UNITED
STATES

SECURITIES
AND EXCHANGE COMMISSION

WASHINGTON,
DC 20549










FORM
10-Q












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



For
the Quarterly Period Ended March 31, 2019



OR



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



Commission
File Number 000-51274










FRONTIER
FUNDS

FRONTIER
DIVERSIFIED FUND;

FRONTIER
MASTERS FUND;

FRONTIER
LONG/SHORT COMMODITY FUND;

FRONTIER
BALANCED FUND;

FRONTIER
SELECT FUND;

FRONTIER
GLOBAL FUND (FORMERLY FRONTIER WINTON FUND);

FRONTIER
HERITAGE FUND

(Exact
Name of Registrant as specified in its Charter)












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



c/o
Frontier Fund Management LLC

25568
Genesee Trail Road

Golden,
Colorado 80401

(Address
of Principal Executive Offices)



(303)
454-5500

(Registrant’s
Telephone Number)












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

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

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

Frontier
Long/Short Commodity Fund Class 2, Class 3, Class 1a, Class 2a and Class 3a Units;

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

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

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

Frontier
Global 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  ☒    No  ☐



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



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



|Large Accelerated Filer | ☐ | Accelerated Filer         | ☐
|----------------------- | - | ------------------------- | -
|Non-Accelerated Filer   | ☒ | Smaller reporting company | ☐
|Emerging growth company | ☐ |                           |  



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



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
























TABLE
OF CONTENTS



|PART
    I – FINANCIAL INFORMATION |                                                                                                                
|---------------------------------- | ---------------------------------------------------------------------------------------------------------------
|                                   |                                                                                                                
|Item 1.                            | Series
    Financial Statements                                                                                
|                                   |                                                                                                                
|                                   | Statements
    of Financial Condition as of March 31, 2019 (Unaudited) and December 31, 2018                   
|                                   |                                                                                                                
|                                   | Condensed
    Schedules of Investments as of March 31, 2019 (Unaudited) and December 31, 2018                  
|                                   |                                                                                                                
|                                   | Statements
    of Operations for the three months ended March 31, 2019 and 2018 (Unaudited)                    
|                                   |                                                                                                                
|                                   | Statements
    of Changes in Owners’ Capital for the three months ended March 31, 2019 (Unaudited)             
|                                   |                                                                                                                
|                                   | Statements
    of Cash Flows for the three months ended March 31, 2019 and 2018 (Unaudited)                    
|                                   |                                                                                                                
|                                   | Notes
    to Financial Statements (Unaudited)                                                                  
|                                   |                                                                                                                
|                                   | Trust Financial
    Statements (1)                                                                             
|                                   |                                                                                                                
|                                   | Consolidated
    Statements of Financial Condition as of March 31, 2019 (Unaudited) and December 31, 2018      
|                                   |                                                                                                                
|                                   | Consolidated
    Condensed Schedules of Investments as of March 31, 2019 (Unaudited) and December 31, 2018     
|                                   |                                                                                                                
|                                   | Consolidated
    Statements of Operations for the three months ended March 31, 2019 and 2018 (Unaudited)       
|                                   |                                                                                                                
|                                   | Consolidated
    Statement of Changes in Owners’ Capital for the three months ended March 31, 2019  (Unaudited)
|                                   |                                                                                                                
|                                   | Consolidated
    Statements of Cash Flows for the three months ended March 31, 2019 and 2018 (Unaudited)       
|                                   |                                                                                                                
|                                   | Notes
    to Consolidated Financial Statements (Unaudited)                                                     
|                                   |                                                                                                                
|Item 2.                            | Management’s
    Discussion and Analysis of Financial Condition and Results of Operations                      
|                                   |                                                                                                                
|Item 3.                            | Quantitative
    and Qualitative Disclosures About Market Risk                                                 
|                                   |                                                                                                                
|Item 4.                            | Controls
    and Procedures                                                                                    
|                                   |                                                                                                                
|PART
    II – OTHER INFORMATION    |                                                                                                                
|                                   |                                                                                                                
|Item 1.                            | Legal
    Proceedings                                                                                          
|                                   |                                                                                                                
|Item 1A.                           | Risk
    Factors                                                                                               
|                                   |                                                                                                                
|Item 2.                            | Unregistered
    Sales of Equity Securities and Use of Proceeds                                                
|                                   |                                                                                                                
|Item 3.                            | Defaults
    Upon Senior Securities                                                                            
|                                   |                                                                                                                
|Item 4.                            | Mine
    Safety Disclosures                                                                                    
|                                   |                                                                                                                
|Item 5.                            | Other
    Information                                                                                          
|                                   |                                                                                                                
|Item 6.                            | Exhibits                                                                                                       
|                                   |                                                                                                                
|SIGNATURES                         |                                                                                                                



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



i







Special
Note About Forward-Looking Statements



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



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



UNLESS
EXPRESSLY STATED OTHERWISE, ALL INFORMATION IN THIS REPORT IS AS OF MARCH 31, 2019, AND THE MANAGING OWNER UNDERTAKES NO OBLIGATION
TO UPDATE THIS INFORMATION.



ii







PART
I. FINANCIAL INFORMATION



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





The Series of Frontier Funds

Statements of Financial Condition

March 31, 2019 (unaudited) and December 31, 2018



|                                                               |  | Frontier         |            |  | Frontier     |   |            | Frontier                  | 
|-------------------------------------------------------------- |  | ---------------- | ---------- |  | ------------ | - | ---------- | ------------------------- | 
|                                                               |  | Diversified Fund |            |  | Masters Fund |   |            | Long/Short Commodity Fund | 
|                                                               |  | 3/31/2019        |            |  | 12/31/2018   |   |            | 3/31/2019                 | 
|ASSETS                                                         |  |                  |            |  |              |   |            |                           | 
|Cash and cash equivalents                                      |  | $                | -          |  |              | $ | 472,695    |                           | 
|U.S. Treasury securities, at fair value                        |  |                  | -          |  |              |   | 1,553,261  |                           | 
|Incentive fees receivable                                      |  |                  | 17,277     |  |              |   | 17,277     |                           | 
|Swap contracts, at fair value                                  |  |                  | 5,833,765  |  |              |   | 5,920,414  |                           | 
|Investments in private investment companies, at fair value     |  |                  | 12,345,731 |  |              |   | 11,084,463 |                           | 
|Investments in unconsolidated trading companies, at fair value |  |                  | 19,736     |  |              |   | 1,160,910  |                           | 
|Interest receivable                                            |  |                  | -          |  |              |   | 32,017     |                           | 
|Due from Managing Owner                                        |  |                  | 3,199      |  |              |   | -          |                           | 
|Redemptions receivable from private investment companies       |  |                  | 31,288     |  |              |   | -          |                           | 
|Other assets                                                   |  |                  | -          |  |              |   | -          |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|Total Assets                                                   |  | $                | 18,250,996 |  |              | $ | 20,241,037 |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|LIABILITIES & CAPITAL                                          |  |                  |            |  |              |   |            |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|LIABILITIES                                                    |  |                  |            |  |              |   |            |                           | 
|Owner redemptions payable                                      |  | $                | -          |  |              | $ | -          |                           | 
|Incentive fees payable to Managing Owner                       |  |                  | -          |  |              |   | 10,897     |                           | 
|Management fees payable to Managing Owner                      |  |                  | -          |  |              |   | 3,875      |                           | 
|Service fees payable to Managing Owner                         |  |                  | 2,490      |  |              |   | 4,498      |                           | 
|Trading fees payable to Managing Owner                         |  |                  | 42,268     |  |              |   | 44,827     |                           | 
|Advance on unrealized swap appreciation                        |  |                  | 4,000,000  |  |              |   | 4,000,000  |                           | 
|Subscriptions in advance for service fee rebates               |  |                  | 26,419     |  |              |   | 20,430     |                           | 
|Other liabilities                                              |  |                  | 2,664      |  |              |   | -          |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|Total Liabilities                                              |  |                  | 4,073,841  |  |              |   | 4,084,527  |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|CAPITAL                                                        |  |                  |            |  |              |   |            |                           | 
|Managing Owner  - Class 2                                      |  |                  | 2,976      |  |              |   | 3,005      |                           | 
|Managing Owner  - Class 2a                                     |  |                  | -          |  |              |   | -          |                           | 
|Managing Owner  - Class 3                                      |  |                  | 156,703    |  |              |   | 172,426    |                           | 
|Managing Owner  - Class 3a                                     |  |                  | -          |  |              |   | -          |                           | 
|Limited Owner  - Class 1                                       |  |                  | 1,583,757  |  |              |   | 1,703,556  |                           | 
|Limited Owner  - Class 1a                                      |  |                  | -          |  |              |   | -          |                           | 
|Limited Owner  - Class 2                                       |  |                  | 6,163,896  |  |              |   | 7,669,749  |                           | 
|Limited Owner  - Class 2a                                      |  |                  | -          |  |              |   | -          |                           | 
|Limited Owner  - Class 3                                       |  |                  | 6,269,823  |  |              |   | 6,607,774  |                           | 
|Limited Owner  - Class 3a                                      |  |                  | -          |  |              |   | -          |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|Total Owners’ Capital                                          |  |                  | 14,177,155 |  |              |   | 16,156,510 |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|Non-Controlling Interests                                      |  |                  | -          |  |              |   | -          |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|Total Capital                                                  |  |                  | 14,177,155 |  |              |   | 16,156,510 |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|Total Liabilities and Capital                                  |  | $                | 18,250,996 |  |              | $ | 20,241,037 |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|Units Outstanding                                              |  |                  |            |  |              |   |            |                           | 
|Class 1                                                        |  |                  | 15,706     |  |              |   | 16,661     |                           | 
|Class 1a                                                       |  |                  | N/A        |  |              |   | N/A        |                           | 
|Class 2                                                        |  |                  | 51,524     |  |              |   | 63,494     |                           | 
|Class 2a                                                       |  |                  | N/A        |  |              |   | N/A        |                           | 
|Class 3                                                        |  |                  | 57,576     |  |              |   | 60,202     |                           | 
|Class 3a                                                       |  |                  | N/A        |  |              |   | N/A        |                           | 
|                                                               |  |                  |            |  |              |   |            |                           | 
|Net Asset Value per Unit                                       |  |                  |            |  |              |   |            |                           | 
|Class 1                                                        |  | $                | 100.84     |  |              | $ | 102.25     |                           | 
|Class 1a                                                       |  |                  | N/A        |  |              |   | N/A        |                           | 
|Class 2                                                        |  | $                | 119.69     |  |              | $ | 120.84     |                           | 
|Class 2a                                                       |  |                  | N/A        |  |              |   | N/A        |                           | 
|Class 3                                                        |  | $                | 111.62     |  |              | $ | 112.62     |                           | 
|Class 3a                                                       |  |                  | N/A        |  |              |   | N/A        |                           | 



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





1









The Series of Frontier Funds

Statements of Financial Condition

March 31, 2019 (unaudited) and December 31, 2018



|                                                               |  | Frontier Balanced Fund |            |  | Frontier Select Fund |  
|-------------------------------------------------------------- |  | ---------------------- | ---------- |  | -------------------- | -
|                                                               |  | 3/31/2019              |            |  | 12/31/2018           |  
|ASSETS                                                         |  |                        |            |  |                      |  
|Cash and cash equivalents                                      |  | $                      | 42,988     |  |                      | $
|U.S. Treasury securities, at fair value                        |  |                        | 288,004    |  |                      |  
|Open trade equity, at fair value                               |  |                        | 143,826    |  |                      |  
|Receivable from futures commission merchants                   |  |                        | 2,710,063  |  |                      |  
|Swap contracts, at fair value                                  |  |                        | 10,599,721 |  |                      |  
|Investments in private investment companies, at fair value     |  |                        | 21,038,058 |  |                      |  
|Investments in unconsolidated trading companies, at fair value |  |                        | 73,545     |  |                      |  
|Interest receivable                                            |  |                        | 1,940      |  |                      |  
|Redemptions receivable from private investment companies       |  |                        | 270,647    |  |                      |  
|Other assets                                                   |  |                        | 21,484     |  |                      |  
|                                                               |  |                        |            |  |                      |  
|Total Assets                                                   |  | $                      | 35,190,276 |  |                      | $
|                                                               |  |                        |            |  |                      |  
|LIABILITIES & CAPITAL                                          |  |                        |            |  |                      |  
|                                                               |  |                        |            |  |                      |  
|LIABILITIES                                                    |  |                        |            |  |                      |  
|Owner redemptions payable                                      |  | $                      | 31,891     |  |                      | $
|Management fees payable to Managing Owner                      |  |                        | 8,966      |  |                      |  
|Interest payable to Managing Owner                             |  |                        | 1,237      |  |                      |  
|Service fees payable to Managing Owner                         |  |                        | 47,153     |  |                      |  
|Trading fees payable to Managing Owner                         |  |                        | 88,587     |  |                      |  
|Risk analysis fees payable                                     |  |                        | 9,077      |  |                      |  
|Advance on unrealized swap appreciation                        |  |                        | 6,176,555  |  |                      |  
|Subscriptions in advance for service fee rebates               |  |                        | 283,754    |  |                      |  
|Other liabilities                                              |  |                        | -          |  |                      |  
|                                                               |  |                        |            |  |                      |  
|Total Liabilities                                              |  |                        | 6,647,220  |  |                      |  
|                                                               |  |                        |            |  |                      |  
|CAPITAL                                                        |  |                        |            |  |                      |  
|Managing Owner  - Class 2                                      |  |                        | 100,257    |  |                      |  
|Managing Owner  - Class 2a                                     |  |                        | 211,681    |  |                      |  
|Limited Owner  - Class 1                                       |  |                        | 22,821,736 |  |                      |  
|Limited Owner  - Class 1AP                                     |  |                        | 349,425    |  |                      |  
|Limited Owner  - Class 2                                       |  |                        | 4,101,516  |  |                      |  
|Limited Owner  - Class 2a                                      |  |                        | 86,671     |  |                      |  
|Limited Owner  - Class 3a                                      |  |                        | 871,770    |  |                      |  
|                                                               |  |                        |            |  |                      |  
|Total Owners’ Capital                                          |  |                        | 28,543,056 |  |                      |  
|                                                               |  |                        |            |  |                      |  
|Non-Controlling Interests                                      |  |                        | -          |  |                      |  
|                                                               |  |                        |            |  |                      |  
|Total Capital                                                  |  |                        | 28,543,056 |  |                      |  
|                                                               |  |                        |            |  |                      |  
|Total Liabilities and Capital                                  |  | $                      | 35,190,276 |  |                      | $
|                                                               |  |                        |            |  |                      |  
|Units Outstanding                                              |  |                        |            |  |                      |  
|Class 1                                                        |  |                        | 198,633    |  |                      |  
|Class 1AP                                                      |  |                        | 2,647      |  |                      |  
|Class 2                                                        |  |                        | 23,600     |  |                      |  
|Class 2a                                                       |  |                        | 1,934      |  |                      |  
|Class 3a                                                       |  |                        | 5,669      |  |                      |  
|                                                               |  |                        |            |  |                      |  
|Net Asset Value per Unit                                       |  |                        |            |  |                      |  
|Class 1                                                        |  | $                      | 114.89     |  |                      | $
|Class 1AP                                                      |  | $                      | 132.01     |  |                      | $
|Class 2                                                        |  | $                      | 178.04     |  |                      | $
|Class 2a                                                       |  | $                      | 154.27     |  |                      | $
|Class 3a                                                       |  | $                      | 153.78     |  |                      | $



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





2







The Series of Frontier Funds

Statements of Financial Condition

March 31, 2019 (unaudited) and December 31, 2018



|                                                               |  | Frontier Global Fund (Formerly Frontier Winton Fund) |           |  | Frontier Heritage Fund |  
|-------------------------------------------------------------- |  | ---------------------------------------------------- | --------- |  | ---------------------- | -
|                                                               |  | 3/31/2019                                            |           |  | 12/31/2018             |  
|ASSETS                                                         |  |                                                      |           |  |                        |  
|Cash and cash equivalents                                      |  | $                                                    | 302,492   |  |                        | $
|U.S. Treasury securities, at fair value                        |  |                                                      | 2,026,585 |  |                        |  
|Incentive fees receivable                                      |  |                                                      | -         |  |                        |  
|Swap contracts, at fair value                                  |  |                                                      | -         |  |                        |  
|Investments in private investment companies, at fair value     |  |                                                      | 5,111,813 |  |                        |  
|Investments in unconsolidated trading companies, at fair value |  |                                                      | 319,038   |  |                        |  
|Interest receivable                                            |  |                                                      | 13,648    |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|Total Assets                                                   |  | $                                                    | 7,773,576 |  |                        | $
|                                                               |  |                                                      |           |  |                        |  
|LIABILITIES & CAPITAL                                          |  |                                                      |           |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|LIABILITIES                                                    |  |                                                      |           |  |                        |  
|Owner redemptions payable                                      |  | $                                                    | -         |  |                        | $
|Management fees payable to Managing Owner                      |  |                                                      | -         |  |                        |  
|Interest payable to Managing Owner                             |  |                                                      | 5,504     |  |                        |  
|Service fees payable to Managing Owner                         |  |                                                      | 13,888    |  |                        |  
|Trading fees payable to Managing Owner                         |  |                                                      | 19,141    |  |                        |  
|Advance on unrealized swap appreciation                        |  |                                                      | -         |  |                        |  
|Subscriptions in advance for service fee rebates               |  |                                                      | 142,468   |  |                        |  
|Subscriptions payable to private investment companies          |  |                                                      | 105,800   |  |                        |  
|Other liabilities                                              |  |                                                      | 23,946    |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|Total Liabilities                                              |  |                                                      | 310,747   |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|CAPITAL                                                        |  |                                                      |           |  |                        |  
|Managing Owner - Class 2                                       |  |                                                      | 84,363    |  |                        |  
|Limited Owner - Class 1                                        |  |                                                      | 7,018,056 |  |                        |  
|Limited Owner - Class 1AP                                      |  |                                                      | 33,491    |  |                        |  
|Limited Owner - Class 2                                        |  |                                                      | 326,919   |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|Total Owners’ Capital                                          |  |                                                      | 7,462,829 |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|Non-Controlling Interests                                      |  |                                                      | -         |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|Total Capital                                                  |  |                                                      | 7,462,829 |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|Total Liabilities and Capital                                  |  | $                                                    | 7,773,576 |  |                        | $
|                                                               |  |                                                      |           |  |                        |  
|Units Outstanding                                              |  |                                                      |           |  |                        |  
|Class 1                                                        |  |                                                      | 51,477    |  |                        |  
|Class 1AP                                                      |  |                                                      | 214       |  |                        |  
|Class 2                                                        |  |                                                      | 2,104     |  |                        |  
|                                                               |  |                                                      |           |  |                        |  
|Net Asset Value per Unit                                       |  |                                                      |           |  |                        |  
|Class 1                                                        |  | $                                                    | 136.33    |  |                        | $
|Class 1AP                                                      |  | $                                                    | 156.50    |  |                        | $
|Class 2                                                        |  | $                                                    | 195.48    |  |                        | $



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





3







The
Series of Frontier Funds

Condensed Schedule of Investments

March 31, 2019 (unaudited)



|                                                         |  | Frontier         |            |  | Frontier           |  |       | Frontier                  | 
|-------------------------------------------------------- |  | ---------------- | ---------- |  | ------------------ |  | ----- | ------------------------- | 
|                                                         |  | Diversified Fund |            |  | Masters Fund       |  |       | Long/Short Commodity Fund | 
|                                                         |  |                  |            |  | % of Total Capital |  |       |                           | 
|Description                                              |  | Fair
Value       |            |  | (Net Asset 
Value) |  |       | Fair
Value                | 
|SWAPS (1)                                                |  |                  |            |  |                    |  |       |                           | 
|Frontier XXXV Diversified select swap (U.S.)             |  | $                | 5,833,765  |  |                    |  | 41.15 | %                         | 
|Frontier XXXVII L/S select swap (U.S.)                   |  |                  | -          |  |                    |  | -     |                           | 
|Total Swaps                                              |  | $                | 5,833,765  |  |                    |  | 41.15 | %                         | 
|                                                         |  |                  |            |  |                    |  |       |                           | 
|PRIVATE INVESTMENT COMPANIES (3)                         |  |                  |            |  |                    |  |       |                           | 
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  | $                | 1,314,756  |  |                    |  | 9.27  | %                         | 
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC         |  |                  | 1,254,558  |  |                    |  | 8.85  | %                         | 
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC |  |                  | 2,433,367  |  |                    |  | 17.16 | %                         | 
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC             |  |                  | 1,579,744  |  |                    |  | 11.14 | %                         | 
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC    |  |                  | 171,906    |  |                    |  | 1.21  | %                         | 
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC           |  |                  | 528,218    |  |                    |  | 3.73  | %                         | 
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  |                  | 1,880,972  |  |                    |  | 13.27 | %                         | 
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |                  | 3,056,166  |  |                    |  | 21.56 | %                         | 
|Galaxy Plus Fund - TT Feeder Fund (531) LLC              |  |                  | -          |  |                    |  | 0.00  | %                         | 
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  |                  | 126,044    |  |                    |  | 0.89  | %                         | 
|Total
Private Investment Companies                       |  | $                | 12,345,731 |  |                    |  | 87.07 | %                         | 
|                                                         |  |                  |            |  |                    |  |       |                           | 
|INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES (3)       |  |                 
|Frontier Trading Company XXXVIII, LLC                    |  | $                | -          |  |                    |  | 0.00  | %                         | 
|Frontier Trading Company II, LLC                         |  |                  | 19,736     |  |                    |  | 0.14  | %                         | 
|Total
Investment in Unconsolidated Trading Companies     |  | $                | 19,736     |  |                    |  | 0.14  | %                         | 



|U.S. TREASURY SECURITIES (2) FACE VALUE |           | Fair Value |  |                                                           |  |   |   | Fair Value |  |  |      |   |  | Fair Value |        |  |  | 
|--------------------------------------- | --------- | ---------- |  | --------------------------------------------------------- |  | - | - | ---------- |  |  | ---- | - |  | ---------- | ------ |  |  | 
|$                                       | 2,212,000 |            |  | US Treasury Note 6.875% due 08/15/2025
 (Cost $2,769,423) |  | $ | - |            |  |  | 0.00 | % |  | $          | 31,044 |  |  | 
|                                        |           |            |  |                                                           |  | $ | - |            |  |  | 0.00 | % |  | $          | 31,044 |  |  | 



|Additional Disclosure on U.S. Treasury Securities |  |   | Face
Value |  |  |  |  |  |  |   | Face
Value |  |  |  |  |  |  |   | Face
                                         Value |  |  |  |  | 
|------------------------------------------------- |  | - | ---------- |  |  |  |  |  |  | - | ---------- |  |  |  |  |  |  | - | --------------------------------------------------- |  |  |  |  | 
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $ | -          |  |  |  |  |  |  | $ | 24,464     |  |  |  |  |  |  | $ | 145,666                                             |  |  |  |  | 
|                                                  |  | $ | -          |  |  |  |  |  |  | $ | 24,464     |  |  |  |  |  |  | $ | 145,666                                             |  |  |  |  | 
|                                                  |  |   |            |  |  |  |  |  |  |   |            |  |  |  |  |  |  |   |                                                     |  |  |  |  | 
|Additional Disclosure on U.S. Treasury Securities |  |   | Cost       |  |  |  |  |  |  |   | Cost       |  |  |  |  |  |  |   | Cost                                                |  |  |  |  | 
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $ | -          |  |  |  |  |  |  | $ | 30,628     |  |  |  |  |  |  | $ | 182,373                                             |  |  |  |  | 
|                                                  |  | $ | -          |  |  |  |  |  |  | $ | 30,628     |  |  |  |  |  |  | $ | 182,373                                             |  |  |  |  | 



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

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

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



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





4







The Series of Frontier Funds

Condensed Schedule of Investments

March
31, 2019 (unaudited)



|                                                         |  | Frontier      |            |   | Frontier           | 
|-------------------------------------------------------- |  | ------------- | ---------- | - | ------------------ | 
|                                                         |  | Balanced Fund |            |   | Select Fund        | 
|                                                         |  |               |            |   | % of Total Capital | 
|Description                                              |  | Fair
Value    |            |   | (Net Asset
 Value) | 
|LONG FUTURES CONTRACTS*                                  |  |               |            |   |                    | 
|Various agriculture futures contracts (U.S.)             |  | $             | (7,220     | ) |                    | 
|Various base metals futures contracts (U.S.)             |  |               | (187       | ) |                    | 
|Various interest rates futures contracts (Canada)        |  |               | 16,967     |   |                    | 
|Various interest rates futures contracts (Europe)        |  |               | 70,828     |   |                    | 
|Various interest rates futures contracts (Far East)      |  |               | 20,289     |   |                    | 
|Various interest rates futures contracts (Oceanic)       |  |               | 47,651     |   |                    | 
|Various interest rates futures contracts (U.S.)          |  |               | 27,031     |   |                    | 
|Various soft futures contracts (U.S.)                    |  |               | 3,200      |   |                    | 
|Various stock index futures contracts (Europe)           |  |               | 5,687      |   |                    | 
|Various stock index futures contracts (Oceanic)          |  |               | (248       | ) |                    | 
|Various stock index futures contracts (U.S.)             |  |               | 2,970      |   |                    | 
|Total Long Futures Contracts                             |  | $             | 186,968    |   |                    | 
|SHORT FUTURES CONTRACTS*                                 |  |               |            |   |                    | 
|Various agriculture futures contracts (Europe)           |  | $             | 407        |   |                    | 
|Various agriculture futures contracts (U.S.)             |  |               | 10,850     |   |                    | 
|Various base metals futures contracts (U.S.)             |  |               | (3,294     | ) |                    | 
|Various energy futures contracts (U.S.)                  |  |               | 2,780      |   |                    | 
|Various precious metal futures contracts (U.S.)          |  |               | 2,350      |   |                    | 
|Various soft futures contracts (U.S.)                    |  |               | 14,425     |   |                    | 
|Total Short Futures Contracts                            |  | $             | 27,518     |   |                    | 
|CURRENCY FORWARDS*                                       |  |               |            |   |                    | 
|Various currency forwards contracts (NA)                 |  | $             | (70,660    | ) |                    | 
|Total Currency Forwards                                  |  | $             | (70,660    | ) |                    | 
|Total Open Trade Equity (Deficit)                        |  | $             | 143,826    |   |                    | 
|SWAP (1)                                                 |  |               |            |   |                    | 
|Frontier XXXIV Balanced select swap (U.S.)               |  | $             | 10,599,721 |   |                    | 
|Total Swap                                               |  | $             | 10,599,721 |   |                    | 
|                                                         |  |               |            |   |                    | 
|PRIVATE INVESTMENT COMPANIES (3)                         |  |               |            |   |                    | 
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  | $             | 2,395,043  |   |                    | 
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC         |  |               | 2,008,090  |   |                    | 
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC |  |               | 4,093,087  |   |                    | 
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC             |  |               | 2,675,584  |   |                    | 
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC    |  |               | 380,111    |   |                    | 
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC           |  |               | 490,758    |   |                    | 
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  |               | 3,231,600  |   |                    | 
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |               | 5,511,498  |   |                    | 
|Galaxy Plus Fund - TT Feeder Fund (531) LLC              |  |               | -          |   |                    | 
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  |               | 252,287    |   |                    | 
|Total Private Investment Companies                       |  | $             | 21,038,058 |   |                    | 
|                                                         |  |               |            |   |                    | 
|INVESTMENT IN UNCONSOLIDATED COMPANIES (3)               |  |               |            |   |                    | 
|Frontier Trading Company II, LLC                         |  | $             | 36,266     |   |                    | 
|Frontier Trading Company XXXVIII, LLC                    |  |               | 37,279     |   |                    | 
|Frontier Trading Company XXXIX, LLC                      |  |               | -          |   |                    | 
|Total Investment in Unconsolidated Trading Companies     |  | $             | 73,545     |   |                    | 



|U.S. TREASURY SECURITIES (2) 
FACE VALUE |           | Fair Value |  |                                                           |  |   |         | Fair Value |  |  |      |  
|---------------------------------------- | --------- | ---------- |  | --------------------------------------------------------- |  | - | ------- | ---------- |  |  | ---- | -
|$                                        | 2,212,000 |            |  | US Treasury Note 6.875% due 08/15/2025 
(Cost $2,769,423) |  | $ | 288,004 |            |  |  | 1.01 | %
|                                         |           |            |  |                                                           |  | $ | 288,004 |            |  |  | 1.01 | %





|Additional Disclosure on U.S. Treasury Securities |  | Face
    Value |         |  |  |  |  |  | Face
    Value |   |        |  |  | 
|------------------------------------------------- |  | -------------- | ------- |  |  |  |  |  | -------------- | - | ------ |  |  | 
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $              | 226,953 |  |  |  |  |  |                | $ | 77,726 |  |  | 
|                                                  |  | $              | 226,953 |  |  |  |  |  |                | $ | 77,726 |  |  | 
|                                                  |  |                |         |  |  |  |  |  |                |   |        |  |  | 
|Additional Disclosure on U.S. Treasury Securities |  | Cost           |         |  |  |  |  |  | Cost           |   |        |  |  | 
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $              | 284,145 |  |  |  |  |  |                | $ | 97,314 |  |  | 
|                                                  |  | $              | 284,145 |  |  |  |  |  |                | $ | 97,314 |  |  | 



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



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

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

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



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



5







The
Series of Frontier Funds

Condensed
Schedule of Investments

March 31, 2019 (unaudited)



|                                                     |  | Frontier Global Fund
    
(Formerly Frontier 
Winton Fund) |           |  | Frontier
Heritage Fund | 
|---------------------------------------------------- |  | ---------------------------------------------------------- | --------- |  | ---------------------- | 
|                                                     |  |                                                            |           |  | % of Total Capital     | 
|Description                                          |  | Fair
Value                                                 |           |  | (Net Asset 
Value)     | 
|SWAP (1)                                             |  |                                                            |           |  |                        | 
|Frontier Brevan Howard swap (U.S.)                   |  | $                                                          | -         |  |                        | 
|Total
Swap                                           |  | $                                                          | -         |  |                        | 
|                                                     |  |                                                            |           |  |                        | 
|PRIVATE INVESTMENT COMPANIES (3)                     |  |                                                            |           |  |                        | 
|Galaxy Plus Fund - Aspect Feeder Fund (532)
    LLC  |  | $                                                          | 5,111,813 |  |                        | 
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC  |  |                                                            | -         |  |                        | 
|Total
Private Investment Companies                   |  | $                                                          | 5,111,813 |  |                        | 
|                                                     |  |                                                            |           |  |                        | 
|INVESTMENT IN UNCONSOLIDATED COMPANIES (3)           |  |                                                            |           |  |                        | 
|Frontier Trading Company II, LLC                     |  | $                                                          | 56,721    |  |                        | 
|Frontier Trading Company XXXVIII, LLC                |  |                                                            | 262,317   |  |                        | 
|Total
Investment in Unconsolidated Trading Companies |  | $                                                          | 319,038   |  |                        | 



|U.S. TREASURY SECURITIES (2)
 FACE VALUE |           | Fair Value |  |                                                           |  |   |           | Fair Value |  |  |       |  
|---------------------------------------- | --------- | ---------- |  | --------------------------------------------------------- |  | - | --------- | ---------- |  |  | ----- | -
|$                                        | 2,212,000 |            |  | US Treasury Note 6.875% due 08/15/2025
 (Cost $2,769,423) |  | $ | 2,026,585 |            |  |  | 27.16 | %
|                                         |           |            |  |                                                           |  | $ | 2,026,585 |            |  |  | 27.16 | %

|Additional Disclosure on U.S. Treasury Securities |  | Face Value |           |  |  |  |  | Face Value |  |   |         | 
|------------------------------------------------- |  | ---------- | --------- |  |  |  |  | ---------- |  | - | ------- | 
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $          | 1,596,989 |  |  |  |  |            |  | $ | 140,203 | 
|                                                  |  | $          | 1,596,989 |  |  |  |  |            |  | $ | 140,203 | 



|Additional Disclosure on U.S. Treasury Securities |  | Cost |           |  |  |  |  | Cost |  |   |         | 
|------------------------------------------------- |  | ---- | --------- |  |  |  |  | ---- |  | - | ------- | 
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $    | 1,999,429 |  |  |  |  |      |  | $ | 175,534 | 
|                                                  |  | $    | 1,999,429 |  |  |  |  |      |  | $ | 175,534 | 



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

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

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



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



6







The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2018





|                                                         |  |   | Frontier                                                                                      |  |  |  | Frontier                                                                                            |   |  |   | Frontier                                                                                      | 
|-------------------------------------------------------- |  | - | --------------------------------------------------------------------------------------------- |  |  |  | --------------------------------------------------------------------------------------------------- | - |  | - | --------------------------------------------------------------------------------------------- | 
|                                                         |  |   | Diversified
                                         Fund                                     |  |  |  | Masters
                                         Fund                                               |   |  |   | Long/Short
                                         Commodity Fund                            | 
|                                                         |  |   |                                                                                               |  |  |  | %
                                         of Total Capital                                         |   |  |   |                                                                                               | 
|Description                                              |  |   | Fair
                                         
                                         Value |  |  |  | (Net
                                         Asset
                                         Value) |   |  |   | Fair
                                         
                                         Value | 
|SWAPS (1)                                                |  |   |                                                                                               |  |  |  |                                                                                                     |   |  |   |                                                                                               | 
|Frontier XXXV Diversified select swap (U.S.)             |  | $ | 5,920,414                                                                                     |  |  |  | 36.64                                                                                               | % |  | $ | -                                                                                             | 
|Frontier XXXVII L/S select swap (U.S.)                   |  |   | -                                                                                             |  |  |  | -                                                                                                   |   |  |   | -                                                                                             | 
|Total Swaps                                              |  | $ | 5,920,414                                                                                     |  |  |  | 36.64                                                                                               | % |  | $ | -                                                                                             | 
|                                                         |  |   |                                                                                               |  |  |  |                                                                                                     |   |  |   |                                                                                               | 
|PRIVATE INVESTMENT COMPANIES (3)                         |  |   |                                                                                               |  |  |  |                                                                                                     |   |  |   |                                                                                               | 
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  | $ | 855,522                                                                                       |  |  |  | 5.30                                                                                                | % |  | $ | 695,585                                                                                       | 
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC         |  |   | 1,150,943                                                                                     |  |  |  | 7.12                                                                                                | % |  |   | -                                                                                             | 
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC |  |   | 1,789,814                                                                                     |  |  |  | 11.08                                                                                               | % |  |   | -                                                                                             | 
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC             |  |   | 1,517,376                                                                                     |  |  |  | 9.39                                                                                                | % |  |   | -                                                                                             | 
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC    |  |   | 1,650,526                                                                                     |  |  |  | 10.22                                                                                               | % |  |   | -                                                                                             | 
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC           |  |   | 446,649                                                                                       |  |  |  | 2.76                                                                                                | % |  |   | -                                                                                             | 
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  |   | 300,708                                                                                       |  |  |  | 1.86                                                                                                | % |  |   | -                                                                                             | 
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |   | 3,266,499                                                                                     |  |  |  | 20.22                                                                                               | % |  |   | 2,667,361                                                                                     | 
|Galaxy Plus Fund - TT Feeder Fund (531) LLC              |  |   | -                                                                                             |  |  |  | 0.00                                                                                                | % |  |   | 1,298,381                                                                                     | 
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  |   | 106,426                                                                                       |  |  |  | 0.66                                                                                                | % |  |   | -                                                                                             | 
|Total Private Investment Companies                       |  | $ | 11,084,463                                                                                    |  |  |  | 68.60                                                                                               | % |  | $ | 4,661,327                                                                                     | 
|                                                         |  |   |                                                                                               |  |  |  |                                                                                                     |   |  |   |                                                                                               | 
|INVESTMENT IN UNCONSOLIDATED TRADING COMPANIES
    (3)   |  |   |                                                                                               |  |  |  |                                                                                                     |   |  |   |                                                                                               | 
|Frontier Trading Company XXXVIII, LLC                    |  | $ | 216,107                                                                                       |  |  |  | 1.34                                                                                                | % |  | $ | 21,201                                                                                        | 
|Frontier Trading Company II, LLC                         |  |   | 944,803                                                                                       |  |  |  | 5.85                                                                                                | % |  |   | 753,887                                                                                       | 
|Total Investment in Unconsolidated Trading Companies     |  | $ | 1,160,910                                                                                     |  |  |  | 7.19                                                                                                | % |  | $ | 775,088                                                                                       | 





|U.S. TREASURY SECURITIES (2) FACE VALUE |           | Fair Value |  |                                                           |  |   |           | Fair Value |  |  |      |   |  | Fair Value |         |  |  | 
|--------------------------------------- | --------- | ---------- |  | --------------------------------------------------------- |  | - | --------- | ---------- |  |  | ---- | - |  | ---------- | ------- |  |  | 
|$                                       | 4,512,000 |            |  | US Treasury Note 6.875% due 08/15/2025 
(Cost $5,589,456) |  | $ | 1,553,261 |            |  |  | 9.61 | % |  | $          | 152,384 |  |  | 
|                                        |           |            |  |                                                           |  | $ | 1,553,261 |            |  |  | 9.61 | % |  | $          | 152,384 |  |  | 



|Additional Disclosure on U.S. Treasury Securities |  | Face Value |           |  |  |  |  | Face Value |  |   |         |  |  | Face Value |  |  |  |  
|------------------------------------------------- |  | ---------- | --------- |  |  |  |  | ---------- |  | - | ------- |  |  | ---------- |  |  |  | -
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $          | 1,232,919 |  |  |  |  |            |  | $ | 120,957 |  |  |            |  |  |  | $
|                                                  |  | $          | 1,232,919 |  |  |  |  |            |  | $ | 120,957 |  |  |            |  |  |  | $



|Additional Disclosure on U.S. Treasury Securities |  | Cost |           |  |  |  |  | Cost |  |   |         |  |  | Cost |  |  |  |  
|------------------------------------------------- |  | ---- | --------- |  |  |  |  | ---- |  | - | ------- |  |  | ---- |  |  |  | -
|                                                  |  |      |           |  |  |  |  |      |  |   |         |  |  |      |  |  |  |  
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $    | 1,527,337 |  |  |  |  |      |  | $ | 149,841 |  |  |      |  |  |  | $
|                                                  |  | $    | 1,527,337 |  |  |  |  |      |  | $ | 149,841 |  |  |      |  |  |  | $



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

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

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



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





7







The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2018



|                                                             |  | Frontier          |            |   | Frontier               | 
|------------------------------------------------------------ |  | ----------------- | ---------- | - | ---------------------- | 
|                                                             |  | Balanced
    Fund |            |   | Select
    Fund        | 
|                                                             |  |                   |            |   | % of
    Total Capital | 
|Description                                                  |  | Fair
Value        |            |   | (Net
    Asset 
Value) | 
|LONG
    FUTURES CONTRACTS*                                  |  |                   |            |   |                        | 
|Various
    agriculture futures contracts (Europe)           |  | $                 | (1,472     | ) |                        | 
|Various agriculture
    futures contracts (U.S.)             |  |                   | 8,490      |   |                        | 
|Various base
    metals futures contracts (U.S.)             |  |                   | (31,117    | ) |                        | 
|Various energy
    futures contracts (U.S.)                  |  |                   | (5,390     | ) |                        | 
|Various interest
    rates futures contracts (Canada)        |  |                   | 7,402      |   |                        | 
|Various interest
    rates futures contracts (Europe)        |  |                   | 116,653    |   |                        | 
|Various interest
    rates futures contracts (Far East)      |  |                   | 17,226     |   |                        | 
|Various interest
    rates futures contracts (Oceanic)       |  |                   | 48,083     |   |                        | 
|Various interest
    rates futures contracts (U.S.)          |  |                   | 1,094      |   |                        | 
|Various
    soft futures contracts (U.S.)                    |  |                   | (2,025     | ) |                        | 
|Total
    Long Futures Contracts                             |  | $                 | 158,944    |   |                        | 
|SHORT
    FUTURES CONTRACTS*                                 |  |                   |            |   |                        | 
|Various agriculture
    futures contracts (Canada)           |  | $                 | 9,613      |   |                        | 
|Various agriculture
    futures contracts (U.S.)             |  |                   | 6,120      |   |                        | 
|Various base
    metals futures contracts (U.S.)             |  |                   | 28,880     |   |                        | 
|Various energy
    futures contracts (U.S.)                  |  |                   | (600       | ) |                        | 
|Various precious
    metal futures contracts (U.S.)          |  |                   | (1,305     | ) |                        | 
|Various soft
    futures contracts (U.S.)                    |  |                   | 25,227     |   |                        | 
|Various stock
    index futures contracts (Canada)           |  |                   | 3,027      |   |                        | 
|Various stock
    index futures contracts (Europe)           |  |                   | 12,826     |   |                        | 
|Various
    stock index futures contracts (U.S.)             |  |                   | 128        |   |                        | 
|Total
    Short Futures Contracts                            |  | $                 | 83,916     |   |                        | 
|CURRENCY
    FORWARDS*                                       |  |                   |            |   |                        | 
|Various
    currency forwards contracts (NA)                 |  | $                 | (22,201    | ) |                        | 
|Total
    Currency Forwards                                  |  | $                 | (22,201    | ) |                        | 
|Total
    Open Trade Equity (Deficit)                        |  | $                 | 220,659    |   |                        | 
|SWAP (1)                                                     |  |                   |            |   |                        | 
|Frontier
    XXXIV Balanced select swap (U.S.)               |  | $                 | 10,794,908 |   |                        | 
|Total
    Swap                                               |  | $                 | 10,794,908 |   |                        | 
|PRIVATE
    INVESTMENT COMPANIES (3)                         |  |                   |            |   |                        | 
|Galaxy Plus Fund
    - EvE STP Feeder Fund (516) LLC         |  | $                 | 1,526,456  |   |                        | 
|Galaxy Plus Fund
    - Doherty Feeder Fund (528) LLC         |  |                   | 1,852,304  |   |                        | 
|Galaxy Plus Fund
    - Fort Contrarian Feeder Fund (510) LLC |  |                   | 3,191,189  |   |                        | 
|Galaxy Plus Fund
    - QIM Feeder Fund (526) LLC             |  |                   | 3,451,307  |   |                        | 
|Galaxy Plus Fund
    - Quantmetrics Feeder Fund (527) LLC    |  |                   | 3,853,295  |   |                        | 
|Galaxy Plus Fund
    - Quest Feeder Fund (517) LLC           |  |                   | 484,157    |   |                        | 
|Galaxy Plus Fund
    - Aspect Feeder Fund (532) LLC          |  |                   | 802,570    |   |                        | 
|Galaxy Plus Fund
    - Welton GDP Feeder Fund (538) LLC      |  |                   | 7,426,768  |   |                        | 
|Galaxy Plus Fund
    - TT Feeder Fund (531) LLC              |  |                   | -          |   |                        | 
|Galaxy
    Plus Fund - LRR Feeder Fund (522) LLC             |  |                   | 266,280    |   |                        | 
|Total
    Private Investment Companies                       |  | $                 | 22,854,326 |   |                        | 
|INVESTMENT
    IN UNCONSOLIDATED COMPANIES (3)               |  |                   |            |   |                        | 
|Frontier Trading
    Company II, LLC                         |  | $                 | 1,710,577  |   |                        | 
|Frontier Trading
    Company XXXVIII, LLC                    |  |                   | 34,422     |   |                        | 
|Frontier
    Trading Company XXXIX, LLC                      |  |                   | -          |   |                        | 
|Total
    Investment in Unconsolidated Trading Companies     |  | $                 | 1,744,999  |   |                        | 



|U.S. TREASURY SECURITIES (2)
 FACE VALUE |           | Fair Value |  |                                                           |  |   |         | Fair Value |  |  |      |  
|---------------------------------------- | --------- | ---------- |  | --------------------------------------------------------- |  | - | ------- | ---------- |  |  | ---- | -
|$                                        | 4,512,000 |            |  | US Treasury Note 6.875% due 08/15/2025
 (Cost $5,589,456) |  | $ | 123,409 |            |  |  | 0.39 | %
|                                         |           |            |  |                                                           |  | $ | 123,409 |            |  |  | 0.39 | %



|Additional Disclosure on U.S. Treasury Securities |  | Face Value |        |  |  |  |  | Face Value |  |   |        | 
|------------------------------------------------- |  | ---------- | ------ |  |  |  |  | ---------- |  | - | ------ | 
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $          | 97,958 |  |  |  |  |            |  | $ | 65,395 | 
|                                                  |  | $          | 97,958 |  |  |  |  |            |  | $ | 65,395 | 



|Additional Disclosure on U.S. Treasury Securities |  | Cost |         |  |  |  |  | Cost |  |   |        | 
|------------------------------------------------- |  | ---- | ------- |  |  |  |  | ---- |  | - | ------ | 
|US Treasury Note 6.875% due 08/15/2025 (2)        |  | $    | 121,350 |  |  |  |  |      |  | $ | 81,011 | 
|                                                  |  | $    | 121,350 |  |  |  |  |      |  | $ | 81,011 | 



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



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

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

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



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





8









The Series of Frontier Funds
Condensed Schedule of Investments
December 31, 2018



|                                                     |  | Frontier Winton Fund |           |  | Frontier  Heritage Fund              | 
|---------------------------------------------------- |  | -------------------- | --------- |  | ------------------------------------ | 
|Description                                          |  | Fair Value           |           |  | % of Total Capital (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                     |  | $                    | 3,857,075 |  |                                      | 
|Frontier Trading Company XXXVIII, LLC                |  |                      | 435,000   |  |                                      | 
|Total Investment in Unconsolidated Trading Companies |  | $                    | 4,292,075 |  |                                      | 



|U.S. TREASURY SECURITIES (2)
 FACE VALUE          |           | Fair Value |           |                                                           |  |   |           | Fair Value |            |   |         |  
|------------------------------------------------- | --------- | ---------- | --------- | --------------------------------------------------------- |  | - | --------- | ---------- | ---------- | - | ------- | -
|$                                                 | 4,512,000 |            |           | US Treasury Note 6.875% due 08/15/2025
 (Cost $5,589,456) |  | $ | 3,126,551 |            |            |   | 38.09   | %
|                                                  |           |            |           |                                                           |  | $ | 3,126,551 |            |            |   | 38.09   | %
|                                                  |           |            |           |                                                           |  |   |           |            |            |   |         |  
|Additional Disclosure on U.S. Treasury Securities |           | Face Value |           |                                                           |  |   |           |            | Face Value |   |         |  
|                                                  |           |            |           |                                                           |  |   |           |            |            |   |         |  
|US Treasury Note 6.875% due 08/15/2025 (2)        |           | $          | 2,481,736 |                                                           |  |   |           |            |            | $ | 352,367 |  
|                                                  |           | $          | 2,481,736 |                                                           |  |   |           |            |            | $ | 352,367 |  
|                                                  |           |            |           |                                                           |  |   |           |            |            |   |         |  
|Additional Disclosure on U.S. Treasury Securities |           | Cost       |           |                                                           |  |   |           |            | Cost       |   |         |  
|                                                  |           |            |           |                                                           |  |   |           |            |            |   |         |  
|US Treasury Note 6.875% due 08/15/2025 (2)        |           | $          | 3,074,369 |                                                           |  |   |           |            |            | $ | 436,512 |  
|                                                  |           | $          | 3,074,369 |                                                           |  |   |           |            |            | $ | 436,512 |  



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



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

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

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



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





9







The Series of Frontier Funds

Statements of Operations

For the Three Months Ended March 31,
2019 and 2018 (unaudited)



|                                                                                                                |  | Frontier Diversified Fund |          |   | Frontier Masters Fund |   |            | Frontier Long/Short 
Commodity Fund | 
|--------------------------------------------------------------------------------------------------------------- |  | ------------------------- | -------- | - | --------------------- | - | ---------- | ----------------------------------- | 
|                                                                                                                |  | 3/31/2019                 |          |   | 3/31/2018             |   |            | 3/31/2019                           | 
|Investment income:                                                                                              |  |                           |          |   |                       |   |            |                                     | 
|Interest - net                                                                                                  |  | $                         | 4,868    |   |                       | $ | 7,617      |                                     | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|Total Income                                                                                                    |  |                           | 4,868    |   |                       |   | 7,617      |                                     | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|Expenses:                                                                                                       |  |                           |          |   |                       |   |            |                                     | 
|Incentive Fees (rebate)                                                                                         |  |                           | -        |   |                       |   | 1,881      |                                     | 
|Management Fees                                                                                                 |  |                           | 2,668    |   |                       |   | 11,563     |                                     | 
|Service Fees - Class 1, 1A, 2 and 2A                                                                            |  |                           | 12,029   |   |                       |   | 16,115     |                                     | 
|Trading Fees                                                                                                    |  |                           | 130,304  |   |                       |   | 165,150    |                                     | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|Total Expenses                                                                                                  |  |                           | 145,001  |   |                       |   | 194,709    |                                     | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|Investment (loss) - net                                                                                         |  |                           | (140,133 | ) |                       |   | (187,092   | )                                   | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|Realized and unrealized gain/(loss) on investments:                                                             |  |                           |          |   |                       |   |            |                                     | 
|Net unrealized gain/(loss) on private investment companies                                                      |  |                           | 442,738  |   |                       |   | (1,946,997 | )                                   | 
|Net realized gain/(loss) on private investment companies                                                        |  |                           | (332,437 | ) |                       |   | 159,265    |                                     | 
|Net unrealized gain/(loss) on swap contracts                                                                    |  |                           | (86,648  | ) |                       |   | 451,993    |                                     | 
|Net realized gain/(loss) on U.S. Treasury securities                                                            |  |                           | 15,071   |   |                       |   | (23,575    | )                                   | 
|Net unrealized gain/(loss) on U.S. Treasury securities                                                          |  |                           | (18,038  | ) |                       |   | (5,937     | )                                   | 
|Change in fair value of investments in unconsolidated trading companies                                         |  |                           | (84,498  | ) |                       |   | (149,643   | )                                   | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|Net gain/(loss) on investments                                                                                  |  |                           | (63,812  | ) |                       |   | (1,514,894 | )                                   | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM
    OPERATIONS                                                |  |                           | (203,945 | ) |                       |   | (1,701,986 | )                                   | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|Less: Operations attributable to non-controlling interests                                                      |  |                           | -        |   |                       |   | -          |                                     | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM
    OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                         | (203,945 | ) |                       | $ | (1,701,986 | )                                   | 
|                                                                                                                |  |                           |          |   |                       |   |            |                                     | 
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO
    CONTROLLING INTERESTS PER UNIT |  |                           |          |   |                       |   |            |                                     | 
|Class 1                                                                                                         |  | $                         | (1.41    | ) |                       | $ | (9.88      | )                                   | 
|Class 1a                                                                                                        |  |                           | N/A      |   |                       |   | N/A        |                                     | 
|Class 2                                                                                                         |  | $                         | (1.15    | ) |                       | $ | (10.93     | )                                   | 
|Class 2a                                                                                                        |  |                           | N/A      |   |                       |   | N/A        |                                     | 
|Class 3                                                                                                         |  | $                         | (1.00    | ) |                       | $ | (10.09     | )                                   | 
|Class 3a                                                                                                        |  |                           | N/A      |   |                       |   | N/A        |                                     | 



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





10







The Series of the Frontier Funds

Statements of Operations

For the Three Months Ended March 31, 2019 and 2018 (unaudited)



|                                                                                                            |  | Frontier Balanced Fund |          |   | Frontier Select Fund |  
|----------------------------------------------------------------------------------------------------------- |  | ---------------------- | -------- | - | -------------------- | -
|                                                                                                            |  | 3/31/2019              |          |   | 3/31/2018            |  
|Investment income:                                                                                          |  |                        |          |   |                      |  
|Interest - net                                                                                              |  | $                      | 11,360   |   |                      | $
|                                                                                                            |  |                        |          |   |                      |  
|Total Income/(loss)                                                                                         |  |                        | 11,360   |   |                      |  
|                                                                                                            |  |                        |          |   |                      |  
|Expenses:                                                                                                   |  |                        |          |   |                      |  
|Incentive Fees (rebate)                                                                                     |  |                        | -        |   |                      |  
|Management Fees                                                                                             |  |                        | 8,079    |   |                      |  
|Service Fees - Class 1, 1A, 2 and 2A                                                                        |  |                        | 170,865  |   |                      |  
|Risk analysis Fees                                                                                          |  |                        | 1,458    |   |                      |  
|Trading Fees                                                                                                |  |                        | 279,337  |   |                      |  
|                                                                                                            |  |                        |          |   |                      |  
|Total Expenses                                                                                              |  |                        | 459,739  |   |                      |  
|                                                                                                            |  |                        |          |   |                      |  
|Investment (loss) - net                                                                                     |  |                        | (448,379 | ) |                      |  
|                                                                                                            |  |                        |          |   |                      |  
|Realized and unrealized gain/(loss) on investments:                                                         |  |                        |          |   |                      |  
|Net realized gain/(loss) on futures, forwards and options                                                   |  |                        | 4,526    |   |                      |  
|Net unrealized gain/(loss) on private investment companies                                                  |  |                        | 903,551  |   |                      |  
|Net realized gain/(loss) on private investment companies                                                    |  |                        | (747,334 | ) |                      |  
|Net change in open trade equity/(deficit)                                                                   |  |                        | (102,236 | ) |                      |  
|Net unrealized gain/(loss) on swap contracts                                                                |  |                        | (195,186 | ) |                      |  
|Net realized gain/(loss) on U.S. Treasury securities                                                        |  |                        | (3,429   | ) |                      |  
|Net unrealized gain/(loss) on U.S. Treasury securities                                                      |  |                        | 14,684   |   |                      |  
|Trading commissions                                                                                         |  |                        | (7,065   | ) |                      |  
|Change in fair value of investments in unconsolidated trading companies                                     |  |                        | (138,270 | ) |                      |  
|                                                                                                            |  |                        |          |   |                      |  
|Net gain/(loss) on investments                                                                              |  |                        | (270,759 | ) |                      |  
|                                                                                                            |  |                        |          |   |                      |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS                                                |  |                        | (719,138 | ) |                      |  
|                                                                                                            |  |                        |          |   |                      |  
|Less:  Operations attributable to non-controlling interests                                                 |  |                        | -        |   |                      |  
|                                                                                                            |  |                        |          |   |                      |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                      | (719,138 | ) |                      | $
|                                                                                                            |  |                        |          |   |                      |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS PER UNIT |  |                        |          |   |                      |  
|Class 1                                                                                                     |  | $                      | (2.74    | ) |                      | $
|Class 1AP                                                                                                   |  | $                      | (2.15    | ) |                      | $
|Class 2                                                                                                     |  | $                      | (2.90    | ) |                      | $
|Class 2a                                                                                                    |  | $                      | (2.54    | ) |                      | $
|Class 3a                                                                                                    |  | $                      | (2.48    | ) |                      | $



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



11







The Series of the Frontier Funds

Statements of Operations

For
the Three Months Ended March 31, 2019 and 2018 (unaudited)



|                                                                                                                |  | Frontier Global Fund (formerly, Frontier Winton Fund) |          |   | Frontier Heritage Fund |  
|--------------------------------------------------------------------------------------------------------------- |  | ----------------------------------------------------- | -------- | - | ---------------------- | -
|                                                                                                                |  | 3/31/2019                                             |          |   | 3/31/2018              |  
|Investment income:                                                                                              |  |                                                       |          |   |                        |  
|Interest - net                                                                                                  |  | $                                                     | -        |   |                        | $
|                                                                                                                |  |                                                       |          |   |                        |  
|Total Income                                                                                                    |  |                                                       | -        |   |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|Expenses:                                                                                                       |  |                                                       |          |   |                        |  
|Incentive Fees (rebate)                                                                                         |  |                                                       | -        |   |                        |  
|Management Fees                                                                                                 |  |                                                       | 29,148   |   |                        |  
|Service Fees - Class 1, 1A, 2 and 2A                                                                            |  |                                                       | 52,123   |   |                        |  
|Trading Fees                                                                                                    |  |                                                       | 42,715   |   |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|Total Expenses                                                                                                  |  |                                                       | 123,986  |   |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|Investment (loss) - net                                                                                         |  |                                                       | (123,986 | ) |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|Realized and unrealized gain/(loss) on investments:                                                             |  |                                                       |          |   |                        |  
|Net unrealized gain/(loss) on private investment companies                                                      |  |                                                       | 688,108  |   |                        |  
|Net realized gain/(loss) on private investment companies                                                        |  |                                                       | -        |   |                        |  
|Net unrealized gain/(loss) on swap contracts                                                                    |  |                                                       | -        |   |                        |  
|Net realized gain/(loss) on U.S. Treasury securities                                                            |  |                                                       | 77,673   |   |                        |  
|Net unrealized gain/(loss) on U.S. Treasury securities                                                          |  |                                                       | (72,893  | ) |                        |  
|Change in fair value of investments in unconsolidated trading companies                                         |  |                                                       | (328,263 | ) |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|Net gain/(loss) on investments                                                                                  |  |                                                       | 364,625  |   |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM
    OPERATIONS                                                |  |                                                       | 240,639  |   |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|Less:  Operations attributable to non-controlling interests                                                     |  |                                                       | -        |   |                        |  
|                                                                                                                |  |                                                       |          |   |                        |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM
    OPERATIONS ATTRIBUTABLE TO CONTROLLING INTERESTS          |  | $                                                     | 240,639  |   |                        | $
|                                                                                                                |  |                                                       |          |   |                        |  
|NET INCREASE/(DECREASE) IN CAPITAL RESULTING FROM OPERATIONS ATTRIBUTABLE TO
    CONTROLLING INTERESTS PER UNIT |  |                                                       |          |   |                        |  
|Class 1                                                                                                         |  | $                                                     | 4.76     |   |                        | $
|Class 1AP                                                                                                       |  | $                                                     | 6.58     |   |                        | $
|Class 2                                                                                                         |  | $                                                     | 8.31     |   |                        | $



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



12







The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2019 (unaudited)



|                                                                                 |  | Frontier
    Diversified Fund |           |   | Frontier
    Masters Fund |  
|-------------------------------------------------------------------------------- |  | ----------------------------- | --------- | - | ------------------------- | -
|                                                                                 |  | Class
    1                   |           |   | Class
    2               |  
|                                                                                 |  | Limited Owners                |           |   | Managing Owner            |  
|                                                                                 |  |                               |           |   |                           |  
|Owners’
    Capital, December 31, 2018                                           |  | $                             | 1,703,556 |   |                           | $
|                                                                                 |  |                               |           |   |                           |  
|Redemption of Units                                                              |  |                               | (37,231   | ) |                           |  
|Transfer of Units In(Out)                                                        |  |                               | (57,323   | ) |                           |  
|Net increase/(decrease)
    in Owners’                                           |  |                               |           |   |                           |  
|Capital
    resulting from operations attributable to controlling interests      |  |                               | (25,245   | ) |                           |  
|                                                                                 |  |                               |           |   |                           |  
|Owners’
    Capital, March 31, 2019                                              |  | $                             | 1,583,757 |   |                           | $
|                                                                                 |  |                               |           |   |                           |  
|Owners’ Capital
    - Units, December 31, 2018                                   |  |                               | 16,661    |   |                           |  
|                                                                                 |  |                               |           |   |                           |  
|Redemption
    of Units (including transfers)                                    |  |                               | (955      | ) |                           |  
|                                                                                 |  |                               |           |   |                           |  
|Owners’
    Capital - Units, March 31, 2019                                      |  |                               | 15,706    |   |                           |  
|                                                                                 |  |                               |           |   |                           |  
|                                                                                 |  |                               |           |   |                           |  
|Net asset value per unit at December
    31, 2018                                |  | $                             | 102.25    |   |                           |  
|                                                                                 |  |                               |           |   |                           |  
|Change in net
    asset value per unit for the three months ended March 31, 2019 |  |                               | (1.41     | ) |                           |  
|                                                                                 |  |                               |           |   |                           |  
|Net asset value
    per unit at March 31, 2019                                   |  | $                             | 100.84    |   |                           |  



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



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



13









The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2019 (unaudited)



|                                                                             |  | Frontier Long/Short Commodity Fund |       |   |                |  
|---------------------------------------------------------------------------- |  | ---------------------------------- | ----- | - | -------------- | -
|                                                                             |  | Class 2                            |       |   | Class 3        |  
|                                                                             |  | Managing Owner                     |       |   | Limited Owners |  
|                                                                             |  |                                    |       |   |                |  
|Owners’ Capital, December 31, 2018                                           |  | $                                  | 5,998 |   |                | $
|                                                                             |  |                                    |       |   |                |  
|Redemption of Units                                                          |  |                                    | (500  | ) |                |  
|Net increase/(decrease) in Owners’                                           |  |                                    |       |   |                |  
|Capital resulting from operations attributable to controlling interests      |  |                                    | (302  | ) |                |  
|                                                                             |  |                                    |       |   |                |  
|Owners’ Capital, March 31, 2019                                              |  | $                                  | 5,196 |   |                | $
|                                                                             |  |                                    |       |   |                |  
|Owners’ Capital - Units, December 31, 2018                                   |  |                                    | 61    |   |                |  
|                                                                             |  |                                    |       |   |                |  
|Redemption of Units (including transfers)                                    |  |                                    | (6    | ) |                |  
|                                                                             |  |                                    |       |   |                |  
|Owners’ Capital - Units, March 31, 2019                                      |  |                                    | 55    |   |                |  
|                                                                             |  |                                    |       |   |                |  
|                                                                             |  |                                    |       |   |                |  
|Net asset value per unit at December 31, 2018                                |  |                                    |       |   |                |  
|                                                                             |  |                                    |       |   |                |  
|Change in net asset value per unit for the three months ended March 31, 2019 |  |                                    |       |   |                |  
|                                                                             |  |                                    |       |   |                |  
|Net asset value per unit at March 31, 2019                                   |  |                                    |       |   |                | $



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



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



14











The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2019 (unaudited)



|                                                                             |  | Frontier Balanced Fund |           
|---------------------------------------------------------------------------- |  | ---------------------- | ----------
|                                                                             |  | Class 1                |           
|                                                                             |  | Limited Owners         |           
|                                                                             |  |                        |           
|Owners’ Capital, December 31, 2018                                           |  | $                      | 25,703,922
|                                                                             |  |                        |           
|Redemption of Units (including transfers)                                    |  |                        | (2,242,725
|Transfer of Units In(Out)                                                    |  |                        | (24,405   
|Net increase/(decrease) in Owners’                                           |  |                        |           
|Capital resulting from operations attributable to controlling interests      |  |                        | (615,056  
|                                                                             |  |                        |           
|Owners’ Capital, March 31, 2019                                              |  | $                      | 22,821,736
|                                                                             |  |                        |           
|Owners’ Capital - Units, December 31, 2018                                   |  |                        | 218,514   
|                                                                             |  |                        |           
|Redemption of Units (including transfers)                                    |  |                        | (19,880   
|                                                                             |  |                        |           
|Owners’ Capital - Units, March 31, 2019                                      |  |                        | 198,634   
|                                                                             |  |                        |           
|                                                                             |  |                        |           
|                                                                             |  |                        |           
|Net asset value per unit at December 31, 2018                                |  |                        | 117.63    
|                                                                             |  |                        |           
|Change in net asset value per unit for the three months ended March 31, 2019 |  |                        | (2.74     
|                                                                             |  |                        |           
|Net asset value per unit at March 31, 2019                                   |  | $                      | 114.89    



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



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



15









The Series of Frontier Funds

Statements of Changes in Owners’ Capital

For the Three Months Ended March 31, 2019 (unaudited)



|                                                                                 |  | Frontier
    Select Fund |           |   | Frontier
    Global Fund (Formerly Frontier Winton Fund) |   |       | Frontier
    Heritage Fund | 
|-------------------------------------------------------------------------------- |  | ------------------------ | --------- | - | -------------------------------------------------------- | - | ----- | -------------------------- | 
|                                                                                 |  | Class
    1              |           |   | Class
    1AP                                            |   |       | Class
    2                | 
|                                                                                 |  | Limited Owners           |           |   | Limited Owners                                           |   |       | Managing Owner             | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Owners’ Capital, December 31, 2018                                               |  | $                        | 3,709,130 |   |                                                          | $ | 1,897 |                            | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Redemption of Units                                                              |  |                          | (106,249  | ) |                                                          |   | -     |                            | 
|Operations attributable to non-controlling interests                             |  |                          |           |   |                                                          |   |       |                            | 
|Net increase/(decrease) in Owners’                                               |  |                          |           |   |                                                          |   |       |                            | 
|Capital resulting from operations attributable
    to controlling interests      |  |                          | (38,462   | ) |                                                          |   | (4    | )                          | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Owners’ Capital, March 31, 2019                                                  |  | $                        | 3,564,419 |   |                                                          | $ | 1,893 |                            | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Owners’ Capital - Units, December 31, 2018                                       |  |                          | 51,939    |   |                                                          |   | 23    |                            | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Sale of Units (including transfers)                                              |  |                          |           |   |                                                          |   |       |                            | 
|Redemption of Units (including transfers)                                        |  |                          | (1,565    | ) |                                                          |   | -     |                            | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Owners’ Capital - Units, March 31, 2019                                          |  |                          | 50,374    |   |                                                          |   | 23    |                            | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Net asset value per unit at December 31, 2018                                    |  |                          | 71.41     |   |                                                          |   | 82.48 |                            | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Change in net asset value per unit for the three months ended
    March 31, 2019 |  |                          | (0.65     | ) |                                                          |   | (0.18 | )                          | 
|                                                                                 |  |                          |           |   |                                                          |   |       |                            | 
|Net asset value per unit at March 31, 2019                                       |  | $                        | 70.76     |   |                                                          | $ | 82.30 |                            | 







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



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





16









The
Series of Frontier Funds

Statements
of Cash Flows

For
the Three Months Ended March 31, 2019 and March 31, 2018 (unaudited)



|                                                                                                                                              |  | Frontier
    Diversified Fund |            |   | Frontier
    Masters Fund |   |            | Frontier
    Long/Short Commodity Fund | 
|--------------------------------------------------------------------------------------------------------------------------------------------- |  | ----------------------------- | ---------- | - | ------------------------- | - | ---------- | -------------------------------------- | 
|                                                                                                                                              |  | March 31,
 2019               |            |   | March 31,
 2018           |   |            | March 31,
 2019                        | 
|                                                                                                                                              |  |                               |            |   |                           |   |            |                                        | 
|Cash Flows from Operating Activities:                                                                                                         |  |                               |            |   |                           |   |            |                                        | 
|Net increase/(decrease) in capital resulting from operations                                                                                  |  | $                             | (203,945   | ) |                           | $ | (1,701,986 | )                                      | 
|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                                                                                |  |                               | 1,620,832  |   |                           |   | 54,273     |                                        | 
|Net unrealized (gain)/loss on swap contracts                                                                                                  |  |                               | 86,648     |   |                           |   | (451,993   | )                                      | 
|Net unrealized (gain)/loss on U.S. Treasury securities                                                                                        |  |                               | 18,038     |   |                           |   | 5,937      |                                        | 
|Net realized (gain)/loss on U.S. Treasury securities                                                                                          |  |                               | (15,071    | ) |                           |   | 23,575     |                                        | 
|Net unrealized (gain)/loss on private investment companies                                                                                    |  |                               | (442,738   | ) |                           |   | 1,946,997  |                                        | 
|Net realized (gain)/loss on private investment companies                                                                                      |  |                               | 332,437    |   |                           |   | (159,265   | )                                      | 
|(Purchases) sales of:                                                                                                                         |  |                               |            |   |                           |   |            |                                        | 
|Sales of U.S. Treasury securities                                                                                                             |  |                               | 973,376    |   |                           |   | 794,756    |                                        | 
|Purchase of U.S. Treasury securities                                                                                                          |  |                               | (1,043,914 | ) |                           |   | (617,497   | )                                      | 
|U.S. Treasury interest and premium paid/amortized                                                                                             |  |                               | -          |   |                           |   | 7,674      |                                        | 
|Purchase of Private Investment Companies                                                                                                      |  |                               | (3,997,991 | ) |                           |   | (2,267,929 | )                                      | 
|Reduction of collateral in Swap contracts                                                                                                     |  |                               | -          |   |                           |   | 1,100,000  |                                        | 
|Sale of Private Investment Companies                                                                                                          |  |                               | 2,847,023  |   |                           |   | 2,229,143  |                                        | 
|Increase and/or decrease in:                                                                                                                  |  |                               |            |   |                           |   |            |                                        | 
|Investments in unconsolidated trading companies, at fair value                                                                                |  |                               | 1,141,174  |   |                           |   | 723,891    |                                        | 
|Interest receivable                                                                                                                           |  |                               | 32,017     |   |                           |   | 11,801     |                                        | 
|Receivable from related parties                                                                                                               |  |                               | (3,199     | ) |                           |   | -          |                                        | 
|Other assets                                                                                                                                  |  |                               | (31,288    | ) |                           |   | -          |                                        | 
|Incentive fees payable to Managing Owner                                                                                                      |  |                               | (10,897    | ) |                           |   | (10,966    | )                                      | 
|Management fees payable to Managing Owner                                                                                                     |  |                               | (3,875     | ) |                           |   | 4,007      |                                        | 
|Interest payable to Managing Owner                                                                                                            |  |                               | -          |   |                           |   | -          |                                        | 
|Trading fees payable to Managing Owner                                                                                                        |  |                               | (2,559     | ) |                           |   | (8,381     | )                                      | 
|Service fees payable to Managing Owner                                                                                                        |  |                               | (2,008     | ) |                           |   | (641       | )                                      | 
|Subscriptions in advance for service fee rebates                                                                                              |  |                               | 5,989      |   |                           |   | -          |                                        | 
|Other liabilities                                                                                                                             |  |                               | 2,665      |   |                           |   | (26,489    | )                                      | 
|                                                                                                                                              |  |                               |            |   |                           |   |            |                                        | 
|Net
    cash provided by (used in) operating activities                                                                                       |  |                               | 1,302,714  |   |                           |   | 1,656,907  |                                        | 
|                                                                                                                                              |  |                               |            |   |                           |   |            |                                        | 
|Cash Flows from Financing Activities:                                                                                                         |  |                               |            |   |                           |   |            |                                        | 
|Payment for redemption of units                                                                                                               |  |                               | (1,775,410 | ) |                           |   | (1,046,000 | )                                      | 
|Change in owner redemptions payable                                                                                                           |  |                               | -          |   |                           |   | 13,445     |                                        | 
|                                                                                                                                              |  |                               |            |   |                           |   |            |                                        | 
|Net cash provided by (used in) financing activities                                                                                           |  |                               | (1,775,410 | ) |                           |   | (1,032,555 | )                                      | 
|                                                                                                                                              |  |                               |            |   |                           |   |            |                                        | 
|Net increase (decrease) in cash and cash equivalents                                                                                          |  |                               | (472,696   | ) |                           |   | 624,352    |                                        | 
|                                                                                                                                              |  |                               |            |   |                           |   |            |                                        | 
|Cash and cash equivalents, beginning of period                                                                                                |  |                               | 472,695    |   |                           |   | 189,890    |                                        | 
|Cash and cash equivalents, end of period                                                                                                      |  | $                             | -          |   |                           | $ | 814,242    |                                        | 



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





17







The
Series of Frontier Funds

Statements of Cash Flows

For the Three Months Ended March 31, 2019 and March 31, 2018 (unaudited)



|                                                                                                                                                  |  | Frontier Balanced Fund |            |   | Frontier Select Fund |  
|------------------------------------------------------------------------------------------------------------------------------------------------- |  | ---------------------- | ---------- | - | -------------------- | -
|                                                                                                                                                  |  | March 31,
 2019        |            |   | March 31,
 2018      |  
|                                                                                                                                                  |  |                        |            |   |                      |  
|Cash Flows from Operating Activities:                                                                                                             |  |                        |            |   |                      |  
|Net increase/(decrease) in capital resulting from operations                                                                                      |  | $                      | (719,138   | ) |                      | $
|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                                                                                                    |  |                        | 76,833     |   |                      |  
|Net change in ownership allocation of U.S. Treasury securities                                                                                    |  |                        | 1,528,663  |   |                      |  
|Net unrealized (gain)/loss on swap contracts                                                                                                      |  |                        | 195,186    |   |                      |  
|Net unrealized (gain)/loss on U.S. Treasury securities                                                                                            |  |                        | (14,684    | ) |                      |  
|Net realized (gain)/loss on U.S. Treasury securities                                                                                              |  |                        | 3,429      |   |                      |  
|Net unrealized (gain)/loss on private investment companies                                                                                        |  |                        | (903,551   | ) |                      |  
|Net realized (gain)/loss on private investment companies                                                                                          |  |                        | 747,334    |   |                      |  
|(Purchases) sales of:                                                                                                                             |  |                        |            |   |                      |  
|Sales of U.S. Treasury securities                                                                                                                 |  |                        | -          |   |                      |  
|Purchases of U.S. Treasury securities                                                                                                             |  |                        | (1,693,363 | ) |                      |  
|U.S. Treasury interest and premium paid/amortized                                                                                                 |  |                        | 11,360     |   |                      |  
|Purchase of Private Investment Companies                                                                                                          |  |                        | (7,114,581 | ) |                      |  
|Sale of Private Investment Companies                                                                                                              |  |                        | 9,087,067  |   |                      |  
|Reduction of collateral in Swap contracts                                                                                                         |  |                        | -          |   |                      |  
|Increase and/or decrease in:                                                                                                                      |  |                        |            |   |                      |  
|Receivable from futures commission merchants                                                                                                      |  |                        | (26,764    | ) |                      |  
|Investments in unconsolidated trading companies, at fair value                                                                                    |  |                        | 1,671,454  |   |                      |  
|Interest receivable                                                                                                                               |  |                        | 604        |   |                      |  
|Receivable from related parties                                                                                                                   |  |                        | (292,131   | ) |                      |  
|Other assets                                                                                                                                      |  |                        | -          |   |                      |  
|Incentive fees payable to Managing Owner                                                                                                          |  |                        | -          |   |                      |  
|Management fees payable to Managing Owner                                                                                                         |  |                        | (4,951     | ) |                      |  
|Interest payable to Managing Owner                                                                                                                |  |                        | (253       | ) |                      |  
|Trading fees payable to Managing Owner                                                                                                            |  |                        | (13,183    | ) |                      |  
|Service fees payable to Managing Owner                                                                                                            |  |                        | (9,638     | ) |                      |  
|Risk analysis fees payable                                                                                                                        |  |                        | (50        | ) |                      |  
|Due from Managing Owner                                                                                                                           |  |                        | -          |   |                      |  
|Subscriptions in advance for service fee rebates                                                                                                  |  |                        | 25,560     |   |                      |  
|Other liabilities                                                                                                                                 |  |                        | -          |   |                      |  
|                                                                                                                                                  |  |                        |            |   |                      |  
|Net cash provided by (used in) operating activities                                                                                               |  |                        | 2,555,203  |   |                      |  
|                                                                                                                                                  |  |                        |            |   |                      |  
|Cash Flows from Financing Activities:                                                                                                             |  |                        |            |   |                      |  
|Payment for redemption of units                                                                                                                   |  |                        | (2,557,903 | ) |                      |  
|Change in owner redemptions payable                                                                                                               |  |                        | 8,132      |   |                      |  
|                                                                                                                                                  |  |                        |            |   |                      |  
|Net cash provided by (used in) financing activities                                                                                               |  |                        | (2,549,771 | ) |                      |  
|                                                                                                                                                  |  |                        |            |   |                      |  
|Net increase (decrease) in cash and cash equivalents                                                                                              |  |                        | 5,432      |   |                      |  
|                                                                                                                                                  |  |                        |            |   |                      |  
|Cash and cash equivalents, beginning of period                                                                                                    |  |                        | 37,556     |   |                      |  
|Cash and cash equivalents, end of period                                                                                                          |  | $                      | 42,988     |   |                      | $



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



18







The Series of Frontier
Funds

Statements of Cash Flows

For the Three Months Ended March 31,
2019 and March 31, 2018 (unaudited)



|                                                                                                                                              |  | Frontier Global Fund (Formerly Frontier Winton Fund) |            |   | Frontier Heritage Fund |  
|--------------------------------------------------------------------------------------------------------------------------------------------- |  | ---------------------------------------------------- | ---------- | - | ---------------------- | -
|                                                                                                                                              |  | March 31, 2019                                       |            |   | March 31, 2018         |  
|                                                                                                                                              |  |                                                      |            |   |                        |  
|Cash Flows from Operating Activities:                                                                                                         |  |                                                      |            |   |                        |  
|Net increase/(decrease) in capital resulting from operations                                                                                  |  | $                                                    | 240,639    |   |                        | $
|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                                                                                |  |                                                      | (2,868,141 | ) |                        |  
|Net unrealized (gain)/loss on swap contracts                                                                                                  |  |                                                      | -          |   |                        |  
|Net unrealized (gain) loss on U.S. Treasury securities, at fair value                                                                         |  |                                                      | 72,893     |   |                        |  
|Net realized (gain) loss on U.S. Treasury securities, at fair value                                                                           |  |                                                      | (77,673    | ) |                        |  
|Net unrealized gain/(loss) on private investment companies                                                                                    |  |                                                      | (688,108   | ) |                        |  
|Net realized gain/(loss) on private investment companies                                                                                      |  |                                                      | -          |   |                        |  
|(Purchases) sale of:                                                                                                                          |  |                                                      |            |   |                        |  
|Sales of U.S. Treasury Securities                                                                                                             |  |                                                      | 6,105,545  |   |                        |  
|Purchases of U.S. Treasury Securities                                                                                                         |  |                                                      | (2,132,656 | ) |                        |  
|U.S. Treasury interest and premium paid/amortized                                                                                             |  |                                                      | -          |   |                        |  
|Purchase of Private Investment Companies                                                                                                      |  |                                                      | (4,423,706 | ) |                        |  
|Sale of Private Investment Companies                                                                                                          |  |                                                      | -          |   |                        |  
|Increase and/or decrease in:                                                                                                                  |  |                                                      |            |   |                        |  
|Investments in unconsolidated trading companies, at fair value                                                                                |  |                                                      | 3,973,037  |   |                        |  
|Interest receivable                                                                                                                           |  |                                                      | 50,798     |   |                        |  
|Receivable from related parties                                                                                                               |  |                                                      | -          |   |                        |  
|Other assets                                                                                                                                  |  |                                                      | -          |   |                        |  
|Incentive fees payable to Managing Owner                                                                                                      |  |                                                      | -          |   |                        |  
|Management fees payable to Managing Owner                                                                                                     |  |                                                      | (42,705    | ) |                        |  
|Interest payable to Managing Owner                                                                                                            |  |                                                      | (2,620     | ) |                        |  
|Trading fees payable to Managing Owner                                                                                                        |  |                                                      | (5,212     | ) |                        |  
|Service fees payable to Managing Owner                                                                                                        |  |                                                      | (3,915     | ) |                        |  
|Subscriptions in advance for service fee rebates                                                                                              |  |                                                      | 9,187      |   |                        |  
|Other liabilities                                                                                                                             |  |                                                      | 129,745    |   |                        |  
|                                                                                                                                              |  |                                                      |            |   |                        |  
|Net cash provided by (used in) operating activities                                                                                           |  |                                                      | 337,108    |   |                        |  
|                                                                                                                                              |  |                                                      |            |   |                        |  
|Cash Flows from Financing Activities:                                                                                                         |  |                                                      |            |   |                        |  
|Payment for redemption of units                                                                                                               |  |                                                      | (986,101   | ) |                        |  
|Change in owner redemptions payable                                                                                                           |  |                                                      | -          |   |                        |  
|                                                                                                                                              |  |                                                      |            |   |                        |  
|Net cash provided by (used in) financing activities                                                                                           |  |                                                      | (986,101   | ) |                        |  
|                                                                                                                                              |  |                                                      |            |   |                        |  
|Net increase (decrease) in cash and cash equivalents                                                                                          |  |                                                      | (648,993   | ) |                        |  
|                                                                                                                                              |  |                                                      |            |   |                        |  
|Cash and cash equivalents, beginning of period                                                                                                |  |                                                      | 951,485    |   |                        |  
|Cash and cash equivalents, end of period                                                                                                      |  | $                                                    | 302,492    |   |                        | $



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



19









The
Series of the Frontier Funds

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



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



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



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

The
Trust, with respect to each Series:



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



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



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



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





20









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



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



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



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





21









As
of March 31, 2019, the Trust, with respect to the Frontier Diversified Fund and Frontier Masters Fund separates Units into three
separate Classes—Class 1, Class 2, and Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund
and Frontier Heritage Fund separates Units into a maximum of three separate Classes – Class 1, Class 2 and Class 1AP. The
Trust, with respect to the Frontier Balanced Fund separates Units into a maximum of five separate Classes— Class 1, Class
1AP, Class 2, Class 2A and Class 3A.   The Trust, with respect to the Frontier Long/Short Commodity Fund separates Units
into a maximum of five separate Classes—Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May
10, 2017, a portion of the interests in Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII,
LLC, Frontier Trading Company XV, LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters
Fund, Frontier Select Fund, Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests
in the Galaxy Plus Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account
platform.  The assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s
Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners LLC’s
Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors LLC’s
Relative Value Moderate Program,  the assets of Frontier Trading Company VII, LLC, which included exposure to Emil van Essen
LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program, Rosetta Capital
Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program,  the assets of Frontier
Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD) Program, and the assets of
Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian Program have been transferred
to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus.   Each Master Fund is
sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has contracted with the Trading Advisors
to manage the portfolios of the Master Funds pursuant to the advisors’ respective program.  For those Series that invest
in Galaxy Plus, approximately 30-70% of those Series assets are used to support the margin requirements of the Master Funds. 
The remaining assets of the Series are split between investments in Trading Companies and a pooled cash management account that
invests primarily in U.S. Treasury securities.  For those Series that do not invest in Galaxy Plus, their assets are split
between investments in Trading Companies and investments in the pooled cash management account.



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



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



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 entities, 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.





22









Investments in Trading Companies in which a Series does not have a controlling and majority interest and all interests
in Galaxy Plus entities are accounted for using net asset value as the practical expedient, which approximates fair value. Fair
value represents the proportionate share of the Series’ interest in the NAV in a Trading Company or Galaxy Plus entity.
The equity interest held by Series of the Trust is shown as investments in unconsolidated Trading Companies or investments in
private investment companies in the statements of financial condition. The income or loss attributable thereto in proportion of
investment level is shown in the statements of operations as change in fair value of investments in unconsolidated Trading Companies
or net unrealized gain/(loss) on private investment companies.



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



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



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



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



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



Receivable
From Futures Commission Merchants—The Series of the Trust deposit assets with a FCM subject to CFTC regulations and
various exchange and broker requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust, with
respect to the Series, earns interest income on its assets deposited with the FCM. A portion of the receivable is restricted cash
required to meet maintenance margin requirements. Cash with the clearing broker as of March 31, 2019 and December 31, 2018 included
restricted cash for margin requirements of $1,236,259 and $1,717,065, respectively, for the Frontier Balanced Fund.





23









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



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



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



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



Allocation
of Earnings—Each Series of the Trust may maintain three to seven subclasses of Units—Class 1, Class 2, Class 3,
Class 1a, Class 2a, Class 3a, and Class 1AP. All classes have identical voting, dividend, liquidation and other rights and the
same terms and conditions, except that fees charged to a Class or Series differ as described below. Revenues, expenses (other
than expenses attributable to a specific class), and realized and unrealized trading gains and losses of each Series are allocated
daily to Class 1, Class 2, Class 3, Class 1a, Class 2a, 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, with respect to the Series, records investment transactions on a trade date basis and at fair value,
with changes in fair value reported as a component of realized and unrealized gains/(losses) on investments in the statements
of operations. Investments in private investment companies are valued utilizing the net asset values as a practical expedient.
Certain Series of the Trust strategically invest a portion or all of their assets in total return swaps, selected at the discretion
of the Managing Owner. Swaps are privately negotiated contracts designed to provide investment returns linked to those produced
by one or more underlying investment products or indices. In a typical swap, two parties agree to exchange the returns (or differentials
in rates of return) earned or realized on one or more particular predetermined investments or instruments. The gross returns to
be exchanged or “swapped” between the parties are calculated with respect to a “notional amount” (i.e.,
the amount of value of the underlying asset used in computing the particular interest rate, return, or other amount to be exchanged)
in a particular investment, or in a “basket” of securities. The valuation of swap contracts requires significant estimates.
Swap contracts are reported at fair value based upon daily reports from the counterparty. The Managing Owner reviews and approves
current day pricing of the commodity trading advisor (“CTA”) positions, as received from the counterparty which includes
intra-day volatility and volume and daily index performance, that is used to determine a daily fair value NAV for the swap
contracts.





24









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
2015 through 2018 tax years generally remain subject to examination by U.S. federal and most state tax authorities.



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



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



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



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





25









Each
Series is charged service fees as outlined above. In some cases, amounts paid to selling agents might be less than the amount
charged to the Series. When this occurs, the service fee is rebated back to the investor in the form of additional units.
During 2017 and 2018, the Series were not allowed to issue additional units. The Managing Owner has determined that the
purchase of additional units of the relevant Series will commence in 2019 when the Series are allowed to sell shares again.
As such, the Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased
and classified such amounts as Subscriptions in advance for service fee rebates of $26,419, $31,999, $143, $283,754, $12,874,
$142,468 and $51,039 for the Frontier Diversified, Masters, Long/Short Commodity, Balanced, Select, Global and Heritage
Funds, respectively, as of March 31, 2019 and $20,430, $28,100,
none, $258,194, $11,162, $133,281 and $46,159 respectively, as of December 31, 2018.



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



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



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



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



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. Refer to Note 11.



3.
Fair Value Measurements



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





26









Level
1 Inputs



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



Level
2 Inputs



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



Level
3 Inputs





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



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



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



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



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



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





27







The
following table summarizes investment in each Series measured at fair value on a recurring basis as of March 31, 2019 and December 31,
2018 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value.



|                                               |  | Level 1 |           |  | Level 2 |   |         | Level 3 |  |   | Total      | 
|---------------------------------------------- |  | ------- | --------- |  | ------- | - | ------- | ------- |  | - | ---------- | 
|March 31, 2019                                 |  | Inputs  |           |  | Inputs  |   |         | Inputs  |  |   | Fair Value | 
|                                               |  |         |           |  |         |   |         |         |  |   |            | 
|Frontier Diversified Fund                      |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  | $       | 19,736    |  |         | $ | -       |         |  | $ | -          | 
|Swap Contracts                                 |  |         | -         |  |         |   | -       |         |  |   | 5,833,765  | 
|Frontier Masters Fund                          |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 15,106    |  |         |   | -       |         |  |   | -          | 
|U.S. Treasury Securities                       |  |         | 31,044    |  |         |   | -       |         |  |   | -          | 
|Frontier Long/Short Commodity Fund             |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 23,927    |  |         |   | -       |         |  |   | -          | 
|Swap Contracts                                 |  |         | -         |  |         |   | -       |         |  |   | 461,666    | 
|U.S. Treasury Securities                       |  |         | 184,850   |  |         |   | -       |         |  |   | -          | 
|Frontier Balanced Fund                         |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 73,545    |  |         |   | -       |         |  |   | -          | 
|Open Trade Equity (Deficit)                    |  |         | 214,486   |  |         |   | (70,660 | )       |  |   | -          | 
|Swap Contracts                                 |  |         | -         |  |         |   | -       |         |  |   | 10,599,721 | 
|U.S. Treasury Securities                       |  |         | 288,004   |  |         |   | -       |         |  |   | -          | 
|Frontier Select Fund                           |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 12,767    |  |         |   | -       |         |  |   | 487,382    | 
|U.S. Treasury Securities                       |  |         | 98,635    |  |         |   | -       |         |  |   | -          | 
|Frontier Global Fund                           |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 319,038   |  |         |   | -       |         |  |   | -          | 
|U.S. Treasury Securities                       |  |         | 2,026,585 |  |         |   | -       |         |  |   | -          | 
|Frontier Heritage Fund                         |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 31,389    |  |         |   | -       |         |  |   | -          | 
|Swap Contracts                                 |  |         | -         |  |         |   | -       |         |  |   | 2,905,249  | 
|U.S. Treasury Securities                       |  |         | 177,918   |  |         |   | -       |         |  |   | -          | 



28







|                                               |  | Level 1 |           |  | Level 2 |   |         | Level 3 |  |   | Total      | 
|---------------------------------------------- |  | ------- | --------- |  | ------- | - | ------- | ------- |  | - | ---------- | 
|December 31, 2018                              |  | Inputs  |           |  | Inputs  |   |         | Inputs  |  |   | Fair Value | 
|                                               |  |         |           |  |         |   |         |         |  |   |            | 
|Frontier Diversified Fund                      |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  | $       | 1,157,971 |  |         | $ | 2,939   |         |  | $ | -          | 
|Swap Contracts                                 |  |         | -         |  |         |   | -       |         |  |   | 5,920,414  | 
|U.S. Treasury Securities                       |  |         | 1,553,261 |  |         |   | -       |         |  |   | -          | 
|Frontier Masters Fund                          |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 772,732   |  |         |   | 2,356   |         |  |   | -          | 
|U.S. Treasury Securities                       |  |         | 152,384   |  |         |   | -       |         |  |   | -          | 
|Frontier Long/Short Commodity Fund             |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 28,163    |  |         |   | -       |         |  |   | -          | 
|Swap Contracts                                 |  |         | -         |  |         |   | -       |         |  |   | 479,102    | 
|U.S. Treasury Securities                       |  |         | 202,415   |  |         |   | -       |         |  |   | -          | 
|Frontier Balanced Fund                         |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 1,739,609 |  |         |   | 5,390   |         |  |   | -          | 
|Open Trade Equity (Deficit)                    |  |         | 242,860   |  |         |   | (22,201 | )       |  |   | -          | 
|Swap Contracts                                 |  |         | -         |  |         |   | -       |         |  |   | 10,794,908 | 
|U.S. Treasury Securities                       |  |         | 123,409   |  |         |   | -       |         |  |   | -          | 
|Frontier Select Fund                           |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 11,462    |  |         |   | -       |         |  |   | 511,718    | 
|U.S. Treasury Securities                       |  |         | 82,386    |  |         |   | -       |         |  |   | -          | 
|Frontier Winton Fund                           |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 4,280,023 |  |         |   | 12,052  |         |  |   | -          | 
|U.S. Treasury Securities                       |  |         | 3,126,551 |  |         |   | -       |         |  |   | -          | 
|Frontier Heritage Fund                         |  |         |           |  |         |   |         |         |  |   |            | 
|Investment in Unconsolidated Trading Companies |  |         | 724,614   |  |         |   | 2,072   |         |  |   | -          | 
|Swap Contracts                                 |  |         | -         |  |         |   | -       |         |  |   | 2,955,444  | 
|U.S. Treasury Securities                       |  |         | 443,921   |  |         |   | -       |         |  |   | -          | 



29







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 three months ended March 31, 2019, 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.



For the Three Months ending March 31, 2019

Swaps



|                                                           |  | Frontier Balanced Fund |            |   | Frontier Long/Short Commodity Fund |  
|---------------------------------------------------------- |  | ---------------------- | ---------- | - | ---------------------------------- | -
|Balance of recurring Level 3 assets as of  January 1, 2019 |  | $                      | 10,794,908 |   |                                    | $
|Total gains or losses (realized/unrealized):               |  |                        |            |   |                                    |  
|Included in earnings-realized                              |  |                        | -          |   |                                    |  
|Included in earnings-unrealized                            |  |                        | (195,187   | ) |                                    |  
|Proceeds from collateral reduction                         |  |                        | -          |   |                                    |  
|Change in ownership allocation                             |  |                        | -          |   |                                    |  
|Transfers in and/or out of Level 3                         |  |                        | -          |   |                                    |  
|                                                           |  |                        |            |   |                                    |  
|Balance of recurring Level 3 assets as of March 31, 2019   |  | $                      | 10,599,721 |   |                                    | $



|                                                           |  | Frontier Diversified Fund |           |   | Frontier Heritage Fund |  
|---------------------------------------------------------- |  | ------------------------- | --------- | - | ---------------------- | -
|Balance of recurring Level 3 assets as of  January 1, 2019 |  | $                         | 5,920,414 |   |                        | $
|Total gains or losses (realized/unrealized):               |  |                           |           |   |                        |  
|Included in earnings-realized                              |  |                           | -         |   |                        |  
|Included in earnings-unrealized                            |  |                           | (86,649   | ) |                        |  
|Proceeds from collateral reduction                         |  |                           | -         |   |                        |  
|Change in ownership allocation                             |  |                           | -         |   |                        |  
|Transfers in and/or out of Level 3                         |  |                           | -         |   |                        |  
|                                                           |  |                           |           |   |                        |  
|Balance of recurring Level 3 assets as of March 31, 2019   |  | $                         | 5,833,765 |   |                        | $



For
                                         the Three Months ending March 31, 2019

Investments
in Unconsolidated Trading Companies:



|                                                                        |  | Frontier Select Fund |        
|----------------------------------------------------------------------- |  | -------------------- | -------
|                                                                        |  |                      |        
|Balance of recurring Level 3 assets as of January 1, 2019               |  | $                    | 511,718
|Change in fair value of investments in unconsolidated trading companies |  |                      | (24,336
|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 March 31, 2019                |  | $                    | 487,382





For the Year Ended December 31, 2018

Swaps



|                                                            |  | Frontier Balanced
                                                                                Fund |            |   | Frontier Long/Short 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                             |  |                                                                                                        | 1,453,948  |   |                                    |  
|Proceeds from collateral reduction                          |  |                                                                                                        | (1,999,999 | ) |                                    |  
|Change in ownership allocation                              |  |                                                                                                        | -          |   |                                    |  
|Transfers in and/or out of Level 3                          |  |                                                                                                        | -          |   |                                    |  
|                                                            |  |                                                                                                        |            |   |                                    |  
|Balance of recurring Level 3 assets as of December 31, 2018 |  | $                                                                                                      | 10,794,908 |   |                                    | $



30







|                                                            |  | 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                             |  |                           | 643,941    |   |                                                                                                        |  
|Proceeds from collateral reduction                          |  |                           | (1,099,999 | ) |                                                                                                        |  
|Change in ownership allocation                              |  |                           | -          |   |                                                                                                        |  
|Transfers in and/or out of Level 3                          |  |                           | -          |   |                                                                                                        |  
|                                                            |  |                           |            |   |                                                                                                        |  
|Balance of recurring Level 3 assets as of December 31, 2018 |  | $                         | 5,920,414  |   |                                                                                                        | $



For the Year Ended December 31, 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                                           |  |                      | (67,355
|Purchases of investments of unconsolidated                  |  |                      | -      
|trading companies                                           |  |                      | -      
|Change in ownership allocation                              |  |                      | -      
|Transfers in and/or out of Level 3                          |  |                      | -      
|                                                            |  |                      |        
|Balance of recurring Level 3 assets as of December 31, 2018 |  | $                    | 511,718



The
Series of the Trust assess the levels of the investments at each measurement date, and transfers between levels are recognized
on the actual date of the event or change in circumstances that caused the transfer in accordance with the Series’ accounting
policy regarding the recognition of transfers between levels of the fair value hierarchy. During the three months ended March
31, 2019, 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 March 31, 2019:





|                                                |  | Frontier Diversified Fund |         |   | Frontier Long/Short Commodity Fund |   |         | Frontier Balanced Fund |  |   | Frontier Heritage Fund |  
|----------------------------------------------- |  | ------------------------- | ------- | - | ---------------------------------- | - | ------- | ---------------------- |  | - | ---------------------- | -
|Swap Contracts                                  |  | $                         | (86,649 | ) |                                    | $ | (17,436 | )                      |  | $ | (195,187               | )
|                                                |  |                           |         |   |                                    |   |         |                        |  |   |                        |  
|                                                |  | Frontier Select Fund      |         |   |                                    |   |         |                        |  |   |                        |  
|Investments in Unconsolidated Trading Companies |  | $                         | (24,336 | ) |                                    |   |         |                        |  |   |                        |  





The
total change in unrealized appreciation (depreciation) included in the statements of operations attributable to level 3 investments
still held at December 31, 2018:





|                                                |  | Frontier Diversified Fund |         |   | Frontier Long/Short Commodity Fund |   |        | Frontier Balanced Fund |  |   | Frontier Heritage Fund | 
|----------------------------------------------- |  | ------------------------- | ------- | - | ---------------------------------- | - | ------ | ---------------------- |  | - | ---------------------- | 
|Swap Contracts                                  |  | $                         | 643,941 |   |                                    | $ | 82,063 |                        |  | $ | 1,453,948              | 
|                                                |  |                           |         |   |                                    |   |        |                        |  |   |                        | 
|                                                |  |                           |         |   |                                    |   |        |                        |  |   |                        | 
|                                                |  | Frontier Select Fund      |         |   |                                    |   |        |                        |  |   |                        | 
|Investments in Unconsolidated Trading Companies |  | $                         | (67,355 | ) |                                    |   |        |                        |  |   |                        | 







31







4.
Swap Contracts



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



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



The
Managing Owner follows a procedure in selecting well-established financial institutions which the Managing Owner, in its sole
discretion, considers to be reputable, reliable, financially responsible and well established to act as swap counterparties. The
procedure includes due diligence review of documentation on all new and existing financial institution counterparties prior to
initiation of the relationship, and quarterly ongoing review during the relationship, to ensure that counterparties meet the Managing
Owner’s minimum credit requirements, the counterparty average rating being no less than an investment grade rating as defined
by the rating agencies. As of March 31, 2019, and December 31, 2018, approximately 1.8% and 1.6%, 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 March 31, 2019, the Frontier Balanced Fund, the Frontier Diversified Fund, the Frontier Long/Short Commodity Fund and Frontier
Heritage Fund, had $6,176,555, $4,000,000, $115,000, and $1,900,000, respectively, in cash holdings as shown in the Series’
Statements of Financial Conditions 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 three months ended March 31, 2019:



|                                   |  | Frontier
Balanced 
Fund |               |   | Frontier
Diversified
Fund |   |               | Frontier 
Long/Short
    
Commodity Fund |  |    | Frontier
Heritage
Fund |  
|---------------------------------- |  | ----------------------- | ------------- | - | ------------------------- | - | ------------- | ---------------------------------------- |  | -- | ---------------------- | -
|                                   |  | Total Return Swap       |               |   | Total Return Swap         |   |               | Total Return Swap                        |  |    | Total Return Swap      |  
|Counterparty                       |  | DeutscheBank AG         |               |   | DeutscheBank AG           |   |               | DeutscheBank AG                          |  |    | DeutscheBank AG        |  
|Notional Amount                    |  | $                       | 7,420,403     |   |                           | $ | 1,761,834     |                                          |  | $  | 653,610                |  
|Termination Date                   |  |                         | 7/31/2023     |   |                           |   | 7/31/2023     |                                          |  |    | 7/31/2023              |  
|Cash Collateral                    |  | $                       | 86,000        |   |                           | $ | 86,000        |                                          |  | $  | 29,950                 |  
|Swap Value                         |  | $                       | 10,513,721    |   |                           | $ | 5,747,765     |                                          |  | $  | 431,716                |  
|Investee Returns                   |  |                         | Total Returns |   |                           |   | Total Returns |                                          |  |    | Total Returns          |  
|Realized Gain/(Loss)               |  | $                       | 0             |   |                           | $ | 0             |                                          |  | $  | 0                      |  
|Change in Unrealized Gain/(Loss)   |  | $                       | (195,186      | ) |                           | $ | (86,648       | )                                        |  | ($ | 17,436                 | )
|Fair Value as of December 31, 2018 |  | $                       | 10,599,721    |   |                           | $ | 5,833,765     |                                          |  | $  | 461,666                |  
|Advance on swap appreciation       |  | $                       | (6,176,555    | ) |                           | $ | (4,000,000    | )                                        |  | ($ | 115,000                | )



The
Series have invested in the following swaps as of and for the year ended December 31, 2018:



|                                   |  | Frontier Balanced
    Fund |               |   | Frontier Diversified Fund |   |               | Frontier Long/Short
Commodity Fund |  |    | Frontier Heritage Fund |  
|---------------------------------- |  | -------------------------- | ------------- | - | ------------------------- | - | ------------- | ---------------------------------- |  | -- | ---------------------- | -
|                                   |  | Total Return Swap          |               |   | Total Return Swap         |   |               | Total Return Swap                  |  |    | Total Return Swap      |  
|Counterparty                       |  | DeutscheBank AG            |               |   | DeutscheBank AG           |   |               | DeutscheBank AG                    |  |    | DeutscheBank AG        |  
|Notional Amount                    |  | $                          | 7,420,403     |   |                           | $ | 1,761,834     |                                    |  | $  | 653,610                |  
|Termination Date                   |  |                            | 7/31/2023     |   |                           |   | 7/31/2023     |                                    |  |    | 7/31/2023              |  
|Cash Collateral                    |  | $                          | 86,000        |   |                           | $ | 86,000        |                                    |  | $  | 29,950                 |  
|Swap Value                         |  | $                          | 10,708,908    |   |                           | $ | 5,834,414     |                                    |  | $  | 449,152                |  
|Investee Returns                   |  |                            | Total Returns |   |                           |   | Total Returns |                                    |  |    | Total Returns          |  
|Realized Gain/(Loss)               |  | $                          | 0             |   |                           | $ | 0             |                                    |  | $  | 0                      |  
|Change in Unrealized Gain/(Loss)   |  | $                          | 1,453,948     |   |                           | $ | 643,941       |                                    |  | $  | 82,063                 |  
|Fair Value as of December 31, 2018 |  | $                          | 10,794,908    |   |                           | $ | 5,920,414     |                                    |  | $  | 479,102                |  
|Advance on swap appreciation       |  | $                          | (6,176,555    | ) |                           | $ | (4,000,000    | )                                  |  | ($ | 115,000                | )





32







5.
Investments in Unconsolidated Trading Companies and Private Investment Companies



Investments
in unconsolidated Trading Companies and private investment companies represent cash and open trade equity invested in the Trading
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 Galaxy Plus entities are made up of feeder funds in which
the Series 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 any Series total capital.



The
following table summarizes each of the Series’ investments in unconsolidated Trading Companies as of March 31, 2019 and
December 31, 2018:



|                                                                        |  | As March 31, 2019                |       |   | As of December 31, 2018 |  
|----------------------------------------------------------------------- |  | -------------------------------- | ----- | - | ----------------------- | -
|                                                                        |  | Percentage                       |       |   |                         |  
|                                                                        |  | of Series                        |       |   |                         |  
|                                                                        |  | Total CapitalInvested in         |       |   |                         |  
|Series                                                                  |  | Unconsolidated Trading Companies |       |   | Fair Value              |  
|Frontier Diversified Series — Frontier Trading Companies II and XXXVIII |  |                                  | 0.14  | % |                         | $
|Frontier Masters Fund --- Frontier Trading Companies II and XXXVIII     |  |                                  | 0.30  | % |                         | $
|Frontier Long/Short Commodity Fund --- Frontier Trading Company XXXVIII |  |                                  | 1.12  | % |                         | $
|Frontier Balanced Fund --- Frontier Trading Companies II and XXXVIII    |  |                                  | 0.27  | % |                         | $
|Frontier Select Fund --- Frontier Trading Companies XXXVIII and XXXIX   |  |                                  | 13.63 | % |                         | $
|Frontier Global Fund --- Frontier Trading Companies II and XXXVIII      |  |                                  | 4.27  | % |                         | $
|Frontier Heritage Fund --- Frontier Trading Companies II and XXXVIII    |  |                                  | 0.72  | % |                         | $



33







The
following tables summarize each of the Series’ equity in earnings from unconsolidated Trading Companies and private investment
companies for the three months ended March 31, 2019 and 2018.



|                                                             |  | Three
    Months Ended March 31, 2019 |          |   | Three
    Months Ended March 31, 2018 |  
|------------------------------------------------------------ |  | ------------------------------------- | -------- | - | ------------------------------------- | -
|                                                             |  | 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          |  |                                       | (14,414  | ) |                                       |  
|Galaxy Plus Fund - Doherty
    Feeder Fund (528) LLC         |  |                                       | (10,613  | ) |                                       |  
|Galaxy Plus Fund - EvE STP
    Feeder Fund (516) LLC         |  |                                       | (68,811  | ) |                                       |  
|Galaxy Plus Fund - Fort Contrarian
    Feeder Fund (510) LLC |  |                                       | (8,968   | ) |                                       |  
|Galaxy Plus Fund - LRR Feeder
    Fund (522) LLC             |  |                                       | -        |   |                                       |  
|Galaxy Plus Fund - QIM Feeder
    Fund (526) LLC             |  |                                       | (28,901  | ) |                                       |  
|Galaxy Plus Fund - Quantmetrics
    Feeder Fund (527) LLC    |  |                                       | (25,311  | ) |                                       |  
|Galaxy Plus Fund - Quest Feeder
    Fund (517) LLC           |  |                                       | (4,268   | ) |                                       |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |                                       | (24,512  | ) |                                       |  
|Total                                                        |  | $                                     | (185,798 | ) |                                       | $
|                                                             |  |                                       |          |   |                                       |  
|Frontier Global Fund —                                       |  |                                       |          |   |                                       |  
|Frontier Trading Company II
    LLC                          |  | $                                     | -        |   |                                       | $
|Frontier Trading Company XXXVIII,
    LLC                    |  |                                       | -        |   |                                       |  
|Galaxy
    Plus Fund - Aspect Feeder Fund (532) LLC          |  |                                       | (54,326  | ) |                                       |  
|Total                                                        |  | $                                     | (54,326  | ) |                                       | $
|                                                             |  |                                       |          |   |                                       |  
|Frontier
    Frontier Select Fund —                          |  |                                       |          |   |                                       |  
|Frontier Trading Company XXXIX,
    LLC                      |  | $                                     | -        |   |                                       | $
|Frontier Trading Company XXXVIII,
    LLC                    |  |                                       | -        |   |                                       |  
|Galaxy Plus Fund - Welton
    GDP Feeder Fund (538) LLC      |  |                                       | (15,472  | ) |                                       |  
|Galaxy
    Plus Fund - TT Feeder Fund (531) LLC              |  |                                       | (24,314  | ) |                                       |  
|Total                                                        |  | $                                     | (39,786  | ) |                                       | $
|                                                             |  |                                       |          |   |                                       |  
|Frontier Heritage Fund —                                     |  |                                       |          |   |                                       |  
|Frontier Trading Company II,
    LLC                         |  | $                                     | -        |   |                                       | $
|Frontier Trading Company XXXVIII,
    LLC                    |  |                                       | -        |   |                                       |  
|Galaxy Plus Fund - Aspect
    Feeder Fund (532) LLC          |  |                                       | (17,028  | ) |                                       |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |                                       | (28,077  | ) |                                       |  
|Total                                                        |  | $                                     | (45,105  | ) |                                       | $
|                                                             |  |                                       |          |   |                                       |  
|Frontier
    Long/Short Commodity Fund                       |  |                                       |          |   |                                       |  
|Frontier Trading Company XXXVIII,
    LLC                    |  | $                                     | -        |   |                                       | $
|Galaxy Plus Fund - Chesapeake
    Feeder Fund (518) LLC      |  |                                       | -        |   |                                       |  
|Galaxy Plus Fund - EvE STP
    Feeder Fund (516) LLC         |  |                                       | (14,831  | ) |                                       |  
|Galaxy Plus Fund - LRR Feeder
    Fund (522) LLC             |  |                                       | -        |   |                                       |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |                                       | (12,286  | ) |                                       |  
|Total                                                        |  | $                                     | (27,117  | ) |                                       | $
|                                                             |  |                                       |          |   |                                       |  
|Frontier Diversified Fund
    —                              |  |                                       |          |   |                                       |  
|Frontier Trading Company II,
    LLC                         |  | $                                     | -        |   |                                       | $
|Frontier Trading Company XXXVIII,
    LLC                    |  |                                       | -        |   |                                       |  
|Galaxy Plus Fund - Aspect
    Feeder Fund (532) LLC          |  |                                       | (10,457  | ) |                                       |  
|Galaxy Plus Fund - Doherty
    Feeder Fund (528) LLC         |  |                                       | (8,034   | ) |                                       |  
|Galaxy Plus Fund - EvE STP
    Feeder Fund (516) LLC         |  |                                       | (41,832  | ) |                                       |  
|Galaxy Plus Fund - Fort Contrarian
    Feeder Fund (510) LLC |  |                                       | (9,730   | ) |                                       |  
|Galaxy Plus Fund - LRR Feeder
    Fund (522) LLC             |  |                                       | -        |   |                                       |  
|Galaxy Plus Fund - QIM Feeder
    Fund (526) LLC             |  |                                       | (19,793  | ) |                                       |  
|Galaxy Plus Fund - Quantmetrics
    Feeder Fund (527) LLC    |  |                                       | (13,254  | ) |                                       |  
|Galaxy Plus Fund - Quest Feeder
    Fund (517) LLC           |  |                                       | (4,958   | ) |                                       |  
|Galaxy
    Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |                                       | (17,724  | ) |                                       |  
|Total                                                        |  | $                                     | (125,782 | ) |                                       | $
|                                                             |  |                                       |          |   |                                       |  
|Frontier Masters Fund —                                      |  |                                       |          |   |                                       |  
|Frontier Trading Company II,
    LLC                         |  | $                                     | -        |   |                                       | $
|Frontier Trading Company XXXVIII,
    LLC                    |  |                                       | -        |   |                                       |  
|Galaxy Plus Fund - Chesapeake
    Feeder Fund (518) LLC      |  |                                       | -        |   |                                       |  
|Galaxy Plus Fund - Aspect
    Feeder Fund (532) LLC          |  |                                       | (14,148  | ) |                                       |  
|Galaxy Plus Fund - EvE STP
    Feeder Fund (516) LLC         |  |                                       | (40,309  | ) |                                       |  
|Galaxy Plus Fund - Welton
    GDP Feeder Fund (538) LLC      |  |                                       | (10,776  | ) |                                       |  
|Galaxy
    Plus Fund - TT Feeder Fund (531) LLC              |  |                                       | (23,633  | ) |                                       |  
|Total                                                        |  | $                                     | (88,866  | ) |                                       | $



34







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        
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  | 24 hours      |  | Daily       |  | 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        
|                                                         |  |               |  |             |  |             
|Frontier Heritage Fund                                   |  |               |  |             |  |             
|Multi-Strategy                                           |  |               |  |             |  |             
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  | 24 hours      |  | Daily       |  | None        
|                                                         |  |               |  |             |  |             
|Frontier Global Fund                                     |  |               |  |             |  |             
|Trend Following                                          |  |               |  |             |  |             
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  | 24 hours      |  | Daily       |  | None        



35







6.
Transactions with Affiliates



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



Expenses



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



As
of the date of this report, for a Series that has invested in a swap, a Trading Advisor does not receive any management fees directly
from the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap.
As of March 31, 2019 and December 31, 2018, the management fee embedded in (i) swaps owned by Frontier Diversified Fund was 1.00%
per annum, (ii) swaps owned by Frontier Balanced Fund was 1.00% per annum, (iii) swaps owned by Frontier Long/Short Commodity
Fund was 1.50% per annum, (iv) swaps owned by Frontier Select Fund was 1.00% per annum, and (v) swaps owned by Frontier Heritage
Fund was 1.00% per annum, and the Managing Owner has waived the entire management fee due to it from those Series in respect of
such Series’ investment in swaps. In each case, the embedded management fee was accrued on the relevant notional amount
of the swap.



36







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



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



Incentive
Fees—Some Series pay to the Managing Owner an incentive fee of a certain percentage of new net trading profits generated
in the Trading Companies by such Series, monthly or quarterly. In addition, the Managing Owner receives a quarterly incentive
fee of a certain percentage of new net trading profits generated in the Galaxy Plus entities that have been allocated to the Series.
The incentive fees attributable to Galaxy Plus entities are included in unrealized gain/(loss) on private investment companies
on the Statements of Operations. Because the Frontier Diversified Fund, Frontier Masters Fund, Frontier Balanced Fund, Frontier
Heritage Fund, Frontier Select Fund, and Frontier Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series
will pay the Managing Owner a monthly incentive fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore
possible that in any given period the Series may pay incentive fees to the Managing Owner for one or more Trading Advisors while
each of these Series as a whole experiences losses. The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified
Fund and 20% for the Frontier Global Fund, Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and
Frontier Masters Fund. The Managing Owner may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series.
As of the date of this report, for a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive
any incentive fees directly from the Series for such swap, and instead the relevant Trading Advisor receives compensation via
the fees embedded in the swap. As of March 31, 2019 and December 31, 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. In each case, the embedded incentive fee was accrued based
on the net new trading profits of the swap.



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



37







The
Managing Owner has determined that the purchase of additional units of the relevant series will commence in 2019. As such, the
Managing Owner has calculated the amounts for additional units of the relevant series which will be purchased and classified such
amounts as Subscriptions in advance for service fee rebates of $26,419, $31,999, $143, $283,754, $12,874, $142,468 and $51,039 for the Frontier Diversified, Masters,
Long/Short Commodity, Balanced, Select, Global and Heritage Funds, respectively.



The
following table summarizes fees earned by the Managing Owner for the three months ended March 31, 2019 and 2018:





|Three Months Ended March 31, 2019  |  | Incentive (Rebate) Fees |   |  | Management Fee |   |        | Service Fee |  |   | Trading Fee | 
|---------------------------------- |  | ----------------------- | - |  | -------------- | - | ------ | ----------- |  | - | ----------- | 
|                                   |  |                         |   |  |                |   |        |             |  |   |             | 
|Frontier Diversified Fund          |  | $                       | - |  |                | $ | 2,668  |             |  | $ | 12,029      | 
|Frontier Masters Fund              |  |                         | - |  |                |   | 5,593  |             |  |   | 7,486       | 
|Frontier Long/Short Commodity Fund |  |                         | - |  |                |   | -      |             |  |   | 162         | 
|Frontier Balanced Fund             |  |                         | - |  |                |   | 8,079  |             |  |   | 170,865     | 
|Frontier Select Fund               |  |                         | - |  |                |   | -      |             |  |   | 25,505      | 
|Frontier Global Fund               |  |                         | - |  |                |   | 29,148 |             |  |   | 52,123      | 
|Frontier Heritage Fund             |  |                         | - |  |                |   | 6,189  |             |  |   | 23,185      | 







|Three Months Ended March 31, 2018  |  | Incentive
(Rebate) Fees |         |  | Management
                                                                                Fee |   |         | Service Fee |  |   | Trading Fee | 
|---------------------------------- |  | ----------------------- | ------- |  | ---------------------------------------------------------------------------------------------- | - | ------- | ----------- |  | - | ----------- | 
|Frontier Diversified Fund          |  | $                       | 1,881   |  |                                                                                                | $ | 11,563  |             |  | $ | 16,115      | 
|Frontier Masters Fund              |  |                         | -       |  |                                                                                                |   | 32,349  |             |  |   | 14,969      | 
|Frontier Long/Short Commodity Fund |  |                         | -       |  |                                                                                                |   | -       |             |  |   | 657         | 
|Frontier Balanced Fund             |  |                         | 145,134 |  |                                                                                                |   | 20,336  |             |  |   | 262,981     | 
|Frontier Select Fund               |  |                         | -       |  |                                                                                                |   | -       |             |  |   | 39,689      | 
|Frontier Global Fund               |  |                         | -       |  |                                                                                                |   | 130,660 |             |  |   | 94,260      | 
|Frontier Heritage Fund             |  |                         | 1,394   |  |                                                                                                |   | 35,981  |             |  |   | 37,108      | 



38







The
following table summarizes fees payable to the Managing Owner as of March 31, 2019 and December 31, 2018.



|As of March 31, 2019              
|----------------------------------
|                                  
|                                  
|                                  
|Frontier Diversified Fund         
|Frontier Masters Fund             
|Frontier Long/Short Commodity Fund
|Frontier Balanced Fund            
|Frontier Select Fund              
|Frontier Global Fund              
|Frontier Heritage Fund            



|As of December 31, 2018           
|----------------------------------
|                                  
|                                  
|Frontier Diversified Fund         
|Frontier Masters Fund             
|Frontier Long/Short Commodity Fund
|Frontier Balanced Fund            
|Frontier Select Fund              
|Frontier Global Fund              
|Frontier Heritage Fund            



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. There were no amounts receivable from the Managing Owner for any differences resulting from service fees.



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



39







The
following table outlines the interest paid by each Series to the Managing Owner and its ratio to average net assets for the three
months ended March 31, 2019 and 2018:



|                                            |  | March 31,
2019            |        |  | March 31,
 2018          |   |        | March 31,
2019   |  |  | March 31,
2018   |  
|------------------------------------------- |  | ------------------------- | ------ |  | ------------------------ | - | ------ | ---------------- |  |  | ---------------- | -
|                                            |  | Gross Amount 
Paid to the |        |  | Gross Amount Paid to the |   |        | Ratio to Average |  |  | Ratio to Average |  
|                                            |  | Managing Owner            |        |  | Managing Owner           |   |        | Net Assets       |  |  | Net Assets       |  
|Frontier Diversified Fund Class 1           |  | $                         | -      |  |                          | $ | -      |                  |  |  | 0.00             | %
|Frontier Diversified Fund Class 2           |  |                           | -      |  |                          |   | -      |                  |  |  | 0.00             | %
|Frontier Diversified Fund Class 3           |  |                           | -      |  |                          |   | -      |                  |  |  | 0.00             | %
|Frontier Masters Fund Class 1               |  |                           | -      |  |                          |   | -      |                  |  |  | 0.00             | %
|Frontier Masters Fund Class 2               |  |                           | -      |  |                          |   | -      |                  |  |  | 0.00             | %
|Frontier Masters Fund Class 3               |  |                           | -      |  |                          |   | -      |                  |  |  | 0.00             | %
|Frontier Long/Short Commodity Fund Class 2  |  |                           | 6      |  |                          |   | 50     |                  |  |  | 0.00             | %
|Frontier Long/Short Commodity Fund Class 3  |  |                           | 127    |  |                          |   | 541    |                  |  |  | 0.01             | %
|Frontier Long/Short Commodity Fund Class 1a |  |                           | -      |  |                          |   | -      |                  |  |  | 0.00             | %
|Frontier Long/Short Commodity Fund Class 2a |  |                           | -      |  |                          |   | -      |                  |  |  | 0.00             | %
|Frontier Long/Short Commodity Fund Class 3a |  |                           | -      |  |                          |   | -      |                  |  |  | 0.00             | %
|Frontier Balanced Fund Class 1              |  |                           | 1,731  |  |                          |   | 11,898 |                  |  |  | 0.01             | %
|Frontier Balanced Fund Class 1AP            |  |                           | 26     |  |                          |   | 192    |                  |  |  | 0.01             | %
|Frontier Balanced Fund Class 2              |  |                           | 323    |  |                          |   | 2,138  |                  |  |  | 0.01             | %
|Frontier Balanced Fund Class 2a             |  |                           | 4      |  |                          |   | 45     |                  |  |  | 0.00             | %
|Frontier Balanced Fund Class 3a             |  |                           | 13     |  |                          |   | 127    |                  |  |  | 0.00             | %
|Frontier Select Fund Class 1                |  |                           | 859    |  |                          |   | 2,460  |                  |  |  | 0.01             | %
|Frontier Select Fund Class 1AP              |  |                           | -      |  |                          |   | 10     |                  |  |  | 0.00             | %
|Frontier Select Fund Class 2                |  |                           | 30     |  |                          |   | 366    |                  |  |  | 0.01             | %
|Frontier Global Fund Class 1                |  |                           | 18,729 |  |                          |   | 28,689 |                  |  |  | 0.27             | %
|Frontier Global Fund Class 1AP              |  |                           | 84     |  |                          |   | 83     |                  |  |  | 0.27             | %
|Frontier Global Fund Class 2                |  |                           | 1,034  |  |                          |   | 3,777  |                  |  |  | 0.26             | %
|Frontier Heritage Fund Class 1              |  |                           | 2,228  |  |                          |   | 4,383  |                  |  |  | 0.07             | %
|Frontier Heritage Fund Class 1AP            |  |                           | 1      |  |                          |   | 5      |                  |  |  | 0.10             | %
|Frontier Heritage Fund Class 2              |  |                           | 414    |  |                          |   | 636    |                  |  |  | 0.07             | %
|                                            |  |                           |        |  |                          |   |        |                  |  |  |                  |  
|Total                                       |  | $                         | 25,609 |  |                          | $ | 55,400 |                  |  |  |                  |  



40







7.
Financial Highlights



The
following information presents the financial highlights of the Trust, with respect to the Series, for the three months ended March
31, 2019 and 2018.



|                                                                     |  | 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, 2018                               |  | $                             | 102.25 |   |                           | $ | 120.84 |                                        | 
|Net
    operating results:                                           |  |                               |        |   |                           |   |        |                                        | 
|Interest
    income                                                  |  |                               | 0.03   |   |                           |   | 0.04   |                                        | 
|Expenses                                                             |  |                               | (1.63  | ) |                           |   | (1.05  | )                                      | 
|Net
    gain/(loss) on investments, net of non-controlling interests |  |                               | 0.19   |   |                           |   | (0.14  | )                                      | 
|Net
    income/(loss)                                                |  |                               | (1.41  | ) |                           |   | (1.15  | )                                      | 
|Net
    asset value, March 31, 2019                                  |  | $                             | 100.84 |   |                           | $ | 119.69 |                                        | 
|                                                                     |  |                               |        |   |                           |   |        |                                        | 
|Ratios
    to average net assets                                     |  |                               |        |   |                           |   |        |                                        | 
|Net
    investment income/(loss)                                     |  |                               | -6.58  | % |                           |   | -3.51  | %                                      | 
|Expenses
    before incentive fees (3)(4)                            |  |                               | 6.71   | % |                           |   | 3.64   | %                                      | 
|Expenses
    after incentive fees (3)(4)                             |  |                               | 6.71   | % |                           |   | 3.64   | %                                      | 
|Total
    return before incentive fees (2)                           |  |                               | -1.38  | % |                           |   | -0.95  | %                                      | 
|Total
    return after incentive fees (2)                            |  |                               | -1.38  | % |                           |   | -0.95  | %                                      | 



|                                                                 |  | Frontier Balanced Fund |        |   | Frontier Select Fund |  
|---------------------------------------------------------------- |  | ---------------------- | ------ | - | -------------------- | -
|                                                                 |  | Class 1                |        |   | Class 1AP            |  
|Per unit operating performance (1)                               |  |                        |        |   |                      |  
|Net asset value, December 31, 2018                               |  | $                      | 117.63 |   |                      | $
|Net operating results:                                           |  |                        |        |   |                      |  
|Interest income                                                  |  |                        | 0.04   |   |                      |  
|Expenses                                                         |  |                        | (1.97  | ) |                      |  
|Net gain/(loss) on investments, net of non-controlling interests |  |                        | (0.82  | ) |                      |  
|Net income/(loss)                                                |  |                        | (2.74  | ) |                      |  
|Net asset value, March 31, 2019                                  |  | $                      | 114.89 |   |                      | $
|                                                                 |  |                        |        |   |                      |  
|Ratios to average net assets                                     |  |                        |        |   |                      |  
|Net investment income/(loss)                                     |  |                        | -6.90  | % |                      |  
|Expenses before incentive fees (3)(4)                            |  |                        | 7.06   | % |                      |  
|Expenses after incentive fees (3)(4)                             |  |                        | 7.06   | % |                      |  
|Total return before incentive fees (2)                           |  |                        | -2.33  | % |                      |  
|Total return after incentive fees (2)                            |  |                        | -2.33  | % |                      |  



41







|                                                                 |  | Frontier Global Fund |        |   | Frontier Heritage Fund |  
|---------------------------------------------------------------- |  | -------------------- | ------ | - | ---------------------- | -
|                                                                 |  | Class 1              |        |   | Class 1AP              |  
|Per unit operating performance (1)                               |  |                      |        |   |                        |  
|Net asset value, December 31, 2018                               |  | $                    | 131.57 |   |                        | $
|Net operating results:                                           |  |                      |        |   |                        |  
|Interest income                                                  |  |                      | 0.00   |   |                        |  
|Expenses                                                         |  |                      | (2.19  | ) |                        |  
|Net gain/(loss) on investments, net of non-controlling interests |  |                      | 6.95   |   |                        |  
|Net income/(loss)                                                |  |                      | 4.76   |   |                        |  
|Net asset value, March 31, 2019                                  |  | $                    | 136.33 |   |                        | $
|                                                                 |  |                      |        |   |                        |  
|Ratios to average net assets                                     |  |                      |        |   |                        |  
|Net investment income/(loss)                                     |  |                      | -6.91  | % |                        |  
|Expenses before incentive fees (3)(4)                            |  |                      | 6.91   | % |                        |  
|Expenses after incentive fees (3)(4)                             |  |                      | 6.91   | % |                        |  
|Total return before incentive fees (2)                           |  |                      | 3.62   | % |                        |  
|Total return after incentive fees (2)                            |  |                      | 3.62   | % |                        |  



| | (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.
| | --- | -----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------





42







|                                                                     |  | 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                                                      |  |                               | 0.04   |   |                           |   | 0.05   |                                        | 
|Expenses                                                             |  |                               | (1.82  | ) |                           |   | (1.16  | )                                      | 
|Net gain/(loss) on investments,
    net of non-controlling interests |  |                               | (8.10  | ) |                           |   | (9.82  | )                                      | 
|Net income/(loss)                                                    |  |                               | (9.88  | ) |                           |   | (10.93 | )                                      | 
|Net asset value, March 31, 2018                                      |  | $                             | 106.53 |   |                           | $ | 124.26 |                                        | 
|                                                                     |  |                               |        |   |                           |   |        |                                        | 
|Ratios
    to average net assets                                     |  |                               |        |   |                           |   |        |                                        | 
|Net investment income/(loss)                                         |  |                               | -6.45  | % |                           |   | -3.44  | %                                      | 
|Expenses before incentive
    fees (3)(4)                            |  |                               | 6.60   | % |                           |   | 3.58   | %                                      | 
|Expenses after incentive
    fees (3)(4)                             |  |                               | 6.61   | % |                           |   | 3.59   | %                                      | 
|Total return
    before incentive fees (2)                           |  |                               | -8.48  | % |                           |   | -8.08  | %                                      | 
|Total return
    after incentive fees (2)                            |  |                               | -8.49  | % |                           |   | -8.08  | %                                      | 



|                                                                 |  | Frontier Balanced Fund |        |   | Frontier Select Fund |  
|---------------------------------------------------------------- |  | ---------------------- | ------ | - | -------------------- | -
|                                                                 |  | Class 1                |        |   | Class 1AP            |  
|Per unit operating performance (1)                               |  |                        |        |   |                      |  
|Net asset value, December 31, 2017                               |  | $                      | 135.96 |   |                      | $
|Net operating results:                                           |  |                        |        |   |                      |  
|Interest income                                                  |  |                        | 0.05   |   |                      |  
|Expenses                                                         |  |                        | (2.57  | ) |                      |  
|Net gain/(loss) on investments, net of non-controlling interests |  |                        | (8.51  | ) |                      |  
|Net income/(loss)                                                |  |                        | (11.03 | ) |                      |  
|Net asset value, March 31, 2018                                  |  | $                      | 124.93 |   |                      | $
|                                                                 |  |                        |        |   |                      |  
|Ratios to average net assets                                     |  |                        |        |   |                      |  
|Net investment income/(loss)                                     |  |                        | -6.89  | % |                      |  
|Expenses before incentive fees (3)(4)                            |  |                        | 6.71   | % |                      |  
|Expenses after incentive fees (3)(4)                             |  |                        | 7.04   | % |                      |  
|Total return before incentive fees (2)                           |  |                        | -7.79  | % |                      |  
|Total return after incentive fees (2)                            |  |                        | -8.11  | % |                      |  



|                                                                 |  | Frontier Winton Fund |        |   | Frontier Heritage Fund |  
|---------------------------------------------------------------- |  | -------------------- | ------ | - | ---------------------- | -
|                                                                 |  | Class 1              |        |   | Class 1AP              |  
|Per unit operating performance (1)                               |  |                      |        |   |                        |  
|Net asset value, December 31, 2017                               |  | $                    | 159.08 |   |                        | $
|Net operating results:                                           |  |                      |        |   |                        |  
|Interest income                                                  |  |                      | 0.00   |   |                        |  
|Expenses                                                         |  |                      | (3.45  | ) |                        |  
|Net gain/(loss) on investments, net of non-controlling interests |  |                      | (11.03 | ) |                        |  
|Net income/(loss)                                                |  |                      | (14.48 | ) |                        |  
|Net asset value, March 31, 2018                                  |  | $                    | 144.60 |   |                        | $
|                                                                 |  |                      |        |   |                        |  
|Ratios to average net assets                                     |  |                      |        |   |                        |  
|Net investment income/(loss)                                     |  |                      | -8.98  | % |                        |  
|Expenses before incentive fees (3)(4)                            |  |                      | 8.98   | % |                        |  
|Expenses after incentive fees (3)(4)                             |  |                      | 8.98   | % |                        |  
|Total return before incentive fees (2)                           |  |                      | -9.10  | % |                        |  
|Total return after incentive fees (2)                            |  |                      | -9.10  | % |                        |  



| | (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 mangement 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.
| | --- | ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------





43







8.
Derivative Instruments and Hedging Activities



The
Series’ primary business is to engage in speculative trading of a diversified portfolio of futures, forwards (including
interbank foreign currencies), options contracts and other derivative instruments (including swap contracts). The Series do not
enter into or hold positions for hedging purposes as defined under ASC 815, Derivatives and Hedging (“ASC 815”).
The detail of the fair value of the Series’ derivatives by instrument types as of March 31, 2019 and December 31, 2018 is
included in the Condensed Schedules of Investments. See Note 4 for further disclosure related to each Series’ position in
swap contracts. There are embedded management fees in transacting these swaps ranging from 1% to 1.5% based on fair value
of swaps and the embedded incentive fees ranging from 15% to 25% based on net new trading profits on swaps.



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 March 31, 2019



Monthly average contracts:



|                       |  | Bought |     |  | Sold | 
|---------------------- |  | ------ | --- |  | ---- | 
|                       |  |        |     |  |      | 
|Frontier Balanced Fund |  |        | 251 |  |      | 



For the Three Months ended March 31, 2018



Monthly average contracts:



|                       |  | Bought |       |  | Sold | 
|---------------------- |  | ------ | ----- |  | ---- | 
|                       |  |        |       |  |      | 
|Frontier Balanced Fund |  |        | 1,348 |  |      | 



The
following tables summarize the trading revenues for the three months ended March 31, 2019 and 2018 by sector:



Realized Trading Revenue from
Futures, Forwards and Options

for the Three Months Ended March
31, 2019



|Type of contract                  |  | Frontier Balanced Fund |         
|--------------------------------- |  | ---------------------- | --------
|Agriculturals                     |  | $                      | (45,090 
|Currencies                        |  |                        | (118,064
|Energies                          |  |                        | (29,682 
|Interest rates                    |  |                        | 235,633 
|Metals                            |  |                        | (4,975  
|Stock indices                     |  |                        | (33,296 
|Realized trading income/(loss)(1) |  | $                      | 4,526   





44







Realized Trading Revenue from
Futures, Forwards and Options

for the Three Months Ended
March 31, 2018



|Type of contract                  |  | Frontier Balanced Fund |        
|--------------------------------- |  | ---------------------- | -------
|                                  |  |                        |        
|Metals                            |  | $                      | (59,526
|Currencies                        |  |                        | 17,651 
|Energies                          |  |                        | 48,325 
|Agriculturals                     |  |                        | 28,070 
|Interest rates                    |  |                        | (86,844
|Stock indices                     |  |                        | 26,652 
|Realized trading income/(loss)(1) |  | $                      | (25,672



| | (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 March 31,
2019



|Type of contract                              |  | Frontier Balanced Fund |         
|--------------------------------------------- |  | ---------------------- | --------
|Agriculturals                                 |  | $                      | (24,291 
|Currencies                                    |  |                        | (73,863 
|Energies                                      |  |                        | 8,770   
|Interest rates                                |  |                        | (7,691  
|Metals                                        |  |                        | 2,411   
|Stock indices                                 |  |                        | (7,572  
|Change in unrealized trading income/(loss)(1) |  | $                      | (102,236



Unrealized Trading Revenue from Futures,
Forwards and Options

for the Three Months Ended March 31,
2018





|Type of contract                              |  | Frontier Balanced Fund |        
|--------------------------------------------- |  | ---------------------- | -------
|                                              |  |                        |        
|Metals                                        |  | $                      | 13,694 
|Currencies                                    |  |                        | (41,931
|Energies                                      |  |                        | (44,022
|Agriculturals                                 |  |                        | 41,234 
|Interest rates                                |  |                        | 148,669
|Stock indices                                 |  |                        | (7,379 
|Change in unrealized trading income/(loss)(1) |  | $                      | 110,265







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



45







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 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 Series’ policy is to recognize amounts subject to master netting arrangements
on a net basis on the statements of financial condition.



The
following tables present gross and net information about the Series’ assets and liabilities subject to master netting arrangements
as disclosed on the statements of financial condition as of March 31, 2019 and December 31, 2018.



As of March 31, 2019



|                                   |  | Gross Amounts of recognized Derivative Assets |            |  | Gross Amounts offset in the Statements of
    Financial |   |          | Net Amounts Presented in the Statements of
    Financial Condition | 
|---------------------------------- |  | --------------------------------------------- | ---------- |  | ------------------------------------------------------- | - | -------- | ------------------------------------------------------------------ | 
|                                   |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Frontier Balanced Fund             |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Open Trade Equity/(Deficit)        |  | $                                             | 307,042    |  |                                                         | $ | (163,216 | )                                                                  | 
|Swap Contracts                     |  |                                               | 10,599,721 |  |                                                         |   | -        |                                                                    | 
|                                   |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Frontier Diversified Fund          |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Swap Contracts                     |  | $                                             | 5,833,765  |  |                                                         | $ | -        |                                                                    | 
|                                   |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Frontier Long/Short Commodity Fund |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Swap Contracts                     |  | $                                             | 461,666    |  |                                                         | $ | -        |                                                                    | 
|                                   |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Frontier Heritage Fund             |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Swap Contracts                     |  | $                                             | 2,905,249  |  |                                                         | $ | -        |                                                                    | 



46







As of December 31, 2018



|                                   |  | Gross Amounts of recognized Derivative Assets |            |  | Gross Amounts offset in the Statements of
    Financial |   |          | Net Amounts Presented in the Statements of
    Financial Condition | 
|---------------------------------- |  | --------------------------------------------- | ---------- |  | ------------------------------------------------------- | - | -------- | ------------------------------------------------------------------ | 
|                                   |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Frontier Balanced Fund             |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Open Trade Equity/(Deficit)        |  | $                                             | 348,879    |  |                                                         | $ | (128,220 | )                                                                  | 
|Swap Contracts                     |  |                                               | 10,794,908 |  |                                                         |   | -        |                                                                    | 
|                                   |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Frontier Diversified Fund          |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Swap Contracts                     |  | $                                             | 5,920,414  |  |                                                         | $ | -        |                                                                    | 
|                                   |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Frontier Long/Short Commodity Fund |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Swap Contracts                     |  | $                                             | 479,102    |  |                                                         | $ | -        |                                                                    | 
|                                   |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Frontier Heritage Fund             |  |                                               |            |  |                                                         |   |          |                                                                    | 
|Swap Contracts                     |  | $                                             | 2,955,444  |  |                                                         | $ | -        |                                                                    | 



9.
Trading Activities and Related Risks



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



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 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.



47







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 noted in Management Discussion and Analysis



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



11.
Subsequent Events





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



From April
1, 2019 through June 24, 2019, Frontier Balanced Fund, Frontier Diversified Fund, Frontier Heritage Fund, Frontier Long/Short
Commodity Fund, Frontier Masters Fund, Frontier Select Fund, and Frontier Global Fund paid $3,330,926, $1,038,567, $710,961, $127,007,
$1,520,995 $249,842 and $1,766,684, respectively, in redemptions.





48







Frontier Funds

Consolidated Statements of
Financial Condition

March 31, 2019 (unaudited)
and December 31, 2018



|                                                           |  | March 31, 2019 |            |  | December 31, 2018 |  
|---------------------------------------------------------- |  | -------------- | ---------- |  | ----------------- | -
|                                                           |  |                |            |  |                   |  
|ASSETS                                                     |  |                |            |  |                   |  
|                                                           |  |                |            |  |                   |  
|Cash and cash equivalents                                  |  | $              | 418,983    |  |                   | $
|U.S. Treasury securities, at fair value                    |  |                | 2,807,036  |  |                   |  
|Receivable from futures commission merchants               |  |                | 2,868,177  |  |                   |  
|Open trade equity, at fair value                           |  |                | 135,976    |  |                   |  
|Incentive fee receivable                                   |  |                | 78,845     |  |                   |  
|Swap contracts, at fair value                              |  |                | 19,800,401 |  |                   |  
|Investments in private investment companies, at fair value |  |                | 51,672,642 |  |                   |  
|Interest receivable                                        |  |                | 18,904     |  |                   |  
|Due from Managing Owner                                    |  |                | 3,727      |  |                   |  
|Redemptions receivable from private investment companies   |  |                | 358,579    |  |                   |  
|Other assets                                               |  |                | 22,987     |  |                   |  
|                                                           |  |                |            |  |                   |  
|Total Assets                                               |  | $              | 78,186,257 |  |                   | $
|                                                           |  |                |            |  |                   |  
|LIABILITIES & CAPITAL                                      |  |                |            |  |                   |  
|                                                           |  |                |            |  |                   |  
|LIABILITIES                                                |  |                |            |  |                   |  
|Open trade deficit, at fair value                          |  | $              | -          |  |                   | $
|Owner redemptions payable                                  |  |                | 89,695     |  |                   |  
|Incentive fees payable to Managing Owner                   |  |                | -          |  |                   |  
|Management fees payable to Managing Owner                  |  |                | 8,966      |  |                   |  
|Interest payable to Managing Owner                         |  |                | 7,397      |  |                   |  
|Trading fees payable to Managing Owner                     |  |                | 196,162    |  |                   |  
|Service fees payable to Managing Owner                     |  |                | 78,790     |  |                   |  
|Risk analysis fees payable                                 |  |                | 15,267     |  |                   |  
|Advance on unrealized Swap Appreciation                    |  |                | 12,191,555 |  |                   |  
|Subscriptions in advance for service fee rebates           |  |                | 548,696    |  |                   |  
|Subscriptions payable to private investment companies      |  |                | 105,800    |  |                   |  
|Other liabilities                                          |  |                | 30,246     |  |                   |  
|                                                           |  |                |            |  |                   |  
|Total Liabilities                                          |  |                | 13,272,574 |  |                   |  
|                                                           |  |                |            |  |                   |  
|OWNERS CAPITAL                                             |  |                |            |  |                   |  
|Managing Owner Units                                       |  |                | 707,298    |  |                   |  
|Limited Owner Units                                        |  |                | 64,206,385 |  |                   |  
|                                                           |  |                |            |  |                   |  
|Total Owners Capital                                       |  |                | 64,913,683 |  |                   |  
|                                                           |  |                |            |  |                   |  
|Total Liabilities and Owners Capital                       |  | $              | 78,186,257 |  |                   | $



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



49







Frontier Funds

Consolidated Condensed Schedule
of Investments

March 31,
2019 (unaudited)









|Description                                              |  | Fair Value |            |   | % of Total Capital (Net Asset Value) | 
|-------------------------------------------------------- |  | ---------- | ---------- | - | ------------------------------------ | 
|LONG FUTURES CONTRACTS *                                 |  |            |            |   |                                      | 
|Various agriculture futures contracts (U.S.)             |  | $          | (7,220     | ) |                                      | 
|Various base metals futures contracts (U.S.)             |  |            | 43,848     |   |                                      | 
|Various interest rates futures contracts (Canada)        |  |            | 16,967     |   |                                      | 
|Various interest rates futures contracts (Europe)        |  |            | 70,828     |   |                                      | 
|Various interest rates futures contracts (Far East)      |  |            | 20,289     |   |                                      | 
|Various interest rates futures contracts (Oceanic)       |  |            | 47,651     |   |                                      | 
|Various interest rates futures contracts (U.S.)          |  |            | 27,031     |   |                                      | 
|Various soft futures contracts (U.S.)                    |  |            | 3,200      |   |                                      | 
|Various stock index futures contracts (Europe)           |  |            | 5,687      |   |                                      | 
|Various stock index futures contracts (Oceanic)          |  |            | (248       | ) |                                      | 
|Various stock index futures contracts (U.S.)             |  |            | 2,970      |   |                                      | 
|Total Long Futures Contracts                             |  | $          | 231,003    |   |                                      | 
|SHORT FUTURES CONTRACTS *                                |  |            |            |   |                                      | 
|Various agriculture futures contracts (Europe)           |  | $          | 407        |   |                                      | 
|Various agriculture futures contracts (U.S.)             |  |            | 10,850     |   |                                      | 
|Various base metals futures contracts (U.S.)             |  |            | (55,178    | ) |                                      | 
|Various energy futures contracts (U.S.)                  |  |            | 2,780      |   |                                      | 
|Various interest rates futures contracts (Europe)        |  |            | (1         | ) |                                      | 
|Various precious metal futures contracts (U.S.)          |  |            | 2,350      |   |                                      | 
|Various soft futures contracts (U.S.)                    |  |            | 14,425     |   |                                      | 
|Total Short Futures Contracts                            |  | $          | (24,367    | ) |                                      | 
|CURRENCY FORWARDS *                                      |  |            |            |   |                                      | 
|Various currency forwards contracts (NA)                 |  | $          | (70,658    | ) |                                      | 
|Total Currency Forwards                                  |  | $          | (70,658    | ) |                                      | 
|Total Open Trade Equity (Deficit)                        |  | $          | 135,978    |   |                                      | 
|SWAPS (1)                                                |  |            |            |   |                                      | 
|Frontier Brevan Howard swap (U.S.)                       |  | $          | 2,905,250  |   |                                      | 
|Frontier XXXIV Balanced select swap (U.S.)               |  |            | 10,599,720 |   |                                      | 
|Frontier XXXV Diversified select swap (U.S.)             |  |            | 5,833,765  |   |                                      | 
|Frontier XXXVII L/S select swap (U.S.)                   |  |            | 461,666    |   |                                      | 
|Total Swaps                                              |  | $          | 19,800,401 |   |                                      | 
|PRIVATE INVESTMENT COMPANIES (2)                         |  |            |            |   |                                      | 
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  |            | 4,760,979  |   |                                      | 
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC         |  |            | 3,262,648  |   |                                      | 
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC |  |            | 6,526,454  |   |                                      | 
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC             |  |            | 4,255,328  |   |                                      | 
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC    |  |            | 552,017    |   |                                      | 
|Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC       |  |            | 363,336    |   |                                      | 
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  |            | 12,596,762 |   |                                      | 
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |            | 14,809,691 |   |                                      | 
|Galaxy Plus Fund - TT Feeder Fund (531) LLC              |  |            | 2,616,631  |   |                                      | 
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  |            | 909,820    |   |                                      | 
|Total Private Investment Companies                       |  | $          | 51,672,642 |   |                                      | 





|U.S. TREASURY SECURITIES |            |  |                                |                                                         |  
|------------------------ | ---------- |  | ------------------------------ | ------------------------------------------------------- | -
|                         |            |  |                                |                                                         |  
|FACE VALUE               | Fair Value |  |                                |                                                         |  
|                         |            |  |                                |                                                         |  
|$                        | 2,212,000  |  |                                | US Treasury Note 6.875% due 08/15/2025 (Cost$2,769,423) |  
|                         |            |  | Total U.S. Treasury Securities |                                                         | $







| | * | 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.



50







Frontier Funds

Consolidated Condensed Schedule
of Investments

December 31, 2018



|                                                         |  |                |            |   | % of Total Capital | 
|-------------------------------------------------------- |  | -------------- | ---------- | - | ------------------ | 
|Description                                              |  | Fair
    Value |            |   | (Net Asset Value)  | 
|LONG FUTURES CONTRACTS *                                 |  |                |            |   |                    | 
|Various agriculture futures contracts (Europe)           |  | $              | (1,315     | ) |                    | 
|Various agriculture futures contracts (U.S.)             |  |                | 9,510      |   |                    | 
|Various base metals futures contracts (U.S.)             |  |                | (429,385   | ) |                    | 
|Various currency futures contracts (Latin America)       |  |                | 42,160     |   |                    | 
|Various energy futures contracts (U.S.)                  |  |                | (643,321   | ) |                    | 
|Various interest rates futures contracts (Canada)        |  |                | 13,487     |   |                    | 
|Various interest rates futures contracts (Europe)        |  |                | 360,817    |   |                    | 
|Various interest rates futures contracts (Far East)      |  |                | 36,092     |   |                    | 
|Various interest rates futures contracts (Oceanic)       |  |                | 78,270     |   |                    | 
|Various interest rates futures contracts (U.S.)          |  |                | 44,250     |   |                    | 
|Various precious metal futures contracts (U.S.)          |  |                | 14,730     |   |                    | 
|Various soft futures contracts (U.S.)                    |  |                | (20,705    | ) |                    | 
|Various stock index futures contracts (Europe)           |  |                | (18,456    | ) |                    | 
|Various stock index futures contracts (Far East)         |  |                | (23,446    | ) |                    | 
|Various stock index futures contracts (Oceanic)          |  |                | 1,338      |   |                    | 
|Various stock index futures contracts (U.S.)             |  |                | (75,392    | ) |                    | 
|Total Long Futures Contracts                             |  | $              | (611,366   | ) |                    | 
|SHORT FUTURES CONTRACTS *                                |  |                |            |   |                    | 
|Various agriculture futures contracts (Canada)           |  | $              | 9,817      |   |                    | 
|Various agriculture futures contracts (Europe)           |  |                | 400        |   |                    | 
|Various agriculture futures contracts (U.S.)             |  |                | 81,243     |   |                    | 
|Various base metals futures contracts (U.S.)             |  |                | 147,521    |   |                    | 
|Various currency futures contracts (Europe)              |  |                | (63,875    | ) |                    | 
|Various currency futures contracts (Far East)            |  |                | (180,813   | ) |                    | 
|Various currency futures contracts (Oceanic)             |  |                | 33,405     |   |                    | 
|Various energy futures contracts (U.S.)                  |  |                | 425,052    |   |                    | 
|Various interest rates futures contracts (Europe)        |  |                | (79,801    | ) |                    | 
|Various interest rates futures contracts (Oceanic)       |  |                | (309       | ) |                    | 
|Various interest rates futures contracts (U.S.)          |  |                | (35,688    | ) |                    | 
|Various precious metal futures contracts (U.S.)          |  |                | (226,300   | ) |                    | 
|Various soft futures contracts (U.S.)                    |  |                | 22,291     |   |                    | 
|Various stock index futures contracts (Africa)           |  |                | (1,220     | ) |                    | 
|Various stock index futures contracts (Canada)           |  |                | 3,027      |   |                    | 
|Various stock index futures contracts (Europe)           |  |                | 12,826     |   |                    | 
|Various stock index futures contracts (Far East)         |  |                | 283        |   |                    | 
|Various stock index futures contracts (U.S.)             |  |                | 62,711     |   |                    | 
|Total Short Futures Contracts                            |  | $              | 210,570    |   |                    | 
|CURRENCY FORWARDS *                                      |  |                |            |   |                    | 
|Various currency forwards contracts (NA)                 |  | $              | 2,607      |   |                    | 
|Total Currency Forwards                                  |  | $              | 2,607      |   |                    | 
|Total Open Trade Equity (Deficit)                        |  | $              | (398,189   | ) |                    | 
|SWAPS (1)                                                |  |                |            |   |                    | 
|Frontier Brevan Howard swap (U.S.)                       |  | $              | 2,955,444  |   |                    | 
|Frontier XXXIV Balanced select swap (U.S.)               |  |                | 10,794,908 |   |                    | 
|Frontier XXXV Diversified select swap (U.S.)             |  |                | 5,920,414  |   |                    | 
|Frontier XXXVII L/S select swap (U.S.)                   |  |                | 479,102    |   |                    | 
|Total Swaps                                              |  | $              | 20,149,868 |   |                    | 
|PRIVATE INVESTMENT COMPANIES (2)                         |  |                |            |   |                    | 
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  |                | 3,308,411  |   |                    | 
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC         |  |                | 3,003,247  |   |                    | 
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC |  |                | 4,981,003  |   |                    | 
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC             |  |                | 4,968,683  |   |                    | 
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC    |  |                | 5,503,821  |   |                    | 
|Galaxy Plus Fund - Quest Fit Feeder Fund (535) LLC       |  |                | 808,116    |   |                    | 
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC           |  |                | 930,806    |   |                    | 
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  |                | 1,103,278  |   |                    | 
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |                | 18,370,991 |   |                    | 
|Galaxy Plus Fund - TT Feeder Fund (531) LLC              |  |                | 2,595,925  |   |                    | 
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  |                | 983,147    |   |                    | 
|Total Private Investment Companies                       |  | $              | 46,557,428 |   |                    | 



|U.S. TREASURY SECURITIES |           |            |                                |                                                         |  
|------------------------ | --------- | ---------- | ------------------------------ | ------------------------------------------------------- | -
|                         |           |            |                                |                                                         |  
|FACE VALUE               |           | Fair Value |                                |                                                         |  
|                         |           |            |                                |                                                         |  
|$                        | 4,512,000 |            |                                | US Treasury Note 6.875% due 08/15/2025 (Cost$5,589,456) |  
|                         |           |            | Total U.S. Treasury Securities |                                                         | $



| | * | 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.



51







Frontier Funds

Consolidated Statements of
Operations

For the Three Months Ended
March 31, 2019 and 2018 (unaudited)



|                                                                         |  | March 31, 2019 |            |   | March 31, 2018 |  
|------------------------------------------------------------------------ |  | -------------- | ---------- | - | -------------- | -
|                                                                         |  |                |            |   |                |  
|Investment income:                                                       |  |                |            |   |                |  
|Interest - net                                                           |  | $              | 44,172     |   |                | $
|                                                                         |  |                |            |   |                |  
|Total Income                                                             |  |                | 44,172     |   |                |  
|                                                                         |  |                |            |   |                |  
|Expenses:                                                                |  |                |            |   |                |  
|Incentive Fees (rebate)                                                  |  |                | -          |   |                |  
|Management Fees                                                          |  |                | 51,677     |   |                |  
|Risk analysis Fees                                                       |  |                | 6,692      |   |                |  
|Service Fees - Class 1, 1A, 2, 2A                                        |  |                | 291,355    |   |                |  
|Trading Fees                                                             |  |                | 583,251    |   |                |  
|Total Expenses                                                           |  |                | 932,975    |   |                |  
|                                                                         |  |                |            |   |                |  
|Investment income/(loss) - net                                           |  |                | (888,803   | ) |                |  
|                                                                         |  |                |            |   |                |  
|Realized and unrealized gain/(loss) on investments:                      |  |                |            |   |                |  
|Net realized gain/(loss) on futures, forwards and options                |  |                | (1,277,349 | ) |                |  
|Net unrealized gain/(loss) on private investment companies               |  |                | 2,834,733  |   |                |  
|Net realized gain/(loss) on private investment companies                 |  |                | (1,920,406 | ) |                |  
|Net change in open trade equity/(deficit)                                |  |                | 525,552    |   |                |  
|Net unrealized gain/(loss) on swap contracts                             |  |                | (349,464   | ) |                |  
|Net realized gain/(loss) on U.S. Treasury securities                     |  |                | 103,338    |   |                |  
|Net unrealized gain/(loss) on U.S. Treasury securities                   |  |                | (85,272    | ) |                |  
|Trading commissions                                                      |  |                | (11,073    | ) |                |  
|                                                                         |  |                |            |   |                |  
|Net gain/(loss) on investments                                           |  |                | (179,941   | ) |                |  
|                                                                         |  |                |            |   |                |  
|NET
    INCREASE/(DECREASE) IN OWNERS’ CAPITAL RESULTING FROM OPERATIONS |  | $              | (1,068,744 | ) |                | $



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



52







Frontier Funds

Consolidated Statements of
Changes in Owners’ Capital

For the Three Months Ending
March 31, 2019 (unaudited)



|                                          |  | Managing Owner |          |   | Limited Owners |   |            | Total | 
|----------------------------------------- |  | -------------- | -------- | - | -------------- | - | ---------- | ----- | 
|                                          |  |                |          |   |                |   |            |       | 
|Owners’ Capital, December 31, 2018        |  | $              | 851,595  |   |                | $ | 71,161,187 |       | 
|                                          |  |                |          |   |                |   |            |       | 
|Sale of Units (including transfers)       |  |                | -        |   |                |   | -          |       | 
|Redemption of Units (including transfers) |  |                | (124,500 | ) |                |   | (5,905,855 | )     | 
|Net increase/(decrease) in Owners’        |  |                |          |   |                |   |            |       | 
|Capital resulting from operations         |  |                | (19,797  | ) |                |   | (1,048,947 | )     | 
|                                          |  |                |          |   |                |   |            |       | 
|Owners’ Capital, March 31, 2019           |  | $              | 707,298  |   |                | $ | 64,206,385 |       | 







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.



53







Frontier Funds

Consolidated Statements of
Cash Flows

For the Three Months Ended
March 31, 2019 and 2018 (unaudited)



|                                                                                                                                                      |  | March 31, 2019 |             |   | March 31, 2018 |  
|----------------------------------------------------------------------------------------------------------------------------------------------------- |  | -------------- | ----------- | - | -------------- | -
|                                                                                                                                                      |  |                |             |   |                |  
|Cash Flows from Operating Activities:                                                                                                                 |  |                |             |   |                |  
|Net increase/(decrease) in capital resulting from operations                                                                                          |  | $              | (1,068,744  | ) |                | $
|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                                                                                                                       |  |                | (534,165    | ) |                |  
|Net unrealized (gain)/loss on swap contracts                                                                                                          |  |                | 349,463     |   |                |  
|Net unrealized (gain)/loss on U.S. Treasury securities                                                                                                |  |                | 85,272      |   |                |  
|Net realized (gain)/loss on U.S. Treasuries securities                                                                                                |  |                | (103,338    | ) |                |  
|Net unrealized (gain)/loss on private investment companies                                                                                            |  |                | (2,834,733  | ) |                |  
|Net realized (gain)/loss on private investment companies                                                                                              |  |                | 1,920,406   |   |                |  
|(Purchases) sales of:                                                                                                                                 |  |                |             |   |                |  
|(Purchases) of U.S. Treasury securities                                                                                                               |  |                | (5,275,023  | ) |                |  
|Sales of U.S. Treasury securities                                                                                                                     |  |                | 8,139,078   |   |                |  
|(Purchases) of Private Investment Companies                                                                                                           |  |                | (18,881,035 | ) |                |  
|Sales of Private Investment Companies                                                                                                                 |  |                | 14,680,430  |   |                |  
|Reduction of collateral in Swap contracts                                                                                                             |  |                | -           |   |                |  
|U.S. Treasury interest and premium paid/amortized                                                                                                     |  |                | 31,024      |   |                |  
|Increase and/or decrease in:                                                                                                                          |  |                |             |   |                |  
|Receivable from futures commission merchants                                                                                                          |  |                | 8,387,671   |   |                |  
|Interest receivable                                                                                                                                   |  |                | 98,264      |   |                |  
|Receivable from related parties                                                                                                                       |  |                | -           |   |                |  
|Other assets                                                                                                                                          |  |                | (381,566    | ) |                |  
|Incentive fees payable to Managing Owner                                                                                                              |  |                | (10,897     | ) |                |  
|Management fees payable to Managing Owner                                                                                                             |  |                | (69,079     | ) |                |  
|Interest payable to Managing Owner                                                                                                                    |  |                | (3,455      | ) |                |  
|Trading fees payable to Managing Owner                                                                                                                |  |                | (26,079     | ) |                |  
|Service fees payable to Managing Owner                                                                                                                |  |                | (17,362     | ) |                |  
|Due from Managing Owner                                                                                                                               |  |                | (3,727      | ) |                |  
|Risk analysis fees payable                                                                                                                            |  |                | (12,295     | ) |                |  
|Subscriptions in advance for service fee rebates                                                                                                      |  |                | 51,370      |   |                |  
|Other liabilities                                                                                                                                     |  |                | 132,043     |   |                |  
|                                                                                                                                                      |  |                |             |   |                |  
|Net cash provided by operating activities                                                                                                             |  |                | 4,653,523   |   |                |  
|Cash Flows from Financing Activities:                                                                                                                 |  |                |             |   |                |  
|                                                                                                                                                      |  |                |             |   |                |  
|Payment for redemption of capital                                                                                                                     |  |                | (6,030,355  | ) |                |  
|Redemptions payable                                                                                                                                   |  |                | 65,936      |   |                |  
|                                                                                                                                                      |  |                |             |   |                |  
|Net cash used in financing activities                                                                                                                 |  |                | (5,964,419  | ) |                |  
|                                                                                                                                                      |  |                |             |   |                |  
|Net increase (decrease) in cash and cash equivalents                                                                                                  |  |                | (1,310,896  | ) |                |  
|                                                                                                                                                      |  |                |             |   |                |  
|Cash and cash equivalents, beginning of period                                                                                                        |  |                | 1,729,879   |   |                |  
|Cash and cash equivalents, end of period                                                                                                              |  | $              | 418,983     |   |                | $



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



54







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 Global Fund (Formerly 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 entity’s assets and make the trading decisions for the assets of
                                         each Series invested in such Trading Company and Galaxy Plus entity. Each Trading Company
                                         and Galaxy Plus entity will segregate its assets from any other Trading Company and Galaxy
                                         Plus entity;
| | - | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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



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



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





55







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



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



The assets of any particular Series include only those funds
and other assets that are paid to, held by or distributed to the Trust 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.





56







As of March 31, 2019, the Trust, with respect to the
Frontier Diversified Fund and Frontier Masters Fund, separates Units into three separate Classes—Class 1, Class 2, and
Class 3. The Trust, with respect to the Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund separates Units
into a maximum of three separate Classes – Class 1, Class 2 and Class 1AP. The Trust, with respect to the Frontier Balanced
Fund separates Units into a maximum of five separate Classes— Class 1, Class 1AP, Class 2, Class 2A and Class 3A. The
Trust, with respect to the Frontier Long/Short Commodity Fund separates Units into a maximum of five separate Classes—
Class 1A, Class 2A, Class 2, Class 3A and Class 3. Between April 15, 2016 and May 10, 2017, a portion of the interests in
Frontier Trading Company I, LLC and all of the interests in Frontier Trading Company VII, LLC, Frontier Trading Company XV,
LLC, and Frontier Trading Company XXIII LLC held by Frontier Diversified Fund, Frontier Masters Fund, Frontier Select Fund,
Frontier Balanced Fund and Frontier Long/Short Commodity Fund were exchanged for equivalent interests in the Galaxy Plus
Managed Account Platform (“Galaxy Plus”) which is an unaffiliated, third-party managed account platform. The
assets of Frontier Trading Company I, LLC, which included exposure to Quantmetrics Capital Management LLP’s
Multi-Strategy Program, Quantitative Investment Management, LLC’s Quantitative Global Program, Quest Partners
LLC’s Quest Tracker Index Program, Chesapeake Capital Management, LLC’s Diversified Program, and Doherty Advisors
LLC’s Relative Value Moderate Program, the assets of Frontier Trading Company VII, LLC, which included exposure to Emil
van Essen LLC’s Multi-Strategy Program, Red Oak Commodity Advisors, Inc.’s Fundamental Diversified Program,
Rosetta Capital Management, LLC’s Rosetta Trading Program, and Landmark Trading Company’s Landmark Program, the
assets of Frontier Trading Company XV, LLC, which included exposure to Transtrend B.V.’s TT Enhanced Risk (USD)
Program, and the assets of Frontier Trading Company XXIII, LLC which included exposure to Fort L.P.’s Global Contrarian
Program have been transferred to individual Delaware limited liability companies (“Master Funds”) in Galaxy Plus.
Each Master Fund is sponsored and operated by Gemini Alternative Funds, LLC (“Sponsor”). The Sponsor has
contracted with the Trading Advisors to manage the portfolios of the Master Funds pursuant to the advisors’ respective
program. For those Series that invest in Galaxy Plus, approximately 30-70% of those Series assets are used to support the
margin requirements of the Master Funds. The remaining assets of the Series are split between investments in Trading
Companies and a pooled cash management account that invests primarily in U.S. Treasury securities. For those Series that do
not invest in Galaxy Plus, their assets are split between investments in Trading Companies and investments in the pooled cash
management account.



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



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



2. Significant Accounting Policies



The following are the significant accounting policies of the
Trust.



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



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





57







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 only), Frontier Long/Short Commodity
Fund (Class 2 and Class 3), Frontier Select Fund, Frontier Global Fund and Frontier Heritage Fund. For the Frontier Diversified
Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a and Class 3a), Frontier Masters Fund and Frontier Balanced Fund (Class
1AP, Class 2a and Class 3a), 100% of the interest is retained by the respective Series. All interest not paid to the Managing
Owner is interest income to the Series, and shown net on the statement of operations.



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



Receivable from Futures Commission
Merchants—The Trust deposits assets with a FCM subject to CFTC regulations and various exchange and broker
requirements. Margin requirements are satisfied by the deposit of cash with such FCM. The Trust earns interest income on its
assets deposited with the FCM. A portion of the receivable is restricted cash required to meet maintenance margin
requirements. Cash with the clearing broker as of December 31, 2018 and March 31, 2019 included restricted cash for margin
requirements of $1,717,065 and $1,236,259 for the Frontier Trading Company I LLC, and $4,621,100 and $7,839 for Frontier
Trading Company II LLC, respectively.





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.





58







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



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



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



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



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



Income Taxes—The Trust applies the provisions
of ASC 740 Income Taxes (“ASC 740”), which provides guidance for how uncertain tax positions should be recognized,
measured, presented and disclosed in the financial statements. This interpretation also provides guidance on derecognition, classification,
interest and penalties, accounting in interim periods and disclosure. ASC 740 requires the evaluation of tax positions taken or
expected to be taken in the course of preparing the Trust’s financial statements to determine whether the tax positions
are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions with respect to tax at
the Trust’s level not deemed to meet the “more-likely-than-not” threshold would be recorded as a tax benefit
or expense in the current year. The Managing Owner has concluded there is no tax expense, interest or penalties to be recorded
by the Trust for the quarter ended March 31, 2019. The 2015 through 2018 tax years generally remain subject to examination by
U.S. federal and most state tax authorities.





59







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



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



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
Consolidated Statements of Operations.



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



Each Series is charged service fees as outlined above. In
some cases, amounts paid to selling agents might be less than the amount charged to the Series. When this occurs, the service
fee is rebated back to the investor in the form of additional units. During 2017 and 2018, the Series were not allowed to issue
additional units. The Managing Owner has determined that the purchase of additional units of the relevant Series will commence
in 2019 when the Series are allowed to sell shares again. As such, the Managing Owner has calculated the amounts for additional
units of the relevant series which will be purchased and classified such amounts as Subscriptions in advance for service fee rebates
of $497,326 and $548,696 as of December 31, 2018 and March 31, 2019, respectively.





60







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



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



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



Recently Issued Accounting Pronouncements—In
August 2018, FASB issued ASU 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework—Changes to the Disclosure
Requirements for Fair Value Measurement (“ASU 2018-13”). The primary focus of ASU 2018-13 is to improve the effectiveness
of the disclosure requirements for fair value measurements. The changes affect all companies that are required to include fair
value measurement disclosures. In general, the amendments in ASU 2018-13 are effective for all entities for fiscal years and interim
periods within those fiscal years, beginning after December 15, 2019. An entity is permitted to early adopt the removed or modified
disclosures upon the issuance of ASU 2018-13 and may delay adoption of the additional disclosures, which are required for public
companies only, until their effective date. Management is currently evaluating the impacts ASU 2018-13 will have on the consolidated
financial statements. Refer to Note 11.



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



3. Fair Value Measurements



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



Level 1 Inputs



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



Level 2 Inputs



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



Level 3 Inputs



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





61







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 approved current day pricing of the CTA positions, as received from
the counterparty which includes intra-day volatility and volume and daily index performance, in addition to reports from the administrator.
Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation
Committee for evaluation and resolution.  The Swap Contracts are reported at fair value using Level 3 inputs.



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



The following table summarizes the instruments that comprise
the Trust’s financial asset portfolio, by Series in aggregate, measured at fair value on a recurring basis as of March 31,
2019 and December 31, 2018 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair
value.



|March 31, 2019              |  | Level
    1 Inputs |           |  | Level
    2 Inputs |   |         | Level
    3 Inputs |  |   | Fair
    Value | 
|--------------------------- |  | ------------------ | --------- |  | ------------------ | - | ------- | ------------------ |  | - | -------------- | 
|Open Trade Equity (Deficit) |  | $                  | 206,634   |  |                    | $ | (70,658 | )                  |  | $ | -              | 
|Swap Contracts              |  |                    | -         |  |                    |   | -       |                    |  |   | 19,800,401     | 
|U.S. Treasury Securities    |  |                    | 2,807,036 |  |                    |   | -       |                    |  |   | -              | 



|December 31, 2018           |  | Level
    1 Inputs |           |   | Level
    2 Inputs |   |       | Level
    3 Inputs |  |   | Fair
    Value | 
|--------------------------- |  | ------------------ | --------- | - | ------------------ | - | ----- | ------------------ |  | - | -------------- | 
|Open Trade Equity (Deficit) |  | $                  | (400,796  | ) |                    | $ | 2,607 |                    |  | $ | -              | 
|Swap Contracts              |  |                    | -         |   |                    |   | -     |                    |  |   | 20,149,868     | 
|U.S. Treasury Securities    |  |                    | 5,684,327 |   |                    |   | -     |                    |  |   | -              | 





62







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 Consolidated Statement of Operations.



|                                                          |  | For the 
Three
    Months ended 
March 31,  2019 |           
|--------------------------------------------------------- |  | ------------------------------------------------ | ----------
|                                                          |  |                                                  |           
|Balance of recurring Level 3 assets as of January 1, 2018 |  |                                                  | 20,149,868
|Total gains or losses (realized/unrealized):              |  |                                                  |           
|Included in earnings-realized                             |  |                                                  | -         
|Included in earnings-unrealized                           |  |                                                  | (349,467  
|Proceeds from collateral reduction                        |  |                                                  | -         
|Purchase of investments                                   |  |                                                  | -         
|Sale of investments                                       |  |                                                  | -         
|Transfers in and/or out of Level
    3                    |  |                                                  | -         
|                                                          |  |                                                  |           
|Balance of recurring Level 3 assets as of March 31, 2019  |  |                                                  | 19,800,401



|                                                            |  | For the 
    Year ended  December 31, 
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                             |  |                                             | 2,041,028 
|Proceeds from collateral reduction                          |  |                                             | (3,099,998
|Purchase of investments                                     |  |                                             | -         
|Sale of investments                                         |  |                                             | -         
|Transfers in and/or out of Level
    3                      |  |                                             | -         
|                                                            |  |                                             |           
|Balance of recurring Level 3 assets as of December 31, 2018 |  |                                             | 20,149,868



The Trust assesses the levels of the investments at each measurement
date, and transfers between levels are recognized on the actual date of the event or change in circumstances that caused the transfer
in accordance with the Trust’s accounting policy regarding the recognition of transfers between levels of the fair value
hierarchy. During the three months ended March 31, 2019, the Trust did not transfer any assets between Levels 1, 2 and 3.



The total change in unrealized appreciation (depreciation) included in
    the consolidated statements of operations attributable to level 3 investments still held at March 31, 2019:



|Swaps                                                                                                                                                                                         |  | $ | (349,467  | )
|--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- |  | - | --------- | -
|                                                                                                                                                                                              |  |   |           |  
|The total
    change in unrealized appreciation (depreciation) included in the consolidated statements of operations attributable to level
    3 investments still held at December 31, 2018:
|                                                                                                                                                                                             
|Swaps                                                                                                                                                                                         |  | $ | 2,041,028 |  





63







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 March 31, 2019 and December 31,
2018, approximately 1.82% or $1,180,900 and 1.46% or $1,180,900 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
Consolidated 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 three months ended March 31, 2019:



|                                   |  | 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                    |  | $                           | 7,420,403     |   |                               | $ | 1,761,834     |                         |  | $ | 653,610                                                                                       |  
|Termination Date                   |  |                             | 7/31/2023     |   |                               |   | 7/31/2023     |                         |  |   | 7/31/2023                                                                                     |  
|Cash Collateral                    |  | $                           | 86,000        |   |                               | $ | 86,000        |                         |  | $ | 29,950                                                                                        |  
|Swap Value                         |  | $                           | 10,513,721    |   |                               | $ | 5,747,765     |                         |  | $ | 431,716                                                                                       |  
|Investee Returns                   |  |                             | Total
Returns |   |                               |   | Total
Returns |                         |  |   | Total
                                                                                Returns |  
|Realized Gain/(Loss)               |  | $                           | 0             |   |                               | $ | 0             |                         |  | $ | 0                                                                                             |  
|Change in Unrealized Gain/(Loss)   |  | $                           | (195,186      | ) |                               | $ | (86,648       | )                       |  | $ | (17,436                                                                                       | )
|Fair Value as of December 31, 2018 |  | $                           | 10,599,721    |   |                               | $ | 5,833,765     |                         |  | $ | 461,666                                                                                       |  
|Advance on swap appreciation       |  | $                           | (6,176,555    | ) |                               | $ | (4,000,000    | )                       |  | $ | (115,000                                                                                      | )



The Trust had invested in the following swap contracts as of
and for the year ended December 31, 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                    |  | $                           | 7,420,403     |   |                               | $ | 1,761,834                                                                                       |                         |  | $ | 653,610                                                                                         |  
|Termination Date                   |  |                             | 7/31/2023     |   |                               |   | 7/31/2023                                                                                       |                         |  |   | 7/31/2023                                                                                       |  
|Cash Collateral                    |  | $                           | 86,000        |   |                               | $ | 86,000                                                                                          |                         |  | $ | 29,950                                                                                          |  
|Swap Value                         |  | $                           | 10,708,908    |   |                               | $ | 5,834,414                                                                                       |                         |  | $ | 449,152                                                                                         |  
|Investee Returns                   |  |                             | Total
Returns |   |                               |   | Total
                                                                                  Returns |                         |  |   | Total
                                                                                  Returns |  
|Realized Gain/(Loss)               |  | $                           | 0             |   |                               | $ | 0                                                                                               |                         |  | $ | 0                                                                                               |  
|Change in Unrealized Gain/(Loss)   |  | $                           | 1,453,948     |   |                               | $ | 643,941                                                                                         |                         |  | $ | 82,063                                                                                          |  
|Fair Value as of December 31, 2018 |  | $                           | 10,794,908    |   |                               | $ | 5,920,414                                                                                       |                         |  | $ | 479,102                                                                                         |  
|Advance on swap appreciation       |  | $                           | (6,176,555    | ) |                               | $ | (4,000,000                                                                                      | )                       |  | $ | (115,000                                                                                        | )



64







5. Investments in Private Investment Companies



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



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



The following table summarizes the Trust’s equity in
earnings from each of the private investment companies during the three months ended March 31, 2019 and 2018:



|                                                         |  | Three Months Ended March 31, 2019 |          |   | Three Months Ended March 31, 2018 |  
|-------------------------------------------------------- |  | --------------------------------- | -------- | - | --------------------------------- | -
|                                                         |  | Trading
 Commissions              |          |   | Realized Gain/(Loss)              |  
|                                                         |  |                                   |          |   |                                   |  
|Galaxy Plus Fund - Aspect Feeder Fund (532) LLC          |  |                                   | (110,373 | ) |                                   |  
|Galaxy Plus Fund - Chesapeake Feeder Fund (518) LLC      |  |                                   | -        |   |                                   |  
|Galaxy Plus Fund - Doherty Feeder Fund (528) LLC         |  |                                   | (18,647  | ) |                                   |  
|Galaxy Plus Fund - EvE STP Feeder Fund (516) LLC         |  |                                   | (165,783 | ) |                                   |  
|Galaxy Plus Fund - Fort Contrarian Feeder Fund (510) LLC |  |                                   | (18,698  | ) |                                   |  
|Galaxy Plus Fund - LRR Feeder Fund (522) LLC             |  |                                   | -        |   |                                   |  
|Galaxy Plus Fund - QIM Feeder Fund (526) LLC             |  |                                   | (48,694  | ) |                                   |  
|Galaxy Plus Fund - Quantmetrics Feeder Fund (527) LLC    |  |                                   | (38,565  | ) |                                   |  
|Galaxy Plus Fund - Quest Feeder Fund (517) LLC           |  |                                   | (9,226   | ) |                                   |  
|Galaxy Plus Fund - Quest FIT Feeder Fund (535) LLC       |  |                                   | -        |   |                                   |  
|Galaxy Plus Fund - TT Feeder Fund (531) LLC              |  |                                   | (47,947  | ) |                                   |  
|Galaxy Plus Fund - Welton GDP Feeder Fund (538) LLC      |  |                                   | (108,847 | ) |                                   |  
|Total                                                    |  | $                                 | (566,780 | ) |                                   | $





65







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



|                                                             |  | Redemptions Notice
    Period |  |  | Redemptions
    Permitted |  |  | Liquidity
    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 - 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.





66







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 Consolidated Statements
of Operations. The total amount of assets of a Series allocated to Trading Advisors and/or reference programs, including (i) actual
funds deposited in accounts directed by the Trading Advisors or deposited as margin in respect of swaps or other derivative instruments
referencing a reference program plus (ii) any notional equity allocated to the Trading Advisors and any reference programs,
is referred to herein as the “notional assets” of the Series. The annual rate of the management fee is: 0.5% for
the Frontier Balanced Fund Class 1 and Class 2, 1.0% for the Frontier Balanced Fund Class 1AP, Class 2a and Class 3a, 2.0%
for the Frontier Global Fund, Frontier Long/Short Commodity Fund Class 1a, Class 2a and Class 3a and Frontier Masters
Fund, 0.75% for Frontier Diversified Fund, 2.5% for the Frontier Heritage Fund and Frontier Select Fund, and 3.5% for the Frontier
Long/Short Commodity Fund Class 2 and Class 3. The Managing Owner may pay all or a portion of such management fees to
the Trading Advisor(s) and/or waive (up to the percentage specified) any such management fee to the extent any related management
fee is paid by a trading company or estimated management fee is embedded in a swap or other derivative instrument. Any management
fee embedded in a swap or other derivative instrument may be greater or less than the management fee that would otherwise be charged
to the Series by the Managing Owner. 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 March 31, 2019 and December 31, 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. In each case, the embedded management fee was accrued
on the relevant notional amount of the swap.



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



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



Incentive Fees— Some Series pay to the Managing
Owner an incentive fee of a certain percentage of new net trading profits generated in the Trading Companies by such Series, monthly
or quarterly. In addition, the Managing Owner receives a quarterly incentive fee of a certain percentage of new net trading profits
generated in the Galaxy Plus entities that have been allocated to the Series. The incentive fees attributable to Galaxy Plus entities
are included in unrealized gain/(loss) on private investment companies on the Consolidated Statements of Operations. Because the
Frontier Balanced Fund, Frontier Diversified Fund, Frontier Masters Fund, Frontier Heritage Fund, Frontier Select Fund, and Frontier
Long/Short Commodity Fund may each employ multiple Trading Advisors, these Series will pay the Managing Owner a monthly incentive
fee calculated on a Trading Advisor by Trading Advisor basis. It is therefore possible that in any given period the Series may
pay incentive fees to the Managing Owner for one or more Trading Advisors while each of these Series as a whole experiences losses.
The incentive fee is 25% for the Frontier Balanced Fund and the Frontier Diversified Fund and 20% for the Frontier Global Fund,
Frontier Heritage Fund, Frontier Select Fund, Frontier Long/Short Commodity Fund and Frontier Masters Fund. The Managing Owner
may pay all or a portion of such incentive fees to the Trading Advisor(s) for such Series. As of the date of this report, for
a Series that has invested in a swap, the Managing Owner or Trading Advisor(s) do not receive any incentive fees directly from
the Series for such swap, and instead the relevant Trading Advisor receives compensation via the fees embedded in the swap. As
of March 31, 2019, the range of incentive fees as a percentage of net new trading profits on swaps embedded in (i) swaps owned
by Frontier Diversified Fund was 20-25% per annum, (ii) swaps owned by Frontier Balanced Fund was 20-25% per annum, (iii) swaps
owned by Frontier Long/Short Commodity Fund was 25% per annum, and (iv) swaps owned by Frontier Heritage Fund was 15% per annum,
and the Managing Owner has waived the entire incentive fee due to it from those Series in respect of such Series’ investment
in swaps. In each case, the embedded incentive fee was accrued based on the net new trading profits of the swap.





67







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



As of March 31, 2019, the Trust had a payable to the Managing
Owner in the amounts of $0, $8,966, $7,397, $78,790, $15,267 and $196,162 for incentive fees, management fees, interest,
service fees, risk analysis fees, and trading fees, respectively.



As of December 31, 2018, the Trust had a payable to the
Managing Owner in the amounts of $10,897, $78,045, $10,852, $222,241, and $96,152 for incentive fees, management fees, interest,
trading fees, and service fees, respectively.



For the three months ended March 31, 2019 the Trust paid
the Managing Owner $0, $51,677, $6,692, $291,355 and $583,251 for incentive fees, management fees, risk analysis fees, service
fees, and trading fees, respectively.



For the three months ended March 31, 2018 the Trust paid
the Managing Owner $148,409, $230,889, $22,798, $465,780 and $870,525 for incentive fees, management fees, risk analysis fees,
service fees, and trading fees, respectively.



With respect to the service fees, the initial service fee
(for the first 12 months) relating to a purchase of Units by an investor is prepaid by the Managing Owner to the relevant selling
agent in the month following such purchase and is reimbursed therefore by the Series monthly in arrears in an amount based upon
a corresponding percentage of NAV, calculated daily. Consequently, the Managing Owner bears the risk and enjoys the benefit of
the upside potential of any difference between the amount of the initial service fee prepaid by it and the amount of the reimbursement
thereof, which may result from variations in NAV over the following 12 months. For the three months ended March 31, 2019 and 2018,
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 only), Frontier Long/Short Commodity Fund (Class 2 and
Class 3), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage Fund. For the Frontier Diversified Fund, Frontier
Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters Fund, and Frontier Balanced Fund (Class 1AP, Class
2a, Class 3a only) 100% of the interest is retained by the respective Series. During the three months ended March 31, 2019 and
2018, the Trust paid $25,609 and $55,400, respectively, of such interest income to the Managing Owner. Such amounts are not included
in the Consolidated Statement of Operations of the Trust. All other interest income is recorded by the Trust on the Consolidated
Statement of Operations.





68







7. Financial Highlights



The following information presents the financial highlights
of the Trust for the three months ended March 31, 2019 and 2018. This data has been derived from the information presented in
the consolidated financial statements.





|Three months ended March 31            |  | 2019 |       |   | 2018 | 
|-------------------------------------- |  | ---- | ----- | - | ---- | 
|                                       |  |      |       |   |      | 
|Ratios to average net assets (1)       |  |      |       |   |      | 
|Net investment income/(loss) (1)       |  |      | -5.42 | % |      | 
|Expenses before incentive fees (3) (4) |  |      | 5.69  | % |      | 
|Expenses after incentive fees (3) (4)  |  |      | 5.69  | % |      | 
|                                       |  |      |       |   |      | 
|Total return before incentive fees (2) |  |      | -1.61 | % |      | 
|Total return after incentive fees (2)  |  |      | -1.61 | % |      | 
|                                       |  |      |       |   |      | 









| | (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.
| | --- | ---------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------

| | (4) | Does not include management and incentive fees
                                         at Galaxy Plus.
| | --- | -------------------------------------------------------------------------------------------------------



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 March 31, 2019 and December
31, 2018 is included in the Consolidated Condensed Schedules of Investments. See Note 4 for further disclosure related to the
Trust’s positions in swap contracts. There are embedded management fees in transacting these swaps ranging from 1% to 1.5%
based on fair value of swaps and the embedded incentive fees ranging from 15% to 25% based on net new trading profits on swaps.



For the three months ended March 31, 2019 and March 31, 2018,
the monthly average of forwards, options and futures contracts bought was approximately 274 and 322, respectively and sold was
approximately 1,348 and 8,519, respectively.





69







The following tables summarize the trading revenues for the
three months ended March 31, 2019 and 2018 by sector:



Realized Trading
Revenue from Futures, Forwards and Options for the Three Months Ended March 31, 2019



|Type of contract                      |  |   |           
|------------------------------------- |  | - | ----------
|Agriculturals                         |  | $ | (59,562   
|Currencies                            |  |   | (500,661  
|Energies                              |  |   | (584,896  
|Interest rates                        |  |   | 552,670   
|Metals                                |  |   | (617,340  
|Stock indices                         |  |   | (67,560   
|Realized
    trading income/(loss)(1) |  | $ | (1,277,349



Realized Trading
Revenue from Futures, Forwards and Options for the Three Months Ended March 31, 2018



|Type of contract                      |  |   |         
|------------------------------------- |  | - | --------
|Metals                                |  | $ | 175,869 
|Currencies                            |  |   | (333,820
|Energies                              |  |   | (258,495
|Agriculturals                         |  |   | (164,058
|Interest rates                        |  |   | (178,994
|Stock indices                         |  |   | 4,746   
|Realized
    trading income/(loss)(1) |  | $ | (754,752



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



Net Change in
Open Trade Equity from Futures, Forwards and Options for the Three Months Ended March 31, 2019



|Type of contract                                  |  |   |         
|------------------------------------------------- |  | - | --------
|Agriculturals                                     |  | $ | (79,579 
|Currencies                                        |  |   | 87,240  
|Energies                                          |  |   | 221,050 
|Interest rates                                    |  |   | (234,353
|Metals                                            |  |   | 484,455 
|Stock indices                                     |  |   | 46,739  
|Change
    in unrealized trading income/(loss)(1) |  | $ | 525,552 



Net Change in
Open Trade Equity from Futures, Forwards and Options for the Three Months Ended March 31, 2018



|Type of contract                                  |  |   |         
|------------------------------------------------- |  | - | --------
|Metals                                            |  | $ | (589,655
|Currencies                                        |  |   | (270,575
|Energies                                          |  |   | 30,389  
|Agriculturals                                     |  |   | 42,190  
|Interest rates                                    |  |   | 312,483 
|Stock indices                                     |  |   | (288,750
|Change
    in unrealized trading income/(loss)(1) |  | $ | (763,918



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



Certain financial instruments and derivative instruments are
eligible for offset in the 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.





70







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 March 31, 2019 and December 31, 2018:



As of March 31, 2019



|                            |  | Gross
    Amounts of recognized Derivative Assets |            |  | Gross
    Amounts offset in the Statements of Financial |   |          | Net
    Amounts Presented
 in the Statements of Financial Condition | 
|--------------------------- |  | ------------------------------------------------- | ---------- |  | ------------------------------------------------------- | - | -------- | ------------------------------------------------------------------- | 
|                            |  |                                                   |            |  |                                                         |   |          |                                                                     | 
|Open Trade Equity/(Deficit) |  | $                                                 | 427,769    |  |                                                         | $ | (291,793 | )                                                                   | 
|Swap Contracts              |  |                                                   | 19,800,401 |  |                                                         |   | -        |                                                                     | 



As of December 31, 2018



|                            |  | Gross
    Amounts of recognized Derivative Assets |            |  | Gross
    Amounts offset in the Statements of Financial |   |            | Net
    Amounts Presented
 in the Statements of Financial Condition | 
|--------------------------- |  | ------------------------------------------------- | ---------- |  | ------------------------------------------------------- | - | ---------- | ------------------------------------------------------------------- | 
|                            |  |                                                   |            |  |                                                         |   |            |                                                                     | 
|Open Trade Equity/(Deficit) |  | $                                                 | 3,244,057  |  |                                                         | $ | (3,642,246 | )                                                                   | 
|Swap Contracts              |  |                                                   | 20,149,868 |  |                                                         |   | -          |                                                                     | 



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 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.





71







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 the custodians of the Trust. 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



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



From April 1, 2019 through June 24, 2019, the Trust paid $8,744,982
in redemptions.





72







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 2018 Annual Report
on Form 10-K for the year ended December 31, 2018.



Overview



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



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



All management fees, incentive fees, service fees,
risk analysis fee (for closed Series only) and trading fees of the Trust are paid to the Managing Owner. It is the responsibility
of the Managing Owner to pay all Trading Advisor management and incentive fees, selling agent service fees and all other operating
expenses and continuing offering costs of the Trust. Only management fees and incentive fees related to assets allocated through
Trading Companies are included in expense on the Statement of Operations. The Series are all charged management and incentive
fees on the assets allocated through the Galaxy Plus entities. Those fees are included in unrealized gain/(loss) on private investment
companies on the Statements of Operations. As of the date of this report, for a Series that has invested in a swap, the Managing
Owner or Trading Advisor(s) do not receive any 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 March 31, 2019, 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)





73







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.



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.





74







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.



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     





75







As of March 31, 2019, the allocation of the assets of
each applicable Series of the Trust between the Trading Advisors was as follows:



Allocation as
of March 31, 2019 (expressed as a percentage of aggregate notional exposure to commodity trading programs)



|Advisor                                 |  | Frontier
    Diversified Fund |    |   | Frontier
    Long/Short Commodity Fund |  |    | Frontier
    Masters Fund |  |  | Frontier
    Balanced Fund |   |  | Frontier
    Select Fund |    |   | Frontier
    Global Fund |  |    | Frontier
    Heritage Fund | 
|--------------------------------------- |  | ----------------------------- | -- | - | -------------------------------------- |  | -- | ------------------------- |  |  | -------------------------- | - |  | ------------------------ | -- | - | ------------------------ |  | -- | -------------------------- | 
|Aspect Capital Limited                  |  |                               | 15 | % |                                        |  | —  |                           |  |  | 32                         | % |  |                          | 14 | % |                          |  | —  |                            | 
|Beach Horizon                           |  |                               | —  |   |                                        |  | —  |                           |  |  | —                          |   |  |                          | 5  | % |                          |  | —  |                            | 
|BH-DG Systematic Trading LLP            |  |                               | —  |   |                                        |  | —  |                           |  |  | —                          |   |  |                          | —  |   |                          |  | 29 | %                          | 
|Crabel Capital Partners, LLPC           |  |                               | 5  | % |                                        |  | —  |                           |  |  | —                          |   |  |                          | 4  | % |                          |  | —  |                            | 
|Doherty                                 |  |                               | 6  | % |                                        |  |    |                           |  |  |                            |   |  |                          | 5  | % |                          |  |    |                            | 
|Emil Van Essen, LLC                     |  |                               | 12 | % |                                        |  | 19 | %                         |  |  | 27                         | % |  |                          | 11 | % |                          |  | —  |                            | 
|Fort, L.P.                              |  |                               | 15 | % |                                        |  | —  |                           |  |  | —                          |   |  |                          | 14 | % |                          |  | —  |                            | 
|H2O Asset Management                    |  |                               | 12 | % |                                        |  | —  |                           |  |  | —                          |   |  |                          | 18 | % |                          |  | —  |                            | 
|J E Moody & Company                     |  |                               | —  |   |                                        |  | 20 | %                         |  |  | —                          |   |  |                          | —  |   |                          |  | —  |                            | 
|Landmark                                |  |                               | 1  | % |                                        |  | 9  | %                         |  |  |                            |   |  |                          | 1  | % |                          |  |    |                            | 
|Quantitative Investment Management, LLC |  |                               | 16 | % |                                        |  | —  |                           |  |  | —                          |   |  |                          | 13 | % |                          |  | —  |                            | 
|Quantmetrics Capital Management LLP     |  |                               | —  |   |                                        |  | —  |                           |  |  | —                          |   |  |                          | —  |   |                          |  | —  |                            | 
|Quest Partners LLC                      |  |                               | 3  | % |                                        |  | —  |                           |  |  | —                          |   |  |                          | 2  | % |                          |  | —  |                            | 
|Red Oak Commodity Advisors, Inc.        |  |                               | —  |   |                                        |  | 2  | %                         |  |  | —                          |   |  |                          | —  |   |                          |  | —  |                            | 
|Rosetta Capital Management, LLC         |  |                               | —  |   |                                        |  | 25 | %                         |  |  | —                          |   |  |                          | —  |   |                          |  | —  |                            | 
|Transtrend B.V.                         |  |                               | —  |   |                                        |  | —  |                           |  |  | 14                         | % |  |                          | —  |   |                          |  | 28 | %                          | 
|Welton Investment Partners LLC          |  |                               | 15 | % |                                        |  | 25 | %                         |  |  | 27                         | % |  |                          | 13 | % |                          |  | 43 | %                          | 
|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 March 31, 2019, cash deposited at the clearing brokers was $11,472,343 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 2.00% to 2.25%, this
amount is estimated to be 2.00%. In an attempt to increase interest income earned, the Managing Owner also may invest the non-margin
assets in U.S. government securities which include any security issued or guaranteed as to principal or interest by the U.S.,
or by a person controlled by or supervised by and acting as an instrumentality of the government of the U.S. pursuant to authority
granted by Congress or any certificate of deposit for any of the foregoing, including U.S. treasury bonds, U.S. treasury bills
and issues of agencies of the U.S. government, and certain cash items such as money market funds and time deposits. Aggregate
interest income from all sources, including assets held at clearing brokers, of up to 2.00% (annualized) is paid to the Managing
Owner by the Frontier Balanced Fund (Class 1 and Class 2 only), Frontier Global Fund, Frontier Select Fund, and Frontier Heritage
Fund. For the Frontier Diversified Fund, Frontier Long/Short Commodity Fund (Class 1a, Class 2a, Class 3a only), Frontier Masters
Fund and Frontier Balanced Fund (Class 1AP, Class 2a and Class 3a), 20% of the total interest allocated to the 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. 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.





76







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 March 31, 2019, total cash and cash equivalents held at banking institutions were
$0 for the Frontier Diversified Fund, $4,634 for the Frontier Masters Fund, $27,591 for the Frontier Long/Short Commodity Fund,
$42,988 for the Frontier Balanced Fund, $14,722 for the Frontier Select Fund, $304,492 for the Frontier Global Fund, and $26,556
for the Frontier Heritage Fund.



As a commodity pool, the Trust has large cash positions.
Such cash positions are used to pay margin for the trading of futures, forwards and options, and also to pay redemptions. Generally,
the Trust has not been forced to liquidate positions to fund redemptions. During the three months ended March 31, 2019, 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 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.





77







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 March 31, 2019 and 2018, 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 March 31, 2019 and 2018. 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.



As of the date of this report, for a Series that has invested
in a swap, a trading advisor does not receive any management fees directly from the Series for such swap, and instead the relevant
trading advisor receives compensation via the fees embedded in the swap. As of March 31, 2019, the effective management fee embedded
in (i) swaps owned by Frontier Diversified Fund was 0.80% per annum, (ii) swaps owned by Frontier Balanced Fund was 0.61% per
annum, (iii) swaps owned by Frontier Long/Short Commodity Fund was 1.91% per annum, (iv) swaps owned by Frontier Heritage Fund
was 2.22% per annum, and (v) swaps owned by Frontier Select Fund was 2.24% per annum and the managing owner has waived the entire
management fee due to it from those Series in respect of such Series’ investment in swaps. In each case, the embedded management
fee is accrued on the relevant notional amount of the swap.



Three months
ended March 31, 2019 Compared to Three Months Ended March 31, 2018.



Frontier Diversified Fund



The Frontier Diversified Fund— Class 1 NAV lost 1.38%
and lost 8.49%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Diversified
Fund—Class 2 NAV lost 0.95% and lost 8.08%, respectively for the three months ended March 31, 2019 and 2018, net of fees
and expenses; the Frontier Diversified Fund—Class 3 NAV lost 0.90%  and lost 8.03%, respectively for the three months
ended March 31, 2019 and 2018.





78







For the three months ended March 31, 2019, the Frontier Diversified
Fund recorded net loss on investments of $66,078, net investment loss of $137,867, and total expenses of $142,735 resulting in
a net decrease in Owners’ capital from operations of $203,945. For the three months ended March 31, 2018, the Frontier Diversified
Fund recorded net loss on investments of $1,514,894 net investment loss of $187,092, net investment income of $7,617 and total
expenses of $194,709 resulting in a net decrease in Owners’ capital from operations of $1,701,986.



Please see additional discussion under “Three Months
Ended March 31, 2019 Compared to Three Months Ended March 31, 2018 –Frontier Diversified Fund.”



Frontier Masters Fund



The Frontier Masters Fund—Class 1 NAV lost 3.19% and
lost 14.33% for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Masters Fund —Class
2 NAV lost 2.78% and lost 13.96% for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Masters
Fund—Class 3 NAV lost 2.71% and lost 13.91% for the three months ended March 31, 2019 and 2018, net of fees and expenses.



For the three months ended March 31, 2019, the Frontier Masters
Fund recorded net loss on investments of $103,616, net investment loss of $74,955, and total expenses of $75,465, resulting in
a net decrease in Owners’ capital from operations of $178,571. For the three months ended March 31, 2018, the Frontier Masters
Fund recorded net loss on investments of $1,462,847, net investment loss of $172,947, and total expenses of $181,366, resulting
in a net decrease in Owners’ capital from operations of $1,635,794.



Please see additional discussion under “Three Months
Ended March 31, 2019 Compared to Three Months Ended March 31, 2018— Frontier Masters Fund.”



Frontier Long/Short Commodity Fund



The Frontier Long/Short Commodity Fund—Class 2 NAV lost
5.21% and lost 2.91%, respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier
Long/Short Commodity Fund —Class 3 NAV lost 5.22% and lost 2.91% respectively for the three months ended March 31, 2019
and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV lost 11.73% and lost 4.29% respectively,
for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class
2a NAV lost 11.37% and lost 3.89% respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the
Frontier Long/Short Commodity Fund Class 3a NAV lost 11.27% and lost 3.83%, respectively, for the three months ended March 31,
2019 and 2018, net of fees and expenses.



For the three months ended March 31, 2019, the Frontier Long/Short
Commodity Fund recorded net loss on investments of $152,085, net investment loss of $13,316, and total expenses of $14,014, resulting
in a net decrease in Owners’ capital from operations of $165,401. For the three months ended March 31, 2018, the Frontier
Long/Short Commodity Fund recorded net loss on investments of $103,393, net investment loss of $21,315, and total expenses of
$21,315, resulting in a net decrease in Owners’ capital from operations of $124,708.



Please see additional discussion under “Three Months
Ended March 31, 2019 Compared to Three Months Ended March 31, 2018 – Frontier Long/Short Commodity Fund.”



Frontier Balanced Fund



The Frontier Balanced Fund—Class 1 NAV lost 2.33% and
lost 8.11%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced
Fund —Class 2 NAV lost 1.60% and lost 7.40%, respectively, for the three months ended March 31, 2019 and 2018, net of fees
and expenses; the Frontier Balanced Fund—Class 2a NAV lost 1.62% and lost 7.45%, respectively, for the three months ended
March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund—Class 3a NAV lost 1.59% and lost 7.46%, respectively,
for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund—Class 1AP NAV lost
1.60% and lost 7.46% for the three months ended March 31, 2019 and 2018, net of fees and expenses.





79







For the three months ended March 31, 2019, the Frontier Balanced
Fund recorded net loss on investments of $273,490 net investment loss of $445,648, and total expenses of $457,008, resulting in
a net decrease in Owners’ capital from operations of $719,138. For the three months ended March 31, 2018, the Frontier Balanced
Fund recorded net loss on investments of $2,907,257, net investment loss of $797,948, net investment income of $16,516, and total
expenses of $814,464, resulting in a net increase in Owners’ capital from operations of $3,705,205.



Please see additional discussion under “Three Months
Ended March 31, 2019 Compared to Three Months Ended March 31, 2018 – Frontier Balanced Fund.”



Frontier Select Fund



The Frontier Select Fund—Class 1 NAV lost 0.91% and lost
15.29%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Select Fund —Class
2 NAV lost 0.21% and lost 14.65% respectively for the three months ended March 31, 2019 and 2018, net of fees and expenses; the
Frontier Select Fund —Class 1AP NAV lost 0.18% and lost 14.66%, respectively, for the three months ended March 31, 2019
and 2018.



For the three months ended March 31, 2019, the Frontier Select
Fund recorded net gain on investments of $7,059, net investment loss of $48,137 and total expenses of $48,137, resulting in a
net decrease in Owners’ capital from operations of $41,078. For the three months ended March 31, 2018, the Frontier Select
Fund recorded net loss on investments of $894,845, net investment loss of $77,283, and total expenses of $77,283, resulting in
a net decrease in Owners’ capital from operations of $972,128.



Please see additional discussion under “Three Months
Ended March 31, 2019 Compared to Three Months Ended March 31, 2018 – Frontier Select Fund.”



Frontier Global Fund (formerly, Frontier Winton Fund)



The Frontier Global Fund—Class 1 NAV gained 3.63% and
lost 9.10%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Global Fund
—Class 2 NAV gained 4.43% and lost 9.12%, respectively, for the three months ended March 31, 2019 and 2018, net of
fees and expenses; the Frontier Global Fund —Class 1AP NAV gained 4.39% and lost 8.41%, respectively, for the three
months ended March 31, 2019 and 2018.



For the three months ended March 31, 2019, the Frontier Global
Fund recorded net gain on investments of $355,477, net investment loss of $94,838, and total expenses of $94,838, resulting in
a net increase in Owners’ capital from operations of $240,639. For the three months ended March 31, 2018, the Frontier Global
Fund recorded net loss on investments of $1,026,553, net investment loss of $307,495, and total expenses of $307,495, resulting
in a net decrease in Owners’ capital from operations of $1,334,048.



Please see additional discussion under “Three Months
Ended March 31, 2019 Compared to Three Months Ended March 31, 2018 – Frontier Global Fund.”



Frontier Heritage Fund



The Frontier Heritage Fund—Class 1 NAV lost 0.15% and
lost 13.77%, respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Heritage
Fund —Class 2 NAV gained 0.61% and lost 13.10%, respectively for the three months ended March 31, 2019 and 2018, net
of fees and expenses; the Frontier Heritage Fund —Class 1AP NAV gained 0.60% and lost 13.14%, respectively, for
the three months ended March 31, 2019 and 2018.



For the three months ended March 31, 2019, the Frontier Heritage
Fund recorded net gain on investments of $22,807, net investment loss of $51,199, and total expenses of $51,199, resulting in
a net decrease in Owners’ capital from operations of $28,392, after non-controlling interests of $24,336. For the three
months ended March 31, 2018, the Frontier Heritage Fund recorded net loss on investments of $692,322, net investment loss $116,775,
and total expenses of $116,775, resulting in a net decrease in Owners’ capital from operations of $809,097, after non-controlling
interests of $2,326.



Please see additional discussion under “Three Months
Ended March 31, 2019 Compared to Three Months Ended March 31, 2018 – Frontier Heritage Fund.”





80







Three months ended March 31, 2019 Compared to Three Months
Ended March 31, 2018.



Frontier Diversified Fund



2019



The Frontier Diversified Fund— Class 1 NAV lost 1.38%
and lost 8.49%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Diversified
Fund—Class 2 NAV lost 0.95% and lost 8.08%, respectively for the three months ended March 31, 2019 and 2018, net of fees
and expenses; the Frontier Diversified Fund—Class 3 NAV lost 0.90% and lost 8.03%, respectively for the three months ended
March 31, 2019 and 2018.



For the three months ended March 31, 2019, the Frontier
Diversified Fund recorded net loss on investments of $66,078, net investment loss of $137,867, and total expenses of $142,735
resulting in a net decrease in Owners’ capital from operations of $203,945. The NAV per Unit, Class 1, decreased from $102.25
at December 31, 2018 to $100.84 as of March 31, 2019. The NAV per Unit, Class 2, decreased from $120.84 at December 31, 2018 to
$119.69 as of March 31, 2019. The NAV per Unit, Class 3 decreased from $112.62 at December 31, 2018 to $111.62 as of March 31,
2019. Total Class 1 subscriptions and redemptions for the period were $0 and $37,231, respectively. Total Class 2 subscriptions
and redemptions for the period were $0 and $1,394,381, respectively. Total Class 3 subscriptions and redemptions for the period
were $0 and $343,798, respectively. Ending capital at March 31, 2019 was $1,583,757 for Class 1, $6,166,872 for Class 2 and $6,426,526
for Class 3. Ending capital at December 31, 2018 was $1,703,556 for Class 1, $7,672,754 for Class 2 and $6,780,200 for Class 3.



The Frontier Diversified Fund invests in one or more swaps. 
To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading
program of one or more commodity trading advisors.  Such performance is net of management fees and incentive fees paid to
the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees
are said to be embedded.



The aggregate fees embedded in a swap are provided for in the
index description for the relevant swap.  In addition to the management fee and incentive fee for the commodity trading advisor(s)
(the “CTA Fees”), each index provides for the deduction of a management fee to the counterparty for the swap. 
The counterparty management fee is determined based on the management fee spread set forth in the index description, while the
CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are
set forth in the reports delivered to the Series by the counterparty.  In addition to the counterparty management fee and
the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain
prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently
the value of the index.



The current management fees payable to the underlying
commodity trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets.
The current incentive fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the
swaps range from 20% to 25% of new net trading profits on a monthly or quarterly basis. To the extent that there are embedded
management fees and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive fees
to which it is otherwise entitled.  The management and incentive fees embedded in a swap may be higher or
lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.





81







As of March 31, 2019, the management fee embedded in swaps
owned by Frontier Diversified Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it
from those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee is accrued on
the relevant notional amount of the swap.



Based on an analysis of the management fees charged to Frontier
Diversified Fund, the effective management fee rate of the Series were higher than the management fee rate otherwise payable to
the Managing Owner.  The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q
by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management
fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid.  For
the quarter ended March 31, 2019, the effective management fee rate of Frontier Diversified Fund was 0.80%, compared to a
management fee payable to the Managing Owner of 0.75%. For the quarter ended March 31, 2019, the management and incentive fees
embedded in gains (losses) from trading companies owned by Frontier Diversified Fund was $29,656.



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







Two sectors which traded in the Frontier Diversified Fund
were profitable in Q1 2019 and two were profitable YTD. Energies and Interest Rates were profitable for Q1 2019 while Metals,
Currencies, Agriculturals and Stock Indices finished negative for the quarter. Energies and Interest Rates were profitable YTD
while Metals, Currencies, Agriculturals and Stock Indices finished negative YTD.





82









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



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



2018



The Frontier Diversified Fund—Class 1 NAV lost 8.49%
and gained 2.47%, respectively, for the three months ended March 31, 2018 and 2017, net of fees and expenses; the Frontier Diversified
Fund—Class 2 NAV lost 8.08% and gained 2.86%, respectively for the three months ended March 31, 2018 and 2017, net of fees
and expenses; the Frontier Diversified Fund—Class 3 NAV lost 8.03% and gained 2.93%, respectively for the three months ended
March 31, 2018 and 2017.



For the three months ended March 31, 2018, the Frontier
Diversified Fund recorded net loss on investments of $1,514,894 net investment loss of $187,092, net investment income of $7,617
and total expenses of $194,709 resulting in a net decrease in Owners’ capital from operations of $1,701,986. The net investment
loss reflected a deduction of $45,819 as total realized embedded fees in swaps. Of this amount, $0 in management fees and $0 in
incentive fees were payable to the Managing Owner and $20,840 in management fees and $24,979 in incentive fees were payable to
the Trading Advisor(s). The NAV per Unit, Class 1, decreased from $116.41 at December 31, 2017 to $106.54 as of March 31, 2018.
The NAV per Unit, Class 2, decreased from $135.19 at December 31, 2017 to $124.26 as of March 31, 2018. The NAV per Unit, Class
3 decreased from $125.68 at December 31, 2017 to $115.59 as of March 31, 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 $529,912,
respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $302,632, respectively. Ending capital at
March 31, 2018 was $1,919,307 for Class 1, $8,350,387 for Class 2 and $8,449,007 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 Agriculturals, Interest Rates, Currencies, Stock Indices, Energies and Metals sectors.











83

















84















Two of the six sectors traded in the Frontier Diversified Fund
were profitable in Q1 2018 and two of the six were profitable YTD. Energies and Interest Rates were profitable for Q1 2018 while
Metals, Currencies, Agriculturals, and Stock Indices finished negative for the quarter. Energies and Interest Rates were profitable
for YTD while Metals, Currencies, Agriculturals, and Stock Indices finished negative YTD.



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



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





85







Frontier Masters Fund



2019



The Frontier Masters Fund—Class 1 NAV lost 3.19% and
lost 14.33% for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Masters Fund —Class
2 NAV lost 2.78% and lost 13.96% for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Masters
Fund—Class 3 NAV lost 2.71% and lost 13.91% for the three months ended March 31, 2019 and 2018, net of fees and expenses.



For the three months ended March 31, 2019, the Frontier Masters
Fund recorded net loss on investments of $103,616, net investment loss of $74,955, and total expenses of $75,465, resulting in
a net decrease in Owners’ capital from operations of $178,571. For the three months ended March 31, 2018, the Frontier Masters
Fund recorded net loss on investments of $1,462,847, net investment loss of $172,947, and total expenses of $181,366, resulting
in a net decrease in Owners’ capital from operations of $1,635,794.



The NAV per Unit, Class 1, decreased from $91.10 at December
31, 2018 to $88.19 as of March 31, 2019. The NAV per Unit, Class 2, decreased from $107.68 at December 31, 2018 to $104.69 as
of March 31, 2019. The NAV per Unit, Class 3, decreased from $100.77 at December 31, 2018 to $98.04 as of March 31, 2019. Total
Class 1 subscriptions and redemptions for the period were $0 and $0, respectively. Total Class 2 subscriptions and redemptions
for the period were $0 and $97,053, respectively. Total Class 3 subscriptions and redemptions for the period were $0 and $248,270,
respectively. Ending capital at March 31, 2019 was $1,437,087 for Class 1, $1,153,978 for Class 2 and $2,457,174 for Class 3.
Ending capital at December 31, 2018 was $1,484,478 for Class 1, $1,292,975 for Class 2 and $2,794,680 for Class 3.



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









86







One of the six sectors which traded in the Frontier Masters
Fund was profitable in Q1 2019 and one of the six was profitable YTD. Interest Rates were profitable for Q1 2019 while Agriculturals,
Metals, Currencies, Energies, and Stock Indices finished negative for the quarter. Interest Rates were profitable YTD while Agriculturals,
Metals, Currencies, Energies, and Stock Indices finished negative YTD.



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



2018



The Frontier Masters Fund—Class 1 NAV lost 14.33%
and gained 0.27% for the three months ended March 31, 2018 and 2017 net of fees and expenses; the Frontier Masters Fund —Class
2 NAV lost 13.96% and gained 0.68% for the three months ended March 31, 2018 and 2017, net of fees and expenses; the Frontier
Masters Fund—Class 3 NAV lost 13.91% and gained 0.74% for the three months ended March 31, 2018 and 2017, net of fees and
expenses.



For the three months ended March 31, 2018, the Frontier
Masters Fund recorded net loss on investments of $1,462,847, net investment loss of $172,947, and total expenses of $181,366,
resulting in a net decrease in Owners’ capital from operations of $1,635,794. The NAV per Unit, Class 1, decreased from
$114.74 at December 31, 2017 to $98.30 as of March 31, 2018. The NAV per Unit, Class 2, decreased from $133.27 at December 31,
2017 to $114.67 as of March 31, 2018. The NAV per Unit, Class 3, decreased from $124.40 at December 31, 2017 to $107.10 as of
March 31, 2018. Total Class 1 subscriptions and redemptions for the period were $0 and $87,730, respectively. Total Class 2 subscriptions
and redemptions for the period were $0 and $461,827, respectively. Total Class 3 subscriptions and redemptions for the period
were $0 and $645,784, respectively. Ending capital at March 31, 2018 was $2,422,157 for Class 1, $2,574,6005 for Class 2 and $4,129,248
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.



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













87

















88















None of the six sectors traded in the Frontier Masters Fund
was profitable in Q1 2018 and all of the six were negative YTD.



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



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





89







Frontier Long/Short Commodity Fund



2019



The Frontier Long/Short Commodity Fund—Class 2 NAV lost
5.21% and lost 2.91%, respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier
Long/Short Commodity Fund —Class 3 NAV lost 5.22% and lost 2.91% respectively for the three months ended March 31, 2019
and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 1a NAV lost 11.73% and lost 4.29% respectively,
for the three months ended March 31, 2019 and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund—Class
2a NAV lost 11.37% and lost 3.89% respectively, for the three months ended March 31, 2019 and 2018 net of fees and expenses; the
Frontier Long/Short Commodity Fund Class 3a NAV lost 11.27% and lost 3.83%, respectively, for the three months ended March 31,
2019 and 2018, net of fees and expenses.



For the three months ended March 31, 2019, the Frontier Long/Short
Commodity Fund recorded net loss on investments of $152,085, net investment loss of $13,316, and total expenses of $14,014, resulting
in a net decrease in Owners’ capital from operations of $165,401. For the three months ended March 31, 2018, the Frontier
Long/Short Commodity Fund recorded net loss on investments of $103,393, net investment loss of $21,315, and total expenses of
$21,315, resulting in a net decrease in Owners’ capital from operations of $124,708.



The Frontier Long/Short Commodity Fund invests in one or more
swaps.  To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized
on the trading program of one or more commodity trading advisors.  Such performance is net of management fees and incentive
fees paid to the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore
these fees are said to be embedded.



The aggregate fees embedded in a swap are provided for in the
index description for the relevant swap.  In addition to the management fee and incentive fee for the commodity trading advisor(s)
(the “CTA Fees”), each index provides for the deduction of a management fee to the counterparty for the swap. 
The counterparty management fee is determined based on the management fee spread set forth in the index description, while the
CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are
set forth in the reports delivered to the Series by the counterparty.  In addition to the counterparty management fee and
the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain
prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently
the value of the index.



The current management fees payable to the underlying commodity
trading advisor(s) comprising the index referenced in the swaps is 1.50% per annum of notional assets. The current incentive fees
payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 25% of new net trading
profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in
a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled.  The management
and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged
to a Series by the Managing Owner.



Based on an analysis of the management fees charged to Frontier
Long/Short Commodity Fund, the effective management fee rate of the Series were lower than the management fee rate otherwise payable
to the Managing Owner.  The effective management fee rate for the Series was calculated for the period covered by the Form
10-Q by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded
management fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid. 
For the quarter ended March 31, 2019, the effective management fee rate of Frontier Long/Short Commodity Fund was 1.91%,
compared to a management fee payable to the Managing Owner of 2.00%. For the quarter ended March 31, 2019, the management and
incentive fees embedded in gains (losses) from trading companies owned by Frontier Long/Short Commodity Fund was $3,583.





90







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.







91











None of the seven sectors traded in the Frontier Long/Short
Commodity Fund were profitable in Q1 2019 and none of the seven were profitable YTD. Energies, Base Metals, Grains, Meats, Precious
Metals, Softs and Financials finished negative for the quarter. Energies, Base Metals, Grains, Meats, Precious Metals Softs and
Financials were negative YTD.



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



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





92







2018





The
Frontier Long/Short Commodity Fund—Class 2 NAV lost 2.91% and gained 2.79 %, respectively, for the three months ended March
31, 2018 and 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund —Class 3 NAV lost 2.91% and gained 3.11%
respectively for the three months ended March 31, 2018 and 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund
—Class 1a NAV lost 4.29% and gained 2.39% respectively, for the three months ended March 31, 2018 and 2017, net of fees
and expenses; the Frontier Long/Short Commodity Fund —Class 2a NAV lost 3.89% and gained 3.61% respectively, for the three
months ended March 31, 2018 and 2017, net of fees and expenses; the Frontier Long/Short Commodity Fund Class 3a NAV lost 3.83%
and gained 4.17%, respectively, for the three months ended March 31, 2018 and 2017, net of fees and expenses.



For the three months ended
March 31, 2018, the Frontier Long/Short Commodity Fund recorded net loss on investments of $103,393, net investment loss of $21,315,
and total expenses of $21,315, resulting in a net decrease in Owners’ capital from operations of $124,708. The net investment
loss reflected a deduction of $3,829 as total realized embedded fees in swaps. Of this amount, $0 in management fees and $0 in
incentive fees were payable to the Managing Owner and $3,829 in management fees and $0 in incentive fees were payable to the Trading
Advisor(s). The NAV per Unit, Class 2, decreased from $115.81 at December 31, 2017 to $112.44 as of March 31, 2018. The NAV per
Unit, Class 3, decreased from $121.50 at December 31, 2017 to $ 117.97 as of March 31, 2018. The NAV per Unit, Class 1a, decreased
from $81.35 at December 31, 2017 to $ 77.86 as of March 31, 2018. The NAV per Unit, Class 2a, decreased from $93.59 at December
31, 2017 to $89.95 as of March 31, 2018. The NAV per Unit, Class 3a, decreased from $97.99 at December 31, 2017 to $94.24 as of
March 31, 2018. Total Class 2 redemptions for the period were $63,154. Total Class 3 redemptions for the period were $58,209.
Total Class 1a redemptions were $60,185. Class 2a redemptions for the period were $85,871. Class 3a subscriptions and redemptions
for the period were $0 and $25,324 respectively. Ending capital at March 31, 2018 was $191,347 for Class 2, $2,344,659 for Class
3, $48,403 for Class 1a, $341,967 for Class 2a and $910,225 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.













93

















94

















95

















96















Three of the seven sectors traded in the
Frontier Long/Short Commodity Fund were profitable in Q1 2018 and three of the seven were profitable YTD. Energies, Grains, and
Meats were profitable for Q1 2018 while Base Metal, Precious Metal, Softs and Financials finished negative for the quarter. Energies,
Grains, and Meats were profitable for YTD while Base Metal, Precious Metal, Softs and Financials were negative YTD



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



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





97







Frontier Balanced Fund



2019



The Frontier Balanced Fund—Class 1 NAV lost 2.33% and
lost 8.11%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced
Fund —Class 2 NAV lost 1.60% and lost 7.40%, respectively, for the three months ended March 31, 2019 and 2018, net of fees
and expenses; the Frontier Balanced Fund —Class 2a NAV lost 1.62% and lost 7.45%, respectively, for the three months ended
March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 3a NAV lost 1.59% and lost 7.46%, respectively,
for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV
lost 1.60% and lost 7.46% for the three months ended March 31, 2019 and 2018, net of fees and expenses.



For the three months ended March 31, 2019, the Frontier Balanced
Fund recorded net loss on investments of $273,490 net investment loss of $445,648, and total expenses of $457,008, resulting in
a net decrease in Owners’ capital from operations of $719,138. For the three months ended March 31, 2018, the Frontier Balanced
Fund recorded net loss on investments of $2,907,257, net investment loss of $797,948, net investment income of $16,516, and total
expenses of $814,464, resulting in a net increase in Owners’ capital from operations of $3,705,205.



The Frontier Balanced Fund invests in one or more swaps. 
To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading
program of one or more commodity trading advisors.  Such performance is net of management fees and incentive fees paid to
the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees
are said to be embedded.



The aggregate fees embedded in a swap are provided for in the
index description for the relevant swap.  In addition to the management fee and incentive fee for the commodity trading advisor(s)
(the “CTA Fees”), each index provides for the deduction of a management fee to the counterparty for the swap. 
The counterparty management fee is determined based on the management fee spread set forth in the index description, while the
CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are
set forth in the reports delivered to the Series by the counterparty.  In addition to the counterparty management fee and
the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain
prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently
the value of the index.



The current management fees payable to the underlying commodity
trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees
payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps ranges from 20% to 25% of
new net trading profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred
in a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled.  The management
and incentive fees embedded in a swap may be higher or lower than the management and incentive fees that would otherwise be charged
to a Series by the Managing Owner.



Based on an analysis of the management fees charged to Frontier
Balanced Fund, the effective management fee rate of the Series were higher than the management fee rate otherwise payable to the
Managing Owner.  The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q
by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management
fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid.  For
the quarter ended March 31, 2019, the effective management fee rate of Frontier Balanced Fund was 0.61%, compared to
a management fee payable to the Managing Owner of 0.50%. For the quarter ended March 31, 2019, the management and incentive fees
embedded in gains (losses) from trading companies owned by Frontier Balanced Fund was $75,567.





98







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









99











Two of the six sectors traded
in the Frontier Balanced Fund were profitable in Q1 2019 and two of the six were profitable YTD. Metals and Interest Rates were
profitable for Q1 2019 while Agriculturals, Currencies, Energies and Stock Indices finished negative for the quarter. Metals and
Interest Rates were positive YTD while Agriculturals, Currencies, Metals and Stock Indices were negative YTD.



In terms of major CTA performance
Aspect Capital, Fort LP (GC), H2O AM and Wimmer Horizon finished positive for the quarter. Crabel, Emil Van Essen, Quantmetrics,
Welton, Winton and Quantitative Investment Management were negative for the quarter.



Aspect Capital, Fort LP (GC), H2O AM and
Wimmer Horizon were positive YTD while Crabel, Emil Van Essen, Quantmetrics, Welton, Winton and Quantitative Investment Management
were negative YTD.





100







2018





The
Frontier Balanced Fund—Class 1 NAV lost 8.11% and gained 2.23%, respectively, for the three months ended March 31, 2018
and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2 NAV lost 7.40% and gained 2.98%, respectively, for
the three months ended March 31, 2018 and 2017, net of fees and expenses; the Frontier Balanced Fund —Class 2a NAV lost
7.45% and gained 3.03%, respectively, for the three months ended March 31, 2018 and 2017, net of fees and expenses; the Frontier
Balanced Fund —Class 3a NAV lost 7.46% and gained 3.03%, respectively, for the three months ended March 31, 2018 and 2017,
net of fees and expenses; the Frontier Balanced Fund —Class 1AP NAV lost 7.46% and gained 2.98% for the three months ended
March 31, 2018 and 2017, net of fees and expenses.



For
the three months ended March 31, 2018, the Frontier Balanced Fund recorded net loss on investments of $2,907,257, net investment
loss of $797,948, net investment income of $16,516, and total expenses of $814,464, resulting in a net increase in Owners’
capital from operations of $3,705,205. The net investment loss reflected a deduction of $123,896 as total realized embedded fees
in swaps. Of this amount, $0 in management fees and $0 in incentive fees were payable to the Managing Owner and $53,123 in management
fees and $70,773 in incentive fees were payable to the Trading Advisor(s). The NAV per Unit, Class 1, decreased from $135.96 at
December 31, 2017 to $124.93 as of March 31, 2018. The NAV per Unit, Class 1AP, decreased from $150.56 at December 31, 2017 to
$139.33 as of March 31, 2018. The NAV per Unit, Class 2, decreased from $202.90 at December 31, 2017 to $187.88 as of March 31,
2018. The NAV per Unit, Class 2a, increased from $175.77 at December 31, 2017 to $162.67 as of March 31, 2018. The NAV per Unit,
Class 3a, decreased from $175.18 at December 31, 2017 to $162.12 as of March 31, 2018. Total Class 1 redemptions for the period
were $2,340,422. Total Class 1AP redemptions for the period were $0. Total Class 2 redemptions for the period were $549,135. Total
Class 2a redemptions for the period were $65,968. Total Class 3a redemptions for the period were $87,336. Ending capital at March
31, 2018 was $33,417,322 for Class 1, $556,803 for Class 1AP, $5,923,141 for Class 2, $430,639 for Class 2a and $1,198,208 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 Agriculturals sectors.













101

















102

















103

















104















One of the six sectors traded in the Frontier Balanced Fund
were profitable in Q1 2018. Interest Rates were profitable while Metals, Currencies, Agriculturals, Stock Indices and Energies
finished negative for the quarter. Interest Rates were positive YTD while Metals, Currencies, Agriculturals, Stock Indices and
Energies were negative YTD.



In terms of major CTA performance, four of the ten major CTAs
in the Frontier Balanced Fund were profitable in Q1 2018. Beach Horizon, Crabel, H20 AM and Quantmetrics were positive for the
quarter while Aspect, Emil Van Essen, Fort LP (GC), QIM, Welton and Winton are negative for the quarter.



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





105







Frontier Select Fund



2019



The Frontier Select Fund—Class 1 NAV lost 0.91% and lost
15.29%, respectively, for the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Select Fund —Class
2 NAV lost 0.18% and lost 14.65% respectively for the three months ended March 31, 2019 and 2018, net of fees and expenses; the
Frontier Select Fund—Class 1AP NAV lost 0.21% and lost 14.66%, respectively, for the three months ended March 31, 2019 and
2018.



For the three months ended March 31, 2019, the Frontier Select
Fund recorded net gain on investments of $7,059, net investment loss of $48,137 and total expenses of $48,137, resulting in a
net decrease in Owners’ capital from operations of $41,078. For the three months ended March 31, 2018, the Frontier Select
Fund recorded net loss on investments of $894,845, net investment loss of $77,283, and total expenses of $77,283, resulting in
a net decrease in Owners’ capital from operations of $972,128.



The Frontier Select Fund invests in one or more swaps. 
To the extent that the Series invests in a swap, the swap references an index, consisting of the performance realized on the trading
program of one or more commodity trading advisors.  Such performance is net of management fees and incentive fees paid to
the underlying commodity trading advisor(s), brokerage fees and certain other related fees and charges, and therefore these fees
are said to be embedded.



The aggregate fees embedded in a swap are provided for in the
index description for the relevant swap.  In addition to the management fee and incentive fee for the commodity trading advisor(s)
(the “CTA Fees”), each index provides for the deduction of a management fee to the counterparty for the swap. 
The counterparty management fee is determined based on the management fee spread set forth in the index description, while the
CTA Fees are based on a percentage of the assets managed by each trading advisor and new trading profits, respectively, and are
set forth in the reports delivered to the Series by the counterparty.  In addition to the counterparty management fee and
the CTA Fees, the underlying transactions executed by the commodity trading advisors may be subject to the deduction of certain
prime brokerage, exchange and other related fees and charges, each of which are reflected in the transaction values, and consequently
the value of the index.



The current management fees payable to the underlying commodity
trading advisor(s) comprising the index referenced in the swaps is 1.00% per annum of notional assets. The current incentive fees
payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is 15% of new net trading
profits on a monthly or quarterly basis. To the extent that there are embedded management and incentive fees incurred in
a swap investment, the Managing Owner waives any management and incentive fees to which it is otherwise entitled.  The management
and incentive fees embedded in a swap may be higher or lower than the management and incentive fee that would otherwise be charged
to a Series by the Managing Owner.



As of March 31, 2019, the management fee embedded in swaps
owned by Frontier Select Fund was 1.00% per annum, and the managing owner has waived the entire management fee due to it from
those Series in respect of such Series’ investment in swaps. In each case, the embedded management fee is accrued on the
relevant notional amount of the swap.



Based on an analysis of the management fees charged to Frontier
Select Fund, the effective management fee rate of the Series were lower than the management fee rate otherwise payable to the
Managing Owner.  The effective management fee rate for the Series was calculated for the period covered by the Form 10-Q
by dividing the aggregate management fees paid by such Series (whether directly to the Managing Owner, or as an embedded management
fee paid to a third-party commodity trading advisor) by the aggregate assets on which such management fees were paid.  For
the period ended March 31, 2019, the effective management fee rate of Frontier Select Fund was 2.24%, compared to a
management fee payable to the Managing Owner of 2.50%. For the quarter ended March 31, 2019, the management and incentive fees
embedded in gains (losses) from trading companies owned by Frontier Select Fund was $4,337.





106







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







Two of the six sectors traded
in the Frontier Select Fund were profitable in Q1 2019 and two of the six were profitable YTD. Agriculturals and Interest Rates
were positive while Metals, Currencies, Stock Indices and Energies were negative for the quarter. Agriculturals and Interest Rates
were profitable YTD while Metals, Currencies, Stock Indices and Energies finished negative YTD.



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





107







2018





The
Frontier Select Fund—Class 1 NAV lost 15.29% and lost 4.44%, respectively, for the three months ended March 31, 2018 and
2017, net of fees and expenses; the Frontier Select Fund —Class 2 NAV lost 14.65% and lost 3.76% respectively for the three
months ended March 31, 2018 and 2017, net of fees and expenses; the Frontier Select Fund —Class 1AP NAV lost 14.66% and
gained 3.85%, respectively, for the three months ended March 31, 2018 and 2017.



For the three months ended
March 31, 2018, the Frontier Select Fund recorded net loss on investments of $894,845, net investment loss of $77,283, and total
expenses of $77,283, resulting in a net decrease in Owners’ capital from operations of $972,128. The net investment loss
reflected a deduction of $5,072 as total realized embedded fees in swaps. Of this amount, $0 in management fees and $0 in incentive
fees were payable to the Managing Owner and $5,072 in management fees and $0 in incentive fees were payable to the Trading Advisor(s).
The NAV per Unit, Class 1, decreased from $90.27 at December 31, 2017 to $76.47 as of March 31, 2018. The NAV per Unit, Class
1AP, decreased from $100.02 at December 31, 2017 to $85.36 as of March 31, 2018. The NAV per Unit, Class 2, decreased from $132.73
at December 31, 2017 to $113.28 as of March 31, 2018. Total Class 1 redemptions for the period were $324,691. Total Class 1AP
redemptions for the period were $0. Total Class 2 redemptions for the period were $30,957. Ending capital at March 31, 2018 was
$4,741,199 for Class 1, $21,163 for Class 1AP and $711,790 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.













108

















109















One
of the six sectors traded in the Frontier Select Fund were profitable in Q1 2018 and one of the six were profitable YTD. Interest
Rates were positive while Currencies, Agriculturals, Metals, Energies and Stock Indices were negative for the quarter. Interest
Rates were profitable YTD while and Currencies, Agriculturals, Metals, Energies, and Stock Indices finished negative YTD.



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



110







Frontier
Global Fund (formerly, Frontier Winton Fund)



2019



The
Frontier Global Fund—Class 1 NAV gained 3.63% and lost 9.10%, respectively, for the three months ended March 31, 2019 and
2018, net of fees and expenses; the Frontier Global Fund—Class 2 NAV gained 4.43% and lost 9.12%, respectively, for
the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Global Fund—Class 1AP NAV gained
4.39% and lost 8.41%, respectively, for the three months ended March 31, 2019 and 2018.



For
the three months ended March 31, 2019, the Frontier Global Fund recorded net gain on investments of $355,477, net investment loss
of $94,838, and total expenses of $94,838, resulting in a net increase in Owners’ capital from operations of $240,639. For
the three months ended March 31, 2018, the Frontier Global Fund recorded net loss on investments of $1,026,553,
net investment loss of $307,495, and total expenses of $307,495, resulting in a net decrease in Owners’ capital from operations
of $1,334,048



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







Two
of the six sectors traded in the Frontier Global Fund were profitable in Q1 2019 and two of the six were profitable YTD. Interest
Rates and Stock Indices were positive while Agriculturals, Currencies, Metals and Energies were negative for the quarter Interest
Rates and Stock Indices were positive YTD while Agriculturals, Currencies, Metals and Energies were negative YTD.





111







2018



The
Frontier Global Fund—Class 1 NAV lost 9.10% and lost 1.02%, respectively, for the three months ended March 31, 2018 and
2017, net of fees and expenses; the Frontier Global Fund —Class 2 NAV lost 9.12% and gained 0.32%, respectively, for
the three months ended March 31, 2018 and 2017, net of fees and expenses; the Frontier Global Fund —Class 1AP NAV lost
8.41% and lost 0.55%, respectively, for the three months ended March 31, 2018 and 2017.



For
the three months ended March 31, 2018, the Frontier Global Fund recorded net loss on investments of $1,026,553, net investment
loss of $307,495, and total expenses of $307,495, resulting in a net decrease in Owners’ capital from operations of $1,334,048.
The NAV per Unit, Class 1, decreased from $159.08 at December 31, 2017 to $144.60 as of March 31, 2018. The NAV per Unit, Class
1AP decreased from $176.44 at December 31, 2017 to $161.61 as of March 31, 2018. Class 2, decreased from $216.50 at December 31,
2017 to $196.76 as of March 31, 2018. Total Class 1 redemptions for the period were $163,674. . Total Class 1AP redemptions for
the period were $61. Total Class 2 redemptions for the period were $207,909. Ending capital at March 31, 2018 was $11,754,668
for Class 1, $34,525 for Class 1AP, and $1,354,765 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.



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











112















One
of the six sectors traded in the Frontier Global Fund were profitable in Q1 2018. Interest Rates were positive while Metals, Currencies,
Energies, Agriculturals and Stock Indices were negative for the quarter. Interest Rates are positive YTD while Metals, Currencies,
Energies, Agriculturals and Stock Indices are negative YTD.





113







Frontier
Heritage Fund



2019



The
Frontier Heritage Fund—Class 1 NAV lost 0.15% and lost 13.77%, respectively, for the three months ended March 31, 2019 and
2018 net of fees and expenses; the Frontier Heritage Fund—Class 2 NAV gained 0.61% and lost 13.10%, respectively for
the three months ended March 31, 2019 and 2018, net of fees and expenses; the Frontier Heritage Fund—Class 1AP NAV
gained 0.60% and lost 13.14%, respectively, for the three months ended March 31, 2019 and 2018.



For
the three months ended March 31, 2019, the Frontier Heritage Fund recorded net gain on investments of $22,807, net investment
loss of $51,199, and total expenses of $51,199, resulting in a net decrease in Owners’ capital from operations of $28,392,
after non-controlling interests of $24,336. For the three months ended March 31, 2018, the Frontier Heritage Fund recorded net
loss on investments of $692,322, net investment loss $116,775, and total expenses of $116,775, resulting in a net decrease in
Owners’ capital from operations of $809,097, after non-controlling interests of $2,326.



The
Frontier Heritage Fund invests in one or more swaps.  To the extent that the Series invests in a swap, the swap references
an index, consisting of the performance realized on the trading program of one or more commodity trading advisors.  Such
performance is net of management fees and incentive fees paid to the underlying commodity trading advisor(s), brokerage fees and
certain other related fees and charges, and therefore these fees are said to be embedded.



The
aggregate fees embedded in a swap are provided for in the index description for the relevant swap.  In addition to the management
fee and incentive fee for the commodity trading advisor(s) (the “CTA Fees”), each index provides for the deduction
of a management fee to the counterparty for the swap.  The counterparty management fee is determined based on the management
fee spread set forth in the index description, while the CTA Fees are based on a percentage of the assets managed by each trading
advisor and new trading profits, respectively, and are set forth in the reports delivered to the Series by the counterparty. 
In addition to the counterparty management fee and the CTA Fees, the underlying transactions executed by the commodity trading
advisors may be subject to the deduction of certain prime brokerage, exchange and other related fees and charges, each of which
are reflected in the transaction values, and consequently the value of the index.



The
current management fees payable to the underlying commodity trading advisor(s) comprising the index referenced in the swaps is
1.00% per annum of notional assets. The current incentive fees payable to the underlying commodity trading advisor(s) comprising
the index referenced in the swaps is 15% of new net trading profits on a monthly or quarterly basis. To the extent that there
are embedded management and incentive fees incurred in a swap investment, the Managing Owner waives any management and incentive
fees to which it is otherwise entitled.  The management and incentive fees embedded in a swap may be higher or
lower than the management and incentive fees that would otherwise be charged to a Series by the Managing Owner.



As
of March 31, 2019, the management fee embedded in swaps owned by Frontier Heritage Fund was 1.00% per annum, and the managing
owner has waived the entire management fee due to it from those Series in respect of such Series’ investment in swaps. In
each case, the embedded management fee is accrued on the relevant notional amount of the swap.



Based
on an analysis of the management fees charged to Frontier Heritage Fund, the effective management fee rate of the Series
were lower than the management fee rate otherwise payable to the Managing Owner.  The effective management fee rate for the
Series was calculated for the period covered by the Form 10-Q by dividing the aggregate management fees paid by such Series (whether
directly to the Managing Owner, or as an embedded management fee paid to a third-party commodity trading advisor) by the aggregate
assets on which such management fees were paid.  For the period ended March 31, 2019, the effective management fee rate of Frontier
Heritage Fund was 2.22%, compared to a management fee payable to the Managing Owner of 2.50%. For the quarter ended March
31, 2019, the management and incentive fees embedded in gains (losses) from trading companies owned by Frontier Heritage Fund
was $4,605.





114







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







Two
of the six sectors traded in the Frontier Heritage Fund were profitable in Q12019 and two of the six were profitable YTD. Agriculturals
and Interest Rates were positive while Energies, Currencies, Metals and Stock Indices were negative for the quarter. Agriculturals
and Interest Rates were profitable YTD while Energies, Currencies, Metals and Stock Indices finished negative YTD.



In
terms of major CTA performance, Aspect Capital was positive for Q1 while Brevan Howard, Welton and Winton were negative for the
quarter. Aspect Capital was positive YTD while Welton, Brevan Howard and Winton were negative YTD.





115







2018





The Frontier Heritage Fund—Class 1 NAV lost 13.77% and
lost 3.65%, respectively, for the three months ended March 31, 2018 and 2017 net of fees and expenses; the Frontier Heritage Fund
—Class 2 NAV lost 13.1% and lost 2.95%, respectively for the three months ended March 31, 2018 and 2017, net of fees
and expenses; the Frontier Heritage Fund —Class 1AP NAV lost 13.14% and lost 2.30%, respectively, for the three
months ended March 31, 2018 and 2017.



For the three months ended March 31, 2018, the Frontier Heritage
Fund recorded net loss on investments of $692,322, net investment loss $116,775, and total expenses of $116,775, resulting in a
net decrease in Owners’ capital from operations of $809,097, after non-controlling interests of $2,326. The net investment
loss reflected a deduction of $5,386 as total realized embedded fees in swaps. Of this amount, $0 in management fees and $0 in
incentive fees were payable to the Managing Owner and $5,386 in management fees and $0 in incentive fees were payable to the Trading
Advisor(s). The NAV per Unit, Class 1, decreased from $121.19 at December 31, 2017 to $104.50 as of March 31, 2018. The NAV per
Unit, Class 1AP, decreased from $134.28 at December 31, 2017 to $116.64 as of March 31, 2018. The NAV per Unit, Class 2, decreased
from $179.70 at December 31, 2017 to $ 156.11 as of March 31, 2018. Total Class 1 redemptions for the period were $295,955. There
were no subscriptions or redemptions for Class 1AP.



There were no subscriptions or redemptions for Class 2. Ending
capital at March 31, 2018 was $4,433,799 for Class 1, $5,284 for Class 1AP and $660,817 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.













116

















117















None
of the six sectors traded in the Frontier Heritage Fund were profitable in Q1 2018 and none of the six were profitable YTD.



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





118







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.



Value at Risk by Market Sectors



The following tables present the trading value at risk associated
with each Series’ exposure to open positions  (as held by the Trading Companies) by market sector as of March 31, 2019
and December 31, 2018. All open position trading risk exposures of the Series have been included in calculating the figures set
forth below.



Frontier Diversified Fund:





|               |  | March 31, 2019 |           |  | December 31, 2018         | 
|-------------- |  | -------------- | --------- |  | ------------------------- | 
|MARKET SECTOR  |  | VALUE AT RISK  |           |  | % OF TOTAL CAPITALIZATION | 
|               |  |                |           |  |                           | 
|Interest Rates |  | $              | 5,833,765 |  |                           | 
|Equities       |  |                | -         |  |                           | 
|Fixed Income   |  |                | -         |  |                           | 
|FX             |  |                | -         |  |                           | 
|Commodities    |  |                | -         |  |                           | 
|Total:         |  | $              | 5,833,765 |  |                           | 









119







Frontier Long/Short Commodity Fund:



|               |  | March 31, 2019 |         |  | December 31, 2018 | 
|-------------- |  | -------------- | ------- |  | ----------------- | 
|               |  | VALUE          |         |  | % OF TOTAL        | 
|MARKET SECTOR  |  | AT RISK        |         |  | CAPITALIZATION    | 
|               |  |                |         |  |                   | 
|Interest Rates |  | $              | 461,666 |  |                   | 
|Equities       |  |                | -       |  |                   | 
|Fixed Income   |  |                | -       |  |                   | 
|FX             |  |                | -       |  |                   | 
|Commodities    |  |                | -       |  |                   | 
|Total:         |  | $              | 461,666 |  |                   | 



Frontier Masters Fund:



|               |  | March 31, 2019 |       |  | December 31, 2018 | 
|-------------- |  | -------------- | ----- |  | ----------------- | 
|               |  | VALUE          |       |  | % OF TOTAL        | 
|MARKET SECTOR  |  | AT RISK        |       |  | CAPITALIZATION    | 
|               |  |                |       |  |                   | 
|Interest Rates |  | $              | -     |  |                   | 
|Equities       |  |                | -     |  |                   | 
|Fixed Income   |  |                | -     |  |                   | 
|FX             |  |                | 2,184 |  |                   | 
|Commodities    |  |                | -     |  |                   | 
|Total:         |  | $              | 2,184 |  |                   | 



Frontier Balanced Fund:



|               |  | March 31, 2019 |            |  | December 31, 2018 | 
|-------------- |  | -------------- | ---------- |  | ----------------- | 
|               |  |                |            |  |                   | 
|               |  |                | VALUE      |  |                   | 
|MARKET SECTOR  |  |                | AT RISK    |  |                   | 
|               |  |                |            |  |                   | 
|Interest Rates |  | $              | 10,644,022 |  |                   | 
|Equities       |  |                | 13,875     |  |                   | 
|Fixed Income   |  |                | 40,889     |  |                   | 
|FX             |  |                | 90,398     |  |                   | 
|Commodities    |  |                | 32,175     |  |                   | 
|Total:         |  | $              | 10,821,359 |  |                   | 



Frontier Select Fund:



|               |  | March 31, 2019 |         |  | December 31, 2018 | 
|-------------- |  | -------------- | ------- |  | ----------------- | 
|               |  |                |         |  |                   | 
|               |  |                | VALUE   |  |                   | 
|MARKET SECTOR  |  |                | AT RISK |  |                   | 
|               |  |                |         |  |                   | 
|Interest Rates |  | $              | -       |  |                   | 
|Equities       |  |                | -       |  |                   | 
|Fixed Income   |  |                | -       |  |                   | 
|FX             |  |                | -       |  |                   | 
|Commodities    |  |                | -       |  |                   | 
|Total:         |  | $              | -       |  |                   | 











120







Frontier Global Fund:



|               |  | March 31, 2019 |        |  | December 31, 2018 | 
|-------------- |  | -------------- | ------ |  | ----------------- | 
|               |  | VALUE          |        |  | % OF TOTAL        | 
|MARKET SECTOR  |  | AT RISK        |        |  | CAPITALIZATION    | 
|               |  |                |        |  |                   | 
|Interest Rates |  | $              | -      |  |                   | 
|Equities       |  |                | -      |  |                   | 
|Fixed Income   |  |                | -      |  |                   | 
|FX             |  |                | 11,173 |  |                   | 
|Commodities    |  |                | -      |  |                   | 
|Total:         |  | $              | 11,173 |  |                   | 



Frontier Heritage Fund:



|               |  | March 31, 2019 |           |  | December 31, 2018 | 
|-------------- |  | -------------- | --------- |  | ----------------- | 
|               |  |                |           |  |                   | 
|               |  |                | VALUE     |  |                   | 
|MARKET SECTOR  |  |                | AT RISK   |  |                   | 
|               |  |                |           |  |                   | 
|Interest Rates |  | $              | 2,905,250 |  |                   | 
|Equities       |  |                | -         |  |                   | 
|Fixed Income   |  |                | -         |  |                   | 
|FX             |  |                | 1,913     |  |                   | 
|Commodities    |  |                | -         |  |                   | 
|Total:         |  | $              | 2,907,163 |  |                   | 



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 March 31, 2019, by market sector.



Interest Rates



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











121











Currencies



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



Stock Indices



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



Metals



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



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.



122







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.





123







ITEM 
4. CONTROLS AND PROCEDURES



Evaluation of Disclosure Controls and Procedures



Under the supervision
and with the participation of the management of the Managing Owner, including its Chairman and Chief Financial Officer, the Trust
evaluated the effectiveness of the design and operation of the disclosure controls and procedures (as defined in Rule 13a-15(e)
under the Securities Exchange Act of 1934, as amended (the “Exchange Act”)), for the Trust and each Series as of March
31, 2019 (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 that evaluation, the management of the Managing Owner concluded that, as of the Evaluation Date, the disclosure controls
and procedures for the Trust and each Series were not effective due to the material weaknesses in internal control over financial
reporting described below.



A
material weakness is a deficiency, or a combination of deficiencies, in internal control over financial reporting
such that there is a reasonable possibility that a material misstatement of the Trust’s and each Series annual or interim
financial statements will not be prevented or detected on a timely basis.



Changes in Internal Control Over Financial
Reporting





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



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



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



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



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



Management
assessed the effectiveness of the internal control over financial reporting for the Trust and each Series as of March 31, 2019,
based on the framework set forth by the Committee of Sponsoring Organizations of the Treadway Commission (COSO) in its 2013 report
entitled Internal Control-Integrated Framework.





124







Based
on that assessment, the Trust’s Chief Executive Officer and Chief Financial Officer concluded that the Trust did not maintain
effective internal control over financial reporting as of March 31, 2019 as a result of the material weaknesses described below:



| | A. | Consolidation
| | -- | -------------



Management’s
review of the consolidation for the various Series and Trust was not designed effectively, resulting in the need for reclassifications
/ adjustments between financial statement line items on the statements of operations and statements of financial condition at
various series and at the Trust. In addition, documentation supporting adjustments to the trial balances or various financial
statement line items as presented in the consolidation was in some cases incomplete or insufficient.



| | B. | Financial Reporting
| | -- | -------------------



Management
did not perform an appropriate review of the financial reporting process (i.e., untimely accounting for certain significant transactions,
inadequate review of journal entries, and financial statements and related disclosures) which increased the likelihood of misstatements
requiring corrections and disclosure adjustments.



Remediation
Efforts



Management
is committed to the remediation of the material weaknesses described above, as well as the continued improvement of our internal
control over financial reporting. We have identified, and are implementing the actions described below to remediate the underlying
causes of the control deficiencies that gave rise to the material weaknesses. As we continue our evaluation and improve our internal
control over financial reporting, management may modify the actions described below or identify and take additional measures to
address control deficiencies. Until the remediation efforts described below, including any additional measures management identifies
as necessary, are completed, the material weaknesses described above will continue to exist.



To
address the material weakness noted above, management is in the process of:



| | ● | establishing proper
    controls to ensure that underlying balances and activity are appropriately consolidated during quarter and year end. This
    process will include preparing supporting schedules for account balances and adjusting entries as well as incorporating internal
    reviews of the consolidating schedules prior to the preparation of the quarterly and annual financial statements;
| | - | ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------



| | ● | implementing a process
    where the financial statements, footnotes and applicable supporting schedules are reviewed prior to the drafting of the form
    10-Q;
| | - | -----------------------------------------------------------------------------------------------------------------------------------------------------------------



| | ● | performing a comprehensive
    review of current procedures to ensure appropriate segregation of duties and compliance with the Trust’s accounting
    policies and GAAP.
| | - | -------------------------------------------------------------------------------------------------------------------------------------------------------------------------



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



Scope of Exhibit 31 Certifications



The 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.



125







PART
II. OTHER INFORMATION



ITEM 1.
LEGAL PROCEEDINGS.



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



ITEM 
1A. RISK FACTORS.



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



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



The following table provides information regarding the sale
of unregistered Units by the Trust for the three months ended March 31, 2019. 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





126







ITEM 
6. EXHIBITS.



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



|31.1 | Certification of Principal Executive Officer and Principal Financial 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                                                                                                                                                                                 





127







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: June 24, 2019 | By:           
|                    |               
|                    |               





128







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: June 24, 2019 | By:                       
|                    |                           
|                    |                           





129







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: June 24, 2019 | By:                       
|                    |                           
|                    |                           





130







SIGNATURES



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



|                    | Frontier Global Fund,     
|------------------- | --------------------------
|                    | a Series of Frontier Funds
|                    | (Registrant)              
|                    |                           
|Date: June 24, 2019 | By:                       
|                    |                           
|                    |                           





131







SIGNATURES



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



|                    | Frontier Select Fund,     
|------------------- | --------------------------
|                    | a Series of Frontier Funds
|                    | (Registrant)              
|                    |                           
|Date: June 24, 2019 | By:                       
|                    |                           
|                    |                           





132







SIGNATURES



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



|                    | Frontier Long/Short Commodity Fund,
|------------------- | -----------------------------------
|                    | a Series of Frontier Funds         
|                    | (Registrant)                       
|                    |                                    
|Date: June 24, 2019 | By:                                
|                    |                                    
|                    |                                    





133







SIGNATURES



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



|                    | Frontier Diversified Fund,
|------------------- | --------------------------
|                    | a Series of Frontier Funds
|                    | (Registrant)              
|                    |                           
|Date: June 24, 2019 | By:                       
|                    |                           
|                    |                           



134







SIGNATURES



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



|                    | Frontier Masters Fund,    
|------------------- | --------------------------
|                    | a Series of Frontier Funds
|                    | (Registrant)              
|                    |                           
|Date: June 24, 2019 | By:                       
|                    |                           
|                    |                           





135