FRONTIER MASTERS FUND - 10-Q - MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS

Edgar Glimpses |

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 .



Overview


The Trust is a Delaware statutory trust formed on . 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
 (unless terminated earlier in certain circumstances).



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



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



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



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



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Critical Accounting Policies and Estimates




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



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

Investment Transactions and Valuation




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



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Qualitative Analysis


Although quantitative analysis statistically identifies the top performing
trading advisors, qualitative analysis plays a major role in the trading advisor
evaluation and final selection process. Each trading advisor in the Managing
Owner's top 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
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 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
Wimmer Horizon                                 Systematic        Trading Company




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




Allocation as of  (expressed as a percentage of aggregate notional
                    exposure to commodity trading programs)



                                                   Frontier
                             Frontier             Long/Short           Frontier             Frontier          Frontier Select       Frontier Global          Frontier
Advisor                  Diversified Fund       Commodity Fund       Masters Fund        Balanced Fund             Fund                  Fund   
         Heritage Fund
Aspect Capital
Limited                                 18 %                  -                  47 %                 16 %                   -                   100 %                 46 %
BH-DG Systematic
Trading LLP                              -                    -                   -                    -                    23 %                   -                   21 %
Crabel Capital
Partners, LLPC                           6 %                  -                   -                    5 %                   -                     -                    -
Doherty                                  6 %                                                           5 %
Emil Van Essen, LLC                      9 %                 17 %                20 %                  7 %                   -                     -                    -
Fort, L.P.                              17 %                  -                   -                   13 %                   -                     -                    -
H2O Asset Management                    13 %                  -                   -                   20 %                   -                     -                    -
J E Moody & Company                      -                   17 %                 -                    -                     -                     -                    -
Landmark                                 2 %                 10 %                                      2 %
Quantitative
Investment
Management, LLC                         13 %                  -                   -                   12 %                   -                     -                    -
Quest Partners LLC                       4 %                  -                   -                    2 %                   -                     -                    -
Red Oak Commodity
Advisors, Inc.                           -                    2 %                 -                    -                     -                     -                    -
Rosetta Capital
Management, LLC                          -                   37 %                 -                    -                     -                     -                    -
Transtrend B.V.                          -                    -                  10 %                  -                    24 %                   -                    -
Welton Investment
Partners LLC                            14 %                 17 %                23 %                 13 %                  54 %                   -                   33 %
Wimmer Horizon                           -                    -                   -                    5 %                   -                     -                    -



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 , cash deposited at the clearing
brokers was $4,146,414 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. As of
, with the Federal Funds target rate at 2.25% to 2.50 %, this
amount is estimated to be 2.25%. 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  through ;
thereafter 100% of the interest is retained by the respective Series. The amount
reflected in the financial statements for the Trust and Series are disclosed on
a net basis. Due to some classes not exceeding the 2% paid to the Managing
Owner, amounts earned by those classes may be zero.



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Approximately 10% to 30% of the Trust's assets are expected to be committed as
required margin for futures contracts and forwards and options trading and held
by the respective broker, although the amount committed may vary significantly.
Such assets are maintained in the form of cash or U.S. treasury bills in
segregated accounts with the futures broker pursuant to the Commodity Exchange
Act and regulations there under. Approximately 2% to 6% of the Trust's assets
are expected to be deposited with over-the-counter counterparties in order to
initiate and maintain forward and swap contracts. Such assets are not held in
segregation or otherwise regulated under the Commodity Exchange Act, unless such
over-the-counter counterparty is registered as a futures commission merchant.
These assets are held either in U.S. government securities or short-term time
deposits with U.S.-regulated bank affiliates of the over-the-counter
counterparties. The remaining approximately 64% to 88% of the Trust's assets
will normally be invested in cash equivalents and short-term investments, such
as money market funds and time deposits and held by the clearing broker, the
over-the-counter counterparties and by U.S. federally chartered banks. As of
, total cash and cash equivalents held at banking institutions were
$37,348 for the Frontier Diversified Fund, $75,541 for the Frontier Masters
Fund, $26,414 for the Frontier Long/Short Commodity Fund, $12,895 for the
Frontier Balanced Fund, $76,187 for the Frontier Select Fund, $38,052 for the
Frontier Global Fund, and $50,178 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 , 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.



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



Disclosure of Contractual Obligations




The business of the Trust is the speculative trading of commodity interests. The
majority of the Trust's futures and forward positions, which may be categorized
as "purchase obligations" under Item 303 of Regulation S-K, are short-term. That
is, they are held for less than one year. Because the Trust does not enter into
other long-term debt obligations, capital lease obligations, operating lease
obligations or other long-term liabilities that would otherwise be reflected on
the Trust's 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  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  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 , 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 0.62% per annum, (iii)
swaps owned by Frontier Long/Short Commodity Fund was 1.92% per annum, (iv)
swaps owned by Frontier Heritage Fund was 2.18% per annum, and (v) swaps owned
by Frontier Select Fund was 2.04% 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 Compared to Three Months Ended .




Frontier Diversified Fund



The Frontier Diversified Fund- Class 1 NAV gained 1.59% and gained 1.66%,
respectively, for the three months ended  and 2018, net of fees and
expenses; the Frontier Diversified Fund-Class 2 NAV gained 2.02% and gained
2.10%, respectively for the three months ended  and 2018, net of
fees and expenses; the Frontier Diversified Fund-Class 3 NAV gained 2.10%  and
gained 2.16%, respectively for the three months ended  and 2018.



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For the three months ended , the Frontier Diversified Fund recorded
net loss on investments of $136,258, net investment gain of $417,973, and total
expenses of $137,392 resulting in a net increase in Owners' capital from
operations of $281,715. For the three months ended , the Frontier
Diversified Fund recorded net loss on investments of $161,110, net investment
gain of $537,649, and total expenses of $171,531 resulting in a net increase in
Owners' capital from operations of $376,539.



Please see additional discussion under "Six Months Ended Compared to Six Months Ended -Frontier Diversified Fund."



Frontier Masters Fund



The Frontier Masters Fund-Class 1 NAV lost 0.98% and gained 1.05% for the three
months ended  and 2018 net of fees and expenses; the Frontier
Masters Fund -Class 2 NAV lost 0.56% and gained 1.49% for the three months ended
 and 2018, net of fees and expenses; the Frontier Masters
Fund-Class 3 NAV lost 0.52% and gained 1.56% for the three months ended  and 2018, net of fees and expenses.



For the three months ended , the Frontier Masters Fund recorded net
loss on investments of $61,592, net investment gain of $75,795, and total
expenses of $63,058, resulting in a net increase in Owners' capital from
operations of $14,203. For the three months ended , the Frontier
Masters Fund recorded net gain on investments of $202,533, net investment loss
of $139,474, and total expenses of $147,789, resulting in a net increase in
Owners' capital from operations of $63,059.



Please see additional discussion under "Six Months Ended Compared to Six Months Ended - Frontier Masters Fund."

Frontier Long/Short Commodity Fund




The Frontier Long/Short Commodity Fund-Class 2 NAV gained 5.18% and lost 5.27%,
respectively, for the three months ended  and 2018 net of fees and
expenses; the Frontier Long/Short Commodity Fund -Class 3 NAV gained 5.18% and
lost 5.27% respectively for the three months ended  and 2018 net of
fees and expenses; the Frontier Long/Short Commodity Fund -Class 1a NAV gained
5.42% and lost 9.09% respectively, for the three months ended  and
2018 net of fees and expenses; the Frontier Long/Short Commodity Fund -Class 2a
NAV gained 5.56% and lost 8.69% respectively, for the three months ended  and 2018 net of fees and expenses; the Frontier Long/Short Commodity
Fund Class 3a NAV gained 5.63% and lost 8.63%, respectively, for the three
months ended  and 2018, net of fees and expenses.



For the three months ended , the Frontier Long/Short Commodity Fund
recorded net loss on investments of $14,080, net investment gain of $123,196,
and total expenses of $14,517, resulting in a net increase in Owners' capital
from operations of $109,116. For the three months ended , the
Frontier Long/Short Commodity Fund recorded net loss on investments of $204,528,
net investment loss of $18,502, and total expenses of $21,926, resulting in a
net decrease in Owners' capital from operations of $223,030.



Please see additional discussion under "Six Months Ended Compared to Six Months Ended - Frontier Long/Short Commodity Fund."



Frontier Balanced Fund



The Frontier Balanced Fund-Class 1 NAV gained 1.28% and gained 0.22%,
respectively, for the three months ended  and 2018, net of fees and
expenses; the Frontier Balanced Fund -Class 2 NAV gained 2.03% and gained 0.98%,
respectively, for the three months ended  and 2018, net of fees and
expenses; the Frontier Balanced Fund-Class 2a NAV gained 2.09% and gained 1.02%,
respectively, for the three months ended  and 2018, net of fees and
expenses; the Frontier Balanced Fund-Class 3a NAV gained 2.04% and gained 1.02%,
respectively, for the three months ended  and 2018, net of fees and
expenses; the Frontier Balanced Fund-Class 1AP NAV gained 2.03% and gained 0.97%
for the three months ended  and 2018, net of fees and expenses.



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For the three months ended , the Frontier Balanced Fund recorded
net loss on investments of $395,382, net investment gain of $791,404, and total
expenses of $408,884, resulting in a net increase in Owners' capital from
operations of $396,022. For the three months ended , the Frontier
Balanced Fund recorded net gain on investments of $739,375 net investment loss
of $598,409, and total expenses of $606,837, resulting in a net increase in
Owners' capital from operations of $140,996.



Please see additional discussion under "Six Months Ended Compared to Six Months Ended - Frontier Balanced Fund."



Frontier Select Fund



The Frontier Select Fund-Class 1 NAV gained 7.45% and lost 2.25%, respectively,
for the three months ended  and 2018, net of fees and expenses; the
Frontier Select Fund -Class 2 NAV gained 8.31% and lost 1.52% respectively for
the three months ended  and 2018, net of fees and expenses; the
Frontier Select Fund -Class 1AP NAV gained 7.34% and lost 1.51%, respectively,
for the three months ended  and 2018.



For the three months ended , the Frontier Select Fund recorded net
loss on investments of $49,037, net investment gain of $316,822 and total
expenses of $49,037, resulting in a net increase in Owners' capital from
operations of $267,785. For the three months ended , the Frontier
Select Fund recorded net loss on investments of $68,312, net investment loss of
$61,382 and total expenses of $61,382, resulting in a net decrease in Owners'
capital from operations of $129,694.



Please see additional discussion under "Six Months Ended Compared to Six Months Ended - Frontier Select Fund."

Frontier Global Fund (formerly, Frontier Winton Fund)




The Frontier Global Fund-Class 1 NAV gained 5.36% and gained 2.81%,
respectively, for the three months ended  and 2018, net of fees and
expenses; the Frontier Global Fund -Class 2 NAV gained 6.14% and gained
3.36%, respectively, for the three months ended  and 2018, net of
fees and expenses; the Frontier Global Fund -Class 1AP NAV gained 6.15% and
gained 3.45%, respectively, for the three months ended  and 2018.



For the three months ended , the Frontier Global Fund recorded net
loss on investments of $134,908, net investment gain of $468,112, and total
expenses of $134,908, resulting in a net increase in Owners' capital from
operations of $333,204. For the three months ended , the Frontier
Global Fund recorded net gain on investments of $621,227, net investment loss of
$293,292, and total expenses of $293,292, resulting in a net increase in Owners'
capital from operations of $327,935.



Please see additional discussion under "Six Months Ended Compared to Six Months Ended - Frontier Global Fund."



Frontier Heritage Fund



The Frontier Heritage Fund-Class 1 NAV gained 9.95% and lost 1.74%,
respectively, for the three months ended  and 2018 net of fees and
expenses; the Frontier Heritage Fund -Class 2 NAV gained 10.75% and lost
1.01%, respectively for the three months ended  and 2018, net of
fees and expenses; the Frontier Heritage Fund -Class 1AP NAV gained 12.36% and
lost 1.01%, respectively, for the three months ended  and 2018.



For the three months ended , the Frontier Heritage Fund recorded
net loss on investments of $51,466, net investment gain of $435,107, and total
expenses of $51,466, resulting in a net decrease in Owners' capital from
operations of $319,922, after non-controlling interests of $63,719. For the
three months ended , the Frontier Heritage Fund recorded net loss
on investments of $26,200, net investment loss of $102,050, and total expenses
of $102,050, resulting in a net decrease in Owners' capital from operations of
$86,681, after non-controlling interests of $41,569.



Please see additional discussion under "Six Months Ended Compared to Six Months Ended - Frontier Heritage Fund."



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Six months ended  Compared to Six Months Ended .


Frontier Diversified Fund



2019



The Frontier Diversified Fund- Class 1 NAV gained 0.19% and lost 6.97%,
respectively, for the six months ended  and 2018, net of fees and
expenses; the Frontier Diversified Fund-Class 2 NAV gained 1.05% and lost 6.15%,
respectively for the six months ended  and 2018, net of fees and
expenses; the Frontier Diversified Fund-Class 3 NAV gained 1.19% and lost 6.04%,
respectively for the six months ended  and 2018.



For the six months ended , the Frontier Diversified Fund recorded
net loss on investments of $276,391, net investment gain of $354,161, and total
expenses of $282,393 resulting in a net increase in Owners' capital from
operations of $77,770. The NAV per Unit, Class 1, increased from $102.25 at
 to $102.44 as of . The NAV per Unit, Class 2,
increased from $120.84 at  to $122.11 as of . The
NAV per Unit, Class 3 increased from $112.62 at  to $113.96 as
of . Total Class 1 subscriptions and redemptions for the period
were $0 and $37,232, respectively. Total Class 2 subscriptions and redemptions
for the period were $0 and $1,800,104, respectively. Total Class 3 subscriptions
and redemptions for the period were $0 and $1,121,206, respectively. Ending
capital at  was $1,492,841 for Class 1, $5,885,291 for Class 2 and
$5,897,606 for Class 3. Ending capital at  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.



As of , 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.



                                       92




Based on an analysis of the management fees charged to Frontier Diversified
Fund, the effective management fee rate of Frontier Diversified Fund was 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 , 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 , the management and incentive fees embedded in gains
(losses) from trading companies owned by Frontier Diversified Fund was $16,804.



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



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One sector which traded in the Frontier Diversified Fund was profitable in Q2
2019 and one was profitable YTD. Interest Rates were profitable for Q2 2019
while Metals, Currencies, Energies, Agriculturals and Stock Indices finished
negative for the quarter. Interest Rates were profitable YTD while Metals,
Currencies, Energies, Agriculturals and Stock Indices finished negative YTD.



                                       93





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


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



2018



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



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



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




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                                       94




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



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



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




Frontier Masters Fund



2019



The Frontier Masters Fund-Class 1 NAV lost 4.14% and lost 13.43% for the six
months ended  and 2018 net of fees and expenses; the Frontier
Masters Fund -Class 2 NAV lost 3.32% and lost 12.67% for the six months ended
 and 2018, net of fees and expenses; the Frontier Masters
Fund-Class 3 NAV lost 3.22% and lost 12.56% for the six months ended  and 2018, net of fees and expenses.



For the six months ended , the Frontier Masters Fund recorded net loss on investments of $141,299, net investment loss of $23,069, and total expenses of $143,455, resulting in a net decrease in Owners' capital from operations of $164,368.




The NAV per Unit, Class 1, decreased from $91.10 at  to $87.33
as of . The NAV per Unit, Class 2, decreased from $107.68 at
 to $104.10 as of . The NAV per Unit, Class 3,
decreased from $100.77 at  to $97.53 as of . Total
Class 1 subscriptions and redemptions for the period were $0 and $1,343,509,
respectively. Total Class 2 subscriptions and redemptions for the period were $0
and $114,053, respectively. Total Class 3 subscriptions and redemptions for the
period were $0 and $408,756, respectively. Ending capital at  was
$123,131 for Class 1, $1,130,931 for Class 2 and $2,287,385 for Class 3. Ending
capital at  was $1,484,478 for Class 1, $1,292,975 for Class 2
and $2,794,680 for Class 3.



                                       95




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



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Two of the six sectors which traded in the Frontier Masters Fund were profitable
in Q2 2019 and two of the six were profitable YTD. Interest Rates and Energies
were profitable for Q2 2019 while Agriculturals, Metals, Currencies, and Stock
Indices finished negative for the quarter. Interest Rates and Energies were
profitable YTD while Agriculturals, Metals, Currencies, and Stock Indices
finished negative YTD.



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



                                       96





2018



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



For the six months ended , the Frontier Masters Fund recorded net
loss on investments of $1,260,314, net investment loss of $312,421, and total
expenses of $329,155, resulting in a net decrease in Owners' capital from
operations of $1,572,735. The NAV per Unit, Class 1, decreased from $114.74 at
 to $99.33 as of . The NAV per Unit, Class 2,
decreased from $133.27 at  to $116.38 as of . The
NAV per Unit, Class 3, decreased from $124.40 at  to $108.77 as
of . Total Class 1 subscriptions and redemptions for the period
were $0 and $323,341, respectively. Total Class 2 subscriptions and redemptions
for the period were $0 and $1,417,097, respectively. Total Class 3 subscriptions
and redemptions for the period were $0 and $1,335,657, respectively. Ending
capital at  was $2,205,345 for Class 1, $1,620,107 for Class 2 and
$3,563,115 for Class 3. Ending capital at  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 Interest Rates, Currencies, Stock Indices, Energies, Metals and Commodities sectors.




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


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

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

                                       97




Frontier Long/Short Commodity Fund



2019



The Frontier Long/Short Commodity Fund-Class 2 NAV lost 0.30% and lost 8.02%,
respectively, for the six months ended  and 2018 net of fees and
expenses; the Frontier Long/Short Commodity Fund -Class 3 NAV lost 0.31% and
lost 8.02% respectively for the six months ended  and 2018 net of
fees and expenses; the Frontier Long/Short Commodity Fund -Class 1a NAV lost
6.94% and lost 12.99% respectively, for the six months ended  and
2018 net of fees and expenses; the Frontier Long/Short Commodity Fund-Class 2a
NAV lost 6.43% and lost 12.24% respectively, for the six months ended  and 2018 net of fees and expenses; the Frontier Long/Short Commodity Fund
Class 3a NAV lost 6.27% and lost 8.02%, respectively, for the six months ended
 and 2018, net of fees and expenses.



For the six months ended , the Frontier Long/Short Commodity Fund
recorded net loss on investments of $27,396, net investment loss of $28,889, and
total expenses of $28,531, resulting in a net decrease in Owners' capital from
operations of $56,285.



The NAV per Unit, Class 2, decreased from $98.82 at  to $98.52
as of . The NAV per Unit, Class 3, decreased from $103.66 at
 to $103.34 as of . The NAV per Unit, Class 1a,
decreased from $56.80 at  to $52.86 as of . The
NAV per Unit, Class 2a, decreased from $66.52 at  to $62.24 as
of . The NAV per Unit, Class 3a, decreased from $69.83 at
 to $65.45 as of . Total Class 2 redemptions for
the period were $20,093. Total Class 3 redemptions for the period were $135,785.
Total Class 1a redemptions were $2,315. Class 2a redemptions for the period were
$58,416. Class 3a subscriptions and redemptions for the period were $0 and
$54,845 respectively. Ending capital at  was $62,659 for Class 2,
$1,646,165 for Class 3, $16,174 for Class 1a, $110,846 for Class 2a and $281,624
for Class 3a. Ending capital at  was $84,096 for Class 2,
$1,791,417 for Class 3, $20,051 for Class 1a, $186,469 for Class 2a and $363,174
for Class 3a.



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.



As of , the management fee embedded in swaps owned by Frontier
Long/Short Commodity Fund was 1.50% 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 Long/Short
Commodity Fund, the effective management fee rate of Frontier Long/Short
Commodity Fund was 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
, the effective management fee rate of Frontier Long/Short
Commodity Fund was 1.92%, compared to a management fee payable to the Managing
Owner of 2.00%. For the quarter ended , the management and
incentive fees embedded in gains (losses) from trading companies owned by
Frontier Long/Short Commodity Fund was $3,594.



                                       98





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



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                                       99





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Six of the seven sectors traded in the Frontier Long/Short Commodity Fund were
profitable in Q2 2019 and four of the seven were profitable YTD. Energies, Base
Metals, Grains, Meats, Precious Metals, Softs and Financials finished positive
for the quarter. Precious Metals finished negative for the quarter. Energies,
Grains, Meats and Financials were positive YTD. Base Metals, Precious Metals and
Softs were negative YTD.


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

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



                                      100





2018



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



For the six months ended , the Frontier Long/Short Commodity Fund
recorded net loss on investments of $307,921, net investment loss of $39,817,
and total expenses of $47,276, resulting in a net decrease in Owners' capital
from operations of $347,738.



The NAV per Unit, Class 2, decreased from $115.81 at  to
$106.52 as of . The NAV per Unit, Class 3, decreased from $121.50
at  to $111.75 as of . The NAV per Unit, Class 1a,
decreased from $81.35 at  to $70.78 as of . The
NAV per Unit, Class 2a, decreased from $93.59 at  to $82.13 as
of . The NAV per Unit, Class 3a, decreased from $97.99 at
 to $86.11 as of . Total Class 2 redemptions for
the period were $93,781. Total Class 3 redemptions for the period were $174,654.
Total Class 1a redemptions were $69,082. Class 2a redemptions for the period
were $90,372. Class 3a subscriptions and redemptions for the period were $0 and
$174,654 respectively. Ending capital at  was $152,086 for Class 2,
$2,102,829 for Class 3, $35,941 for Class 1a, $307,608 for Class 2a and $697,725
for Class 3a. Ending capital at  was $258,900 for Class 2,
$2,472,994 for Class 3, $107,619 for Class 1a, $442,644 for Class 2a and
$971,895 for Class 3a.



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



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                                      101





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


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




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



                                      102





Frontier Balanced Fund



2019



The Frontier Balanced Fund-Class 1 NAV lost 1.08% and lost 7.91%, respectively,
for the six months ended  and 2018, net of fees and expenses; the
Frontier Balanced Fund -Class 2 NAV gained 0.40 % and lost 6.50%, respectively,
for the six months ended  and 2018, net of fees and expenses; the
Frontier Balanced Fund -Class 2a NAV gained 0.43% and lost 6.51%, respectively,
for the six months ended  and 2018, net of fees and expenses; the
Frontier Balanced Fund -Class 3a NAV gained 0.42% and lost 6.51%, respectively,
for the six months ended  and 2018, net of fees and expenses; the
Frontier Balanced Fund -Class 1AP NAV gained 0.40% and lost 6.56% for the six
months ended  and 2018, net of fees and expenses.



For the six months ended , the Frontier Balanced Fund recorded net loss on investments of $843,761 net investment gain of $520,645, and total expenses of $868,623, resulting in a net decrease in Owners' capital from operations of $323,116.




The NAV per Unit, Class 1, decreased from $117.63 at  to
$116.36 as of . The NAV per Unit, Class 1AP, increased from $134.16
at  to $134.69 as of . The NAV per Unit, Class 2,
increased from $180.94 at  to $181.66 as of . The
NAV per Unit, Class 2a, increased from $156.81 at  to $157.49
as of . The NAV per Unit, Class 3a, increased from $156.26 at
 to $156.91 as of . Total Class 1 subscriptions
and redemptions for the period were $0 and $5,764,427 respectively. Total Class
1AP redemptions for the period were $0. Total Class 2 subscriptions and
redemptions for the period were $0 and $445,310, respectively. Total Class 2a
subscriptions and redemptions for the period were $0 and $114,068, respectively.
Total Class 3a redemptions for the period were $16,647. Ending capital at  was $19,585,430 for Class 1, $356,533 for Class 1AP, $4,108,325 for
Class 2, $225,838 for Class 2a, and $880,403 for Class 3a. Ending capital at
 was $25,703,922 for Class 1, $355,112 for Class 1AP,
$4,528,375 for Class 2, $339,173 for Class 2a and $893,515 for Class 3a.



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.



As of , the management fee embedded in swaps owned by Frontier
Balanced 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 Balanced Fund,
the effective management fee rate of Frontier Balanced Fund was 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 , the effective
management fee rate of Frontier Balanced Fund was 0.62%, compared to a
management fee payable to the Managing Owner of 0.50%. For the quarter ended
, the management and incentive fees embedded in gains (losses) from
trading companies owned by Frontier Balanced Fund was $40,357.



                                      103





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



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                                      104





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Two of the six sectors traded in the Frontier Balanced Fund were profitable in
Q2 2019 and two of the six were profitable YTD. Energies and Interest Rates were
profitable for Q2 2019 while Metals, Agriculturals, Currencies and Stock Indices
finished negative for the quarter. Metals, Energies and Interest Rates were
positive YTD while Agriculturals, Currencies and Stock Indices were negative
YTD.



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



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



                                      105





2018



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



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



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




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                                      106





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



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




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



                                      107





Frontier Select Fund



2019



The Frontier Select Fund-Class 1 NAV gained 6.47% and lost 17.19%, respectively,
for the six months ended  and 2018, net of fees and expenses; the
Frontier Select Fund -Class 2 NAV gained 8.12% and lost 15.95% respectively for
the six months ended  and 2018, net of fees and expenses; the
Frontier Select Fund-Class 1AP NAV gained 7.10% and lost 15.95%, respectively,
for the six months ended  and 2018.



For the six months ended , the Frontier Select Fund recorded net loss on investments of $97,174, net investment gain of $323,893 and total expenses of $97,174, resulting in a net increase in Owners' capital from operations of $226,719.




The NAV per Unit, Class 1, increased from $71.41 at  to $76.03
as of . The NAV per Unit, Class 1AP, increased from $82.48 at
 to $88.34 as of . The NAV per Unit, Class 2,
increased from $108.18 at  to $116.96 as of .
Total Class 1 subscriptions and redemptions for the period were $0 and $353,695
respectively. Total Class 1AP redemptions for the period were $0. Total Class 2
subscriptions and redemptions for the period were $0 and $44,191, respectively.
Ending capital at  was $3,566,250 for Class 1, $12,191 for Class
1AP and $107,254 for Class 2. Ending capital at  was $3,709,130
for Class 1, $1,897 for Class 1AP and $145,835 for Class 2.



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 , 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 Frontier Select Fund was 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 , the effective
management fee rate of Frontier Select Fund was 2.04%, compared to a management
fee payable to the Managing Owner of 2.50%. For the quarter ended ,
the management and incentive fees embedded in gains (losses) from trading
companies owned by Frontier Select Fund was $4,701.



                                      108




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




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Three of the six sectors traded in the Frontier Select Fund were profitable in
Q2 2019 and two of the six were profitable YTD. Metals, Interest Rates and Stock
Indices were positive while Currencies, Energies and Agriculturals 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, Transtrend and Welton finished
positive for the quarter and no CTA's finished negative for the quarter. Brevan
Howard and Welton finished positive YTD while Transtrend finished negative
YTD.



                                      109





2018



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



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


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




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



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



                                      110




Frontier Global Fund (formerly, Frontier Winton Fund)



2019



The Frontier Global Fund-Class 1 NAV gained 9.17% and lost 6.55%, respectively,
for the six months ended  and 2018, net of fees and expenses; the
Frontier Global Fund-Class 2 NAV gained 10.85% and lost 6.02%, respectively, for
the three months ended  and 2018, net of fees and expenses; the
Frontier Global Fund-Class 1AP NAV gained 10.81% and lost 5.24%, respectively,
for the six months ended  and 2018.



For the six months ended , the Frontier Global Fund recorded net loss on investments of $258,894, net investment gain of $832,737, and total expenses of $258,894, resulting in a net increase in Owners' capital from operations of $573,843.




The NAV per Unit, Class 1, increased from $131.57 at  to
$143.64 as of . The NAV per Unit, Class 1AP, increased from $149.92
at  to $166.13 as of . The NAV per Unit, Class 2,
increased from $187.17 at  to $207.48 as of .
Total Class 1 subscriptions and redemptions for the period were $0 and
$2,700,785, respectively. There were no subscriptions or redemptions for Class
1AP. Total Class 2 subscriptions and redemptions for the period were $0 and
$64,892, respectively. Ending capital at  was $5,583,992 for Class
1, $35,551 for Class 1AP, and $396,914 for Class 2. Ending capital at
 was $7,755,444 for Class 1, $32,082 for Class 1AP and $420,765
for Class 2.


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



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Two of the six sectors traded in the Frontier Global Fund were profitable in Q2
2019 and two of the six were profitable YTD. Metals and Interest Rates were
positive while Agriculturals, Currencies, Stock Indices and Energies were
negative for the quarter. Interest Rates were positive YTD while Agriculturals,
Currencies, Stock Indices, Metals and Energies were negative YTD.



                                      111





2018



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



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




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



                                      112





Frontier Heritage Fund



2019



The Frontier Heritage Fund-Class 1 NAV gained 9.79% and lost 15.27%,
respectively, for the six months ended  and 2018 net of fees and
expenses; the Frontier Heritage Fund-Class 2 NAV gained 11.43% and lost
14.00%, respectively for the six months ended  and 2018, net of
fees and expenses; the Frontier Heritage Fund-Class 1AP NAV gained 13.03% and
lost 14.02%, respectively, for the six months ended  and 2018.

For the six months ended , the Frontier Heritage Fund recorded net loss on investments of $107,933, net investment gain of $463,182, and total expenses of $107,933, resulting in a net decrease in Owners' capital from operations of $315,866, after non-controlling interests of $39,383.




The NAV per Unit, Class 1, increased from $99.83 at  to $109.60
as of . The NAV per Unit, Class 1AP, increased from $111.78 at
 to $126.34 as of . The NAV per Unit, Class 2,
increased from $152.53 at  to $169.96 as of .
Total Class 1 subscriptions and redemptions for the period were $0 and $736,567,
respectively. Total Class 1AP redemptions were $0. Total Class 2 subscriptions
and redemptions for the period were $0 and $64,741, respectively. Ending capital
at  was $2,839,339 for Class 1, $9,223 for Class 1AP and $619,680
for Class 2. Ending capital at  was $3,331,725 for Class 1,
$1,006 for Class 1AP and $620,953 for Class 2.



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 , 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 Frontier Heritage Fund was 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 , the effective
management fee rate of Frontier Heritage Fund was 2.18%, compared to a
management fee payable to the Managing Owner of 2.50%. For the quarter ended
, the management and incentive fees embedded in gains (losses) from
trading companies owned by Frontier Heritage Fund was $4,397.



                                      113




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



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Four of the six sectors traded in the Frontier Heritage Fund were profitable in
Q2 2019 and two of the six were profitable YTD. Agriculturals, Interest Rates,
Metals and Currencies were positive while Energies 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 and Welton were positive for
Q2 while Brevan Howard was negative for the quarter. Aspect Capital and Welton
were positive YTD while Brevan Howard and Winton were negative YTD.



                                      114





2018



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



For the six months ended , the Frontier Heritage Fund recorded net
loss on investments of $718,522, net investment loss income $218,825, and total
expenses of $218,825, resulting in a net decrease in Owners' capital from
operations of $893,452, after non-controlling interests of $43,895. The NAV per
Unit, Class 1, decreased from $121.19 at  to $102.68 as of . The NAV per Unit, Class 1AP, decreased from $134.28 at  to $115.46 as of . The NAV per Unit, Class 2, decreased from
$179.70 at  to $154.54 as of . Total Class 1
subscriptions and redemptions for the period were $0 and $698,774, respectively.
Total Class 1AP redemptions were $4,081. Total Class 2 subscriptions and
redemptions for the period were $0 and $7,000, respectively. Ending capital at
 was $3,951,288 for Class 1, $1,019 for Class 1AP and $647,010 for
Class 2. Ending capital at  was $5,435,871 for Class 1, $6,083
for Class 1AP and $760,672 for Class 2.



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




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

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




                                      115

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