
|Included in earnings-realized                               |  |                                        | —          
|Included in earnings-unrealized                             |  |                                        | 1,588,330  
|Proceeds from collateral reduction                          |  |                                        | (3,100,000 
|Purchase of investments                                     |  |                                        | —          
|Sale of investments                                         |  |                                        | —          
|Transfers in and/or out of Level 3                          |  |                                        | —          
|                                                            |  |                                        |            
|Balance of recurring Level 3 assets as of June 30, 2018     |  |                                        | 19,697,168 
|                                                            |  |                                        |            
|                                                            |  | For the Year ended December 31, 2017   |            
|                                                            |  |                                        |            
|Balance of recurring Level 3 assets as of January 1, 2017   |  | $                                      | 40,189,178 
|Total gains or losses (realized/unrealized):                |  |                                        |            
|Included in earnings-realized                               |  |                                        | —          
|Included in earnings-unrealized                             |  |                                        | (402,290   
|Proceeds from collateral reduction                          |  |                                        | (18,578,050
|Purchase of investments                                     |  |                                        | —          
|Sale of investments                                         |  |                                        | —          
|Transfers in and/or out of Level 3                          |  |                                        | —          
|                                                            |  |                                        |            
|Balance of recurring Level 3 assets as of December 31, 2017 |  | $                                      | 21,208,838 



The
Trust assesses the levels of the investments at each measurement date, and transfers between levels are recognized on the actual
date of the event or change in circumstances that caused the transfer in accordance with the Trusts accounting policy regarding
the recognition of transfers between levels of the fair value hierarchy. During the six months ended June 30, 2018, the Trust
did not transfer any assets between Levels 1, 2 and 3.



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



|Swap contracts |  | $ | 1,588,330 | 
|-------------- |  | - | --------- | 



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



|Swap contracts |  | $ | (402,290 | )
|-------------- |  | - | -------- | -

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| | 4. | Swaps
Contracts
| | -- | ---------------



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



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



The
Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole
discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The
procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to
initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing
Owners minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined
by the rating agencies. As of June 30, 2018 and December 31, 2017, approximately 1.34% or $1,180,900 and 3.80% or $4,284,450,
respectively, of the Trusts assets were deposited with over-the-counter counterparties in order to initiate and maintain
swaps and is recorded as Swap Contracts, at fair value on the Statements of Financial Condition of the Trust. This cash held with
the counterparty is not restricted.



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



The
Trust had invested in the following swap contracts as of and for the six months ended June 30, 2018:



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



77


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



|                                 |  | XXXIV Balanced select swap |  | XXXV Diversified select swap |  | XXXVII L/S select swap |  | XXXIX Brevan Howard
|-------------------------------- |  | -------------------------- |  | ---------------------------- |  | ---------------------- |  | -------------------
|                                 |  | Total Return Swap          |  | Total Return Swap            |  | Total Return Swap      |  | Total Return Swap  
|Counterparty                     |  | DeutscheBank AG            |  | DeutscheBank AG              |  | DeutscheBank AG        |  | DeutscheBank AG    
|Notional Amount                  |  | $13,373,629                |  | $4,651,155                   |  | $653,610               |  | $2,072,056         
|Termination Date                 |  | 8/2/2018                   |  | 8/2/2018                     |  | 8/7/2018               |  | 3/26/2018          
|Cash Collateral                  |  | $2,086,000                 |  | $1,186,000                   |  | $29,950                |  | $982,500           
|Swap Value                       |  | $9,254,959                 |  | $5,190,472                   |  | $367,089               |  | $2,111,867         
|Investee Returns                 |  | Total Returns              |  | Total Returns                |  | Total Returns          |  | Total Returns      
|Realized Gain/(Loss)             |  | $0                         |  | $0                           |  | $0                     |  | $0                 
|Change in Unrealized Gain/(Loss) |  | ($84,491)                  |  | ($47,375)                    |  | $26,621                |  | ($297,047)         
|Fair Value as of 12/31/2017      |  | $11,340,959                |  | $6,376,472                   |  | $397,039               |  | $3,094,367         
|Advance on swap appreciation     |  | ($4,926,555)               |  | ($2,500,000)                 |  | ($115,000)             |  | ($1,900,000)       





| | 5. | Investments
in Private Investment Companies
| | -- | -------------------------------------------



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



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



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



|                                                                |  |             |          |   | Thee Months Ended June 30, 2018 |   |          |             |  |   |            |   |  | Three Months Ended June 30, 2017 |          |   |             |  
|--------------------------------------------------------------- |  | ----------- | -------- | - | ------------------------------- | - | -------- | ----------- |  | - | ---------- | - |  | -------------------------------- | -------- | - | ----------- | -
|                                                                |  |             |          |   |                                 |   |          | Change in   |  |   |            |   |  |                                  |          |   |             |  
|                                                                |  | Trading     |          |   | Realized                        |   |          | Unrealized  |  |   | Net Income |   |  | Trading                          |          |   | Realized    |  
|                                                                |  | Commissions |          |   | Gain/(Loss)                     |   |          | Gain/(Loss) |  |   | (Loss)     |   |  | Commissions                      |          |   | Gain/(Loss) |  
|                                                                |  |             |          |   |                                 |   |          |             |  |   |            |   |  |                                  |          |   |             |  
|Galaxy Plus
    Fund - Aspect Feeder Fund (532) LLC             |  | $           | (18,210  | ) |                                 | $ | (211,229 | )           |  | $ | 96,828     |   |  | $                                | (132,611 | ) |             | $
|Galaxy Plus Fund - Chesapeake
    Feeder Fund (518) LLC         |  |             | —        |   |                                 |   | —        |             |  |   | —          |   |  |                                  | —        |   |             |  
|Galaxy Plus Fund - Doherty
    Feeder Fund (528) LLC            |  |             | (24,246  | ) |                                 |   | 204,335  |             |  |   | (60,057    | ) |  |                                  | 120,032  |   |             |  
|Galaxy Plus Fund - Emil
    van Essen STP Feeder Fund (516) LLC |  |             | (279,001 | ) |                                 |   | (910,595 | )           |  |   | 1,645,342  |   |  |                                  | 455,746  |   |             |  
|Galaxy Plus Fund - Fort
    Contrarian Feeder Fund (510) LLC    |  |             | (24,197  | ) |                                 |   | 472,234  |             |  |   | (87,469    | ) |  |                                  | 360,568  |   |             |  
|Galaxy Plus Fund - LRR
    Feeder Fund (522) LLC                |  |             | (804     | ) |                                 |   | (62      | )           |  |   | (201,421   | ) |  |                                  | (202,287 | ) |             |  
|Galaxy Plus Fund - QIM
    Feeder Fund (526) LLC                |  |             | (57,884  | ) |                                 |   | 424,725  |             |  |   | 601,499    |   |  |                                  | 968,340  |   |             |  
|Galaxy Plus Fund - Quantmetrics
    Feeder Fund (527) LLC       |  |             | (32,845  | ) |                                 |   | (213,339 | )           |  |   | 26,389     |   |  |                                  | (219,795 | ) |             |  
|Galaxy Plus Fund - Quest
    Feeder Fund (517) LLC              |  |             | (15,080  | ) |                                 |   | (107,644 | )           |  |   | 50,578     |   |  |                                  | (72,146  | ) |             |  
|Galaxy Plus Fund - Quest
    FIT Feeder Fund (535) LLC          |  |             | —        |   |                                 |   | —        |             |  |   | (49,181    | ) |  |                                  | (49,181  | ) |             |  
|Galaxy Plus Fund - TT
    Feeder Fund (531) LLC                 |  |             | (20,302  | ) |                                 |   | 50,363   |             |  |   | 72,752     |   |  |                                  | 102,813  |   |             |  
|Galaxy Plus Fund - Welton
    GDP Feeder Fund (538) LLC         |  |             | (240,251 | ) |                                 |   | (74,466  | )           |  |   | (104,759   | ) |  |                                  | (419,476 | ) |             |  
|Total                                                           |  | $           | (712,820 | ) |                                 | $ | (365,678 | )           |  | $ | 1,990,501  |   |  | $                                | 912,003  |   |             | $



78


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|                                                                |  |             |            |   | Six Months Ended June 30, 2018 |   |            |             |  |   |            |   |  | Six Months Ended June 30, 2017 |            |   |             |  
|--------------------------------------------------------------- |  | ----------- | ---------- | - | ------------------------------ | - | ---------- | ----------- |  | - | ---------- | - |  | ------------------------------ | ---------- | - | ----------- | -
|                                                                |  |             |            |   |                                |   |            | Change in   |  |   |            |   |  |                                |            |   |             |  
|                                                                |  | Trading     |            |   | Realized                       |   |            | Unrealized  |  |   | Net Income |   |  | Trading                        |            |   | Realized    |  
|                                                                |  | Commissions |            |   | Gain/(Loss)                    |   |            | Gain/(Loss) |  |   | (Loss)     |   |  | Commissions                    |            |   | Gain/(Loss) |  
|                                                                |  |             |            |   |                                |   |            |             |  |   |            |   |  |                                |            |   |             |  
|Galaxy Plus
    Fund - Aspect Feeder Fund (532) LLC             |  | $           | (68,124    | ) |                                | $ | (282,837   | )           |  | $ | 9,237      |   |  | $                              | (341,724   | ) |             | $
|Galaxy Plus Fund - Chesapeake
    Feeder Fund (518) LLC         |  |             | —          |   |                                |   | (76,396    | )           |  |   | 68,413     |   |  |                                | (7,983     | ) |             |  
|Galaxy Plus Fund - Doherty
    Feeder Fund (528) LLC            |  |             | (51,029    | ) |                                |   | (229,609   | )           |  |   | 2,223      |   |  |                                | (278,415   | ) |             |  
|Galaxy Plus Fund - Emil
    van Essen STP Feeder Fund (516) LLC |  |             | (521,358   | ) |                                |   | 929,287    |             |  |   | (178,780   | ) |  |                                | 229,149    |   |             |  
|Galaxy Plus Fund - Fort
    Contrarian Feeder Fund (510) LLC    |  |             | (53,977    | ) |                                |   | (151,779   | )           |  |   | 19,215     |   |  |                                | (186,541   | ) |             |  
|Galaxy Plus Fund - LRR
    Feeder Fund (522) LLC                |  |             | (804       | ) |                                |   | (62        | )           |  |   | (54,811    | ) |  |                                | (55,677    | ) |             |  
|Galaxy Plus Fund - QIM
    Feeder Fund (526) LLC                |  |             | (115,169   | ) |                                |   | (944,354   | )           |  |   | 62,600     |   |  |                                | (996,923   | ) |             |  
|Galaxy Plus Fund - Quantmetrics
    Feeder Fund (527) LLC       |  |             | (99,908    | ) |                                |   | (98,637    | )           |  |   | 17,730     |   |  |                                | (180,815   | ) |             |  
|Galaxy Plus Fund - Quest
    Feeder Fund (517) LLC              |  |             | (29,450    | ) |                                |   | (83,146    | )           |  |   | 6,332      |   |  |                                | (106,264   | ) |             |  
|Galaxy Plus Fund - Quest
    FIT Feeder Fund (535) LLC          |  |             | —          |   |                                |   | —          |             |  |   | (76,792    | ) |  |                                | (76,792    | ) |             |  
|Galaxy Plus Fund - TT
    Feeder Fund (531) LLC                 |  |             | (95,405    | ) |                                |   | (147,216   | )           |  |   | (333,152   | ) |  |                                | (575,773   | ) |             |  
|Galaxy Plus Fund - Welton
    GDP Feeder Fund (538) LLC         |  |             | (543,620   | ) |                                |   | (4,460,709 | )           |  |   | 195,593    |   |  |                                | (4,808,736 | ) |             |  
|Total                                                           |  | $           | (1,578,844 | ) |                                | $ | (5,545,458 | )           |  | $ | (262,192   | ) |  | $                              | (7,386,494 | ) |             | $



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



|                                                                   |  | Redemptions   |  | Redemptions |  | Liquidity   
|------------------------------------------------------------------ |  | ------------- |  | ----------- |  | ------------
|                                                                   |  | Notice Period |  | Permitted   |  | Restrictions
|Frontier Funds                                                     |  |               |  |             |  |             
|Multi-Strategy                                                     |  |               |  |             |  |             
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC                   |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC                       |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC              |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC                |  | 24 hours      |  | Daily       |  | None        
|Trend Following                                                    |  |               |  |             |  |             
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC                    |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC           |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC                       |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC                     |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - QuestFIT Feeder Fund (535) Segregated Portfolio |  | 24 hours      |  | Daily       |  | None        
|Galaxy Plus Fund - TT Feeder Fund (531) LLC                        |  | 24 hours      |  | Weekly      |  | None        
|Option Trading                                                     |  |               |  |             |  |             
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC                   |  | 24 hours      |  | Daily       |  | None        





| | 6. | Transactions
with Affiliates
| | -- | ----------------------------



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

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Expenses



Management
Fees—Each Series of Units pays to the Managing Owner a monthly management fee equal to a percentage of the notional
assets of such Series allocated to Trading Companies, calculated on a daily basis. The percentage basis of the fees varies and
are in line with the amounts being disclosed below. In addition, the Managing Owner receives a monthly management equal to a certain
percentage of the assets in the Galaxy Plus entities attributable to such Series (including notional assets), calculated
on a monthly basis. The management fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private
investment companies on the Statements of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or
reference programs, including (i) actual funds deposited in accounts directed by the Trading Advisors or deposited as margin
in respect of swaps or other derivative instruments referencing a reference program plus (ii) any notional equity allocated
to the Trading Advisors and any reference programs, is referred to herein as the notional assets of the Series.
The annual rate of the management fee is: 0.5% for the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier
Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0% for the Frontier Winton Fund, Frontier Long/Short Commodity Fund Class 1a,
Class 2a and Class 3a and Frontier Masters Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund
and Frontier Select Fund, and 3.5% for the Frontier Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner
may pay all or a portion of such management fees to the Trading Advisor(s) and/or waive (up to the percentage specified) any such
management fee to the extent any related management fee is paid by a trading company or estimated management fee is embedded in
a swap or other derivative instrument. Any management fee embedded in a swap or other derivative instrument may be greater or
less than the management fee that would otherwise be charged to the Series by the Managing Owner. As of the date of this report,
for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any management fees directly
from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap.
As of June 30, 2018, the range of management fees embedded based on fair value of swaps in (i) swaps owned by Frontier Diversified
Fund was 1.00% per annum, (ii) swaps owned by Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short
Commodity Fund was 1.50% per annum, and (iv) swaps owned by Frontier Heritage Fund was 1.00% per annum, and the Managing Owner
has waived the entire management fee due to it from those Series in respect of such Series investment in swaps. These embedded
management fees may be higher or lower in the future.



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



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

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



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



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



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



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



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



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



For the six months ended June 30, 2017, the Trust paid the Managing Owner $(205,571), $1,212,823, $1,433,011
and $3,126,515 for incentive fees, management fees, service fees, and trading fees, respectively.



With
respect to the service fees, the initial service fee (for the first 12 months) relating to a purchase of Units by an
investor is prepaid by the Managing Owner to the relevant selling agent in the month following such purchase and is
reimbursed therefore by the Series monthly in arrears in an amount based upon a corresponding percentage of NAV, calculated
daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of the upside potential of any difference
between the amount of the initial service fee prepaid by it and the amount of the reimbursement thereof, which may result
from variations in NAV over the following 12 months. For the six months ended June 30, 2018 and 2017, amounts received or
receivable from the Managing Owner for the difference in monthly service fees from the prepaid initial service fees were $0
and $0, respectively.



Aggregate
interest income from all sources, including U.S. Treasury Securities assets net of premiums and cash held at clearing
brokers, of up to the first 2% (annualized) is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and
Class 2), Frontier Long/Short Commodity Fund (Class 2 and Class 3), Frontier Winton Fund, Frontier Select Fund, and
Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a
only), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a) 100% of the interest is retained
by the respective Series. During the six months ended June 30, 2018 and 2017, the Trust paid $100,968 and $272,752,
respectively of such interest income to the Managing Owner. Such amounts are not included in the consolidated statements
of operations of the Trust. All other interest income is recorded by the Trust on the consolidated statements of
operations.

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| | 7. | Financial
Highlights
| | -- | --------------------



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



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



| | (1) | Annualized
with the exception of incentive fees.
| | --- | ------------------------------------------------

| | (2) | Total
returns are not annualized.
| | --- | ---------------------------------

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

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



| | 8. | Derivative
Instruments and Hedging Activities
| | -- | ---------------------------------------------



The
Trusts primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including
interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Trust does not
enter into or hold positions for hedging purposes as defined under ASC 815. The detail of the fair value of the Trusts
derivatives by instrument types as of June 30, 2018 and December 31, 2017 is included in the Consolidated Condensed Schedules
of Investments. See Note 4 for further disclosure related to the Trusts positions in swap contracts.



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

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



|Realized
    Trading Revenue from Futures, Forwards and Options
|---------------------------------------------------------------
|for
    the Three Months Ended June 30, 2018                   



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



|Realized
    Trading Revenue from Futures, Forwards and Options
|---------------------------------------------------------------
|for
    the Three Months Ended June 30, 2017                   



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



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



|Unrealized
    Trading Revenue from Futures, Forwards and Options
|-----------------------------------------------------------------
|for
    the Three Months Ended June 30, 2018                     



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



|Unrealized
    Trading Revenue from Futures, Forwards and Options
|-----------------------------------------------------------------
|for
    the Three Months Ended June 30, 2017                     



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



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

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|Realized
    Trading Revenue from Futures, Forwards and Options
|---------------------------------------------------------------
|for
    the Six Months Ended June 30, 2018                     



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



|Realized
    Trading Revenue from Futures, Forwards and Options
|---------------------------------------------------------------
|for
    the Six Months Ended June 30, 2017                     



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



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



|Unrealized
    Trading Revenue from Futures, Forwards and Options
|-----------------------------------------------------------------
|for
    the Six Months Ended June 30, 2018                       



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



|Unrealized
    Trading Revenue from Futures, Forwards and Options
|-----------------------------------------------------------------
|for
    the Six Months Ended June 30, 2017                       



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



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

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



The
following tables present gross and net information about the Trusts assets and liabilities subject the master netting arrangements
as disclosed on the consolidated statements of financial condition as of June 30, 2018 and December 31, 2017:



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





| | 9. | Trading
Activities and Related Risks
| | -- | ------------------------------------



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



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

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



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



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



| | 10. | Indemnifications
and Guarantees
| | --- | -------------------------------



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



| | 11. | Subsequent
Events
| | --- | -----------------



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

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| | Item 2. | MANAGEMENTS
                                         DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS
| | ------- | ------------------------------------------------------------------------------------------------------------------------------



Introduction



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



The
following discussion and tables should be read in conjunction with our unaudited consolidated financial statements and notes thereto
included in this quarterly report and our 2017 Annual Report on Form 10-K for the year ended December 31, 2017.



Overview



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



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



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



|Trading Company                     |  | Management Fee |     |   | Incentive Fee | 
|----------------------------------- |  | -------------- | --- | - | ------------- | 
|Frontier Trading Company XXXIV LLC  |  |                | 1   | % |               | 
|Frontier Trading Company XXXV LLC   |  |                | 1   | % |               | 
|Frontier Trading Company XXXVII LLC |  |                | 1.5 | % |               | 
|Frontier Trading Company XXXIX LLC  |  |                | 1   | % |               | 





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

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Critical
Accounting Policies and Estimates



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



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



Investment
Transactions and Valuation



The
Managing Owner has evaluated the nature and type of transactions processed and estimates that it makes in preparing the Trusts
financial statements and related disclosures and has 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 Statements of Operations.



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



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



Selection
and Replacement of Trading Advisors



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

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



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



Quantitative
Analysis



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



Qualitative
Analysis



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



Multi-Manager
Approach



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

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



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



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As
of June 30, 2018, the allocation of the assets of each applicable Series of the Trust between the Trading Advisors was as follows:





|Allocation as of June 30, 2018 (expressed as a percentage of aggregate notional exposure to commodity trading programs)
|-----------------------------------------------------------------------------------------------------------------------
|                                                                                                                       
|                                                                                                                       
|                                                                                                                       
|                                                                                                                       
|Advisor                                                                                                                
|Aspect Capital Limited                                                                                                 
|Beach Horizon                                                                                                          
|BH-DG Systematic Trading LLP                                                                                           
|Crabel Capital Partners, LLPC                                                                                          
|Doherty                                                                                                                
|Emil Van Essen, LLC                                                                                                    
|Fort, L.P.                                                                                                             
|H2O Asset Management                                                                                                   
|J E Moody & Company                                                                                                    
|Landmark                                                                                                               
|Quantitative Investment Management, LLC                                                                                
|Quantmetrics Capital Management LLP                                                                                    
|Quest Partners LLC                                                                                                     
|Red Oak Commodity Advisors, Inc.                                                                                       
|Rosetta Capital Management, LLC                                                                                        
|Transtrend B.V.                                                                                                        
|Welton Investment Partners LLC                                                                                         
|Winton Capital Management Ltd.                                                                                         



Liquidity
and Capital Resources



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



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



A
portion of each Trading Companys assets is used as margin to maintain that Trading Companys forward currency contract
positions, and another portion is deposited in cash in segregated accounts in the name of each Trading Company maintained for
each Trading Company at the clearing brokers in accordance with CFTC segregation requirements. At June 30, 2018, cash deposited
at the clearing brokers was $9,715,070 for the Trust. The clearing brokers are expected to credit each Trading Company with approximately
80%-100% of the interest earned on its average net assets on deposit with the clearing brokers each month. Currently, with the
Federal Funds target rate at 1.75% to 2.00%, this amount is estimated to be 1.75%. In an attempt to increase interest income earned,
the Managing Owner also may invest the non-margin assets in U.S. government securities which include any security issued or guaranteed
as to principal or interest by the U.S., or by a person controlled by or supervised by and acting as an instrumentality of the
government of the U.S. pursuant to authority granted by Congress or any certificate of deposit for any of the foregoing, including
U.S. treasury bonds, U.S. treasury bills and issues of agencies of the U.S. government, and certain cash items such as money market
funds and time deposits. Aggregate interest income from all sources, including assets held at clearing brokers, of up to 2% (annualized)
is paid to the Managing Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Winton Fund, Frontier Select
Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class
3a only), Frontier Masters Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated
to the Series was paid to the Managing Owner from January 1, 2016 through April 28, 2016; thereafter 100% of the interest is retained
by the respective Series. The amount reflected in the financial statements for the Trust and Series are disclosed on a net basis.
Due to some classes not exceeding the 2% paid to the Managing Owner, amounts earned by those classes may be zero.

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Approximately
10% to 30% of the Trusts assets are expected to be committed as required margin for futures contracts and forwards and
options trading and held by the respective broker, although the amount committed may vary significantly. Such assets are maintained
in the form of cash or U.S. treasury bills in segregated accounts with the futures broker pursuant to the Commodity Exchange Act
and regulations there under. Approximately 2% to 6% of the Trusts assets are expected to be deposited with over-the-counter
counterparties in order to initiate and maintain forward and swap contracts. Such assets are not held in segregation or otherwise
regulated under the Commodity Exchange Act, unless such over-the-counter counterparty is registered as a futures commission merchant.
These assets are held either in U.S. government securities or short-term time deposits with U.S.-regulated bank affiliates of
the over-the-counter counterparties. The remaining approximately 64% to 88% of the Trusts assets will normally be invested
in cash equivalents and short-term investments, such as money market funds and time deposits and held by the clearing broker,
the over-the-counter counterparties and by U.S. federally chartered banks. As of June 30, 2018, total cash and cash equivalents
held at banking institutions were $175,643 for the Frontier Diversified Fund, $93,070 for the Frontier Masters Fund, $64,571 for
the Frontier Long/Short Commodity Fund, $313,542 for the Frontier Balanced Fund, $42,141 for the Frontier Select Fund, $577,591
for the Frontier Winton Fund, and $91,814 for the Frontier Heritage Fund.



As
a commodity pool, the Trust has large cash positions. Such cash positions are used to pay margin for the trading of futures, forwards
and options, and also to pay redemptions. Generally, the Trust has not been forced to liquidate positions to fund redemptions.
During the three months ended June 30, 2018, the Trust was able to pay all redemptions.



Off-Balance
Sheet Risk



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



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



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

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



Disclosure
of Contractual Obligations



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



Results
of Operations



Series
Returns and Other Information



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



Each
Series had exposure to commodity interest positions within one or more sectors during the three months ended June 30, 2018 and
2017. The performance of each Series was impacted over the course of the periods by, among other things, the relative performance
of the relevant sector or sectors and the commodities within those sectors, the changing allocations among, and the specific positions
taken by the Series Trading Advisors in, the relevant sector(s) and commodities, and the timing of entries and exits. For
certain of the Series, a sector attribution chart has been included at the end of the relevant discussion. Each chart depicts
the performance of the relevant Series positions within each of the relevant sectors (determined by the Managing Owner
using monthly gross return and NAV figures, with various adjustments to net out a proportional allocation of the fees and expenses
chargeable to the Series) during the periods presented.



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



Frontier
Diversified Fund



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



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



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

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Frontier
Masters Fund



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



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



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



Frontier
Long/Short Commodity Fund



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



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



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



Frontier
Balanced Fund



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



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



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

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Frontier
Select Fund



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



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



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



Frontier
Winton Fund



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



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



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



Frontier
Heritage Fund



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



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



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

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



Frontier
Diversified Fund



2018



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



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



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

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



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



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

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2017



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



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



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



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



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



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



Frontier
Masters Fund



2018



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



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

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



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



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



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

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2017



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



For the six months ended June 30, 2017, the Frontier Masters Fund recorded net loss on investments of $746,206, net investment
loss of $515,216, and total expenses of $574,633, resulting in a net decrease in Owners capital from operations of
$1,261,422. The NAV per Unit, Class 1, decreased from $112.80 at December 31, 2016 to $102.39 as of June 30, 2017. The NAV
per Unit, Class 2, decreased from $128.78 at December 31, 2016 to $117.90 as of June 30, 2017. The NAV per Unit, Class 3,
decreased from $119.89 at December 31, 2016 to $109.90 as of June 30, 2017. Total Class 1 subscriptions and redemptions for
the period were $2,610 and $1,482,436, respectively. Total Class 2 subscriptions and redemptions for the period were $65,000
and $1,638,595, respectively. Total Class 3 subscriptions and redemptions for the period were $1,313,252 and $885,947, respectively.
Ending capital at June 30, 2017 was $3,511,940 for Class 1, $3,733,458 for Class 2 and $6,036,371 for Class 3. Ending capital
at December 31, 2016 was $5,361,626 for Class 1, $5,657,562 for Class 2 and $6,150,119 for Class 3.



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



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



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



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

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Frontier
Long/Short Commodity Fund



2018



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



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



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

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



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



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

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2017



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



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



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

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Two
of the seven sectors traded in the Frontier Long/Short Commodity Fund were profitable in Q2 2017 and three of the seven were profitable
YTD. Energies and Meats were profitable for Q2 2017 while Base Metals, Grains, Precious Metals, Softs and Financials finished negative
for the quarter. Energies, Meats, and Precious Metals was profitable for YTD while Base Metals, Grains, Softs and Financials finished
negative YTD



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



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

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Frontier
Balanced Fund



2018



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



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



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

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



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



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

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2017



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



For
the six months ended June 30, 2017, the Frontier Balanced Fund recorded net gain on investments of $944,993 net investment loss
of $2,220,183, and total expenses of $2,221,344, resulting in a net increase in Owners capital from operations of $1,275,190.
The NAV per Unit, Class 1, decreased from $134.80 at December 31, 2016 to $129.84 as of June 30, 2017. The NAV per Unit,
Class 1AP, decreased from $144.97 at December 31, 2016 to $141.71 as of June 30, 2017. The NAV per Unit, Class 2, decreased
from $194.99 at December 31, 2016 to $190.62 as of June 30, 2017. The NAV per Unit, Class 2a, decreased from $169.05 at December 31,
2016 to $165.77 as of June 30, 2017. The NAV per Unit, Class 3a, decreased from $168.49 at December 31, 2016 to $165.22 as
of June 30, 2017. Total Class 1 subscriptions and redemptions for the period were $34,075 and $11,054,137 respectively. Total
Class 1AP redemptions for the period were $90,030. Total Class 2 subscriptions and redemptions for the period were $4,937 and
$12,374,697, respectively. Total Class 2a subscriptions and redemptions for the period were $123,835 and $90,774, respectively.
Total Class 3a redemptions for the period were $298,717. Ending capital at June 30, 2017 was $44,414,176 for Class 1, $576,197
for Class 1AP, $10,322,148 for Class 2, $535,428 for Class 2a, and $1,430,724 for Class 3a. Ending capital at December 31,
2016 was $56,955,371 for Class 1, $677,181 for Class 1AP, $22,401,557 for Class 2, $516,256 for Class 2a and $1,749,006 for Class
3a.



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



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One
of the six sectors traded in the Frontier Diversified Fund were profitable in Q2 2017 and one of the six were profitable YTD.
Stock Indices was profitable for Q2 2016 while and Metals, Currencies, Energies, Agriculturals, and Interest Rates finished negative
for the quarter. Stock Indices were profitable YTD while and Currencies, Energies, Agriculturals, and Interest Rates finished
negative YTD.



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



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

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Frontier
Select Fund



2018



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



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



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



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



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

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2017



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



For
the six months ended June 30, 2017, the Frontier Select Fund recorded net loss on investments of $1,753,774, net investment loss
of $312,399, and total expenses of $312,399, resulting in a net decrease in Owners capital from operations of $1,652,963,
after non-controlling interests of $413,210. The NAV per Unit, Class 1, decreased from $94.06 at December 31, 2016 to $78.79
as of June 30, 2017. The NAV per Unit, Class 1AP, decreased from $101.16 at December 31, 2016 to $85.90 as of June 30, 2017.
The NAV per Unit, Class 2, decreased from $134.25 at December 31, 2016 to $114.11 as of June 30, 2017. Total Class 1 subscriptions
and redemptions for the period were $1,467 and $2,611,797 respectively. Total Class 1AP redemptions for the period were $4,175.
Total Class 2 subscriptions and redemptions for the period were $98,345 and 243,446, respectively. Ending capital at June 30,
2017 was $6,488,427 for Class 1, $21,735 for Class 1AP and $1,059,308 for Class 2. Ending capital at December 31, 2016 was
$10,540,702 for Class 1, $29,897 for Class 1AP and $1,411,440 for Class 2.



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



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



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



Frontier
Winton Fund



2018



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



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

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



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

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2017



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



For
the six months ended June 30, 2017, the Frontier Winton Fund recorded net loss on investments of $1,306,010, net investment loss
of $1,089,598, and total expenses of $1,089,598, resulting in a net decrease in Owners capital from operations of $1,829,067,
after non-controlling interest of $566,541. The NAV per Unit, Class 1, decreased from $154.51 at December 31, 2016 to $144.09
as of June 30, 2017. The NAV per Unit, Class 1AP, decreased from $166.17 at December 31, 2016 to $157.26 as of June 30, 2017.
The NAV per Unit, Class 2, decreased from $210.98 at December 31, 2016 to $199.66 as of June 30, 2017. Total Class 1 subscriptions
and redemptions for the period were $1,424,276 and 6,908,947 respectively. There were no subscriptions or redemptions for Class
1AP. Total Class 2 subscriptions and redemptions for the period were $267,829 and $586,221, respectively. Ending capital at June
30, 2017 was $13,587,716 for Class 1, $33,575 for Class 1AP, and $10,513,105 for Class 2. Ending capital at December 31, 2016
was $20,248,935 for Class 1, $35,478 for Class 1AP and $11,446,113 for Class 2.



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



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

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Frontier
Heritage Fund



2018



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



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



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

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



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

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2017



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



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



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



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



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



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

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|ITEM 
                                         3. | QUANTITATIVE
                                         AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
|------------------------------------------------- | ---------------------------------------------------------------------------------------------------



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



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



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



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



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



Quantitative
Market Risk



Trading
Risk



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



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



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



In
the case of contracts denominated in foreign Currencies, the value at risk figures include foreign currency margin amounts converted
into U.S. dollars with an incremental adjustment to reflect the exchange rate risk inherent to the Series, which is valued in
U.S. dollars, in expressing value at risk in a functional currency other than U.S. dollars. 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 June 30, 2018 and December 31, 2017. All open position trading risk exposures of the
Series have been included in calculating the figures set forth below.



|DOMESTIC EXPOSURE                   | 
|----------------------------------- | 
|                                    | 
|Frontier Diversified Fund:          | 
|                                    | 
|                                    | 
|                                    | 
|                                    | 
|MARKET SECTOR                       | 
|Interest Rates                      | 
|Currencies                          | 
|Stock Indices                       | 
|Metals                              | 
|Agriculturals/Softs                 | 
|Energy                              | 
|Total:                              | 
|                                    | 
|Frontier Long/Short Commodity Fund: | 
|                                    | 
|                                    | 
|                                    | 
|MARKET SECTOR                       | 
|Interest Rates                      | 
|Currencies                          | 
|Stock Indices                       | 
|Metals                              | 
|Agriculturals/Softs                 | 
|Energy                              | 
|Total:                              | 
|                                    | 
|Frontier Masters Fund:              | 
|                                    | 
|                                    | 
|                                    | 
|MARKET SECTOR                       | 
|Interest Rates                      | 
|Currencies                          | 
|Stock Indices                       | 
|Metals                              | 
|Agriculturals/Softs                 | 
|Energy                              | 
|Total:                              | 
|                                    | 
|Frontier Balanced Fund:             | 
|                                    | 
|                                    | 
|                                    | 
|                                    | 
|MARKET SECTOR                       | 
|Interest Rates                      | 
|Currencies                          | 
|Stock Indices                       | 
|Metals                              | 
|Agriculturals/Softs                 | 
|Energy                              | 
|Total:                              | 
|                                    | 
|Frontier Select Fund:               | 
|                                    | 
|                                    | 
|                                    | 
|MARKET SECTOR                       | 
|Interest Rates                      | 
|Currencies                          | 
|Stock Indices                       | 
|Metals                              | 
|Agriculturals/Softs                 | 
|Energy                              | 
|Total:                              | 
|                                    | 
|Frontier Winton Fund:               | 
|                                    | 
|                                    | 
|                                    | 
|MARKET SECTOR                       | 
|Interest Rates                      | 
|Currencies                          | 
|Stock Indices                       | 
|Metals                              | 
|Agriculturals/Softs                 | 
|Energy                              | 
|Total:                              | 
|                                    | 
|Frontier Heritage Fund:             | 
|                                    | 
|                                    | 
|                                    | 
|MARKET SECTOR                       | 
|Interest Rates                      | 
|Currencies                          | 
|Stock Indices                       | 
|Metals                              | 
|Agriculturals/Softs                 | 
|Energy                              | 
|Total:                              | 

168


Table of Contents


|FORIEGN EXPOSURE                   | 
|---------------------------------- | 
|                                   | 
|Frontier Diversified Fund          | 
|                                   | 
|                                   | 
|                                   | 
|                                   | 
|MARKET SECTOR                      | 
|Interest Rates                     | 
|Currencies                         | 
|Stock Indices                      | 
|Metals                             | 
|Agriculturals/Softs                | 
|Total:                             | 
|                                   | 
|Frontier Long/Short Commodity Fund | 
|                                   | 
|                                   | 
|                                   | 
|                                   | 
|MARKET SECTOR                      | 
|Interest Rates                     | 
|Currencies                         | 
|Stock Indices                      | 
|Metals                             | 
|Agriculturals/Softs                | 
|Total:                             | 
|                                   | 
|Frontier Masters Fund              | 
|                                   | 
|                                   | 
|                                   | 
|                                   | 
|MARKET SECTOR                      | 
|Interest Rates                     | 
|Currencies                         | 
|Stock Indices                      | 
|Metals                             | 
|Agriculturals/Softs                | 
|Energy                             | 
|Total:                             | 
|                                   | 
|Frontier Balanced Fund:            | 
|                                   | 
|                                   | 
|                                   | 
|                                   | 
|MARKET SECTOR                      | 
|Interest Rates                     | 
|Currencies                         | 
|Stock Indices                      | 
|Metals                             | 
|Agriculturals/Softs                | 
|Energy                             | 
|Total:                             | 
|                                   | 
|Frontier Select Fund:              | 
|                                   | 
|                                   | 
|                                   | 
|                                   | 
|MARKET SECTOR                      | 
|Interest Rates                     | 
|Currencies                         | 
|Stock Indices                      | 
|Metals                             | 
|Agriculturals/Softs                | 
|Energy                             | 
|Total:                             | 
|                                   | 
|Frontier Winton Fund:              | 
|                                   | 
|                                   | 
|                                   | 
|                                   | 
|MARKET SECTOR                      | 
|Interest Rates                     | 
|Currencies                         | 
|Stock Indices                      | 
|Metals                             | 
|Agriculturals/Softs                | 
|Energy                             | 
|Total:                             | 
|                                   | 
|Frontier Heritage Fund:            | 
|                                   | 
|                                   | 
|                                   | 
|                                   | 
|MARKET SECTOR                      | 
|Interest Rates                     | 
|Currencies                         | 
|Stock Indices                      | 
|Metals                             | 
|Agriculturals/Softs                | 
|Energy                             | 
|Total:                             | 

169


Table of Contents


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



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



Non-Trading
Risk



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



Qualitative
Market Risk



The
following are the primary trading risk exposures of the Series of the Trust as of June 30, 2018, by market sector.



Interest
Rates



Interest
rate risk is one of the principal market exposures of each Series. Interest rate movements directly affect the price of interest
rate futures positions held and indirectly the value of a Trading Companys stock index and currency positions. Interest
rate movements in one country as well as relative interest rate movements between countries materially impact profitability. The
primary interest rate exposure is to interest rate fluctuations in the U.S. and the other G-7 countries. However, the Trading
Companies and Galaxy Plus entities also may take futures positions on the government debt of smaller nations. The Managing Owner
anticipates that G-7 interest rates will remain the primary market exposure of each Trading Company and Galaxy Plus entities and
accordingly of each Series for the foreseeable future. The changes in interest rates which are expected to have the most effect
on the Series are changes in long-term, as opposed to short-term rates. Most of the speculative positions to be held by the Trading
Companies and Galaxy Plus entities will be in medium- to long-term instruments. Consequently, even a material change in short-term
rates is expected to have little effect on the Series if the medium- to long-term rates remain steady. Aggregate interest income
from all sources, including assets held at clearing brokers, of up to 2% (annualized) is paid to the Managing Owner by the Frontier
Balanced Fund (Class 1 and Class 2 only), Frontier Winton Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier
Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund and Frontier Balanced
Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to each Series was paid to the Managing Owner from
January 1, 2017 through April 28, 2017; thereafter 100% of the interest is retained by the respective Series.



Currencies



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

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Table of Contents


Stock
Indices



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



Metals



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



Agriculturals/Softs



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



Energy



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



Other
Trading Risks



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



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



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

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



Cyber
Risks and Security



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



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



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



Qualitative
Disclosures Regarding Means of Managing Risk Exposure



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



| | ITEM 
                                         4. | CONTROLS
                                         AND PROCEDURES
| | ------------------------------------------------- | ----------------------------------------------------------------



Evaluation
of Disclosure Controls and Procedures



Under
the supervision and with the participation of the management of the Managing Owner, including its Chairman and Chief Financial
Officer, the Trust evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined
in Rule 13a-15(e) under the Securities Exchange Act of 1934, as amended (the Exchange Act)), for the Trust and each
Series as of June 30, 2018 (the Evaluation Date). Any control system, no matter how well designed and operated,
can provide only reasonable (not absolute) assurance that its objectives will be met. Furthermore, no evaluation of controls can
provide absolute assurance that all control issues and instances of fraud, if any, have been detected. Based upon their evaluation,
the Chairman and Chief Financial Officer of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls
and procedures for the Trust and each Series were effective to provide reasonable assurance that they are timely alerted to the
material information relating to the Trust and each Series required to be included in the Trusts periodic SEC filing.

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Table of Contents


Changes
in Internal Control Over Financial Reporting



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



Scope
of Exhibit 31 Certifications



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



PART
II. OTHER INFORMATION



| | ITEM 1. | LEGAL
                                         PROCEEDINGS.
| | ------- | -----------------------------------------------------------



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



| | ITEM 
                                         1A. | RISK
                                         FACTORS.
| | -------------------------------------------------- | ------------------------------------------------------



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



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



The
following table provides information regarding the sale of unregistered Units by the Trust for the six months ended June 30,
2018. The number of Units listed below for each transaction is the aggregate number of Units in the particular Series of the Trust
purchased in such transaction. The consideration listed below for each transaction is, except as otherwise noted, the aggregate
amount of cash paid for the Units purchased. For each transaction reported below, the price per Unit was NAV per Unit at the time
of the transaction and the Managing Owner of the Trust was the purchaser of the Units. No underwriting discount or sales commission
was paid or received with respect to any of the transactions reported below. The Trust claims an exemption from registration of
each of the transactions listed below under Section 4(a)(2) of the Securities Act of 1933, as amended, as a sale by an issuer
not involving a public offering.

|       |  |      |  |       |  |              
|------ |  | ---- |  | ----- |  | -------------
|SERIES |  | DATE |  | UNITS |  | CONSIDERATION
|NONE   |  |      |  |       |  |              



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



| | ITEM 3. | DEFAULTS
                                         UPON SENIOR SECURITIES.
| | ------- | -------------------------------------------------------------------------



None



| | ITEM 
                                         4. | MINE
                                         SAFETY DISCLOSURES.
| | ------------------------------------------------- | -----------------------------------------------------------------



Not
applicable.



| | ITEM 
                                         5. | OTHER
                                         INFORMATION.
| | ------------------------------------------------- | -----------------------------------------------------------



None

173


Table of Contents


| | ITEM
                           6. | EXHIBITS.
| | ---------------------------------- | ---------



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



| | 31.1 | Certification of Principal Executive Officer of the Managing Owner pursuant to Rules 13a-14(a) and 15(d)-14(a) of the Securities Exchange Act of 1934 (furnished herewith)
| | ---- | --------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | 32.1 | Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------



| | 32.2 | Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------



| | 32.3 | Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------



| | 32.4 | Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------



| | 32.5 | Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------



| | 32.6 | Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------



| | 32.7 | Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------



| | 32.8 | Certification pursuant to 18 U.S.C. Section 1350, as enacted by Section 906 of The Sarbanes- Oxley Act of 2002. (furnished herewith)
| | ---- | ------------------------------------------------------------------------------------------------------------------------------------



| | 101 | Financials
                                         in XBRL format
| | --- | ------------------------------------------------------------------

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Table of Contents


SIGNATURES



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



|                          | Frontier
    Funds
|------------------------- | ------------------
|                          | (Registrant)      
|                          |                   
|Date:
    August 14, 2018 | By:               
|                          |                   
|                          |                   



175


Table of Contents


SIGNATURES



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



|                          | Frontier
    Balanced Fund,   
|------------------------- | ------------------------------
|                          | a
    Series of Frontier Funds
|                          | (Registrant)                  
|                          |                               
|Date:
    August 14, 2018 | By:                           
|                          |                               
|                          |                               

176


Table of Contents


SIGNATURES



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



|                          | Frontier
    Heritage Fund,   
|------------------------- | ------------------------------
|                          | a
    Series of Frontier Funds
|                          | (Registrant)                  
|                          |                               
|Date:
    August 14, 2018 | By:                           
|                          |                               
|                          |                               

177


Table of Contents


SIGNATURES



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



|                          | Frontier
    Winton Fund,     
|------------------------- | ------------------------------
|                          | a
    Series of Frontier Funds
|                          | (Registrant)                  
|                          |                               
|Date:
    August 14, 2018 | By:                           
|                          |                               
|                          |                               

178


Table of Contents


SIGNATURES



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



|                          | Frontier
    Select Fund,     
|------------------------- | ------------------------------
|                          | a
    Series of Frontier Funds
|                          | (Registrant)                  
|                          |                               
|Date:
    August 14, 2018 | By:                           
|                          |                               
|                          |                               

179


Table of Contents


SIGNATURES



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



|                          | Frontier
    Long/Short Commodity Fund,
|------------------------- | ---------------------------------------
|                          | a
    Series of Frontier Funds         
|                          | (Registrant)                           
|                          |                                        
|Date:
    August 14, 2018 | By:                                    
|                          |                                        
|                          |                                        

180


Table of Contents


SIGNATURES



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



|                          | Frontier
    Diversified Fund,
|------------------------- | ------------------------------
|                          | a
    Series of Frontier Funds
|                          | (Registrant)                  
|                          |                               
|Date:
    August 14, 2018 | By:                           
|                          |                               
|                          |                               

181


Table of Contents


SIGNATURES



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



|                          | Frontier
    Masters Fund,    
|------------------------- | ------------------------------
|                          | a
    Series of Frontier Funds
|                          | (Registrant)                  
|                          |                               
|Date:
    August 14, 2018 | By:                           
|                          |                               
|                          |                               

182