The defending overall champion followed victory on Friday and Saturday, in the 5km and 10km events respectively, by romping home to victory in the 15km on Sunday.
The 25-year-old produced an excellent leap in the ski jumping, scoring 255.7 points to sit in second place ahead of the 15km cross country race.
Frenzel took an early lead in the race but was eventually chased down, finishing in 16th place with a time of 38:26.2.
However, his time was good enough to hold off the challenge of Norway’s Haavard Klemetsen, the only man to outscore him in the ski jump, and win once again.
Klemetsen, Frenzel’s nearest challenger in the World Cup standings, finished 21.2 seconds off the pace overall, with his countryman Magnus H Moan back in third, another 7.9 seconds further back.
And the Olympic champion, Frenchman Jason Lamy Chappuis, was back in ninth, leaving him third in the overall standings.