v3.25.1
Fair Value Measurements
 3 Months Ended
Mar. 31, 2025
The Series of Frontier Funds [Member]  
Fair Value Measurements [Line Items]  
Fair Value Measurements

3. Fair Value Measurements

 

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

 

Level 1 Inputs

 

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

 

Level 2 Inputs

 

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

 

Level 3 Inputs

 

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

 

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

 

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

 

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

 

Swap contracts are reported at fair value upon daily reports from the counterparty. In addition, a third party takes the inputs from the counterparty, makes certain adjustments, and runs it through their pricing model to come up with their daily price. The fair value measurements of the swap contracts are valued using unadjusted inputs that were not internally developed. The Managing Owner reviews and compares approves current day pricing of the CTA positions, as received from the counterparty which includes intra-day volatility and volume and daily index performance, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The Swap contracts are reported at fair value using Level 3 inputs. The Series did not hold any swap contracts as of March 31, 2025.

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

 

Investment in Unconsolidated Trading Companies. This investment represents the fair value of the allocation of cash, futures, forwards, options and swaps to each respective Series relative to its trading allocations from unconsolidated Trading Companies. A Series may redeem its investment in any of the Trading Companies on a daily basis at the Trading Company’s stated net asset value. Each of the Series, all of which are under the same management as the Trading Companies, has access to the underlying positions of the Trading Companies.

 

The following table summarizes the investments in each Series measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024 segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value, as well as investments valued using the practical expedient (net asset value).

 

March 31, 2025  Practical
Expedient
(Net Asset
Value)		   Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value		 
                     
Frontier Diversified Fund                    
Investment in Unconsolidated Trading Companies  $20,372   $
-
   $
         -
   $
        -
   $20,372 
U.S. Treasury Securities   
-
    1,923    
-
    
-
    1,923 
Frontier Masters Fund                         
Investment in Unconsolidated Trading Companies   10,321    
-
    
-
    
-
    10,321 
U.S. Treasury Securities   
-
    974    
-
    
-
    974 
Frontier Long/Short Commodity Fund                         
Investment in Unconsolidated Trading Companies   8,429    
-
    
-
    
-
    8,429 
U.S. Treasury Securities   
-
    796    
-
    
-
    796 
Frontier Balanced Fund                         
Investment in Unconsolidated Trading Companies   76,833    
-
    
-
    
-
    76,833 
U.S. Treasury Securities   
-
    7,253    
-
    
-
    7,253 
Frontier Select Fund             -           
Investment in Unconsolidated Trading Companies   17,465    
-
    
-
    
-
    17,465 
U.S. Treasury Securities   
-
    1,649    
-
    
-
    1,649 
Frontier Global Fund             -           
Investment in Unconsolidated Trading Companies   
-
    
-
    
-
    
-
    
-
 
U.S. Treasury Securities   
-
    
-
    
-
    
-
    
-
 
Frontier Heritage Fund                         
Investment in Unconsolidated Trading Companies   43,721    
-
    
-
    
-
    43,721 
U.S. Treasury Securities   
-
    4,127    
-
    
-
    4,127 
                          
December 31, 2024  Practical
Expedient
(Net Asset
Value)		   Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Total
Fair Value		 
                     
Frontier Diversified Fund                    
Investment in Unconsolidated Trading Companies  $23,131   $
-
   $
      -
   $
    -
   $23,131 
U.S. Treasury Securities   
-
    1,945    
-
    
-
    1,945 
Frontier Masters Fund                         
Investment in Unconsolidated Trading Companies   13,036    
-
    
-
    
-
    13,036 
U.S. Treasury Securities   
-
    1,096    
-
    
-
    1,096 
Frontier Long/Short Commodity Fund                         
Investment in Unconsolidated Trading Companies   13,179    
-
    
-
    
-
    13,179 
U.S. Treasury Securities   
-
    1,108    
-
    
-
    1,108 
Frontier Balanced Fund                         
Investment in Unconsolidated Trading Companies   57,707    
-
    
-
    
-
    57,707 
Open Trade Equity (Deficit)   
-
    
-
    
-
    
-
    
-
 
U.S. Treasury Securities   
-
    4,851    
-
    
-
    4,851 
Frontier Select Fund                         
Investment in Unconsolidated Trading Companies   17,750    
-
    
-
    
-
    17,750 
U.S. Treasury Securities   
-
    1,492    
-
    
-
    1,492 
Frontier Global Fund                         
Investment in Unconsolidated Trading Companies   32,387    
-
    
-
    
-
    32,387 
U.S. Treasury Securities   
-
    2,723    
-
    
-
    2,723 
Frontier Heritage Fund                         
Investment in Unconsolidated Trading Companies   42,692    
-
    
-
    
-
    42,692 
U.S. Treasury Securities   
-
    3,589    
-
    
-
    3,589 
Frontier Funds [Member]  
Fair Value Measurements [Line Items]  
Fair Value Measurements

3. Fair Value Measurements

 

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

 

Level 1 Inputs

 

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

 

Level 2 Inputs

 

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

 

Level 3 Inputs

 

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

 

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

 

Trading Securities. These instruments include open trade equity positions (futures contracts) that are actively traded on public markets with quoted pricing for corroboration. 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 currencies are reported at fair value using Level 2 inputs. As of March 31, 2025, the Trust did not hold any open trade equity position.

 

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, as well as from the third party. Differences in prices exceeding 5% are investigated. Unexplainable differences are escalated to the Managing Owner’s Valuation Committee for evaluation and resolution. The Swap Contracts are reported at fair value using Level 3 inputs. The Trust did not hold any swap contacts as of March 31, 2025.

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

 

The following table summarizes the instruments that comprise the Trust’s combined consolidated financial asset portfolio, in aggregate, measured at fair value on a recurring basis as of March 31, 2025 and December 31, 2024, segregated by the level of valuation inputs within the fair value hierarchy utilized to measure fair value:

 

March 31, 2025  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Fair Value 
Open Trade Equity (Deficit)  $
-
   $
-
   $
-
   $
-
 
U.S. Treasury Securities   16,722    
-
    
-
    16,722 

 

December 31, 2024  Level 1 Inputs   Level 2 Inputs   Level 3 Inputs   Fair Value 
Open Trade Equity (Deficit)  $
-
   $
-
   $
-
   $
-
 
U.S. Treasury Securities   16,804    
-
    
-
    16,804