Northern Lights Fund Trust N-CSRS Certified semi-annual shareholder report (management investment company)

united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-21720

Northern Lights Fund Trust

(Exact name of registrant as specified in charter)

225 Pictoria Drive, Suite 450, Cincinnati, OH  45246

(Address of principal executive offices) (Zip code)

Rich Malinowski, Gemini Fund Services, LLC.

80 Arkay Drive, Suite 110 Hauppauge, NY 11788

(Name and address of agent for service)

Registrant's telephone number, including area code: 631-470-2619

Date of fiscal year end: 6/30

Date of reporting period:12/31/19

Item 1. Reports to Stockholders.

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Funds’ website www.altegris.com and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by following the instructions included with paper Fund documents that have been mailed to you.

Altegris Futures Evolution Strategy Fund

PORTFOLIO REVIEW (Unaudited)

December 31, 2019

The Fund’s performance figures* for the period ended December 31, 2019, compared to its benchmark:

				Since Inception	Since Inception
	Six Month	One Year	Five Years	February 16, 2012	October 31, 2011
Altegris Futures Evolution Strategy Fund - Class A	0.77%	3.95%	1.15%	N/A	3.43%
Altegris Futures Evolution Strategy Fund - Class Awith load **	(5.05)%	(1.99)%	(0.04)%	N/A	2.68%
Altegris Futures Evolution Strategy Fund - Class C	0.35%	3.19%	0.40%	2.59%	N/A
Altegris Futures Evolution Strategy Fund - Class I	0.81%	4.22%	1.42%	N/A	3.70%
Altegris Futures Evolution Strategy Fund - Class N	0.67%	3.96%	1.15%	N/A	3.42%
Bank of America Merrill Lynch 3-Month Treasury Bill Index ***	1.02%	2.28%	1.07%	0.71%	0.68%
S&P 500 Total Return Index ^	10.92%	31.49%	11.70%	13.98%	14.68%
SG Trend Index +	1.67%	9.23%	(0.75)%	1.51%	1.83%

* The Performance data quoted is historical.Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. The Fund’s total annual operating expense ratios, before any fee waivers, are 2.08%, 2.83%, 1.83%, and 2.08% for Class A, Class C, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 28, 2019. Class A shares are subject to a sales charge imposed on purchase of 5.75% and Class A and Class C Shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call 1-877-772-5838.

** Class A with load total return is calculated using the maximum sales charge of 5.75%.

*** Bank of America Merrill Lynch 3-Month Treasury Bill Index:Is an unmanaged index that measures the returns of three-month Treasury Bills.

^ S&P 500 Total Return Index is unmanaged and is generally representative of certain portions of the U.S. equity markets.

+ SG Trend Index calculates the net daily rate of return for a group of 10 trend following CTAs selected from the largest managers open to new investment.

Holdings by Type of Investment as of December 31, 2019	% of Net Assets
Bonds & Notes
Other Asset Backed Securities		17.6	%
Whole Loan Collateral		10.6	%
Commercial Mortgage Backed Securities		9.2	%
U.S. Government Agency		8.9	%
U.S. Treasuries		5.9	%
Banks		3.3	%
Oil&Gas		1.5	%
U.S. Government Agency Obligations		1.2	%
Other		12.1	%
Purchased Options		24.1	%
Short Term Investments		0.3	%
Other, Cash & Cash Equivalents		5.3	%
		100.0	%

Please refer to the Portfolio of Investments in this report for a detailed listing of the Fund’s holdings.

1

Altegris GSA Trend Strategy Fund

PORTFOLIO REVIEW (Unaudited)

December 31, 2019

The Fund’s performance figures* for the period ended December 31, 2019, compared to its benchmark:

			Annualized
			Since Inception ++
	Six Month	One Year	December 30, 2016
Altegris GSA Trend Strategy Fund - Class A	0.61%	(2.34)%	(4.74)%
Altegris GSA Trend Strategy Fund - Class Awith load **	(5.13)%	(7.96)%	(6.60)%
Altegris GSA Trend Strategy Fund - Class I	0.48%	(2.46)%	(4.60)%
Altegris GSA Trend Strategy Fund - Class N	0.29%	(2.66)%	(4.84)%
Bank of America Merrill Lynch 3-Month Treasury Bill Index ***	1.02%	2.28%	1.67%
SG Trend Index +	1.67%	9.23%	0.85%

* The performance data quoted is historical.Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. The Fund’s total annual operating expense ratios, gross of fee waivers or expense reimbursements, are 2.45%, 2.20%, and 2.45% for Class A, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 28, 2019. Class A shares are subject to a maximum sales charge on purchases of 5.75% and Class A shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call 1-877-772-5838.

** Class A with load total return is calculated using the maximum sales charge of 5.75%.

*** Bank of America Merrill Lynch 3-Month Treasury Bill Index: Consists of U.S. Treasury Bills maturing in 90 days. Investors cannot invest directly in an index.

+ SG Trend Index calculates the net daily rate of return for a group of 20 CTAs selected from the largest managers open to new investment.

++ Inception date of the Fund is December 30, 2016.

Holdings by Type of Investment as of December 31, 2019 *	% of Net Assets
U.S. Treasury Bill		41.4	%
Other, Assets Less Liabilities		58.6	%
		100.0	%

* Does not include the Fund’s long and short futures positions.

Please refer to the Portfolio of Investments in this report for a detailed listing of the Fund’s holdings.

2

Altegris Managed Futures Strategy Fund

PORTFOLIO REVIEW (Unaudited)

December 31, 2019

The Fund’s performance figures* for the period ended December 31, 2019, compared to its benchmark:

				Since Inception	Since Inception	Since Inception
	Six Month	One Year	Five Year	8/26/2010	2/1/2011	3/13/2013
Altegris Managed Futures Strategy Fund - Class A	3.02%	4.20%	0.39%	(0.15)%	N/A	N/A
Altegris Managed Futures Strategy Fund - Class Awith load **	(2.96)%	(1.80)%	(0.80)%	(0.78)%	N/A	N/A
Altegris Managed Futures Strategy Fund - Class C	2.57%	3.38%	(0.38)%	N/A	(1.51)%	N/A
Altegris Managed Futures Strategy Fund - Class I	3.15%	4.45%	0.62%	0.09%	N/A	N/A
Altegris Managed Futures Strategy Fund - Class O	3.04%	4.22%	0.40%	N/A	N/A	0.48%
Bank of America Merill Lynch 3 Month T- Bill Index ***	1.02%	2.28%	1.07%	0.61%	0.64%	0.80%
MSCI World Index ****	9.14%	27.67%	8.74%	10.96%	8.83%	9.77%
SG CTA Index *****	1.40%	6.26%	(0.07)%	1.33%	0.85%	1.80%

* The Performance data quoted is historical.Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. Per the fee table in the Fund’s October 28, 2019 prospectus, the total annual operating expense are 2.34%, 3.09%, 2.09%, and 2.34% for the Fund’s Class A, Class C, Class I, and Class O shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.75%, while Class A and Class C shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call 1-877-772-5838.

** Class A with load total return is calculated using the maximum sales charge of 5.75%.

*** Bank of America Merrill Lynch 3 Month T-Bill Index is an unmanaged index that measures returns of three-month treasury bills.

**** MSCI World Index is a stock market index of over 6,000 stocks from 24 developed countries around the globe. Investors cannot invest directly in an index.

***** SG CTA Index calculates the net daily rate of return for a group of 20 CTAs selected from the largest managers open to new investment.

Please refer to the Portfolio of Investments in this report for a detailed listing of the Fund’s holdings.

3

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited)

December 31, 2019

Shares			Value ($)
		COMMON STOCK - 0.0% *
	10,554	Frontera Energy Corp.		79,472
		TOTAL COMMON STOCK (Cost - $937,301)		79,472

Principal
Amount ($)			Spread	Interest Rate	Maturity
		BONDS & NOTES - 70.2%
		ADVERTISING - 0.1%
	110,000	Interpublic Group of Cos., Inc.		4.6500	10/1/2028	123,838
	95,000	Interpublic Group of Cos., Inc.		5.4000	10/1/2048	116,599
	337,000	Omnicom Group, Inc.		3.6250	5/1/2022	349,105
						589,542
		AEROSPACE / DEFENSE - 0.1%
	25,000	Bombardier, Inc. (b)		6.0000	10/15/2022	24,993
	190,000	Lockheed Martin Corp.		4.7000	5/15/2046	241,598
	349,000	Northrop Grumman Corp.		2.0800	10/15/2020	349,386
	25,000	Transdigm, Inc. (b)		6.2500	3/15/2026	27,065
	10,000	Transdigm, Inc.		6.3750	6/15/2026	10,606
	20,000	Transdigm, Inc. (b)		5.5000	11/15/2027	20,225
						673,873
		AGRICULTURE - 0.1%
	95,000	Altria Group, Inc.		5.9500	2/14/2049	115,184
	340,000	BAT Capital Corp.		2.7640	8/15/2022	345,012
	130,000	Reynolds American, Inc.		4.0000	6/12/2022	135,321
						595,517
		AIRLINES - 0.2%
	340,000	Delta Airlines, Inc.		3.4000	4/19/2021	344,710
	230,000	Delta Airlines, Inc.		3.6250	3/15/2022	235,550
	179,601	Guanay Finance Limited		6.0000	12/15/2020	181,622
	200,000	Latam Finance Ltd. (b)		7.0000	3/1/2026	216,502
						978,384
		AUTO MANUFACTURERS - 0.3%
	380,000	Daimler Finance North America LLC (b)		2.3000	2/12/2021	380,718
	55,000	Ford Motor Co.		7.4500	7/16/2031	65,365
	430,000	General Motors Financial Co., Inc. (c)	3 Month LIBOR + 0.99	3.0331	1/5/2023	427,429
	360,000	Hyundai Capital America (b)		2.8500	11/1/2022	364,012
						1,237,524
		AUTO PARTS & EQUIPMENT - 0.0% *
	15,000	Panther BF Aggregator 2 LP (b)		6.2500	5/15/2026	16,163
		AUTOMOBILE ABS - 0.6%
	429,175	Arivo Acceptance Auto Loan Receivables Trust 2019-1 (b)		2.9900	7/15/2024	428,368
	91,020	Flagship Credit Auto Trust 2016-4 (b)		2.4100	10/15/2021	91,014
	100,000	GLS Auto Receivables Trust 2018-2 (b)		3.7100	3/15/2023	101,060
	249,076	GLS Auto Receivables Trust 2018-3 (b)		3.3500	8/15/2022	250,184
	523,077	GLS Auto Receivables Trust 2019-1 (b)		3.3700	1/17/2023	526,168
	20,339	Tesla Auto Lease Trust 2018-A (b)		2.7500	2/20/2020	20,339
	500,000	Tesla Auto Lease Trust 2019-A (b)		2.6800	1/20/2023	498,131
	394,534	Westlake Automobile Receivables Trust 2017-1 (b)		2.7000	10/17/2022	394,761
	500,000	Westlake Automobile Receivables Trust 2018-2 (b)		3.2000	1/16/2024	501,651
						2,811,676
		BANKS - 3.3%
	500,000	Banco Bradesco SA/Cayman Islands		5.9000	1/16/2021	515,250
	500,000	Banco Continental SA Via Continental Senior Trustees Cayman Ltd		5.5000	11/18/2020	515,000
	300,000	Banco de Reservas de la Republica Dominicana		7.0000	2/1/2023	315,378
	500,000	Banco del Estado de Chile		2.6680	1/8/2021	500,305
	300,000	Banco do Brasil SA (c)	10 Year Treasury Note + 7.78	8.5000	12/31/2049	311,778
	200,000	Banco do Brasil SA (c)	10 Year Treasury Note + 4.40	6.2500	10/15/2166	202,952
	150,000	Banco Macro SA (c)	5 Year Swap Rate + 5.46	6.7500	11/4/2026	121,500
	600,000	Banco Mercantil del Norte SA (c)	5 Year Treasury Note + 5.04	6.8750	10/6/2166	627,006
	200,000	Banco Mercantil del Norte SA (c)	10 Year Treasury Note + 5.35	7.6250	10/6/2166	213,752
	600,000	Banco Nacional de Comercio Exterior SNC (c)	5 Year Treasury Note + 3.00	3.8000	8/11/2026	606,756
	150,000	Banco Santander Chile		2.5000	12/15/2020	149,700
	350,000	Bancolombia SA		5.9500	6/3/2021	367,500
	200,000	Bancolombia SA (c)	5 Year Treasury Note + 2.94	4.6250	12/18/2029	202,750
	400,000	Bangkok Bank PCL		4.8000	10/18/2020	407,904
	325,000	Bank of America Corp. (c)	3 Month LIBOR + 0.79	2.6815	3/5/2024	326,528
	125,000	Bank of America Corp. (c)	3 Month LIBOR + 1.21	3.9740	2/7/2030	137,234
	150,000	Bank of Montreal		2.9000	3/26/2022	152,938
	125,000	Bank of Montreal (c)	5 Year Swap Rate + 1.43	3.8030	12/15/2032	130,369
	240,000	Bank of Nova Scotia		3.4000	2/11/2024	251,484

See accompanying notes to financial statements.

4

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		BANKS - 3.3% (Continued)
	750,000	BBVA Bancomer SA		6.5000	3/10/2021		781,882
	200,000	CIMB Bank Bhd (c)	3 Month LIBOR + 0.78	2.7920	10/9/2024		200,376
	235,000	Citigroup, Inc. (c)	3 Month LIBOR + 1.10	3.0041	5/17/2024		238,117
	500,000	Citigroup, Inc. (c)	3 Month LIBOR + 1.02	2.9299	6/1/2024		505,780
	115,000	Commonwealth Bank of Australia (b)		3.9000	7/12/2047		125,695
	900,000	DBS Group Holdings Ltd. (c)	5 Year Swap + 2.39	3.6000	12/29/2049		905,625
	150,000	Gilex Holding Sarl		8.5000	5/2/2023		161,064
	500,000	Global Bank Corp.		4.5000	10/20/2021		514,755
	235,000	Goldman Sachs Group, Inc.		3.6250	2/20/2024		246,691
	100,000	Industrial Senior Trust		5.5000	11/1/2022		104,501
	675,000	Itau Unibanco Holding SA Island		5.7500	1/22/2021		693,569
	325,000	JPMorgan Chase & Co. (c)	3 Month LIBOR + 0.70	3.2070	4/1/2023		332,750
	250,000	Macquarie Bank Ltd. (b)		2.1000	10/17/2022		250,786
	500,000	Malayan Banking Bhd (c)	5 Year Swap 2.54	3.9050	10/29/2026		508,300
	245,000	Mitsubishi UFJ Financial Group, Inc.		3.2180	3/7/2022		251,041
	245,000	Mitsubishi UFJ Financial Group, Inc. (c)	3 Month LIBOR + 0.74	2.6469	3/2/2023		245,621
	500,000	Morgan Stanley (c)	3 Month LIBOR + 0.93	2.8833	7/22/2022		504,732
	250,000	Morgan Stanley (c)	3 Month LIBOR + 0.85	3.7370	4/24/2024		261,224
	200,000	Nacional Financiera SNC		3.3750	11/5/2020		200,890
	245,000	Santander Holdings USA, Inc.		3.4000	1/18/2023		251,210
	170,000	Scotiabank Peru SAA (c)	3 Month LIBOR + 3.86	4.5000	12/13/2027		175,527
	505,000	Sumitomo Mitsui Financial Group, Inc.		2.0580	7/14/2021		505,733
	330,000	Toronto-Dominion Bank (The)		3.2500	6/11/2021		337,035
	160,000	Truist Financial Corp.		2.2000	3/16/2023		161,063
	200,000	United Overseas Bank Ltd. (c)	5 Year Swap + 1.65	2.8800	3/8/2027		200,328
	600,000	United Overseas Bank Ltd. (c)	5 Year Treasury + 1.50	3.7500	4/15/2029		623,033
	60,000	Wells Fargo & Co. (c)	3 Month LIBOR + 1.17	2.8790	10/30/2030		60,417
							15,403,829
		BEVERAGES - 0.1%
	90,000	Anheuser-Bush InBev Finance, Inc.		4.9000	2/1/2046		106,751
	230,000	Constellation Brands Inc		3.1500	8/1/2029		232,640
	45,000	Cott Holdings, Inc. (b)		5.5000	4/1/2025		47,025
							386,416
		BUILDING MATERIALS - 0.1%
	135,000	Owens Corning		4.4000	1/30/2048		130,596
	300,000	Tecnoglass, Inc.		8.2000	1/31/2022		324,600
							455,196
		CHEMICALS - 0.3%
	125,000	DowDuPont, Inc.		3.7660	11/15/2020		126,732
	105,000	Nutrien Ltd.		4.2000	4/1/2029		115,698
	200,000	Syngenta Finance NV		5.6760	4/24/2048		208,521
	700,000	UPL Corp. Ltd.		3.2500	10/13/2021		702,478
	200,000	UPL Corp. Ltd.		4.5000	3/8/2028		202,953
							1,356,382
		COAL - 0.0% *
	25,000	Peabody Energy Corp. (b)		6.0000	3/31/2022		24,375
	25,000	SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp. (b)		7.5000	6/15/2025		24,042
							48,417
		COMMERCIAL MBS - 9.2%
	215,000	AREIT 2019-CRE3 Trust (b,c)	1 Month LIBOR + 2.65	4.3898	9/14/2036		214,947
	1,111,000	Atrium Hotel Portfolio Trust 2017-ATRM E (b,c)	1 Month LIBOR + 3.05	4.7897	12/15/2036		1,110,358
	265,000	BAMLL Commercial Mortage Securities Trust 2019-AHT (b,c)	1 Month LIBOR + 2.50	4.2397	3/15/2034		266,969
	763,277	Bancorp Commercial Mortgage 2018 CRE4 Trust A (b,c)	1 Month LIBOR + 0.90	2.6398	9/15/2035		763,303
	243,000	Bancorp Commercial Mortgage 2019-CRE5 Trust D (b,c)	1 Month LIBOR + 2.35	4.0898	3/15/2036		243,228
	142,000	Bancorp Commercial Mortgage 2019-CRE6 Trust (b,c)	1 Month LIBOR + 2.30	4.0654	9/15/2036		141,997
	104,000	BANK 2019-BNK17 C (d)		4.5173	4/15/2052		111,892
	106,000	Barclays Commercial Mortgage Trust 2019-C3		4.0960	5/15/2052		112,886
	101,000	BBCMS 2017-DELC Mortgage Trust C (b,c)	1 Month LIBOR + 1.20	2.9397	8/15/2036		100,494
	115,000	BBCMS 2017-DELC Mortgage Trust D (b,c)	1 Month LIBOR + 1.70	3.4397	8/15/2036		115,035
	231,000	BBCMS 2017-DELC Mortgage Trust E (b,c)	1 Month LIBOR + 2.50	4.2397	8/15/2036		231,142
	230,000	BBCMS 2017-DELC Mortgage Trust F (b,c)	1 Month LIBOR + 3.50	5.2397	8/15/2036		229,862
	719,000	BBCMS 2018-TALL Mortgage Trust A (b,c)	1 Month LIBOR + 0.72	2.4617	3/15/2037		715,396
	32,734,000	BB-UBS Trust 2012-SHOW XA (b,d,g)		0.5958	11/5/2024		922,316
	18,022,000	BB-UBS Trust 2012-SHOW XB (b,d,g)		0.1438	11/5/2024		157,570
	104,000	BENCHMARK 2019-B10 Mortgage Trust		3.7500	3/15/2062		104,359
	599,000	BFLD 2019-DPLO (b,c)	1 Month LIBOR + 2.24	3.9797	10/15/2034		598,576

See accompanying notes to financial statements.

5

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		COMMERCIAL MBS - 9.2% (Continued)
	784,000	BHMS 2018-ATLS (b,c)	1 Month LIBOR + 1.25	2.9897	7/15/2035		783,308
	130,000	BHP Trust 2019-BXHP (b,c)	1 Month LIBOR + 2.57	4.3074	8/15/2036		129,363
	144,000	Braemar Hotels & Resorts Trust 2018-Prime F (b,c)	1 Month LIBOR + 2.90	4.6397	6/15/2035		144,114
	207,000	BX Commercial Mortgage Trust 2018-BIOA D (b,c)	1 Month LIBOR + 1.32	3.0608	3/15/2037		207,135
	734,000	BX Commercial Mortgage Trust 2018-BIOA E (b,c)	1 Month LIBOR + 1.95	3.6908	3/15/2037		733,355
	360,569	BX Trust 2017-APPL B (b,c)	1 Month LIBOR + 1.15	2.8897	7/15/2034		360,453
	169,150	BX Trust 2017-SLCT D (b,c)	1 Month LIBOR + 2.05	3.7897	7/15/2034		169,361
	286,450	BX Trust 2017-SLCT E (b,c)	1 Month LIBOR + 3.15	4.8898	7/15/2034		286,807
	408,324	BX Trust 2018-EXCL (b,c)	1 Month LIBOR + 1.09	2.8274	9/15/2020		407,427
	100,000	BX Trust 2018-GW D (b,c)	1 Month LIBOR + 1.77	3.5098	5/15/2035		100,121
	419,000	BX Trust 2018-MCSF F (b,c)	1 Month LIBOR + 2.65	4.3863	4/15/2035		418,996
	442,000	BX Trust 2019-MMP B (b,c)	1 Month LIBOR + 1.30	3.0398	8/15/2036		441,992
	129,000	BX Trust 2019-MMP F (b,c)	1 Month LIBOR + 2.79	4.5319	8/15/2036		129,078
	100,000	BX Trust 2019-OC11 E (b)		4.0755	12/9/2041		96,565
	599,000	BXMT 2017-FL1 Ltd. C (b,c)	1 Month LIBOR + 1.95	3.6874	6/15/2035		596,902
	116,000	Carbon Capital VI Commercial Mortgage 2019-FL2 Trust (b,c)	1 Month LIBOR + 2.85	4.5898	10/15/2035		116,717
	2,874,296	CD 2017-CD4 Mortgage Trust XA (d,g)		1.3090	5/10/2050		199,777
	259,000	CF Trust 2019-MF1 F (b,c)	1 Month LIBOR + 2.95	4.6897	8/15/2021		258,995
	105,000	CFCRE Commercial Mortgage Trust 2017- C8 B (d)		4.1985	6/15/2050		112,011
	6,171,272	CFCRE 2017-C8 XA (g)		1.6197	6/15/2050		523,296
	2,302,000	CFCRE 2017-C8 XB (g)		0.9482	6/15/2050		142,898
	1,081,000	CFCRE Commercial Mortgage Trust 2018-TAN C (b)		5.2948	2/15/2033		1,139,270
	649,000	CFCRE Commercial Mortgage Trust 2018-TAN D (b)		6.0994	2/15/2033		690,408
	391,000	CHT 2017-COSMO Mortgage Trust E (b,c)	1 Month LIBOR + 3.00	4.7397	11/15/2034		391,355
	209,000	CHT 2017-COSMO Mortgage Trust F (b,c)	1 Month LIBOR + 3.74	5.4809	11/15/2034		209,252
	610,019	Citigroup Commercial Mortgage Trust 2012-GC8 XA (b,d)		2.0531	9/10/2045		23,388
	6,209,022	Citigroup Commercial Mortgage Trust 2014-GC21 XA (d,g)		1.1783	5/10/2047		268,991
	4,403,809	Citigroup Commercial Mortgage Trust 2014-GC25 XA (d)		1.0540	10/10/2047		178,164
	224,000	Citigroup Commercial Mortgage Trust 2015-GC27 D (b,d)		4.5770	2/10/2048		213,372
	72,000	Citigroup Commercial Mortgage Trust 2016-GC36 D (b)		2.8500	2/10/2049		62,139
	1,952,421	Citigroup Commercial Mortgage Trust 2016-GC36 XA (d,g)		1.2747	2/10/2049		118,753
	4,591,878	Citigroup Commercial Mortgage Trust 2016-P3 XA (d,g)		1.6853	4/15/2049		341,882
	779,600	COMM 2012-CCRE3 Mortgage Trust XA (d)		2.0686	10/15/2045		32,396
	152,000	COMM 2012-CR4 D (b,d)		4.5934	11/15/2022		77,541
	696,095	COMM 2012-LC4 Mortgage XA Trust (b,d,g)		2.1025	12/10/2044		23,151
	8,181,614	COMM 2013-CCRE12 Mortgage Trust XA (d,g)		1.1486	10/10/2046		290,255
	7,085,534	COMM 2013-LC6 Mortgage Trust XA (d,g)		1.3395	1/10/2023		233,231
	100,000	COMM 2014-CCRE20 Mortgage Trust C (d)		4.6576	11/10/2047		104,785
	644,150	COMM 2014-UBS4 F Mortgage Trust (b,h)		3.7500	8/10/2047		241,685
	1,153,576	COMM 2014-UBS4 G Mortgage Trust (b,h)		3.7500	8/10/2047		85,480
	5	COMM 2014-UBS4 V Mortgage Trust *** (b,d,h)		0.0010	8/10/2047		—
	2,459,705	COMM 2015-CCRE22 Mortgage Trust XA (d,g)		0.9437	3/10/2048		86,146
	79,000	COMM 2016-CR28 Mortgage Trust (d)		4.6470	2/10/2049		84,900
	53,000	COMM 2016-DC2 Mortgage Trust (d)		4.6394	2/10/2049		54,992
	115,000	COMM 2016-GCT Mortgage D Trust (b,d)		3.4614	8/10/2029		115,487
	111,000	COMM 2016-GCT Mortgage E Trust (b,d)		3.4614	8/10/2021		110,613
	9,964,999	CSAIL 2017-CX9 Commercial Mortgage Trust XA (d,g)		0.8835	9/15/2050		361,431
	10,502,652	CSAIL 2017-CX10 Commercial Mortgage Trust (d,g)		0.7224	11/15/2027		468,686
	623,000	CSMC Trust 2017-CHOP D (b,c)	1 Month LIBOR + 1.90	3.6398	7/15/2032		621,466
	57,000	CSMC Trust 2017-CHOP E (b,c)	1 Month LIBOR + 3.30	5.0398	7/15/2032		57,036
	171,000	CSMC Trust 2017-LSTK C (b)		3.2294	4/5/2021		171,043
	204,000	CSMC Trust 2017-LSTK D (b,d)		3.3305	4/5/2021		203,674
	750,000	CSMC 2019-ICE4 A (b,c)	1 Month LIBOR + 0.98	2.7197	5/15/2036		750,469
	59,000	FMBT 2019-FBLU E (b)		4.0950	12/10/2036		58,810
	59,000	FMBT 2019-FBLU F (b)		4.0950	12/10/2036		57,811
	59,000	FMBT 2019-FBLU G (b)		4.0950	12/10/2036		56,931
	107,000	FMBT 2019-FBLU H (b,d)		4.0950	12/10/2036		99,970
	526,000	GPMT 2018-GPP Mortgage Trust (b,c)	1 Month LIBOR + 2.95	4.7146	11/21/2035		525,910
	392,000	GPMT 2018-GPP Mortgage Trust (b,c)	1 Month LIBOR + 1.28	3.0197	6/15/2035		390,054
	255,000	GS Mortgage Securities Corp. Trust 2017-500K E (b,c)	1 Month LIBOR + 1.50	3.2398	7/15/2032		254,594
	175,000	GS Mortgage Securities Corp. Trust 2017-500K F (b,c)	1 Month LIBOR + 1.80	3.5398	7/15/2032		175,000
	290,000	GS Mortgage Securities Corp Trust 2018-TWR (b,c)	1 Month LIBOR + 3.92	5.6644	7/15/2031		291,793
	250,000	GS Mortgage Securities Corp Trust 2019-SMP (b,c)	1 Month LIBOR + 3.10	4.8398	8/15/2032		249,993
	250,000	GS Mortgage Securities Corp Trust 2019-SMP (b,c)	1 Month LIBOR + 4.25	5.9897	8/15/2032		249,982
	690,000	GS Mortgage Securities Trust 2014-GC26 D (b,d)		4.5133	11/10/2047		600,876

See accompanying notes to financial statements.

6

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		COMMERCIAL MBS - 9.2% (Continued)
	105,000	GS Mortgage Securities Trust 2017-GS6		3.8690	5/10/2050		110,152
	100,000	GSCG 2019-600C D (b)		3.7644	9/6/2034		100,119
	100,000	GSCG 2019-600C E (b,d)		4.1179	9/6/2034		100,925
	231,000	Hawaii Hotel Trust 2019-MAUI (b,c)	1 Month LIBOR + 2.75	4.4898	5/15/2038		230,868
	511,000	Hilton Orlando Trust 2018-ORL B (b,c)	1 Month LIBOR + 1.05	2.7898	12/15/2034		510,711
	98,735	HPLY Trust 2019-HIT F (b,c)	1 Month LIBOR + 3.15	4.8898	11/15/2026		98,611
	215,167	HPLY Trust 2019-HIT G (b,c)	1 Month LIBOR + 3.90	5.6397	11/15/2026		214,898
	14,603	J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 X (d)		0.4197	5/15/2045		5
	138,126	J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 AMS		5.3370	5/15/2047		127,586
	115,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3 D (b,d)		5.6639	2/15/2046		114,499
	334,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3 E (b,d)		5.6639	2/15/2046		324,426
	571,381	J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C6 XA (d)		1.5828	5/15/2045		16,785
	691,781	J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 XA (d)		1.8209	10/15/2045		26,603
	530,276	J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-CBX XA (d)		1.6533	6/15/2045		11,525
	34,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 B		3.4595	8/15/2049		34,655
	26,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 C (d)		3.7904	8/15/2049		26,256
	1,109,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 B (b,c)	1 Month LIBOR + 1.10	2.8397	2/15/2035		1,104,170
	144,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 C (b,c)	1 Month LIBOR + 1.30	3.0398	2/15/2035		143,459
	786,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT (b,c)	1 Month LIBOR + 2.60	4.3036	7/5/2023		787,250
	500,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT (b)		5.5422	7/5/2023		514,516
	642,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP A (b,c)	1 Month LIBOR + 0.96	2.6998	7/15/2036		640,395
	305,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP F (b,c)	1 Month LIBOR + 3.00	4.7397	7/15/2036		305,000
	39,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES C (b)		4.3427	5/5/2032		40,999
	40,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES D (b,d)		4.4521	5/5/2032		41,753
	47,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES E (b,d)		4.4521	5/5/2032		48,118
	49,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES F (b,d)		4.4521	5/5/2032		48,805
	53,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES G (b,d)		4.4521	5/5/2032		51,110
	144,000	JPMBB Commercial Mortgage Securities Trust 2014-C23 (b,d)		3.3640	9/15/2047		121,646
	8,314,324	JPMBB Commercial Mortgage Securities Trust 2014-C25 XA (d)		0.9905	11/15/2047		286,705
	100,000	JPMBB Commercial Mortgage Securities Trust 2015-C29 B (d)		4.1180	5/15/2048		104,697
	86,000	JPMBB Commercial Mortgage Securities Trust 2016-C1 C (d)		4.9049	3/15/2049		90,979
	12,550,786	JPMDB Commercial Mortgage Securities Trust 2017-C5 XA (d,g)		0.9387	3/15/2050		696,572
	124,461	LB-UBS Commercial Mortgage Trust 2006-C7 XCL (b,d)		0.6823	11/15/2038		30
	103,718	LB-UBS Commercial Mortgage Trust 2006-C7 XW (b,d)		0.6823	11/15/2038		25
	2,114	Merrill Lynch Mortgage Trust 2006-C1 AJ (d)		5.8618	5/12/2039		2,137
	651,392	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 XA (b,d)		1.5245	8/15/2045		19,038
	125,000	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 C (d)		4.4893	10/15/2047		130,872
	125,000	Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 C		4.0000	12/15/2047		128,862
	72,000	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 C (d)		4.6798	10/15/2048		77,665
	16,132,500	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 XB (d,g)		0.1675	11/15/2052		228,648
	296,919	Morgan Stanley Capital I Trust 2011-C1 XA (b,d)		0.4261	9/15/2047		716
	165,000	Morgan Stanley Capital I Trust 2017-ASHF D (b,c)	1 Month LIBOR + 2.20	3.9398	11/15/2034		164,895
	247,000	Morgan Stanley Capital I Trust 2017-ASHF E (b,c)	1 Month LIBOR + 3.15	4.8898	11/15/2034		246,843
	187,000	Morgan Stanley Capital I Trust 2017-ASHF F (b,c)	1 Month LIBOR + 4.35	6.0897	11/15/2034		187,115
	569,000	Morgan Stanley Capital I Trust 2017-CLS E (b,c)	1 Month LIBOR + 1.95	3.6898	11/15/2034		569,001
	632,000	Morgan Stanley Capital I Trust 2017-CLS F (b,c)	1 Month LIBOR + 2.60	4.3397	11/15/2034		632,000
	150,000	Morgan Stanley Capital I Trust 2018-SUN (b,c)	1 Month LIBOR + 3.05	4.7897	7/15/2035		149,999
	1,246,000	Morgan Stanley Capital I Trust 2019-PLND (b,c)	1 Month LIBOR + 1.30	3.0398	5/15/2036		1,246,000
	378,000	MSCG Trust 2018-SELF (b,c)	1 Month LIBOR + 3.05	4.7897	10/15/2028		377,997
	745,000	Natixis Commercial Mortgage Securities Trust 2018-850T (b,c)	1 Month LIBOR + 1.15	2.8933	7/15/2033		742,195
	100,000	Natixis Commercial Mortgage Securities Trust 2018-FL1 C (b,c)	1 Month LIBOR + 2.20	3.9654	6/15/2035		99,510
	499,954	PFP 2019-5 Ltd. (b,c)	1 Month LIBOR + 0.97	2.7097	4/14/2036		499,953
	283,000	Rosslyn Portfolio Trust 2017-ROSS A (b,c)	1 Month LIBOR + 0.95	2.6898	6/15/2033		282,823
	283,000	Rosslyn Portfolio Trust 2017-ROSS B (b,c)	1 Month LIBOR + 1.25	2.9897	6/15/2033		282,831
	747,924	Shelter Growth CRE 2019-FL2 Issuer Ltd. (b,c)	1 Month LIBOR + 2.30	4.0398	5/15/2036		747,688
	892,027	SLIDE 2018-FUN (b,c)	1 Month LIBOR + 0.90	2.6398	6/15/2031		891,784
	475,490	SLIDE 2018-FUN (b,c)	1 Month LIBOR + 3.00	4.7397	6/15/2031		476,827
	732,270	UBS-Barclays Commercial Mortgage Trust 2012-C3 XA (b,d)		2.1740	8/10/2049		29,448
	3,971,664	UBS Commercial Mortgage Trust 2012-C1 XA (b,d,g)		2.0771	5/10/2045		143,167
	209,000	UBS Commercial Mortgage Trust 2017-C7 C (d)		4.5852	12/15/2050		220,132
	171,478	Velocity Commercial Capital Loan Trust 2016-2 AFX (b,d)		2.9969	10/25/2046		172,042
	495,456	Velocity Commercial Capital Loan Trust 2017-1 AFX (b,d)		3.0000	5/25/2047		494,273
	641,501	Velocity Commercial Capital Loan Trust 2017-2 AFX (b,d)		3.0700	11/25/2047		644,739

See accompanying notes to financial statements.

7

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		COMMERCIAL MBS - 9.2% (Continued)
	42,000	Wells Fargo Commercial Mortgage Trust 2014-LC16 D (b)		3.9380	8/15/2050		32,673
	4,814,422	Wells Fargo Commercial Mortgage Trust 2015-C26 XA (d)		1.2989	2/15/2048		243,950
	75,000	Wells Fargo Commercial Mortgage Trust 2015-C31 C (d)		4.6073	11/15/2048		79,100
	100,000	Wells Fargo Commercial Mortgage Trust 2015-NXS3 C (d)		4.6382	9/15/2057		105,132
	61,000	Wells Fargo Commercial Mortgage Trust 2016-C32 C (d)		4.7207	1/15/2059		63,731
	148,000	Wells Fargo Commercial Mortgage Trust 2016-C33 (b)		3.1230	3/15/2059		136,135
	89,000	Wells Fargo Commercial Mortgage Trust 2016-C34 C (d)		5.0281	6/15/2049		95,294
	130,000	Wells Fargo Commercial Mortgage Trust 2018-C46 (d)		5.1456	8/15/2051		142,120
	105,000	Wells Fargo Commercial Mortgage Trust 2019-C49 (d)		4.8660	3/15/2052		112,879
	84,000	Wells Fargo Commercial Mortgage Trust 2019-C50 B		4.1920	5/15/2052		89,079
	84,000	Wells Fargo Commercial Mortgage Trust 2019-C50 C		4.3450	5/15/2052		88,408
	6,252,049	Wells Fargo Commercial Mortgage Trust 2019-C51 (d,g)		1.3820	6/15/2052		610,531
	653,168	WFRBS Commercial Mortgage Trust 2012-C8 XA (b,d)		1.9079	8/15/2045		23,671
	693,897	WFRBS Commercial Mortgage Trust 2012-C9 XA (b,d)		2.0761	11/15/2045		29,708
							42,138,630
		COMMERCIAL SERVICES - 0.4%
	600,000	Adani Ports & Special Economic Zone Ltd.		3.9500	1/19/2022		614,466
	365,000	Cintas Corp.		2.9000	4/1/2022		372,348
	24,875	Garda World Security Corp. (b)		8.7500	5/15/2025		25,870
	52,619	INVEPAR A-1 **** (a,h)		0.0000	12/30/2028		225,008
	35,000	MPH Acquisition Holdings LLC (b)		7.1250	6/1/2024		33,862
	290,000	PayPal Holdings, Inc.		2.2000	9/26/2022		291,649
	30,000	Refinitiv US Holdings, Inc. (b)		6.2500	5/15/2026		32,737
	25,000	United Rentals North America, Inc.		6.5000	12/15/2026		27,477
	5,000	United Rentals North America, Inc.		5.2500	1/15/2030		5,382
	43,000	Verscend Escrow Corp. (b)		9.7500	8/15/2026		47,031
							1,675,830
		COMPUTERS - 0.0% *
	40,000	Tempo Acquisition LLC (b)		6.7500	6/1/2025		41,300
		DISTRIBUTION / WHOLESALE - 0.0% *
	20,000	Performance Food Group, Inc. (b)		5.5000	10/15/2027		21,375
		DIVERSIFIED FINANCIAL SERVICES - 1.0%
	165,000	Air Lease Corp.		2.5000	3/1/2021		165,760
	250,000	Air Lease Corp.		3.2500	3/1/2025		257,416
	25,000	Allied Universal Holdco LLC (b)		6.6250	7/15/2026		26,868
	10,000	Allied Universal Holdco LLC (b)		9.7500	7/15/2027		10,683
	320,000	American Express Co.		3.7000	11/5/2021		329,778
	250,000	American Express Co.		3.4000	2/22/2024		261,527
	325,000	Avolon Holdings Funding Ltd. (b)		3.6250	5/1/2022		332,995
	30,000	Avolon Holdings Funding Ltd. (b)		5.2500	5/15/2024		32,747
	235,000	Avolon Holdings Funding Ltd. (b)		3.9500	7/1/2024		244,893
	300,000	B3 SA - Brasil Bolsa Balcao		5.5000	7/16/2020		304,503
	200,000	Banco BTG Pactual SA (b,c)	5 Year Treasury + 5.26	7.7500	2/15/2029		211,752
	170,000	Capital One Financial Corp.		2.4000	10/30/2020		170,526
	375,000	Capital One Financial Corp. (c)	3 Month LIBOR + 0.72	2.6555	1/30/2023		375,374
	200,000	Credito Real SAB de CV SOFOM ER (c)	5 Year Treasury + 7.03	9.1250	5/29/2167		210,252
	175,000	Discover Financial Services		4.1000	2/9/2027		188,581
	30,000	Global Aircraft Leasing Co. Ltd. (b)		6.5000	9/15/2024		31,303
	106,651	Interoceanica IV Finance Ltd. ****		—	11/30/2025		98,119
	25,000	Nationstar Mortgage Holdings, Inc. (b)		8.1250	7/15/2023		26,463
	40,000	NFP Corp. (b)		6.8750	7/15/2025		40,100
	206,179	PERU ENHANCED PASS-THRU ****		0.0000	6/2/2025		190,973
	634,121	SPARC EM SPC Panama Metro Line 2 SP ****		0.0000	12/5/2022		608,763
	20,000	Springleaf Finance Corp.		6.6250	1/5/2028		22,576
	10,000	Springleaf Finance Corp.		5.3750	11/15/2029		10,438
	120,000	Synchrony Financial		3.9500	12/1/2027		126,129
	200,000	Unifin Financiera SAB de CV SOFOM ENR		7.2500	9/27/2023		208,252
	200,000	Unifin Financiera SAB de CV SOFOM ENR (c)	5 Year Treasury + 6.31	8.8750	7/29/2066		183,752
							4,670,523
		ELECTRIC - 0.9%
	200,000	AES Andres BV (b)		7.9500	5/11/2026		212,252
	200,000	AES Andres BV		7.9500	5/11/2026		212,252
	800,000	AES Gener SA (b,c)	5 Year Swap + 4.64	7.1250	3/26/2079		840,190
	30,000	Calpine Corp. (b)		5.2500	6/1/2026		31,237
	10,000	Calpine Corp. (b)		4.5000	2/15/2028		10,089
	15,000	Calpine Corp. (b)		5.1250	3/15/2028		15,311
	5,000	Consolidated Edison, Inc.		2.0000	5/15/2021		5,003
	170,000	DTE Energy Co.		2.2500	11/1/2022		169,987
	165,000	DTE Energy Co.		1.5000	10/1/2024		165,805

See accompanying notes to financial statements.

8

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		ELECTRIC - 0.9% (Continued)
	300,000	Engie Energia Chile SA		5.6250	1/15/2021		309,240
	125,000	Georgia Power Co.		2.2000	9/15/2024		125,016
	200,000	Israel Electric Corp Ltd.		6.8750	6/21/2023		226,730
	130,000	Monongahela Power Co. (b)		5.4000	12/15/2043		168,194
	315,000	NextEra Energy Capital Holdings, Inc.		2.9000	4/1/2022		321,494
	100,000	Pampa Energia SA		7.3750	7/21/2023		94,500
	150,000	Pampa Energia SA		7.5000	1/24/2027		127,846
	400,000	Perusahaan Listrik Negara PT		5.5000	11/22/2021		423,000
	305,000	PSEG Power LLC		3.8500	6/1/2023		320,117
	70,000	Southern California Edison Co.		4.0000	4/1/2047		73,700
	184,000	Star Energy Geothermal Wayang Windu Ltd.		6.7500	4/24/2033		194,672
							4,046,635
		ENGINEERING & CONSTRUCTION - 0.0% *
	30,000	AECOM		5.1250	3/15/2027		32,250
		ENTERTAINMENT - 0.0% *
	30,000	Caesars Resort Collection LLC / CRC Finco, Inc. (b)		5.2500	10/15/2025		31,050
	25,000	Eldorado Resorts, Inc.		6.0000	4/1/2025		26,250
	25,000	Lions Gate Capital Holdings LLC (b)		6.3750	2/1/2024		26,125
	10,000	Scientific Games International, Inc. (b)		7.2500	11/15/2029		10,850
							94,275
		ENVIRONMENTAL CONTROL - 0.2%
	25,000	GFL Environmental, Inc. (b)		5.1250	12/15/2026		26,285
	15,000	GFL Environmental, Inc. (b)		8.5000	5/1/2027		16,500
	185,000	Republic Services, Inc.		2.5000	8/15/2024		187,119
	35,000	Tervita 2018 Escrow Corp. (b)		7.6250	12/1/2021		35,219
	340,000	Waste Management, Inc.		2.9500	6/15/2024		351,015
	100,000	Waste Management, Inc.		4.0000	7/15/2039		112,050
							728,188
		FOOD - 0.4%
	15,000	Albertsons Cos LLC (b)		4.6250	1/15/2027		14,982
	20,000	Albertsons Cos LLC (b)		5.8750	2/15/2028		21,250
	35,000	B&G Foods, Inc.		5.2500	4/1/2025		35,992
	20,000	B&G Foods, Inc.		5.2500	9/15/2027		20,200
	90,000	Grupo Bimbo SAB de CV		4.8750	6/30/2020		91,010
	400,000	Grupo Bimbo SAB de CV (c)	5 Year Treasury + 3.28	5.9500	7/17/2166		424,000
	5,000	JBS USA LLC / JBS USA Finance, Inc. (b)		5.8750	7/15/2024		5,145
	5,000	JBS USA LLC / JBS USA Finance, Inc. (b)		5.7500	6/15/2025		5,175
	30,000	JBS USA LLC / JBS USA Finance, Inc. (b)		6.7500	2/15/2028		33,150
	20,000	JBS USA LLC / JBS USA Finance, Inc. (b)		6.5000	4/15/2029		22,226
	300,000	MARB Bond Co. PLC		7.0000	3/15/2024		312,750
	200,000	MARB Bond Co. PLC		6.8750	1/19/2025		212,326
	295,000	Mondelez International, Inc.		3.0000	5/7/2020		295,846
	55,000	Mondelez International, Inc.		3.6250	5/7/2023		57,671
	40,000	Pilgrim’s Pride Corp. (b)		5.8750	9/30/2027		43,250
	15,000	Post Holdings, Inc. (b)		5.5000	12/15/2029		15,994
	240,000	Smithfield Foods, Inc. (b)		4.2500	2/1/2027		246,890
							1,857,857
		FOOD SERVICE - 0.0% *
	35,000	Aramark Services, Inc. (b)		5.0000	4/1/2025		36,487
		FOREIGN GOVERNMENT - 0.7%
	900,000	Colombia Government International Bond		4.3750	7/12/2021		928,134
	800,000	Dominican Republic International Bond		7.5000	5/6/2021		831,008
	400,000	Export Import Bank of Thailand (c)	3 Month LIBOR + 0.85	2.7595	5/23/2024		401,759
	700,000	Perusahaan Penerbit SBSN Indonesia III		3.4000	3/29/2022		715,659
	250,000	Wakala Global Sukuk Bhd		4.6460	7/6/2021		259,317
							3,135,877
		FOREST PRODUCTS & PAPER - 0.1%
	400,000	Inversiones CMPC SA/Cayman Islands Branch		4.5000	4/25/2022		413,070
		GAS - 0.0% *
	110,000	Brooklyn Union Gas Co. (b)		4.4870	3/4/2049		126,527
		HAND/MACHINE TOOLS - 0.0% *
	30,000	Colfax Corp. (b)		6.0000	2/15/2024		31,875
	15,000	Colfax Corp (b)		6.3750	2/15/2026		16,350
							48,225

See accompanying notes to financial statements.

9

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		HEALTHCARE - PRODUCTS - 0.0% *
	30,000	Avantor, Inc. (b)		9.0000	10/1/2025		33,526
		HEALTHCARE - SERVICES - 0.1%
	320,000	Anthem, Inc.		2.5000	11/21/2020		321,424
	65,000	Anthem, Inc.		2.3750	1/15/2025		64,924
	10,000	Centene Corp. (b)		4.2500	12/15/2027		10,287
	5,000	Centene Corp. (b)		4.6250	12/15/2029		5,257
	15,000	Eagle Holding Co II LLC (b)		7.7500	5/15/2022		15,231
	20,000	HCA, Inc.		5.3750	9/1/2026		22,275
	100,000	HCA, Inc.		4.1250	6/15/2029		106,108
	50,000	Select Medical Corp. (b)		6.2500	8/15/2026		54,126
	30,000	Tenet Healthcare Corp. (b)		5.1250	11/1/2027		31,687
	30,000	WellCare Health Plans, Inc. (b)		5.3750	8/15/2026		31,950
	10,000	West Street Merger Sub, Inc. (b)		6.3750	9/1/2025		9,975
							673,244
		HOLDING COMPANIES - 0.0% *
	200,000	Hutchison Whampoa International 11 Ltd.		4.6250	1/13/2022		208,663
		HOME EQUITY ABS - 0.6%
	114,496	Bayview Financial Acquisition Trust 2007-A 1A5 (f)		6.1010	5/28/2037		118,012
	2,765,331	GSAA Home Equity Trust 2006-18 AF6 (f)		5.6816	11/25/2036		1,245,291
	192,230	GSAA Home Equity Trust 2007-10 A1A		6.0000	11/25/2037		161,039
	1,159,256	Nomura Home Equity Loan Trust Series 2007-1 2A2 (c)	1 Month LIBOR + 0.16	1.9520	2/25/2037		1,159,154
							2,683,496
		HOME FURNISHINGS - 0.0% *
	25,000	Tempur Sealy International, Inc.		5.5000	6/15/2026		26,344
		HOUSEHOLD PRODUCTS / WARES - 0.0% *
	15,000	Kronos Acquisition Holdings, Inc. (b)		9.0000	8/15/2023		14,325
		INSURANCE - 0.3%
	10,000	Alliant Holdings Intermediate LLC (b)		6.7500	10/15/2027		10,709
	235,000	Athene Global Funding (b)		3.0000	7/1/2022		239,113
	270,000	AXA Equitable Holdings, Inc. (b)		3.9000	4/20/2023		282,956
	95,000	AXA Equitable Holdings, Inc.		3.9000	4/20/2023		99,559
	15,000	GTCR AP Finance, Inc. (b)		8.0000	5/15/2027		15,600
	125,000	Liberty Mutual Group, Inc. (b)		3.9510	10/15/2050		130,020
	270,000	Marsh & McLennan Cos, Inc. (c)	3 Month LIBOR + 1.20	3.1605	12/29/2021		270,253
	230,000	Prudential Financial, Inc.		3.5000	5/15/2024		244,772
	125,000	Prudential Financial, Inc.		3.9050	12/7/2047		134,606
	130,000	Willis North America, Inc.		4.5000	9/15/2028		143,361
							1,570,949
		INTERNET - 0.2%
	224,000	Alibaba Group Holding Ltd.		3.1250	11/28/2021		228,491
	350,000	eBay Inc		2.7500	1/30/2023		354,849
	130,000	Expedia Group, Inc. (b)		3.2500	2/15/2030		125,120
	15,000	Uber Technologies, Inc. (b)		7.5000	9/15/2027		15,389
							723,849
		INVESTMENT COMPANIES - 0.1%
	200,000	Grupo de Inversiones Suramericana SA		5.7000	5/18/2021		208,252
	25,000	Icahn Enterprises LP		6.2500	5/15/2026		26,625
	15,000	Icahn Enterprises LP (b)		5.2500	5/15/2027		15,339
							250,216
		IRON/STEEL - 0.0% *
	100,000	CSN Islands XII Corp.		7.0000	12/23/2167		91,876
		LEISURE TIME - 0.0% *
	105,000	Royal Caribbean Cruises Ltd.		3.7000	3/15/2028		108,055
	40,000	Viking Cruises Ltd. (b)		5.8750	9/15/2027		42,750
							150,805
		LODGING - 0.1%
	200,000	Gohl Capital Ltd.		4.2500	1/24/2027		209,728
		MACHINERY - CONSTRUCTION & MINING - 0.0% *
	155,000	Caterpillar Financial Services Corp.		1.9000	9/6/2022		155,313
		MACHINERY - DIVERSIFIED - 0.1%
	135,000	John Deere Capital Corp.		3.4500	1/10/2024		142,315
	100,000	John Deere Capital Corp.		2.6000	3/7/2024		102,297
							244,612

See accompanying notes to financial statements.

10

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		MEDIA - 0.4%
	200,000	Cable Onda SA (b)		4.5000	1/30/2030		210,600
	35,000	CCO Holdings, LLC / CCO Holdings Capital Corp. (b)		5.0000	2/1/2028		36,726
	20,000	CCO Holdings, LLC / CCO Holdings Capital Corp. (b)		4.7500	3/1/2030		20,361
	15,000	Cengage Learning, Inc. (b)		9.5000	6/15/2024		12,975
	215,000	Charter Communications Operating LLC / Charter Communications Operating Capital		4.9080	7/23/2025		236,753
	345,000	Comcast Corp.		3.4500	10/1/2021		355,135
	170,000	Comcast Corp.		3.7000	4/15/2024		181,321
	20,000	CSC Holdings LLC		5.2500	6/1/2024		21,550
	20,000	Diamond Sports Group LLC / Diamond Sports Finance Co. (b)		5.3750	8/15/2026		20,231
	15,000	DISH DBS Corp.		5.8750	11/15/2024		15,328
	200,000	Globo Comunicacao e Participacoes SA		4.8750	4/11/2022		207,702
	35,000	Gray Television, Inc. (b)		7.0000	5/15/2027		38,894
	10,000	iHeartCommunications, Inc.		6.3750	5/1/2026		10,850
	5,000	iHeartCommunications, Inc.		8.3750	5/1/2027		5,525
	20,000	iHeartCommunications, Inc. (b)		5.2500	8/15/2027		20,926
	15,000	Nexstar Broadcasting, Inc. (b)		5.6250	7/15/2027		15,807
	40,000	Sirius XM Radio, Inc. (b)		5.3750	7/15/2026		42,488
	15,000	Sirius XM Radio, Inc. (b)		5.5000	7/1/2029		16,219
	581,000	VTR Finance BV		6.8750	1/15/2024		594,072
							2,063,463
		MINING - 0.4%
	200,000	Corp Nacional del Cobre de Chile		3.8750	11/3/2021		205,134
	100,000	Freeport-McMoRan, Inc.		3.5500	3/1/2022		101,250
	250,000	Freeport-McMoRan, Inc.		4.5500	11/14/2024		264,270
	150,000	Freeport-McMoRan, Inc.		5.4000	11/14/2034		157,125
	60,000	Freeport-McMoRan, Inc.		5.4500	3/15/2043		62,100
	200,000	Nexa Resources Peru SAA		4.6250	3/28/2023		207,252
	500,000	Southern Copper Corp.		5.3750	4/16/2020		503,999
	50,000	Southern Copper Corp.		3.5000	11/8/2022		51,600
	200,000	Vedanta Resources PLC		6.1250	8/9/2024		182,094
							1,734,824
		MISCELLANEOUS MANUFACTURING - 0.1%
	15,000	Gates Global LLC (b)		6.2500	1/15/2026		15,258
	275,000	General Electric Co.		2.7000	10/9/2022		278,803
	50,000	General Electric Co.		5.8750	1/14/2038		60,778
							354,839
		MUNICIPAL - 0.0% *
	35,000	Missouri Highway & Transportation Commission		5.0630	5/1/2024		39,057
	50,000	State of California		7.5500	4/1/2039		80,201
							119,258
		OIL & GAS - 1.5%
	95,000	Cenovus Energy, Inc.		5.4000	6/15/2047		110,415
	300,000	CNOOC Finance 2012 Ltd.		3.8750	5/2/2022		309,864
	400,000	CNOOC Finance 2015 Australia Pty Ltd		2.6250	5/5/2020		400,424
	200,000	CNOOC Finance 2015 USA LLC		3.5000	5/5/2025		208,916
	600,000	CNPC General Capital Ltd.		3.9500	4/19/2022		621,132
	480,000	Delek & Avner Tamar Bond Ltd. (b)		4.4350	12/30/2020		487,594
	100,000	Delek & Avner Tamar Bond Ltd. (b)		5.4120	12/30/2025		105,456
	60,000	Diamondback Energy, Inc.		2.8750	12/1/2024		60,701
	200,000	Geopark Ltd.		6.5000	9/21/2024		208,502
	200,000	Gran Tierra Energy International Holdings Ltd.		6.2500	2/15/2025		180,000
	25,000	Gulfport Energy Corp.		6.3750	5/15/2025		15,875
	20,000	Hilcorp Energy I LP / Hilcorp Finance Co. (b)		6.2500	11/1/2028		19,000
	10,000	Indigo Natural Resources LLC (b)		6.8750	2/15/2026		9,400
	95,000	Marathon Petroleum Corp.		5.1250	12/15/2026		107,620
	10,000	MEG Energy Corp. (b)		7.0000	3/31/2024		10,062
	15,000	Oasis Petroleum, Inc.		6.8750	3/15/2022		14,437
	165,000	Occidental Petroleum Corp.		2.7000	8/15/2022		166,715
	135,000	Occidental Petroleum Corp		2.9000	8/15/2024		137,206
	200,000	ONGC Videsh Ltd.		3.7500	5/7/2023		204,915
	500,000	ONGC Videsh Vankorneft Pte Ltd.		2.8750	1/27/2022		500,815
	200,000	ONGC Videsh Vankorneft Pte Ltd.		3.7500	7/27/2026		204,832
	20,000	Parkland Fuel Corp. (b)		5.8750	7/15/2027		21,507
	15,000	Parsley Energy LLC (b)		5.6250	10/15/2027		15,862
	200,000	Pertamina Persero PT		5.2500	5/23/2021		207,972
	400,000	Pertamina Persero PT		4.8750	5/3/2022		421,208
	200,000	Petrobras Global Finance BV		5.3750	1/27/2021		206,320
	700,000	Petronas Global Sukuk Ltd.		2.7070	3/18/2020		700,441
	10,000	QEP Resources, Inc.		5.6250	3/1/2026		9,752
	650,000	Reliance Holding USA, Inc.		5.4000	2/14/2022		687,882

See accompanying notes to financial statements.

11

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		OIL & GAS - 1.5% (Continued)
	600,000	Sinopec Group Overseas Development 2013 Ltd.		2.5000	4/28/2020		600,444
	35,000	Sunoco LP / Sunoco Finance Corp.		5.5000	2/15/2026		36,313
	15,000	Sunoco LP / Sunoco Finance Corp.		6.0000	4/15/2027		16,013
	22,250	Transocean Guardian Ltd. (b)		5.8750	1/15/2024		22,751
	20,000	Transocean, Inc. (b)		7.2500	11/1/2025		19,600
	35,000	Transocean Poseidon Ltd. (b)		6.8750	2/1/2027		37,100
							7,087,046
		OIL & GAS SERVICES - 0.1%
	270,000	Schlumberger Holdings Corp. (b)		3.7500	5/1/2024		284,550
	45,000	USA Compression Partners LP / USA Compression Finance Corp. (b)		6.8750	9/1/2027		46,912
							331,462
		OTHER ABS - 17.6%
	187,187	AASET 2018-1 US Ltd. A (b)		3.8440	1/16/2038		187,696
	493,050	AASET 2019-2 US Ltd. A (b)		3.3760	10/16/2039		493,047
	719,050	Adams Mill CLO Ltd. (b,c)	3 Month LIBOR + 1.10	3.1009	7/15/2026		719,285
	2,000,000	AIMCO CLO Series 2015-AA AR (b,c)	3 Month LIBOR + 0.85	2.8509	1/15/2028		2,000,911
	2,905,045	Ajax Mortgage Loan Trust 2019-C A (b,d)		3.9500	10/25/2058		2,918,844
	500,000	Apidos CLO XXI 2015-21A ER (b,c,h)	3 Month LIBOR + 8.25	10.2533	7/18/2027		453,630
	500,000	Apidos CLO XXIV 2016-24A DR (b,c)	3 Month LIBOR + 5.80	7.7659	10/20/2030		482,829
	500,000	Atrium XIII E (b,c)	3 Month LIBOR + 6.05	7.9840	11/21/2030		491,963
	500,000	Atrium XIV 14A E (b,c)	3 Month LIBOR + 5.65	7.6509	8/23/2030		480,373
	1,000,000	Avery Point VII CLO 2015-7A A1 Ltd. (b,c)	3 Month LIBOR + 1.14	3.1409	1/15/2028		998,434
	1,750,000	Battalion CLO VII Ltd. 2014-7A A1RR (b,c)	3 Month LIBOR + 1.04	3.0421	7/17/2028		1,749,469
	766,490	Bayview Opportunity Master Fund IVa Trust 2019-SBR1 (b,f)		3.4748	6/28/2034		766,247
	748,000	BSPRT 2019-FL5 Issuer Ltd. (b,c)	1 Month LIBOR + 1.15	2.9154	5/9/2029		748,337
	500,000	Canyon Capital CLO 2016-1 Ltd DR (b,c)	3 Month LIBOR + 5.75	7.7509	7/15/2031		459,838
	500,000	Canyon Capital CLO 2016-1 Ltd ER (b,c)	3 Month LIBOR + 2.80	4.8009	7/15/2031		483,168
	500,000	Canyon Capital CLO 2017-1A D Ltd. (b,c)	3 Month LIBOR + 3.60	5.6009	7/15/2030		500,245
	1,000,000	Carbone CLO Ltd. 2017-1A A1 (b,c)	3 Month LIBOR +1.14	3.1059	1/20/2031		998,001
	500,000	Carlyle Global Market Strategies CLO 2014-2R (b,c,h)	3 Month LIBOR +5.35	7.2599	5/15/2031		433,596
	1,000,000	Carlyle US CLO 2017-1 Ltd. A1A (b,c)	3 Month LIBOR + 1.30	3.2659	4/20/2031		1,000,291
	1,000,000	Cathedral Lake CLO 2013 Ltd. (b,c)	3 Month LIBOR + 1.20	3.2009	10/15/2029		995,050
	2,000,000	Cathedral Lake V Ltd. 2018-5A (b,c)	3 Month LIBOR + 1.20	3.1659	10/21/2030		1,992,508
	244,878	CENT CLO 19 Ltd. 2013-19A A1A (b,c)	3 Month LIBOR + 1.33	3.2581	10/29/2025		245,382
	500,000	Chenango Park CLO Ltd. 2018-1A (b,c)	3 Month LIBOR + 5.80	7.8009	4/15/2030		485,249
	397,679	Citicorp Residential Mortgage Trust Series 2007-2 A4 (f)		5.0079	6/25/2037		398,818
	234,928	Consumer Loan Underlying Bond Credit Trust 2018-P1 A (b)		3.3900	7/15/2025		235,710
	525,060	Consumer Loan Underlying Bond Credit Trust 2018-P2 A (b)		3.4700	10/15/2025		527,983
	1,165	Countrywide Asset-Backed Certificates 2005-15 1AF6 (d)		4.4229	4/25/2036		1,167
	1,166,962	CSMC 2018-RPL8 Trust (b,d)		4.1250	7/25/2058		1,174,494
	500,000	Dorchester Park CLO Ltd 2015-1A DR (b,c)	3 Month LIBOR + 2.40	4.3659	4/20/2028		488,316
	500,000	Dryden 40 Senior Loan Fund 2015-40A (b,c)	3 Month LIBOR + 5.75	7.6599	8/15/2031		478,903
	500,000	Fillmore Park CLO Ltd 2018-1A D (b,c)	3 Month LIBOR + 2.90	4.9009	7/15/2030		487,398
	500,000	Fillmore Park CLO Ltd 2018-1A E (b,c)	3 Month LIBOR + 5.40	7.4009	7/18/2030		472,527
	2,500,000	GREYWOLF CLO VII Ltd. 2018-2A (b,c)	3 Month LIBOR + 1.18	3.1459	10/20/2031		2,490,545
	47,499	Halcyon Loan Advisors Funding 2014-1 Ltd. A1 (b,c)	3 Month LIBOR + 1.13	3.1332	4/18/2026		47,535
	1,500,000	Hayfin Kingsland VIII Ltd. (b,c)	3 Month LIBOR + 1.12	3.0859	4/20/2031		1,492,084
	500,000	Highbridge Loan Management 8-2016 Ltd. DR (b,c)	3 Month LIBOR + 2.90	4.8659	7/20/2030		469,152
	590,477	Hilton Grand Vacations Trust 2018-A (b)		3.5400	2/25/2032		607,286
	952,381	Horizon Aircraft Finance II Ltd. (b)		6.9000	7/15/2039		970,729
	932,821	Invitation Homes 2017-SFR2 Trust A (b,c)	1 Month LIBOR + 0.85	2.5874	12/17/2036		929,274
	1,390,863	Invitation Homes 2018-SFR1 Trust A (b,c)	1 Month LIBOR + 0.70	2.4374	3/17/2037		1,379,153
	255,000	Invitation Homes 2018-SFR1 Trust C (b,c)	1 Month LIBOR + 1.25	2.9874	3/17/2037		254,377
	170,000	Invitation Homes 2018-SFR1 Trust D (b,c)	1 Month LIBOR + 1.45	3.1874	3/17/2037		169,669
	1,050,000	Jamestown CLO VI-R Ltd 2018-6RA A1 (b,c)	3 Month LIBOR + 1.15	3.0896	4/25/2030		1,043,603
	1,000,000	Jefferson Mill CLO Ltd. 2015-1A (b,c)	3 Month LIBOR + 1.18	3.1409	10/20/2031		986,748
	977,500	Jimmy Johns Funding LLC 2017-1A (b)		3.6100	7/30/2047		979,093
	1,526,113	JP Morgan Mortgage Acquisition Trust 2006-RM1 A5(c)	1 Month LIBOR + 0.24	2.0320	8/25/2036		880,057
	500,000	LCM Loan Income Fund I Income Note Issuer Ltd. (b,c)	3 Month LIBOR + 5.60	7.6009	7/16/2031		459,540
	500,000	LCM XIV LP DR (b,c)	3 Month LIBOR + 2.75	4.7159	7/20/2031		468,599
	500,000	LCM XIV LP ER (b,c)	3 Month LIBOR + 5.50	7.4659	7/20/2031		444,886
	500,000	LCM XVII LP 17A ER (b,c)	3 Month LIBOR + 6.00	8.0009	10/15/2031		436,110
	2,826,389	Legacy Mortgage Asset Trust 2018-GS1 (b,f)		4.0000	3/25/2058		2,853,641
	1,284,184	Legacy Mortgage Asset Trust 2019-GS1 (b,f)		4.0000	1/25/2059		1,296,537
	1,769,652	Legacy Mortgage Asset Trust 2019-GS2 (b,f)		3.7500	1/25/2059		1,824,789
	789,000	LOANCORE 2018-CRE1 (b,c)	1 Month LIBOR + 1.13	2.8698	5/15/2028		789,019
	747,000	LoanCore 2019-CRE2 Issuer Ltd. (b,c)	1 Month LIBOR + 1.50	3.2398	5/9/2036		747,000
	246,745	MACH 1 Cayman 2019-1 Ltd. (b)		3.4740	10/15/2039		246,747

See accompanying notes to financial statements.

12

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		OTHER ABS - 17.6% (Continued)
	784,000	MACRE 2018-FL1 A (b)		2.8897	6/15/2028		784,601
	2,000,000	Madison Park Funding XI Ltd. AR (b,c)	3 Month LIBOR + 1.16	3.0940	7/23/2029		1,999,939
	220,713	Marlette Funding Trust 2018-3 A (b)		3.2000	9/15/2028		221,142
	465,910	Marlette Funding Trust 2019-4 (b)		2.3900	12/17/2029		465,922
	700,278	Mill City Mortgage Loan Trust 2017-1 A1 (b,d)		2.7500	11/25/2058		702,496
	139,198	Mosaic Solar Loans 2017-1 LLC A (b)		4.4500	6/20/2042		144,618
	500,000	Myers Park CLO Ltd. 2018-1A (b,c)	3 Month LIBOR + 5.50	7.4659	10/20/2030		470,285
	515,000	NLY Commercial Mortgage Trust (b,c)	1 Month LIBOR + 1.60	3.3397	2/15/2036		515,962
	1,000,000	Ocean Trails CLO V 2014-5A (b,c)	3 Month LIBOR + 1.28	3.2809	10/13/2031		989,432
	1,000,000	OCP CLO 2014-5 Ltd. A1R (b,c)	3 Month LIBOR + 1.08	3.0156	4/26/2031		995,323
	500,000	Octagon Investment Partners XVI Ltd 2013-1A ER (b,c)	3 Month LIBOR + 5.75	7.7521	7/17/2030		456,559
	500,000	Octagon Investment Partners 26 Ltd 2016-1A FR (b,c,h)	3 Month LIBOR + 8.09	10.0909	7/15/2030		434,592
	500,000	Octagon Investment Partners 37 Ltd. 2018-2A C (b,c)	3 Month LIBOR + 2.85	4.7896	7/25/2030		475,804
	2,000,000	Park Avenue Institutional Advisers CLO Ltd 2016-1 (b,c)	3 Month LIBOR + 1.20	3.1095	8/23/2031		1,994,904
	2,000,000	Park Avenue Institutional Advisers CLO Ltd 2018-1 (b,c)	3 Month LIBOR + 1.28	3.2459	10/20/2031		1,998,989
	1,585,997	Pretium Mortgage Credit Partners I 2019-NPL2 LLC A1 (b,e,f)		3.8441	12/25/2058		1,594,800
	400,000	Primose Funding LLC (b)		4.4750	7/30/2049		404,482
	192,123	Prosper Marketplace Issuance Trust Series 2018-2 (b)		3.3500	10/15/2024		192,497
	598,130	Prosper Marketplace Issuance Trust Series 2019-1 (b)		3.5400	4/15/2025		600,215
	267,611	Prosper Marketplace Issuance Trust Series 2019-2 (b)		3.2000	9/15/2025		268,321
	468,162	Prosper Marketplace Issuance Trust Series 2019-4 (b)		2.4800	2/17/2026		467,921
	3,320,000	Race Point IX CLO 2015-9A A1AR Ltd. (b,c)	3 Month LIBOR + 1.21	3.2109	10/15/2030		3,317,838
	1,000,000	Regatta XIV Funding Ltd. 2018-3A (b,c)	3 Month LIBOR + 1.19	3.1296	10/25/2031		994,746
	1,000,000	Romark WM-R Ltd 2018-1A A1 (b,c)	3 Month LIBOR + 1.03	2.9959	4/20/2031		994,750
	456,770	SCF Equipment Leasing 2017-2A A LLC (b)		3.4100	12/20/2023		457,059
	165,089	Sierra Timeshare 2016-2 Receivables Funding LLC (b)		2.3300	7/20/2033		164,689
	395,478	Sierra Timeshare 2016-3 Receivables Funding LLC (b)		2.4300	10/20/2033		394,577
	109,088	Sofi Consumer Loan Program 2016-3 A LLC (b)		3.0500	12/26/2025		109,271
	275,140	Sofi Consumer Loan Program 2017-6 A2 LLC (b)		2.8200	11/25/2026		276,038
	142,195	Sofi Consumer Loan Program 2018-3 Trust A1 (b)		3.2000	8/25/2027		142,414
	210,480	Springleaf Funding Trust 2016-A (b)		2.9000	11/15/2029		210,558
	1,000,000	Steele Creek CLO 2018-2 Ltd (b,c)	3 Month LIBOR + 1.20	3.1041	8/18/2031		995,751
	2,000,000	TES 2017-1A B LLC (b)		7.7400	10/20/2047		1,989,071
	500,000	THL Credit Wind River 2014-1 CLO Ltd. DRR (b,c)	3 Month LIBOR + 3.00	5.0033	7/18/2031		447,862
	500,000	THL Credit Wind River 2018-2 CLO Ltd. A (b,c)	3 Month LIBOR + 5.75	7.7509	7/15/2030		449,654
	1,000,000	TICP CLO VI 2016-2 Ltd. (b,c)	3 Month LIBOR + 1.20	3.2009	1/15/2029		1,000,665
	392,337	Triton Container Finance IV LLC 2017-2A (b)		3.6200	8/20/2042		391,775
	739,457	VOLT LXIV LLC 2017-NP 11 (b,f)		3.3750	10/25/2047		739,908
	1,086,949	VOLT LXXV LLC 2019-NPL1 A1 (b,f)		4.3357	1/25/2049		1,093,428
	500,000	Voya CLO 2018-2 Ltd. D (b,c)	3 Month LIBOR + 2.75	4.7509	7/15/2031		481,649
	500,000	Voya CLO 2018-2 Ltd. E (b,c)	3 Month LIBOR + 5.25	7.2509	7/15/2031		467,771
	500,000	Voya CLO 2019-2 Ltd. (b,c)	3 Month LIBOR + 6.60	8.8529	7/20/2032		493,233
	2,000,000	Wellfleet CLO 2016-1 Ltd. AR (b,c)	3 Month LIBOR + 0.91	2.8759	4/20/2028		1,992,392
	351,634	Zais CLO 2 Ltd. 2014-2A A1AR (b,c)	3 Month LIBOR + 1.20	3.1396	7/25/2026		351,739
							80,751,524
		PACKAGING & CONTAINERS - 0.1%
	30,000	Berry Global, Inc. (b)		5.6250	7/15/2027		32,175
	25,000	Flex Acquisition Co., Inc. (b)		6.8750	1/15/2025		25,188
	80,000	Packaging Corp of America		3.0000	12/15/2029		80,410
	135,000	WestRock Co.		3.7500	3/15/2025		142,407
							280,180
		PHARMACEUTICALS - 0.7%
	180,000	AbbVie, Inc. (b)		2.3000	11/21/2022		180,910
	125,000	AbbVie, Inc. (b)		2.6000	11/21/2024		126,011
	104,000	AbbVie, Inc.		4.7000	5/14/2045		116,217
	350,000	AstraZeneca PLC		2.3750	11/16/2020		351,107
	10,000	Bausch Health Cos. Inc. (b)		5.7500	8/15/2027		10,850
	20,000	Bausch Health Cos. Inc. (b)		7.0000	1/15/2028		22,076
	15,000	Bausch Health Cos. Inc. (b)		5.0000	1/30/2028		15,396
	20,000	Bausch Health Cos. Inc. (b)		7.2500	5/30/2029		22,850
	15,000	Bausch Health Cos. Inc. (b)		5.2500	1/30/2030		15,555
	365,000	Bristol-Myers Squibb Co. (b)		2.6000	5/16/2022		371,080
	525,000	Cardinal Health, Inc.		2.6160	6/15/2022		530,376
	340,000	Cigna Corp.		3.4000	9/17/2021		348,045
	215,000	Cigna Corp. (c)	3 Month LIBOR + 0.89	2.8909	7/15/2023		216,184
	165,000	Cigna Corp.		4.9000	12/15/2048		197,092
	330,000	CVS Health Corp.		3.7000	3/9/2023		343,971
	160,000	CVS Health Corp.		5.0500	3/25/2048		189,604
							3,057,324

See accompanying notes to financial statements.

13

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		PIPELINES - 0.3%
	250,000	AI Candelaria Spain SLU		7.5000	12/15/2028		280,312
	9,000	Antero Midstream Partners LP (b)		5.7500	3/1/2027		7,914
	30,000	Cheniere Energy Partners LP		5.2500	10/1/2025		31,263
	15,000	Cheniere Energy Partners LP		5.6250	10/1/2026		15,863
	130,000	Energy Transfer LP		4.7500	1/15/2026		140,785
	25,000	Hess Midstream Operations LP (b)		5.1250	6/15/2028		25,313
	80,000	Kinder Morgan Energy Partners LP		6.9500	1/15/2038		105,990
	600,000	Oleoducto Central SA		4.0000	5/7/2021		610,506
	105,000	Sabine Pass Liquefaction LLC		5.0000	3/15/2027		115,583
	40,000	Targa Resources Partners LP (b)		5.5000	3/1/2030		41,100
							1,374,629
		REITS - 0.5%
	240,000	Alexandria Real Estate Equities, Inc.		4.0000	1/15/2024		255,724
	35,000	Alexandria Real Estate Equities, Inc.		4.8500	4/15/2049		42,739
	105,000	American Tower Corp.		3.9500	3/15/2029		112,938
	125,000	Crown Castle International Corp.		3.6500	9/1/2027		132,290
	20,000	ESH Hospitality, Inc. (b)		5.2500	5/1/2025		20,675
	10,000	ESH Hospitality, Inc. (b)		4.6250	10/1/2027		10,125
	45,000	MPT Operating Partnership LP / MPT Finance Corp.		5.2500	8/1/2026		47,540
	105,000	Public Storage		3.3850	5/1/2029		111,562
	260,000	Simon Property Group LP.		2.0000	9/13/2024		258,754
	65,000	Simon Property Group LP.		2.4500	9/13/2029		63,991
	600,000	Sinochem Overseas Capital Co. Ltd.		4.5000	11/12/2020		610,542
	240,000	Welltower, Inc.		3.9500	9/1/2023		253,320
	305,000	Welltower, Inc.		3.6250	3/15/2024		320,471
							2,240,671
		RETAIL - 0.1%
	20,000	1011778 BC ULC / New Red Finance, Inc. (b)		5.0000	10/15/2025		20,650
	30,000	Beacon Roofing Supply, Inc. (b)		4.8750	11/1/2025		30,150
	15,000	Carvana Co. (b)		8.8750	10/1/2023		15,816
	240,000	Dollar Tree Inc		4.0000	5/15/2025		256,773
	50,000	Golden Nugget, Inc. (b)		6.7500	10/15/2024		51,750
	105,000	Home Depot, Inc.		3.9000	6/15/2047		118,831
	20,000	PetSmart, Inc. (b)		7.1250	3/15/2023		19,600
	14,000	PetSmart, Inc. (b)		5.8750	6/1/2025		14,262
	30,000	Staples, Inc. (b)		7.5000	4/15/2026		31,125
							558,957
		SEMICONDUCTORS - 0.2%
	330,000	Analog Devices Inc		2.9500	1/12/2021		332,760
	320,000	Microchip Technology, Inc.		3.9220	6/1/2021		327,258
	140,000	NXP BV / NXP Funding LLC (b)		3.8750	6/18/2026		148,516
							808,534
		SOFTWARE - 0.0% *
	10,000	CDK Global, Inc. (b)		5.2500	5/15/2029		10,725
	20,000	Dun & Bradstreet Corp. (b)		6.8750	8/15/2026		22,075
	30,000	Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Ho (b)		10.0000	11/30/2024		32,438
							65,238
		STUDENT LOAN ABS - 1.1%
	635,201	AccessLex Institute 2004-2 A3 (c)	3 Month LIBOR + 0.19	2.1296	10/25/2024		622,072
	519,865	AccessLex Institute 2007-A B (c)	3 Month LIBOR + 0.55	2.4595	2/25/2037		497,081
	541,834	Commonbond Student Loan Trust 2017-BGS C (b)		2.6800	9/25/2042		540,980
	408,589	Commonbond Student Loan Trust 2017-B-GS (b)		4.4400	9/25/2042		404,855
	892,328	DRB Prime Student Loan Trust 2016-R (b)		3.0700	10/25/2044		888,379
	12,000	Earnest Student Loan Program 2016-D LLC (b, h) ****		0.0000	1/25/2041		288,720
	178,590	Earnest Student Loan Program 2017-A LLC (b)		2.6500	1/25/2041		178,396
	713,941	Laurel Road Prime Student Loan Trust 2019-A (b)		2.3400	10/25/2048		714,525
	300,000	SMB Private Education Loan Trust 2018-B A2B (b,c)	1 Month LIBOR + 0.72	2.4598	1/15/2037		297,718
	700,604	Sofi Professional Loan Program 2018-D Trust (b)		3.1200	2/25/2048		704,415
							5,137,141
		TELECOMMUNICATIONS - 0.7%
	320,000	AT&T, Inc.		2.8000	2/17/2021		322,882
	170,000	AT&T, Inc.		5.2500	3/1/2037		203,113
	500,000	AXIATA SPV2 BHD		3.4660	11/19/2020		503,975
	300,000	AXIATA SPV2 BHD		3.4660	11/19/2020		302,385
	200,000	C&W Senior Financing DAC		7.5000	10/15/2026		216,572
	200,000	C&W Senior Financing DAC		6.8750	9/15/2027		213,866
	15,000	CenturyLink, Inc. (b)		5.1250	12/15/2026		15,264
	15,000	Cincinnati Bell, Inc. (b)		7.0000	7/15/2024		15,731
	400,000	Colombia Telecomunicaciones SA ESP (c)	5 Year Swap Rate + 6.96	8.5000	3/30/2049		404,004
	20,000	CommScope Finance LLC (b)		5.5000	3/1/2024		20,850
	5,000	CommScope Finance LLC (b)		6.0000	3/1/2026		5,319
	200,000	Comunicaciones Celulares SA Via Comcel Trust		6.8750	2/6/2024		205,002
	202,863	Digicel Group Ltd. (b)		9.1250	4/1/2024		30,957

See accompanying notes to financial statements.

14

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		TELECOMMUNICATIONS - 0.7% (Continued)
	20,000	Frontier Communications Corp. (b)		8.0000	4/1/2027		20,900
	25,000	Gogo Intermediate Holdings LLC (b)		9.8750	5/1/2024		26,406
	15,000	GTT Communications, Inc. (b)		7.8750	12/31/2024		11,321
	25,000	Intelsat Jackson Holdings SA (b)		8.5000	10/15/2024		22,771
	200,000	Millicom International Cellular SA		6.0000	3/15/2025		207,250
	25,000	Sprint Capital Corp.		6.8750	11/15/2028		26,937
	20,000	Sprint Corp.		7.1250	6/15/2024		21,575
	5,000	Telesat Canada / Telesat LLC (b)		6.5000	10/15/2027		5,213
	320,000	Verizon Communications, Inc. (c)	3 Month LIBOR + 1.10	3.0099	5/15/2025		327,334
	155,000	Verizon Communications, Inc.		4.2720	1/15/2036		175,546
							3,305,173
		TOYS/GAMES/HOBBIES - 0.0% *
	145,000	Hasbro, Inc.		3.5000	9/15/2027		144,417
		TRANSPORTATION - 0.1%
	120,000	CSX Corp.		3.8000	11/1/2046		125,705
	330,000	Union Pacific Corp.		3.2000	6/8/2021		336,327
							462,032
		TRUCKING & LEASING - 0.1%
	330,000	Penske Truck Leasing Co. Lp / PTL Finance Corp. (b)		2.7000	11/1/2024		332,362
	135,000	Penske Truck Leasing Co. Lp / PTL Finance Corp. (b)		4.2000	4/1/2027		144,775
							477,137
		U.S. GOVERNMENT AGENCY - 8.9%
	239,722	Fannie Mae REMICS 2005-2S (c,e,g)	6.60 - 1 Month LIBOR	4.8080	2/25/2035		42,195
	535,125	Fannie Mae REMICS 2005-104 NI (c,e,g)	6.70 - 1 Month LIBOR	4.9080	3/25/2035		11,851
	423,866	Fannie Mae REMICS 2006-99 AS (c,e,g)	6.58 - 1 Month LIBOR	4.7880	10/25/2036		79,564
	249,842	Fannie Mae REMICS 2006-119 PS (c,e,g)	6.70 - 1 Month LIBOR	4.9080	12/25/2036		36,235
	452,004	Fannie Mae REMICS 2006-126 CS (c,e,g)	6.70 - 1 Month LIBOR	4.9080	1/25/2037		81,328
	278,377	Fannie Mae REMICS 2009-41 ZA (e)		4.5000	6/25/2039		290,241
	229,511	Fannie Mae REMICS 2009-98 DZ (e)		4.5000	12/25/2039		238,641
	425,771	Fannie Mae REMICS 2010-76 ZK (e)		4.5000	7/25/2040		457,077
	256,334	Fannie Mae REMICS 2010-115 SE (c,e,g)	6.00 - 1 Month LIBOR	4.2080	10/25/2040		45,386
	108,871	Fannie Mae REMICS 2010-134 CS (c,e,g)	6.68 - 1 Month LIBOR	4.8880	12/25/2025		9,028
	108,871	Fannie Mae REMICS 2010-134 SE (c,e,g)	6.65 - 1 Month LIBOR	4.8580	12/25/2025		8,800
	238,528	Fannie Mae REMICS 2010-142 SC (c,e,g)	6.60 - 1 Month LIBOR	4.8080	12/25/2040		50,773
	221,044	Fannie Mae REMICS 2011-18 UZ (e)		4.0000	3/25/2041		231,367
	277,480	Fannie Mae REMICS 2011-74 KL (e)		5.0000	6/25/2040		298,843
	562,694	Fannie Mae REMICS 2011-93 ES (c,e,g)	6.50 - 1 Month LIBOR	4.7080	9/25/2041		99,239
	598,719	Fannie Mae REMICS 2011-111 EZ (e)		5.0000	11/25/2041		662,731
	769,767	Fannie Mae REMICS 2012-3 DS (c,e,g)	5.95 - 1 Month LIBOR	4.1580	2/25/2042		138,388
	2,363,183	Fannie Mae REMICS 2012-20 SA (c,e,g)	6.45 - 1 Month LIBOR	4.6580	3/25/2042		393,371
	834,072	Fannie Mae REMICS 2012-56 FK (c,e)	1 Month LIBOR + 0.45	2.2420	6/25/2042		835,441
	1,445,225	Fannie Mae REMICS 2012-103 ZP (e)		3.0000	9/25/2042		1,472,058
	1,361,869	Fannie Mae REMICS 2013-74 YS (c,e)	6.00 - (1.5 * 1 Month LIBOR)	3.3120	7/25/2043		1,301,312
	601,482	Fannie Mae REMICS 2013-122 DS (c,e)	5.40 - (1.2 * 1 Month LIBOR)	3.2496	7/25/2043		557,242
	797,694	Fannie Mae REMICS 2014-73 PS (c,e,g)	6.20 - 1 Month LIBOR	4.4080	11/25/2044		139,673
	1,166,827	Fannie Mae REMICS 2015-95 AP (e)		3.0000	8/25/2042		1,184,275
	2,199,057	Fannie Mae REMICS 2016-73 DZ (e)		3.0000	10/25/2046		2,214,976
	681,799	Fannie Mae REMICS 2016-81 JF (e)		3.0000	2/25/2044		695,781
	1,260,247	Fannie Mae REMICS 2018-15 JF (c,e)	1 Month LIBOR + 0.30	2.0920	3/25/2048		1,248,129
	829,220	Fannie Mae REMICS 2018-21 PO (e) ***		0.0000	4/24/2048		699,606
	756,790	Fannie Mae REMICS 2018-49 FB (c,e)	1 Month LIBOR + 0.30	2.0920	7/25/2048		753,054
	901,522	Fannie Mae REMICS 2018-55 FA (c,e)	1 Month LIBOR + 0.30	2.0920	8/25/2048		893,276
	2,479,008	Fannie Mae REMICS 2019-57 FE (c,e)	1 Month LIBOR + 0.45	2.2420	10/25/2049		2,474,051
	184,797	Freddie Mac REMICS 2663 ZP (e)		5.0000	8/15/2033		202,508
	87,797	Freddie Mac REMICS 2909 Z (e)		5.0000	12/15/2034		96,576
	180,668	Freddie Mac REMICS 3257 SI (c,e,g)	6.32 - 1 Month LIBOR	4.5803	12/15/2036		30,728
	748,377	Freddie Mac REMICS 3404 SA (c,e,g)	6.00 - 1 Month LIBOR	4.2603	1/15/2038		137,162
	687,877	Freddie Mac REMICS 3753 SB (c,e,g)	6.00 - 1 Month LIBOR	4.2603	11/15/2040		116,877
	108,762	Freddie Mac REMICS 3770 SP (c,e,g)	6.50 - 1 Month LIBOR	4.7603	11/15/2040		10,732
	23,158	Freddie Mac REMICS 3818 JA (e)		4.5000	1/15/2040		23,211
	411,062	Freddie Mac REMICS 3926 FS (c,e,g)	6.58 - 1 Month LIBOR	4.8403	9/15/2041		80,877
	386,590	Freddie Mac REMICS 3957 DZ (e)		3.5000	11/15/2041		398,252
	437,696	Freddie Mac REMICS 3957 HZ (e)		4.0000	11/15/2041		477,711
	713,252	Freddie Mac REMICS 3984 DS (c,e,g)	5.95 - 1 Month LIBOR	4.2103	1/15/2042		109,809
	1,362,722	Freddie Mac REMICS 3998 AZ (e)		4.0000	2/15/2042		1,497,133
	1,611,053	Freddie Mac REMICS 4089 SH (c,e,g)	6.00 - 1 Month LIBOR	4.2603	8/15/2042		242,537
	1,009,903	Freddie Mac REMICS 4096 MS (c,e)	2.57 - (0.57 * 1 Month LIBOR)	1.6051	8/15/2042		839,435
	2,495,841	Freddie Mac REMICS 4203 NB (e)		2.0000	10/15/2040		2,482,416
	422,836	Freddie Mac REMICS 4229 MS (c,e)	7.70 - (1.75 * 1 Month LIBOR)	4.6554	7/15/2043		431,058

See accompanying notes to financial statements.

15

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)				Spread	Interest Rate	Maturity	Value ($)
			U.S. GOVERNMENT AGENCY - 8.9% (Continued)
	2,270,752		Freddie Mac REMICS 4255 GS (c,e,g)	6.15 - 1 Month LIBOR	4.4102	9/15/2043		373,717
	533,718		Freddie Mac REMICS 4291 MS (c,e,g)	5.90 - 1 Month LIBOR	4.1603	1/15/2054		101,368
	1,543,808		Freddie Mac REMICS 4314 MS (c,e,g)	6.10 - 1 Month LIBOR	4.3603	7/15/2043		197,580
	2,000,000		Freddie Mac REMICS 4435 SA (c,e)	9.90 - (2 * 1 Month LIBOR)	6.4205	1/15/2041		2,391,267
	2,758,403		Freddie Mac REMICS 4703 FA (c,e)	1 Month LIBOR + 0.35	2.0897	7/15/2047		2,738,663
	709,420		Freddie Mac REMICS 4734 A (e)		3.0000	7/15/2042		717,178
	806,685		Freddie Mac REMICS 4768 FG (c,e)	1 Month LIBOR + 0.30	2.0397	3/15/2048		798,486
	1,152,070		Freddie Mac REMICS 4818 FC (c,e)	1 Month LIBOR + 0.30	2.0397	4/15/2048		1,148,015
	1,373,593		Freddie Mac REMICS 4934 P (e)		2.5000	11/15/2040		1,380,815
	1,509,127		Government National Mortgage Association 2010-35 DS (c,e,g)	5.68 - 1 Month LIBOR	3.9154	3/20/2040		248,304
	2,297,866		Government National Mortgage Association 2010-121 SE (c,e,g)	6.00 - 1 Month LIBOR	4.2354	9/20/2040		391,151
	1,303,564		Government National Mortgage Association 2011-69 SC (c,e,g)	5.38 - 1 Month LIBOR	3.6154	5/20/2041		193,262
	1,283,181		Government National Mortgage Association 2013-102 BS (c,e,g)	6.15 - 1 Month LIBOR	4.3854	3/20/2043		177,915
	2,411,896		Government National Mortgage Association 2013-119 TZ (e)		3.0000	8/20/2043		2,422,578
	186,580		Government National Mortgage Association 2013-120 GS (c,e)	5.40 - (1.2 * 1 Month LIBOR)	3.2824	8/20/2043		175,082
	325,103		Government National Mortgage Association 2013-148 DS (c,e,g)	5.68 - 1 Month LIBOR	3.9403	10/16/2043		54,254
	1,301,503		Government National Mortgage Association 2013-186 SG (c,e,g)	6.25 - 1 Month LIBOR	4.5102	2/16/2043		174,820
	1,625,468		Government National Mortgage Association 2014-5 SA (c,e,g)	5.55 - 1 Month LIBOR	3.7854	1/20/2044		265,592
	1,983,656		Government National Mortgage Association 2014-58 SG (c,e,g)	5.60 - 1 Month LIBOR	3.8603	4/16/2044		302,197
	1,645,761		Government National Mortgage Association 2014-76 SA (c,e,g)	5.60 - 1 Month LIBOR	3.8354	1/20/2040		258,679
	707,693		Government National Mortgage Association 2014-95 CS (c,e,g)	6.25 - 1 Month LIBOR	4.5102	6/16/2044		130,857
	1,522,257		Government National Mortgage Association 2014-145 CS (c,e,g)	5.60 - 1 Month LIBOR	3.8603	5/16/2044		220,719
	896,256		Government National Mortgage Association 2014-156 PS (c,e,g)	6.25 - 1 Month LIBOR	4.4854	10/20/2044		146,321
	834,138		Government National Mortgage Association 2018-97 HS (c,e,g)	6.20 - 1 Month LIBOR	4.4354	7/20/2048		130,147
	6,160,193		Government National Mortgage Association 2018-164 SW (c,e,g)	6.10 - 1 Month LIBOR	4.3354	12/20/2048		856,803
								40,816,724
			U.S. GOVERNMENT AGENCY OBLIGATIONS - 1.2%
	93,056		Fannie Mae Pool AL4292 (e)		4.5000	4/1/2026		97,707
	454,758		Fannie Mae Pool AS4281 (e)		3.0000	1/1/2035		468,503
	803,390		Fannie Mae Pool AS4360 (e)		3.0000	1/1/2035		824,701
	605,650		Fannie Mae Pool AS4645(e)		3.0000	3/1/2045		620,421
	732,905		Fannie Mae Pool AS7661 (e)		3.0000	8/1/2046		737,487
	47,051		Fannie Mae Pool MA1050 (e)		4.5000	3/1/2042		48,931
	1,351,315		Fannie Mae Pool SB0048 (e)		3.0000	8/1/2034		1,391,611
	517,967		Freddie Mac Gold Pool G61645 (e)		4.0000	10/1/2048		538,701
	151,426		Freddie Mac Gold Pool N70081 (e)		5.5000	7/1/2038		167,417
	244,762		Freddie Mac Gold Pool Q13637 (e)		3.0000	11/1/2042		252,315
	246,079		Freddie Mac Gold Pool Q13638 (e)		3.0000	11/1/2042		253,664
								5,401,458
			TREASURY SECURITIES - 5.9%
	1,490,000		United States Treasury Bond		1.7500	11/30/2021		1,494,598
	840,000		United States Treasury Bond		2.6250	2/28/2023		865,987
	900,000		United States Treasury Bond		2.5000	3/31/2023		924,961
	920,000		United States Treasury Bond		2.1250	9/30/2024		938,400
	95,000		United States Treasury Bond		2.7500	11/15/2042		101,598
	590,000		United States Treasury Bond		3.1250	2/15/2043		670,503
	952,888	^	United States Treasury Inflation Indexed Note		0.1250	10/15/2024		958,549
	356,713	^	United States Treasury Inflation Indexed Note		0.8750	1/15/2029		378,792
	790,000		United States Treasury Note		2.7500	9/15/2021		805,152
	1,040,000		United States Treasury Note		2.8750	10/15/2021		1,063,319
	810,000		United States Treasury Note		1.5000	10/31/2021		808,893
	490,000		United States Treasury Note		2.5000	1/15/2022		498,862
	880,000		United States Treasury Note		2.7500	4/30/2023		911,866
	2,750,000		United States Treasury Note		1.6250	4/30/2023		2,749,785
	550,000		United States Treasury Note		1.6250	5/31/2023		550,021
	3,910,000		United States Treasury Note		2.2500	12/31/2023		3,999,044
	320,000		United States Treasury Note		1.7500	6/30/2024		321,012
	1,050,000		United States Treasury Note		2.2500	10/31/2024		1,077,480
	480,000		United States Treasury Note		2.7500	2/28/2025		504,825
	820,000		United States Treasury Note		3.0000	9/30/2025		875,927
	140,000		United States Treasury Note		2.6250	1/31/2026		146,852
	1,270,000		United States Treasury Note		2.3750	5/15/2027		1,317,377
	1,055,000		United States Treasury Note		2.2500	8/15/2027		1,085,125
	920,000		United States Treasury Note		2.2500	11/15/2027		946,163
	450,000		United States Treasury Note		2.3750	5/15/2029		468,053
	470,000		United States Treasury Note		3.6250	8/15/2043		577,549
	460,000		United States Treasury Note		3.7500	11/15/2043		576,420
	1,320,000		United States Treasury Note		2.7500	11/15/2047		1,414,325
								27,031,438

See accompanying notes to financial statements.

16

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		WHOLE LOAN COLLATERAL - 10.6%
	823,212	Alternative Loan Trust 2006-14CB		6.0000	6/25/2036		647,369
	1,388,952	Alternative Loan Trust 2006-41CB		6.0000	1/25/2037		1,172,020
	1,388,448	Alternative Loan Trust 2006-41CB		5.7500	1/25/2037		1,133,515
	61,397	Alternative Loan Trust 2007-J2		6.0000	7/25/2037		61,140
	2,170,036	American Home Mortgage Investment Trust 2006-1 2A1 (c)	6 Month LIBOR + 1.75	3.6569	12/25/2035		921,841
	180,447	Angel Oak Mortgage Trust I LLC 2018-3 A1 (b,d)		3.6490	9/25/2048		182,545
	210,521	Angel Oak Mortgage Trust I LLC 2018-3 A2 (b,d)		3.7510	9/25/2048		213,027
	210,521	Angel Oak Mortgage Trust I LLC 2018-3 A3 (b,d)		3.8530	9/25/2048		213,084
	661,875	Arroyo Mortgage Trust 2018-1 A3 (b,d)		4.2180	4/25/2048		670,753
	1,726,396	BCAP LLC 2010-RR6 Trust 1716 (b,d)		6.0000	7/26/2036		1,364,583
	53,160	Bear Stearns Asset Backed Securities I Trust 2004-AC2 2A		5.0000	5/25/2034		54,171
	801,188	BRAVO Residential Funding Trust 2019-NQM1 A2 (b,d)		2.8920	7/25/2059		803,955
	801,188	BRAVO Residential Funding Trust 2019-NQM1 A3 (b,d)		2.9960	7/25/2059		803,957
	380,971	CHL Mortgage Pass-Through Trust 2007-5		5.7500	5/25/2037		319,182
	402,258	CHL Mortgage Pass-Through Trust 2007-12		5.7500	8/25/2037		341,993
	2,000,000	CIM Trust 2016-1RR B2 (b,d)		7.2249	7/26/2055		2,019,823
	2,000,000	CIM Trust 2016-2RR B2 (b,d)		7.1330	2/27/2056		2,014,527
	2,000,000	CIM Trust 2016-3RR B2 (b,d)		7.8701	2/27/2056		2,018,236
	1,940,363	CIM Trust 2017-8 A1 (b,d)		3.0000	12/25/2065		1,939,788
	603	Citicorp Mortgage Securities Trust Series 2007-2 3A1		5.5000	2/25/2037		603
	1,001,596	Citigroup Mortgage Loan Trust 2011-12 1A2 (b,d)		4.1557	4/25/2036		876,459
	2,833,633	Citigroup Mortgage Loan Trust 2018-A (b,d)		4.0000	1/25/2068		2,842,410
	73,385	CitiMortgage Alternative Loan Trust Series 2007-A1 2A1		5.5000	1/25/2022		73,633
	448,402	COLT 2018-3 Mortgage Loan Trust (b,d)		3.7630	10/26/2048		450,743
	398,580	COLT 2018-3 Mortgage Loan Trust (b,d)		3.8650	10/26/2048		400,647
	701,601	Credit Suisse First Boston Mortgage Securities Corp. 2002-AR28 2A1 (d)		4.0584	11/25/2032		704,269
	127,928	Credit Suisse First Boston Mortgage Securities Corp. 2005-8 1A3		5.2500	9/25/2035		117,586
	728,974	CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9 5A12		5.5000	10/25/2035		634,325
	139,876	CSMC Mortgage-Backed Trust 2006-7 1A3		5.0000	8/25/2036		132,728
	283,127	CSMC Mortgage-Backed Trust 2006-9 2A1		5.5000	11/25/2036		257,309
	352,320	CSMC Mortgage-Backed Trust 2007-1 5A14		6.0000	2/25/2037		304,506
	6,379	CSMC Trust 2013-3R 1A1 (b,d)		2.8454	4/27/2035		6,408
	1,990,661	CSMC Trust 2019-RPL9 A1 (b,d)		3.3190	10/27/2059		1,990,794
	506,792	Deephaven Residential Mortgage Trust 2018-3 (b,d)		3.8910	8/25/2058		510,073
	158,865	First Horizon Alternative Mortgage Securities Trust 2005-AA4 1A1 (d)		3.5484	5/25/2035		125,688
	1,000,000	FMC GMSR Issuer Trust 2019-GT1 A (b,d)		5.0700	5/25/2024		1,009,038
	1,000,000	FMC GMSR Issuer Trust 2019-GT1 B (b,d)		5.6600	5/25/2024		1,008,068
	225,755	GSR Mortgage Loan Trust 2005-AR7 3A1 (d)		4.4594	11/25/2035		218,207
	566,873	GSR Mortgage Loan Trust 2006-AR1 3A1 (d)		4.1875	1/25/2036		565,207
	334,156	GSR Mortgage Loan Trust 2007-1F 2A2		5.5000	1/25/2037		415,482
	742,525	Homeward Opportunities Fund I Trust 2018-1 A2 (b,d)		3.8970	6/25/2048		747,646
	850,810	Homeward Opportunities Fund I Trust 2018-1 A3 (b,d)		3.9990	6/25/2048		856,876
	8,132	JP Morgan Mortgage Trust 2007-S1 1A1		5.0000	3/25/2022		7,946
	762,174	JP Morgan Mortgage Trust 2007-S2 1A11		6.0000	6/25/2037		564,452
	2,179,527	JP Morgan Mortgage Trust 2007-S2 1A15		6.7500	6/25/2037		1,732,095
	379,888	Lehman Mortgage Trust 2006-1 1A3		5.5000	2/25/2036		310,459
	210,610	MASTR Adjustable Rate Mortgages Trust 2006-2 2A1 (d)		4.4545	4/25/2036		181,697
	1,000,000	Mello Warehouse Securitization Trust 2019-1 (b,c)	1 Month LIBOR + 5.50	7.2920	6/25/2052		1,007,551
	530,118	Merrill Lynch Mortgage Investors Trust Series 2006-AF2		6.2500	10/25/2036		438,721
	3,067	Morgan Stanley Mortgage Loan Trust 2004-1 1A1		5.0000	11/25/2033		3,078
	158,819	Morgan Stanley Mortgage Loan Trust 2006-7 3A (d)		5.0135	6/25/2036		132,722
	726,745	Morgan Stanley Mortgage Loan Trust 2007-12 3A4		6.2500	8/25/2037		545,711
	105,101	Morgan Stanley Reremic Trust 2012-R3 2A (b,c)	1 Month LIBOR + 0.23	2.0220	2/26/2037		105,285
	1,054,406	Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2007-1 11A1A (f)		5.9950	3/25/2047		1,030,641
	5,137	Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-5 2AN (d)		5.6750	12/25/2035		5,152
	161,776	PHH Alternative Mortgage Trust Series 2007-2 3A1		6.0000	5/25/2037		149,408
	819,403	PRPM 2019-1 LLC (b,f)		4.5000	1/25/2024		821,494
	2,141,176	Radnor RE 2019-2 Ltd. (b,c)	1 Month LIBOR + 1.20	2.9920	6/25/2029		2,149,649
	256,360	RALI Series 2006-QA1 1A21 Trust (d)		4.0251	1/25/2036		231,124
	227,813	RALI Series 2006-QS10 Trust A9		6.5000	8/25/2036		224,761
	442,902	RALI Series 2006-QS12 2A3 Trust		6.0000	9/25/2036		427,864
	314,291	RALI Series 2007-QS6 A6 Trust		6.2500	4/25/2037		300,465
	381,594	Residential Asset Securitization Trust 2006-A2 A3		6.0000	1/25/2046		266,326
	231,722	Residential Asset Securitization Trust 2006-A6 2A11		6.0000	7/25/2036		199,546
	518,441	Residential Asset Securitization Trust 2007-A1 A8		6.0000	3/25/2037		298,509
	401,318	Residential Asset Securitization Trust 2007-A3 1A1 (c)	1 Month LIBOR + 0.45	2.2420	4/25/2037		202,425
	52,346	Residential Asset Securitization Trust 2007-A3 1A2 (c)	46.38 - (7.67 * 1 Month LIBOR)	32.6447	4/25/2037		119,692
	148,769	RFMSI Series 2006-S3 Trust A7		5.5000	3/25/2036		143,057
	266,009	RFMSI Series 2006-S7 Trust A3		6.2500	8/25/2036		255,058
	105,123	RFMSI Series 2006-S7 Trust A7		6.2500	8/25/2036		100,795

See accompanying notes to financial statements.

17

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		WHOLE LOAN COLLATERAL - 10.6% (Continued)
	461,953	RFMSI Series 2007-S1 A5 Trust		6.0000	1/25/2037		449,237
	169,455	RFMSI Series 2007-S2 A4 Trust		6.0000	2/25/2037		159,061
	404,428	RFMSI Series 2007-S6 Trust 1A11		6.0000	6/25/2037		394,514
	1,224,417	Starwood Mortgage Residential Trust 2018-IMC1 (b,d)		3.8950	3/25/2048		1,233,079
	1,000,000	Toorak Mortgage Corp 2018-1 Ltd. (b,f)		4.3356	8/25/2021		1,012,672
	766,118	Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust 2A8		6.0000	11/25/2035		759,562
	1,152,688	Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust 1A2		6.0000	4/25/2037		1,051,378
	440,283	Wells Fargo Alternative Loan 2007-PA3 Trust 1A4		5.7500	7/25/2037		426,863
							48,586,263
		TOTAL BONDS & NOTES (Cost - $320,944,683)					322,846,646
Shares
		WARRANT - 0.0%* (i)
	43,904	OAS SA WARRANT (a,h) (Cost - $11,414)					—
				Yield **
		SHORT-TERM INVESTMENTS - 0.3%
		U.S. TREASURY BILLS - 0.3%
	1,460,000	United States Treasury Bill		1.0400	4/30/2020		1,452,633
	65,000	United States Treasury Bill		1.2900	11/5/2020		64,162
		TOTAL SHORT-TERM INVESTMENTS(Cost - $1,516,757)					1,516,795

Contracts			Notional	Counterparty	Value ($)
		PURCHASED OPTIONS (a,i) - 24.2%
	1,524,620	ISAM, August 2021, Call @ 0.001	39,614,200	Nomura		39,615,180
	432,167	WNTN, August 2021, Call @ 0.001	71,466,944	Nomura		71,467,069
		TOTAL PURCHASED OPTIONS (Cost - $110,266,176)				111,082,249
		TOTAL INVESTMENTS - 94.7% (Cost - $433,676,332)			$	435,525,162
		OTHER ASSETS LESS LIABILITIES - 5.3%				24,180,266
		TOTAL NET ASSETS - 100.0%			$	459,705,428

MBS - Mortgage Backed Security

ABS - Asset Backed Security

LIBOR - London Interbank Offered Rate

REIT - Real Estate Investment Trust

REMICS - Real Estate Mortgage Investment Conduits

^ Principal amount for accrual purposes is periodically adjusted based on changes in the Consumer Price Index.

* Represents a percentage less than 0.05%

** Represents annualized yield at date of purchase for discount securities.

*** Principal only bond.

**** Zero coupon bond.

(a) The value of these securities have been determined in good faith under the policies of the Board of Trustees as of December 31, 2019.

(b) Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At December 31, 2019, these securities amounted to $159,144,171 or 34.6% of net assets.

(c) Variable rate security; the rate shown represents the rate as of December 31, 2019.

(d) Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(e) Issuers operate under a Congressional charter; its securities are neither issued nor guaranteed by the U.S. government. The Federal Home Loan Mortgage Corp., Federal National Mortgage Association, Freddie Mac and Fannie Mae currently operate under a federal conservatorship.

(f) Step-Up Bond; the interest rate shown is the rate in effect as of December 31, 2019.

(g) Interest only bond.

(h) Illiquid holdings.

(i) None-income producing.

See accompanying notes to financial statements.

18

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

WNTN Top 50 Holdings ^
FUTURES CONTRACTS
						Unrealized
Number of				Notional Value at		Appreciation/			% of Fund
Contracts		Description	Expiration Date	December 31, 2019		(Depreciation)			Net Assets
Long Contracts
	169	Australian 3 Year Bond Future	Mar-20		13,646,936	$	(2,887	)		(0.00	)%
	151	Australian 10 Year Bond Future	Mar-20		15,156,007		56,508			0.01	%
	158	Brent Oil Future	Mar-20		10,428,000		1,340			0.00	%
	137	CAC Index Future	Jan-20		9,171,001		8,015			0.00	%
	71	Copper LME Future	Jan-20		10,931,338		153,415			0.03	%
	81	Copper LME Future	Feb-20		12,491,213		114,132			0.02	%
	104	Copper LME Future	Mar-20		16,055,000		(2,200	)		(0.00	)%
	154	Copper LME Future	Apr-20		23,789,150		12,200			0.00	%
	22	Dax Index Future	Mar-20		8,169,315		342,447			0.07	%
	67	E-Mini Nasdaq Future	Mar-20		11,728,015		(19,950	)		(0.00	)%
	473	E-Mini S&P 500 Future	Mar-20		76,415,515		(845	)		(0.00	)%
	60	Euro BTP Future	Mar-20		9,584,424		(76,285	)		(0.02	)%
	74	Euro Bund Future	Mar-20		14,146,612		(5,790	)		(0.00	)%
	62	Euro Oat Future	Mar-20		11,315,868		(14,693	)		(0.00	)%
	407	Euro Stoxx Future	Mar-20		17,018,004		40,160			0.01	%
	83	FTSE Index Future	Mar-20		8,251,382		(420	)		(0.00	)%
	106	Gasoline Blend Stock Future	Feb-20		7,526,106		(19,040	)		(0.00	)%
	41	Guilt Future	Mar-20		7,140,989		937			0.00	%
	345	Gold CMX Future	Feb-20		52,546,950		11,850			0.00	%
	120	Nickel LME Future	Jan-20		10,056,960		(22,096	)		(0.00	)%
	81	Nickel LME Future	Feb-20		6,804,000		58,029			0.01	%
	82	Nickel LME Future	Mar-20		6,900,300		(24,784	)		(0.01	)%
	43	OSK Nikkei Future	Mar-20		9,357,067		97,439			0.02	%
	80	SFE SPI 200 Future	Mar-20		9,271,933		42,890			0.01	%
	323	Silver CMX Future	Mar-20		28,942,415		13,750			0.00	%
	57	Topix Index Future	Mar-20		9,029,829		(6,996	)		(0.00	)%
	123	Ultra T-Bond Future	Mar-20		22,343,719		(135	)		(0.00	)%
	339	US 10 Yr Notes Future	Mar-20		43,535,016		11,650			0.00	%
	198	US T Bond Future	Mar-20		30,869,438		14,450			0.00	%
					Subtotal	$	783,091
						Unrealized
Number of				Notional Value at		Appreciation/			% of Fund
Contracts		Description	Expiration Date	December 31, 2019		(Depreciation)			Net Assets
Short Contracts
	426	2 Year T Note Future	Mar-20		91,803,000	$	(34,965	)		(0.01	)%
	475	5 Year T Note Future	Mar-20		56,339,453		11,750			0.00	%
	175	Aluminum LME Future	Apr-20		7,938,438		38,371			0.01	%
	154	Aluminum LME Future	Mar-20		6,968,500		13,900			0.00	%
	71	Copper LME Future	Jan-20		10,931,338		—			0.00	%
	427	E-Mini Russell Future	Mar-20		35,667,310		(1,647	)		(0.00	)%
	483	ERX Bund Future	Mar-20		60,606,394		(9,563	)		(0.00	)%
	20	Japan Government Bond Future	Mar-20		28,016,338		(4,979	)		(0.00	)%
	445	Natural Gas Future	Feb-20		9,741,050		983			0.00	%
	120	ZiNickel LME Future	Jan-20		10,056,960		(44,160	)		(0.01	)%
					Subtotal		(30,310	)

FORWARD FOREIGN CURRENCY CONTRACTS
	Currency to							Unrealized
Settlement	Deliver/		In Exchange					Appreciation/			% of Fund
Date	Receive	Value	For	Value		U.S. Dollar Value		(Depreciation)			Net Assets
To Buy:
1/3/2020	BRL	33,244,360	USD		8,247,788	$	8,271,197	$	22,982			0.00	%
1/3/2020	USD	7,900,000	BRL		33,244,360		7,911,021		(360,175	)		(0.08	)%
3/18/2020	ZAR	110,000,000	USD		7,421,656		7,856,970		358,299			0.08	%
To Sell:
1/3/2020	BRL	32,205,350	USD		7,990,014	$	8,012,691	$	(22,264	)		(0.00	)%
1/3/2020	USD	7,900,000	BRL		32,205,350		7,911,021		101,670			0.02	%
1/31/2020	USD	20,300,000	INR		1,463,899,940		20,382,968		168,724			0.04	%
1/31/2020	USD	8,900,000	RUB		563,949,495		8,911,106		179,760			0.04	%
2/28/2020	USD	11,700,000	INR		849,940,610		11,782,176		150,140			0.03	%
2/28/2020	USD	7,900,000	IDR		111,572,660,000		7,930,144		128,303			0.03	%
3/18/2020	CNH	94,000,000	USD		13,308,475		13,498,400		(171,754	)		(0.04	)%
3/31/2020	USD	12,400,000	INR		892,953,940		12,536,601		(420	)		(0.00	)%
			Subtotal					$	555,265
All Other Investments									70,159,023
Total Unrealized Appreciation of Purchased Option									71,467,069

^ This investment is not a direct holding of the Fund. The top 50 holdings were determined based on the absolute notional values of the positions within the underlying basket.

See accompanying notes to financial statements.

19

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

ISAM Top 50 Holdings ^
FUTURES CONTRACTS
						Unrealized
Number of				Notional Value at		Appreciation/			% of Fund
Contracts		Description	Expiration Date	December 31, 2019		(Depreciation)			Net Assets
Long Contracts
	85	Aluminum LME Future	Feb-20		3,827,125	$	(18,453	)		(0.00	)%
	173	Australian 3 Year Bond Future	Mar-20		13,969,940		(95,766	)		(0.02	)%
	288	Australian Bills Future	Dec-20		14,412,637		(117,745	)		(0.03	)%
	2,780	BMF 1D Interbank Future	Jan-22		4,457,336		(10,659	)		(0.00	)%
	270	Bovespa Index Future	Feb-20		7,789,192		137,803			0.03	%
	106	Coffee NY Fuutre	Mar-20		5,155,575		269,906			0.06	%
	31	E-Mini Nasdaq Future	Mar-20		5,426,395		87,143			0.02	%
	38	Euro BPT Future	Mar-20		6,070,135		(53,228	)		(0.01	)%
	430	Euro BPS Future	Mar-20		54,209,136		70,350			0.02	%
	49	FTSE Index Future	Mar-20		4,871,298		(219	)		(0.00	)%
	64	Gas Oil London Future	Mar-20		3,928,000		(10,500	)		(0.00	)%
	63	Gasoline Blend Stock Future	Mar-20		4,506,138		31,361			0.01	%
	89	Gold CMX Future	Feb-20		13,555,590		244,010			0.05	%
	109	Gold TCE Future	Oct-20		5,327,762		126,302			0.03	%
	250	Korean Bond Future	Mar-20		23,907,039		24,439			0.01	%
	60	Kospi 200 Future	Mar-20		3,830,663		110,927			0.02	%
	188	Live Cattle Future	Feb-20		9,469,560		133,760			0.03	%
	85	Live Cattle Future	Apr-20		4,323,950		40,160			0.01	%
	39	MIB Index Future	Mar-20		5,118,678		(45,581	)		(0.01	)%
	208	Nifty Future	Jan-20		5,093,920		(32,865	)		(0.01	)%
	205	OMX 30 Index Future	Jan-20		3,868,724		(28,557	)		(0.01	)%
	54	Palladium NMX Future	Mar-20		10,310,220		950,670			0.21	%
	90	Palladium NMX Future	Apr-20		4,400,100		153,415			0.03	%
	56	S&P Canada Future	Mar-20		8,728,670		(25,012	)		(0.01	)%
	65	SFE SPI 200 Future	Mar-20		7,533,445		(207,453	)		(0.05	)%
	389	Short Sterling Future	Dec-20		4,571,979		(137,815	)		(0.03	)%
	60	Silver CMX Future	Mar-20		5,376,300		105,105			0.02	%
	63	Swiss Index Future	Mar-20		6,849,601		50,125			0.01	%
	111	Taiwan Index Future	Jan-20		5,101,560		(34,965	)		(0.01	)%
	25	Topix Index Future	Mar-20		3,960,451		6,611			0.00	%
					Subtotal	$	1,723,269
						Unrealized
Number of				Notional Value at		Appreciation/			% of Fund
Contracts		Description	Expiration Date	December 31, 2019		(Depreciation)			Net Assets
Short Contracts
	38	2 Year T Note Future	Mar-20		8,189,000	$	(7,687	)		(0.00	)%
	85	Aluminum LME Future	Feb-20		3,827,125		(32,035	)		(0.01	)%
	164	Aluminum LME Future	Mar-20		7,421,000		(237,083	)		(0.05	)%
	148	ERX Bund Future	Mar-20		18,570,903		11,981			0.00	%
	268	Euribor Future	Dec-20		5,385,808		20,001			0.00	%
	6	Japan Government Bond Future	Mar-20		8,404,901		(6,996	)		(0.00	)%
	151	Lean Hogs Future	Feb-20		4,314,070		(26,470	)		(0.01	)%
	232	Natural Gas Future	Mar-20		5,006,560		647,010			0.14	%
	688	Set 50 Index Future	Mar-20		4,938,829		(8,130	)		(0.00	)%
	109	Zinc LME Future	Mar-20		6,198,694		(14,693	)		(0.00	)%
					Subtotal		345,898

FORWARD FOREIGN CURRENCY CONTRACTS
	Currency to							Unrealized
Settlement	Deliver/		In Exchange					Appreciation/			% of Fund
Date	Receive	Value	For	Value		U.S. Dollar Value		(Depreciation)			Net Assets
To Buy:
3/18/2020	USD	6,250,309	BRL		26,224,681	$	6,277,920	$	(246,781	)		(0.05	)%
3/18/2020	USD	4,400,000	PEN		14,958,370		4,410,230		(104,895	)		(0.02	)%
3/18/2020	USD	4,000,000	JPY		432,527,640		3,983,261		1,844			0.00	%
3/18/2020	USD	3,900,000	THB		118,183,435		3,893,697		(82,230	)		(0.02	)%
To Sell:
12/18/2019	USD	14,600,000	THB		441,416,740	$	14,576,405	$	273,737			0.06	%
12/18/2019	USD	9,500,000	PHP		485,117,500		9,527,187		49,033			0.01	%
12/18/2019	USD	7,700,000	IDR		109,590,660,000		7,743,805		171,490			0.04	%
12/18/2019	USD	5,150,000	SGD		6,977,939		5,146,399		38,209			0.01	%
12/18/2019	USD	4,200,000	ILS		14,514,937		4,182,316		19,976			0.00	%
12/18/2019	USD	4,100,000	INR		295,798,880		4,138,414		14,306			0.00	%
			Subtotal					$	134,689
All Other Investments									37,411,324
Total Unrealized Appreciation of Purchased Option									39,615,180

^ This investment is not a direct holding of the Fund. The top 50 holdings were determined based on the absolute notional values of the positions within the underlying basket.

See accompanying notes to financial statements.

20

Altegris GSA Trend Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

December 31, 2019

Principal
Amount ($)			Yield (a)	Maturity	Value
		SHORT-TERM INVESTMENT - 41.4%
		U.S. TREASURY BILL - 41.4%
	10,759,000	U.S. Treasury Bill	1.56%	1/2/2020	$	10,759,000
		TOTAL SHORT-TERM INVESTMENT(Cost - $10,758,535)				10,759,000
		TOTAL INVESTMENTS - 41.4% (Cost - $10,758,535)			$	10,759,000
		OTHER ASSETS LESS LIABILITIES - 58.6%				15,247,533
		TOTAL NET ASSETS - 100.0%			$	26,006,533

(a) Represents annualized yield at date of purchase for discount securities, and coupon for coupon based securities.

						Unrealized
				Notional Value at		Appreciation/
Contracts		Long Futures Contracts - 1.8%	Expiration	December 31, 2019		(Depreciation)
	80	90-Day Bank Bill Future	September-20		56,123,937	$	(14,707	)
	46	90 Day Euro Future	March-21		11,320,600		(15,350	)
	106	90 Day Sterling Future	December-20		17,429,210		(8,817	)
	12	Amsterdam Index Future	January-20		1,628,874		(10,085	)
	64	Australian 3 Year Bond Future	March-20		5,174,330		(34,414	)
	9	Australian 10 Year Bond Future	March-20		904,432		(17,108	)
	99	BIST 30 Futures	February-20		235,065		787
	14	BP Currency Futures	March-20		1,163,050		10,034
	20	Brent Crude Oil Future (b)	March-20		1,320,000		8,040
	24	C$ Currency Future	March-20		1,850,040		20,365
	22	CAC40 10 Euro Future	January-20		1,474,292		1,330
	3	Cattle Feeder Future (b)	March-20		216,338		650
	49	Cocoa Future (b)	March-20		1,244,600		(4,690	)
	35	Cocoa Future (b)	March-20		843,403		(13,233	)
	25	Coffee C Future (b)	March-20		1,215,938		(15,206	)
	20	Copper Future (b)	March-20		1,398,500		(11,750	)
	3	Dax Index Future	March-20		1,115,190		(2,660	)
	12	Dija Mini Future	March-20		1,710,480		21,400
	19	Dollar Index Future	March-20		1,825,102		(11,186	)
	15	E-Mini Russell 2000 Index Future	March-20		1,252,950		12,415
	12	Euro BTP Future	March-20		1,918,937		8,380
	1	Euro Buxl Future	March-20		222,682		(3,271	)
	1	Euro OAT Future	March-20		182,709		(1,444	)
	34	Euro Stoxx 50 Future	March-20		1,423,174		(3,447	)
	13	FTSE 100 Index Future	March-20		1,291,461		464
	79	FTSE China A50 Future	January-20		1,138,390		19,946
	9	FTSE/MIB Index Future	March-20		1,182,498		(10,181	)
	15	Gasoline RBOB Future (b)	February-20		1,065,015		8,144
	23	Gold 100oz Future (b)	February-20		3,503,130		112,080
	3	Hang Seng index Future	January-20		544,226		(1,700	)
	9	HSCEI Future	January-20		647,469		4,549
	12	IBEX 35 Index Future	January-20		1,283,463		(11,037	)
	16	KOSPI Index Future	March-20		1,021,056		55,956
	47	Live Cattle Future (b)	February-20		2,367,390		8,670
	8	LME Copper (b)	March-20		1,235,000		(5,799	)
	5	Long Gilt Future	March-20		870,229		(12,900	)
	15	Low Sulfer Gas Oil Future (b)	February-20		920,625		(7,250	)
	107	Mexican Peso Future	March-20		2,802,865		54,905
	182	Mini BoveSpa Future	February-20		1,049,209		25,306
	18	MSCI EAFE Future	March-20		1,832,850		5,635
	22	MSCI Emerging Markets Future	March-20		1,232,220		11,425
	46	MSCI Sing Index Future	January-20		1,270,888		(1,188	)
	34	MSCI Taiwan Index Future	January-20		1,562,640		(1,860	)
	9	Nasdaq 100 E-Mini Future	March-20		1,575,405		22,957
	1	New Zealand Future	March-20		67,500		160
	12	Nikkei 225 (SGX)	March-20		1,290,545		3,169
	10	NY Harbor ULSD Future (b)	February-20		849,576		(7,539	)
	66	OMXS30 Index Future	January-20		1,246,703		(17,882	)

See accompanying notes to consolidated financial statements.

21

Altegris GSA Trend Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

								Unrealized
					Notional Value at			Appreciation/
Contracts			Long Futures Contracts (Continued) - 1.8%	Expiration	December 31, 2019			(Depreciation)
	9		Palladium Future (b)	March-20		1,718,370		$	128,850
	31		Platinum Future (b)	April-20		1,515,590			71,140
	153		Russia Trading System Index Future	March-20		474,239			11,827
	7		S&P Mid 400 E-Mini Future	March-20		1,445,360			13,070
	12		S&P/TSX 60 Index Future	March-20		1,873,730			(5,278	)
	12		S&P 500 E-Mini Future	March-20		1,938,660			18,153
	61		SGX Nifty 50 Future	January-20		1,493,890			(6,663	)
	71		Short-Euro BTP Future	March-20		8,960,396			22,513
	19		Silver Future (b)	March-20		1,702,495			70,905
	48		Soybean Oil Future (b)	March-20		1,001,376			25,716
	13		SPI 200 Future Indes	March-20		1,508,514			(41,886	)
	69		Stoxx Europe Future	March-20		1,602,493			650
	8		Topix Index Future	March-20		1,266,897			1,420
	4		US 2 Year Note Future	March-20		862,000			(750	)
	11		US 5 Year Note Future	March-20		1,304,703			(5,789	)
	7		US 10 Year Note Future	March-20		898,953			(9,281	)
	9		US 10 Year Ultra Future	March-20		1,266,328			(19,375	)
	7		US Long Bond Future	March-20		1,091,344			(27,726	)
	4		US Ultra Bond Future	March-20		726,625			(24,875	)
	49		Wheat Future (b)	March-20		1,368,938			64,825
	14		WTI Crude Future (b)	February-20		854,840			2,690
								$	462,199
								Unrealized
					Notional Value at			Appreciation/
Contracts			Short Futures Contracts - (1.1)%	Expiration	December 31, 2019			(Depreciation)
	(8	)	3MO Euro Euribor Future	December-20		(2,253,196	)	$	98
	(12	)	AUD/USD Currecny Future	March-20		(844,560	)		(21,060	)
	(17	)	Bank Accept Future	December-20		(3,213,023	)		(880	)
	(6	)	Canadian 10Y Bond Future	March-20		(636,113	)		3,456
	(47	)	Canola Future (b)	March-20		(346,570	)		(7,546	)
	(14	)	CHF Currency Future	March-20		(1,820,000	)		(31,850	)
	(23	)	Coffee Robusta Future (b)	March-20		(317,860	)		5,430
	(146	)	Corn Future (b)	March-20		(2,830,575	)		(64,100	)
	(10	)	Cotton Future (b)	March-20		(345,250	)		(14,740	)
	(12	)	Euro CHF 3 Month Future	September-20		(3,120,050	)		1,399
	(20	)	Euro FX Currency Future	March-20		(2,820,500	)		(29,725	)
	(11	)	Euro BOBL Future	March-20		(1,649,998	)		6,249
	(124	)	Euro Schatz Future	March-20		(15,576,067	)		6,650
	(13	)	FTSE KLCI Index Future	January-20		(253,453	)		3,319
	(4	)	FTSE/JSE Top 40 Future	March-20		(146,916	)		1,635
	(4	)	JPN 10Y Bond (OSE) Future	March-20		(5,601,288	)		1,828
	(28	)	JPN Yen Curency Future	March-20		(3,235,925	)		4,366
	(34	)	KC HRW Wheat Future (b)	March-20		(826,200	)		(90,050	)
	(8	)	Korea 3YR Bond Future	March-20		(764,685	)		(1,290	)
	(1	)	Korea 10 YR Bond Future	March-20		(112,655	)		455
	(39	)	Lean Hogs Future (b)	February-20		(1,114,230	)		(6,740	)
	(8	)	LME Lead Future (b)	March-20		(385,700	)		(8,400	)
	(39	)	LME PRI Aluminum Future (b)	March-20		(1,764,750	)		(43,631	)
	(21	)	LME Zinc Future (b)	March-20		(1,194,244	)		(9,247	)
	(130	)	Natural Gas Future (b)	February-20		(2,845,700	)		84,790
	(147	)	Set50 Future	March-20		(1,047,176	)		(166	)
	(39	)	Soybean Future (b)	March-20		(1,863,225	)		(35,100	)
	(41	)	Soybean Meal Future (b)	March-20		(1,249,270	)		6,880
	(39	)	Sugar #11 (World) Future (b)	March-20		(586,186	)		(39,782	)
	(4	)	White Sugar (ICE) Future (b)	March-20		(71,840	)		(3,400	)
	(27	)	WIG20 Index Future	March-20		(307,691	)		(2,676	)
								$	(283,828	)
	TOTAL UNREALIZED APPRECIATION ON FUTURES CONTRACTS							$	178,371

(b) All or a portion of these investments is a holding of the consolidated AGSAT Fund Limited.

See accompanying notes to consolidated financial statements.

22

Altegris GSA Trend Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Schedule of Forward Foreign Currency Contracts

			Currency Amount			Cost of U.S. Dollar						Unrealized Appreciation/
Foreign Currency	Settlement Date	Counterparty	Purchased			Sold			U.S. $ Value			(Depreciation)
To Buy:
Brazilian Real	1/3/2020	BAML		19,680,509			4,829,651			4,892,363		$	62,712
Brazilian Real	2/4/2020	BAML		3,000,684			739,358			745,134			5,776
Australian Dollar	3/18/2020	BAML		746,000			516,478			525,371			8,893
British Pound	3/18/2020	BAML		129,000			169,926			171,248			1,322
Canadian Dollar	3/18/2020	BAML		47,733			36,000			36,819			819
Chilean Peso	3/18/2020	BAML		943,646,397			1,256,394			1,255,936			(458	)
Czech Koruna	3/18/2020	BAML		33,804,702			1,478,494			1,493,362			14,868
Euro	3/18/2020	BAML		603,000			677,219			680,071			2,852
Hong Kong Dollar	3/18/2020	BAML		2,993,376			382,330			383,931			1,601
Hungary Forint	3/18/2020	BAML		284,409,773			964,320			969,008			4,688
Indian Rupee	3/18/2020	BAML		168,044,576			2,343,560			2,336,008			(7,552	)
Israeli Shekel	3/18/2020	BAML		13,942,624			4,039,518			4,053,202			13,684
Japanese Yen	3/18/2020	BAML		11,785,763			109,139			108,917			(222	)
Norwegian Krone	3/18/2020	BAML		20,292,858			2,275,556			2,309,867			34,311
Philippine Peso	3/18/2020	BAML		161,634,017			3,173,826			3,183,496			9,670
Polish Zloty	3/18/2020	BAML		6,342,213			1,656,409			1,674,904			18,495
Russian Ruble	3/18/2020	BAML		407,849,900			6,328,403			6,506,957			178,554
Singapore Dollar	3/18/2020	BAML		7,463,554			5,504,381			5,554,592			50,211
South African Rand	3/18/2020	BAML		39,415,149			2,683,498			2,790,848			107,350
South Korean Won	3/18/2020	BAML		2,790,504,244			2,405,620			2,417,486			11,866
Swedish Krona	3/18/2020	BAML		23,944,783			2,559,894			2,567,247			7,353
Taiwan Dollar	3/18/2020	BAML		76,968,881			2,573,638			2,576,928			3,290
Turkish Lira New	3/18/2020	BAML		28,924,942			4,864,429			4,769,524			(94,905	)
												$	435,178
			Currency Amount			Cost of U.S. Dollar						Unrealized Appreciation/
Foreign Currency	Settlement Date	Counterparty	Purchased			Sold			U.S. $ Value			(Depreciation)
To Sell:
Brazilian Real	1/3/2020	BAML		(19,680,510	)		(4,617,549	)		(4,892,363	)	$	(274,814	)
Brazilian Real	2/4/2020	BAML		(12,180,091	)		(2,984,565	)		(3,024,576	)		(40,011	)
Australian Dollar	3/18/2020	BAML		(1,487,000	)		(1,020,390	)		(1,047,221	)		(26,831	)
British Pound	3/18/2020	BAML		(293,000	)		(392,523	)		(388,961	)		3,562
Canadian Dollar	3/18/2020	BAML		(66,961	)		(50,529	)		(51,651	)		(1,122	)
Chilean Peso	3/18/2020	BAML		(2,229,135,412	)		(2,895,598	)		(2,966,841	)		(71,243	)
Czech Koruna	3/18/2020	BAML		(66,122,756	)		(2,875,832	)		(2,921,048	)		(45,216	)
Euro	3/18/2020	BAML		(2,105,000	)		(2,347,933	)		(2,374,046	)		(26,113	)
Hong Kong Dollar	3/18/2020	BAML		(3,370,610	)		(432,000	)		(432,315	)		(315	)
Hungary Forint	3/18/2020	BAML		(1,046,091,981	)		(3,513,826	)		(3,564,124	)		(50,298	)
Indian Rupee	3/18/2020	BAML		(3,877,784	)		(53,736	)		(53,905	)		(169	)
Israeli Shekel	3/18/2020	BAML		(36,790	)		(10,656	)		(10,695	)		(39	)
Japanese Yen	3/18/2020	BAML		(29,384,576	)		(270,000	)		(271,554	)		(1,554	)
Norwegian Krone	3/18/2020	BAML		(34,584,078	)		(3,784,187	)		(3,936,587	)		(152,400	)
Polish Zloty	3/18/2020	BAML		(9,699,539	)		(2,509,247	)		(2,561,533	)		(52,286	)
Singapore Dollar	3/18/2020	BAML		(364,967	)		(270,129	)		(271,619	)		(1,490	)
South African Rand	3/18/2020	BAML		(11,591,001	)		(786,096	)		(820,717	)		(34,621	)
South Korean Won	3/18/2020	BAML		(3,262,032,472	)		(2,749,432	)		(2,825,984	)		(76,552	)
Swedish Krona	3/18/2020	BAML		(27,936,071	)		(2,953,808	)		(2,995,175	)		(41,367	)
Taiwan Dollar	3/18/2020	BAML		(17,017,625	)		(563,061	)		(569,752	)		(6,691	)
Turkish Lira New	3/18/2020	BAML		(9,801,135	)		(1,614,353	)		(1,616,140	)		(1,787	)
Philippine Peso	3/18/2020	BAML		(634,769	)		(12,473	)		(12,502	)		(29	)
Russian Ruble	3/18/2020	BAML		(115,236,770	)		(1,837,217	)		(1,838,523	)		(1,306	)
												$	(902,692	)
Net unrealized depreciation on forward foreign currency contracts												$	(467,514	)

See accompanying notes to consolidated financial statements.

23

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

December 31, 2019

	Value
TOTAL INVESTMENTS - 0%	$	—
OTHER ASSETS LESS LIABILITIES - 100.0%		61,043,707
TOTAL NET ASSETS - 100.0%	$	61,043,707

						Unrealized
				Notional Value at		Appreciation/
Contracts		Long Futures Contracts	Expiration	December 31, 2019		(Depreciation)
	3	1 Month SOFR Future	January-20		1,230,661	$	385
	1	3MO Euro EURIBOR	December-22		280,990		(223	)
	3	3MO Euro EURIBOR	December-20		844,948		(334	)
	6	3MO Euro EURIBOR	September-20		1,690,065		(2,332	)
	3	3MO Euro EURIBOR	September-21		844,443		(1,067	)
	2	90 - Day Bank Bill	December-20		1,402,926		(712	)
	44	90 - Day Bank Bill	September-20		30,868,165		(7,980	)
	16	90 - Day EURO$ Future	June-20		3,932,400		(3,175	)
	13	90 - Day EURO$ Future	December-20		3,197,350		(4,187	)
	25	90 - Day EURO$ Future	March-21		6,152,500		(8,313	)
	3	90 - Day EURO$ Future	December-21		737,963		(900	)
	3	90 - Day EURO$ Future	March-22		737,888		(1,050	)
	4	90 - Day EURO$ Future	December-22		982,850		(325	)
	2	90 - Day EURO$ Future	December-23		490,875		(238	)
	64	90 - Day Sterling Future	December-20		10,523,297		(5,120	)
	16	Amsterdam Index Future	January-20		2,171,832		(11,878	)
	3	AUD/USD Future	March-20		211,140		1,310
	43	Australian 3Y Bond Future	March-20		3,476,503		(21,235	)
	20	Australian 10Y Bond Future	March-20		2,009,850		(34,113	)
	54	BIST 30 Future	February-20		128,217		436
	8	BP Currency Future	March-20		664,600		4,300
	24	Brent Crude Future (a)	March-20		1,584,000		17,300
	2	Brent Crude Future (a)	April-20		130,580		5,560
	1	Brent Crude Future (a)	May-20		64,680		440
	1	Brent Crude Future (a)	December-20		61,220		260
	1	Brent Financial Future (a)	March-20		66,000		(610	)
	17	C$ Currency Future	March-20		1,310,445		14,055
	24	CAC40 10 Euro Future	January-20		1,608,319		2,950
	8	Canadian 10YR Bond Future	March-20		848,151		(15,319	)
	19	Canola Future (a)	March-20		140,103		584
	2	Cattle Feeder Future (a)	March-20		144,225		(250	)
	9	CHF Currency Future	March-20		1,170,000		10,863
	28	Cocoa Future (a)	March-20		711,200		(1,510	)
	19	Cocoa Future (a)	March-20		457,847		(7,168	)
	1	Cocoa Future (a)	May-20		23,581		(1,049	)
	1	Cocoa Future (a)	July-20		23,355		(336	)
	19	Coffee ‘C’ Future (a)	March-20		924,113		10,913
	1	Coffee ‘C’ Future (a)	May-20		49,463		6,938
	1	Coffee Robusta Future (a)	March-20		13,820		(40	)
	14	Copper Future (a)	March-20		978,950		(8,900	)
	2	Corn Future (a)	March-20		38,775		(25	)
	1	Crude Palm Oil Future (a)	February-20		18,739		1,286
	10	Crude Palm Oil Future (a)	March-20		186,530		11,864
	2	Crude Palm Oil Future (a)	April-20		37,049		3,284
	1	Crude Palm Oil Future (a)	May-20		18,250		1,068
	8	DAX Index Future	March-20		2,973,841		(1,298	)
	1	DAX Mini Future	March-20		74,346		32
	22	Djia Mini Index Future	March-20		3,135,880		22,760
	10	Dollar Index Future	March-20		960,580		(5,730	)
	6	E-Mini Crude Oil Future (a)	February-20		183,180		143
	27	E-Mini Russell 2000 Future	March-20		2,255,310		15,948
	1	E-Mini S&P Real Estate Future	March-20		46,925		1,750
	1	Euro E-Mini Future	March-20		70,513		263
	1	Euro FX Currency Future	March-20		141,025		(62	)
	25	Euro BOBL Future	March-20		3,749,994		(22,025	)
	17	Euro BTP Future	March-20		2,718,495		186
	10	Euro Bund Future	March-20		1,913,752		(26,946	)

See accompanying notes to consolidated financial statements.

24

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

						Unrealized
				Notional Value at		Appreciation/
Contracts		Long Futures Contracts (Continued)	Expiration	December 31, 2019		(Depreciation)
	4	Euro BUXL 30Y Gond Future	March-20		890,727	$	(21,528	)
	15	Euro OAT Future	March-20		2,740,642		(35,123	)
	7	Euro SCHATZ Future	March-20		879,294		(124	)
	67	Euro Stoxx 50 Future	March-20		2,804,489		(9,924	)
	22	FTSE 100 Index	March-20		2,185,549		(619	)
	78	FTSE China A50 Future	January-20		1,123,980		17,296
	9	FTSE/MIB Index Future	March-20		1,182,498		(12,123	)
	18	Gasoline RBOB Future (a)	February-20		1,278,018		517
	1	Gasoline RBOB Future (a)	March-20		71,526		(638	)
	1	Gasoline RBOB Future (a)	May-20		78,985		777
	24	Gold 100 OZ Future (a)	February-20		3,655,440		91,900
	13	Hang Seng Index	January-20		2,358,313		3,442
	26	HSCEI Future	January-20		1,870,466		7,037
	11	IBEX 35 Index	January-20		1,176,508		(9,714	)
	1	ICE ECX Emission (a)	December-20		27,658		(2,118	)
	2	ICE ECX Emission (a)	December-21		55,811		(2,589	)
	7	KC HRW Wheat Future (a)	March-20		170,100		9,988
	9	KOSPI2 Index Future	March-20		574,344		30,610
	31	Live Cattle Future (a)	February-20		1,561,470		6,170
	2	Live Cattle Future (a)	April-20		101,740		1,820
	2	Live Cattle Future (a)	June-20		95,120		1,190
	5	LME Copper Future (a)	March-20		771,875		(1,503	)
	11	Long Gilt Future	March-20		1,914,504		(20,900	)
	20	Low SU Gasoil (a)	February-20		1,227,500		(2,275	)
	2	Low SU Gasoil (a)	March-20		122,250		25
	59	Mexican Peso Future	March-20		1,545,505		31,105
	4	Mill Wheat Euro Future (a)	March-20		42,374		348
	100	Mini BoveSpa Future	February-20		576,488		13,880
	3	Mini FTSE/MIB Future	March-20		78,833		(917	)
	12	Mini H-Shares Future	January-20		172,658		(214	)
	14	Mini HSI Index Future	January-20		507,944		1,013
	2	Mini TPX Future	March-20		31,672		194
	14	MSCI EAFE Future	March-20		1,425,550		2,330
	25	MSCI Emerging Markets Future	March-20		1,400,250		14,845
	29	MSCI Sing IX Future	January-20		801,212		(1,013	)
	24	MSCI Taiwan Index Future	January-20		1,103,040		(2,460	)
	17	NASDAQ 100 E-Mini	March-20		2,975,765		23,442
	1	Natural Gas Future (a)	February-20		21,890		180
	1	New Zealand Future	March-20		67,500		160
	35	NIKKEI 225 (Mini)	March-20		761,353		8,272
	6	NIKKEI 225 (OSE)	March-20		1,305,176		6,577
	16	NIKKEI 225 (SGX)	March-20		1,720,727		(11,379	)
	19	NY Harb ULSD Future (a)	February-20		1,614,194		722
	1	NY Harb ULSD Future (a)	March-20		84,693		(378	)
	1	NY Harb ULSD Future (a)	December-20		81,879		(55	)
	4	NYSE Fang Index Future	March-20		624,800		3,925
	2	Oat Future (a)	March-20		29,200		(137	)
	67	OMXS30 Index Future	January-20		1,265,593		(16,820	)
	6	Palladium Future (a)	March-20		1,145,580		84,720
	21	Platinum Future (a)	April-20		1,026,690		44,950
	10	Rapeseed Euro Future (a)	February-20		230,955		5,884
	4	Rough Rice (CBOT) Future (a)	March-20		106,280		1,840
	84	RTS Index Future	March-20		260,366		6,542
	9	S&P Mid 400 E-Mini Future	March-20		1,858,320		16,545
	9	S&P/TSX 60 Index Future	March-20		1,405,298		(3,540	)
	25	S&P 500 E-mini Future	March-20		4,038,875		18,938
	9	SGX Iron Roe Future (a)	January-20		82,188		102
	42	SGX NIFTY 50	January-20		1,028,580		(5,418	)
	50	Short Euro-BTP Future	March-20		6,310,138		13,677
	18	Silver Future (a)	March-20		1,612,890		36,170
	3	Soybean Future (a)	March-20		143,325		500
	1	Soybean Meal Future (a)	March-20		30,470		(130	)
	34	Soybean Oil Future (a)	March-20		709,308		16,248

See accompanying notes to consolidated financial statements.

25

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

								Unrealized
					Notional Value at			Appreciation/
Contracts			Long Futures Contracts (Continued)	Expiration	December 31, 2019			(Depreciation)
	13		SPI 200 Future	March-20		1,508,514		$	(41,989	)
	2		Stoxx 50 Future	March-20		75,791			371
	1		Stoxx 600 Bank Future	March-20		8,009			(72	)
	1		Stoxx 600 Institutional Future	March-20		18,083			(35	)
	1		Stoxx 600 Utility Future	March-20		19,908			(62	)
	48		Stoxx Europe 600 Future	March-20		1,114,778			1,011
	21		Sugar #11 (World) Future (a)	February-20		315,638			986
	2		Sugar #11 (World) Future (a)	May-20		30,330			1,299
	8		SX5E Dividend Future	December-20		110,813			(302	)
	16		Topix Index Future	March-20		2,533,793			(6,429	)
	28		US 2YR Note (CBT)	March-20		6,034,000			1,914
	46		US 5YR Note (CBT)	March-20		5,456,031			(12,688	)
	18		US 10YR Note (CBT)	March-20		2,311,594			(23,305	)
	15		US 10 Year Ultra Future	March-20		2,110,547			(31,227	)
	13		US Long Bond (CBT)	March-20		2,026,781			(39,500	)
	8		US Ultra Bond (CBT)	March-20		1,453,250			(36,437	)
	36		Wheat Future (a)	March-20		1,005,750			46,875
	2		Wheat Future (a)	May-20		56,175			3,112
	1		Wheat Future (a)	July-20		28,175			1,275
	4		Wheat Future (a)	December-20		115,550			4,713
	6		White Sugar (ICE) (a)	March-20		107,760			2,075
	22		WTI Crude Oil Future (a)	February-20		1,343,320			21,790
	4		WTI Crude Oil Future (a)	February-20		244,240			1,240
	2		WTI Crude Oil Future (a)	March-20		121,540			1,690
	1		WTI Crude Oil Future (a)	May-20		59,970			930
	2		WTI Crude Oil Future (a)	December-20		112,880			3,850
	1		XAF Financial Future	March-20		94,775			625
	3		XAP Consumer Staples Future	March-20		190,380			660
	3		XAY Consumer Discretinary Future	March-20		380,460			(710	)
	19		Yen Denom Nikkei Future	March-20		2,047,734			(35,798	)
								$	168,532
								Unrealized
					Notional Value at			Appreciation/
Contracts			Short Futures Contracts	Expiration	December 31, 2019			(Depreciation)
	(4	)	3MO Euro Euribor Future	March-23		(1,123,511	)	$	307
	(5	)	3MO Euro Euribor Future	December-20		(1,408,247	)		56
	(3	)	90 Day Euro Future	March-21		(738,300	)		(225	)
	(2	)	90 Day Euro Future	March-24		(490,750	)		575
	(1	)	90 Day Sterling Future	March-21		(164,435	)		(58	)
	(7	)	AUD/USD Currency Future	March-20		(492,660	)		(12,285	)
	(11	)	Australian 10Y Bond Future	March-20		(1,105,417	)		7,458
	(9	)	Bank Accept Future	December-20		(1,701,012	)		(444	)
	(8	)	Bank Accept Future	March-21		(1,511,857	)		(207	)
	(9	)	CAC40 10 Euro Future	January-20		(603,120	)		2,830
	(1	)	Canadian 5 YR Bond Future	March-20		(92,763	)		299
	(3	)	Canadian 10 YR Bond Future	March-20		(318,057	)		1,448
	(26	)	Canola Future (WCE) (a)	March-20		(191,719	)		(4,138	)
	(1	)	Canola Future (WCE) (a)	May-20		(7,519	)		(154	)
	(8	)	CBOE Volatility Index Future	January-20		(117,000	)		6,940
	(18	)	CBOE Volatility Index Future (a)	January-20		(263,250	)		5,600
	(4	)	CBOE Volatility Index Future (a)	February-20		(66,500	)		(820	)
	(8	)	CBOE Volatility Index Future (a)	February-20		(133,000	)		1,700
	(1	)	CBOE Volatility Index Future (a)	March-20		(16,925	)		1,075
	(1	)	CBOE Volatility Index Future (a)	April-20		(17,425	)		(65	)
	(8	)	CHF Currency Future	March-20		(1,040,000	)		(18,200	)
	(1	)	Cocoa Future (a)	May-20		(25,410	)		200
	(1	)	Cocoa Future (a)	March-20		(48,638	)		1,875
	(1	)	Coffee ‘C’ Future (a)	March-20		(24,097	)		(513	)
	(14	)	Coffee Robusta Future (a)	March-20		(193,480	)		2,510
	(1	)	Coffee Robusta Future (a)	May-20		(14,000	)		240
	(1	)	Corn Future (a)	December-20		(20,125	)		(388	)
	(1	)	Corn Future (a)	July-20		(20,050	)		(525	)
	(111	)	Corn Future (a)	March-20		(2,152,013	)		(39,025	)
	(1	)	Corn Future (a)	May-20		(19,738	)		(538	)
	(6	)	Cotton No.2 Future (a)	March-20		(207,150	)		(7,560	)

See accompanying notes to consolidated financial statements.

26

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

								Unrealized
					Notional Value at			Appreciation/
Contracts			Short Futures Contracts (Continued)	Expiration	December 31, 2019			(Depreciation)
	(1	)	Cotton No.2 Future (a)	May-20		(35,090	)	$	(1,950	)
	(6	)	Dollar Index Future	March-20		(576,348	)		3,438
	(5	)	E-Mini Natural Gas Future (a)	February-20		(27,363	)		1,637
	(3	)	E-Mini S&P Real Estate	March-20		(140,775	)		(1,815	)
	(37	)	Euro Bobl Future	March-20		(5,549,992	)		5,286
	(2	)	Euro BTP Future	March-20		(319,823	)		(11	)
	(24	)	Euro Bund Future	March-20		(4,593,004	)		9,581
	(6	)	Euro CHF 3 Month Future	September-20		(1,560,025	)		763
	(2	)	Euro E-Mini Future	March-20		(141,025	)		(1,219	)
	(11	)	Euro FX Currency Future	March-20		(1,551,275	)		(16,349	)
	(1	)	Euro/GBP Future	March-20		(140,556	)		(124	)
	(5	)	Euro Oat Future	March-20		(913,547	)		2,203
	(73	)	Euro Schatz Future	March-20		(9,169,782	)		3,781
	(11	)	FTSE KLCI Future	January-20		(214,460	)		2,298
	(4	)	FTSE/JSE Top 40 Future	March-20		(146,916	)		2,247
	(3	)	IBEX 35 Index	January-20		(320,866	)		3,525
	(2	)	Ice EXM Emissions Future (a)	December-20		(55,317	)		1,447
	(2	)	INR/USD Future	January-20		(55,940	)		28
	(6	)	Japan 10Y Bond (OSE) Future	March-20		(8,401,932	)		(11,515	)
	(16	)	Japanese Yen Currency Future	March-20		(1,849,100	)		2,589
	(18	)	KC HRW Wheat Future (a)	March-20		(437,400	)		(48,500	)
	(5	)	Korea 3YR Bond Future	March-20		(477,928	)		(823	)
	(1	)	Korea 10YR Bond Future	March-20		(112,655	)		455
	(24	)	Lean Hogs Future (a)	February-20		(685,680	)		(5,600	)
	(1	)	Lean Hogs Future (a)	June-20		(35,770	)		(300	)
	(4	)	LME Lead Future (a)	March-20		(192,850	)		(4,172	)
	(22	)	LME PRI Aluminum (a)	March-20		(995,500	)		(24,613	)
	(12	)	LME Zinc Future (a)	March-20		(682,425	)		(4,087	)
	(7	)	Long Gilt Future	March-20		(1,218,321	)		(5,248	)
	(1	)	MSCI Sing IX ETS Future	January-20		(27,628	)		104
	(1	)	MSCI Taiwan Index	January-20		(45,960	)		300
	(1	)	Natural Gas Future (a)	April-20		(21,490	)		530
	(88	)	Natural Gas Future (a)	February-20		(1,926,320	)		58,870
	(3	)	Natural Gas Future (a)	March-20		(64,740	)		2,390
	(13	)	NIKKEI 225 (CME)	March-20		(1,524,575	)		33,875
	(80	)	Set50 Future	March-20		(569,892	)		98
	(2	)	SGX Nifty 50	January-20		(48,980	)		278
	(1	)	Soybean Future (a)	July-20		(48,988	)		(762	)
	(22	)	Soybean Future (a)	March-20		(1,051,050	)		(19,700	)
	(2	)	Soybean Future (a)	May-20		(96,875	)		(850	)
	(5	)	Soybean Future (a)	November-20		(244,688	)		(1,812	)
	(28	)	Soybean Meal Future (a)	March-20		(853,160	)		3,660
	(4	)	Soybean Meal Future (a)	May-20		(123,400	)		(850	)
	(1	)	Soybean Oil Future (a)	March-20		(20,862	)		72
	(1	)	Sugar #11 (World) Future (a)	July-20		(15,299	)		(179	)
	(30	)	Sugar #11 (World) Future (a)	March-20		(450,912	)		(23,486	)
	(1	)	Swiss Fed Bond Future	March-20		(162,070	)		62
	(1	)	US 2Y Future	March-20		(215,500	)		(164	)
	(36	)	US 10Y Note Future	March-20		(4,623,188	)		(1,766	)
	(2	)	Vstoxx Future (a)	February-20		(3,412	)		(145	)
	(5	)	Vstoxx Future (a)	January-20		(8,054	)		(409	)
	(2	)	White Sugar (ICE) (a)	March-20		(35,920	)		(1,690	)
	(1	)	White Sugar (ICE) (a)	May-20		(18,230	)		(1,345	)
	(15	)	WIG20 Index Future	March-20		(170,940	)		(1,521	)
	(1	)	WTI Crude Future (a)	December-20		(56,440	)		310
	(1	)	WTI Crude Future (a)	February-20		(61,060	)		320
	(2	)	XAB Materials Future	March-20		(130,280	)		(1,620	)
	(1	)	XAE Energy Future	March-20		(62,290	)		(60	)
	(2	)	XAK Technology Future	March-20		(184,760	)		(180	)
	(1	)	XAU Utilities Future	March-20		(65,270	)		(210	)
								$	(94,960	)
TOTAL UNREALIZED APPRECIATION ON FUTURES CONTRACTS								$	73,572

(a) All or a portion of these investments is a holding of the consolidated AMFS Fund Limited.

See accompanying notes to consolidated financial statements.

27

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

Schedule of Forward Foreign Currency Contracts

									Unrealized
	Settlement		Currency Amount						Appreciation/
Foreign Currency	Date	Counterparty	Purchased		Cost of USD Sold		U.S. $ Value		(Depreciation)
To Buy:
Australian Dollar	1/2/2020	BAML		160,632	$	112,399	$	112,917	$	518
British Pound	1/2/2020	BAML		165,950		217,666		219,842		2,176
Canadian Dollar	1/2/2020	BAML		400,000		308,288		308,465		177
Chilean Peso	1/2/2020	BAML		81,565,271		100,000		108,471		8,471
Chinese Yen	1/2/2020	BAML		3,343,490		479,124		480,034		910
Euro	1/2/2020	BAML		1,120,000		1,254,369		1,257,203		2,834
Mexican Peso	1/2/2020	BAML		1,540,000		81,569		81,548		(21	)
Norwegian Krone	1/2/2020	BAML		12,204,342		1,385,370		1,388,861		3,491
Polish Zloty	1/2/2020	BAML		290,000		76,348		76,572		224
South African Rand	1/2/2020	BAML		1,600,000		113,470		114,421		951
Swedish Krona	1/2/2020	BAML		50,000		5,352		5,341		(11	)
Taiwan Dollar	1/2/2020	BAML		21,314,846		701,850		711,040		9,190
Brazilian Real	1/3/2020	BAML		450,000		339,799		339,879		32,233
British Pound	1/3/2020	BAML		10,784,092		2,648,577		2,680,810		217
Chilean Peso	1/3/2020	BAML		89,050		117,752		117,969		6,617
New Zealand Dollar	1/3/2020	BAML		80,631,613		100,613		107,230		294
South African Rand	1/3/2020	BAML		140,000		94,160		94,454		2,064
Swedish Krona	1/3/2020	BAML		9,817,303		700,000		702,064		(474	)
Swiss Franc	1/3/2020	BAML		1,180,000		126,527		126,053		19
Chilean Peso	1/6/2020	BAML		156,056,887		200,000		207,544		7,544
Japanese Yen	1/6/2020	BAML		131,500,000		1,201,206		1,210,237		9,031
New Zealand Dollar	1/6/2020	BAML		100,000		67,420		67,468		48
Taiwan Dollar	1/6/2020	BAML		6,070,400		200,000		202,532		2,532
Japanese Yen	1/7/2020	BAML		265,038,082		2,431,739		2,439,368		7,629
Chilean Peso	1/9/2020	BAML		78,390,888		100,000		104,257		4,257
Taiwan Dollar	1/10/2020	BAML		3,036,000		100,000		101,313		1,313
Colombian Peso	1/13/2020	BAML		334,345,000		100,000		101,851		1,851
Indian Rupee	1/13/2020	BAML		113,792,000		1,600,000		1,592,544		(7,456	)
South Korean Won	1/13/2020	BAML		1,626,296,000		1,400,000		1,406,608		6,608
Taiwan Dollar	1/13/2020	BAML		6,016,800		200,000		200,814		814
Australian Dollar	1/15/2020	BAML		2,710,000		1,870,384		1,905,582		35,198
Brazilian Real	1/15/2020	BAML		3,240,000		792,644		805,136		12,492
British Pound	1/15/2020	BAML		2,563,450		3,380,711		3,397,158		16,447
Canadian Dollar	1/15/2020	BAML		5,020,000		3,820,632		3,871,467		50,835
Chinese Yen	1/15/2020	BAML		9,790,511		1,400,000		1,405,304		5,304
Euro	1/15/2020	BAML		4,370,000		4,887,541		4,909,140		21,599
Israeli Shekel	1/15/2020	BAML		2,434,172		700,000		705,165		5,165
Japanese Yen	1/15/2020	BAML		657,290,861		6,029,866		6,052,388		22,522
Mexican Peso	1/15/2020	BAML		52,040,000		2,737,391		2,750,545		13,154
New Zealand Dollar	1/15/2020	BAML		1,380,000		908,776		931,184		22,408
Norwegian Krone	1/15/2020	BAML		23,257,163		2,589,244		2,646,829		57,585
Polish Zloty	1/15/2020	BAML		3,722,362		958,619		982,893		24,274
Russian Ruble	1/15/2020	BAML		285,253,550		4,533,073		4,585,572		52,499
Singapore Dollar	1/15/2020	BAML		406,591		300,000		302,404		2,404
South African Rand	1/15/2020	BAML		6,920,780		474,631		494,111		19,480
Swedish Krona	1/15/2020	BAML		20,501,486		2,170,144		2,191,410		21,266
Swiss Franc	1/15/2020	BAML		3,030,000		3,090,849		3,131,750		40,901
Turkish Lira New	1/15/2020	BAML		2,423,330		409,680		405,919		(3,761	)
Taiwan Dollar	1/16/2020	BAML		12,083,332		400,000		403,351		3,351
Indian Rupee	1/17/2020	BAML		7,085,113		100,000		99,116		(884	)
South Korean Won	1/17/2020	BAML		1,638,535,498		1,400,000		1,417,325		17,325
Indian Rupee	1/21/2020	BAML		121,564,768		1,700,000		1,699,898		(102	)
South Korean Won	1/21/2020	BAML		1,161,490,000		1,000,000		1,004,775		4,775
Taiwan Dollar	1/21/2020	BAML		15,018,387		500,000		501,448		1,448
Taiwan Dollar	1/30/2020	BAML		21,007,480		700,000		701,735		1,735
Brazilian Real	2/4/2020	BAML		1,648,611		406,212		409,385		3,173

See accompanying notes to consolidated financial statements.

28

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

												Unrealized
	Settlement		Currency Amount									Appreciation/
Foreign Currency	Date	Counterparty	Purchased			Cost of USD Sold			U.S. $ Value			(Depreciation)
To Buy (Continued):
Australian Dollar	3/18/2020	BAML		136,000		$	93,961		$	95,778		$	1,817
British Pound	3/18/2020	BAML		82,000			108,013			108,856			843
Canadian Dollar	3/18/2020	BAML		27,844			21,000			21,478			478
Chilean Peso	3/18/2020	BAML		519,774,665			691,425			691,789			364
Czech Koruna	3/18/2020	BAML		18,549,298			811,297			819,437			8,140
Euro	3/18/2020	BAML		71,000			79,242			80,075			833
Hong Kong Dollar	3/18/2020	BAML		1,690,694			215,946			216,849			903
Hungary Forint	3/18/2020	BAML		156,522,227			530,614			533,285			2,671
Indian Rupee	3/18/2020	BAML		92,108,822			1,284,370			1,280,416			(3,954	)
Israeli Shekel	3/18/2020	BAML		7,646,602			2,215,372			2,222,913			7,541
Japanese Yen	3/18/2020	BAML		4,666,172			43,279			43,122			(157	)
Norwegian Krone	3/18/2020	BAML		11,147,384			1,250,045			1,268,867			18,822
Philippine Peso	3/18/2020	BAML		88,595,779			1,739,470			1,744,955			5,485
Polish Zloty	3/18/2020	BAML		3,488,209			911,068			921,194			10,126
Russian Ruble	3/18/2020	BAML		223,719,881			3,471,472			3,569,293			97,821
Singapore Dollar	3/18/2020	BAML		4,080,341			3,009,256			3,036,709			27,453
South African Rand	3/18/2020	BAML		21,572,683			1,468,861			1,527,485			58,624
South Korean Won	3/18/2020	BAML		1,505,849,998			1,298,672			1,304,558			5,886
Swedish Krona	3/18/2020	BAML		13,211,486			1,412,359			1,416,473			4,114
Taiwan Dollar	3/18/2020	BAML		42,177,750			1,410,304			1,412,116			1,812
Turkish Lira New	3/18/2020	BAML		15,793,932			2,656,119			2,604,309			(51,810	)
													752,456
												Unrealized
	Settlement		Currency Amount									Appreciation/
Foreign Currency	Date	Counterparty	Purchased			Cost of USD Sold			U.S. $ Value			(Depreciation)
To Sell:
Australian Dollar	1/2/2020	BAML		(160,000	)	$	(111,921	)	$	(112,475	)	$	(554	)
British Pound	1/2/2020	BAML		(165,950	)		(217,747	)		(219,849	)		(2,102	)
Canadian Dollar	1/2/2020	BAML		(200,000	)		(154,022	)		(154,231	)		(209	)
Chilean Peso	1/2/2020	BAML		(81,565,271	)		(101,803	)		(108,472	)		(6,669	)
Chinese Yen	1/2/2020	BAML		(3,343,490	)		(479,386	)		(480,032	)		(646	)
Euro	1/2/2020	BAML		(1,120,000	)		(1,255,049	)		(1,257,200	)		(2,151	)
Mexican Peso	1/2/2020	BAML		(1,540,000	)		(81,405	)		(81,550	)		(145	)
Norwegian Krone	1/2/2020	BAML		(12,204,342	)		(1,386,552	)		(1,388,859	)		(2,307	)
Polish Zloty	1/2/2020	BAML		(290,000	)		(76,239	)		(76,572	)		(333	)
South African Rand	1/2/2020	BAML		(1,600,000	)		(113,975	)		(114,422	)		(447	)
Swedish Krona	1/2/2020	BAML		(50,000	)		(5,317	)		(5,341	)		(24	)
Taiwan Dollar	1/2/2020	BAML		(21,314,846	)		(700,505	)		(711,041	)		(10,536	)
Australian Dollar	1/3/2020	BAML		(100,000	)		(70,119	)		(70,295	)		(176	)
Brazilian Real	1/3/2020	BAML		(10,784,092	)		(2,529,876	)		(2,680,810	)		(150,934	)
Chilean Peso	1/3/2020	BAML		(80,631,613	)		(100,000	)		(107,230	)		(7,230	)
Euro	1/3/2020	BAML		(375,000	)		(421,106	)		(420,945	)		161
New Zealand Dollar	1/3/2020	BAML		(140,000	)		(94,101	)		(94,458	)		(357	)
Swedish Krona	1/3/2020	BAML		(1,180,000	)		(126,653	)		(126,054	)		599
Swiss Franc	1/3/2020	BAML		(155,000	)		(159,877	)		(160,066	)		(189	)
Chilean Peso	1/6/2020	BAML		(160,436,000	)		(200,000	)		(213,368	)		(13,368	)
Japanese Yen	1/6/2020	BAML		(131,500,000	)		(1,204,248	)		(1,210,238	)		(5,990	)
Swiss Franc	1/6/2020	BAML		(250,000	)		(258,791	)		(258,227	)		564
Taiwan Dollar	1/6/2020	BAML		(6,089,914	)		(200,000	)		(203,183	)		(3,183	)
Japanese Yen	1/7/2020	BAML		(90,038,082	)		(828,153	)		(828,699	)		(546	)
Chilean Peso	1/9/2020	BAML		(77,811,000	)		(100,000	)		(103,486	)		(3,486	)
Russian Ruble	1/10/2020	BAML		(6,201,260	)		(100,000	)		(99,752	)		248
Taiwan Dollar	1/10/2020	BAML		(3,046,384	)		(100,000	)		(101,660	)		(1,660	)
Colombian Peso	1/13/2020	BAML		(343,555,510	)		(100,000	)		(104,656	)		(4,656	)
Indian Rupee	1/13/2020	BAML		(113,881,600	)		(1,600,000	)		(1,593,797	)		6,203
South Korean Won	1/13/2020	BAML		(1,666,527,395	)		(1,400,000	)		(1,441,403	)		(41,403	)
Taiwan Dollar	1/13/2020	BAML		(6,070,300	)		(200,000	)		(202,600	)		(2,600	)

See accompanying notes to consolidated financial statements.

29

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

												Unrealized
	Settlement		Currency Amount									Appreciation/
Foreign Currency	Date	Counterparty	Purchased			Cost of USD Sold			U.S. $ Value			(Depreciation)
To Sell (Continued):
Australian Dollar	1/15/2020	BAML		(2,860,000	)	$	(1,963,070	)	$	(2,011,057	)	$	(47,987	)
Brazilian Real	1/15/2020	BAML		(5,550,000	)		(1,318,835	)		(1,379,129	)		(60,294	)
British Pound	1/15/2020	BAML		(2,315,000	)		(3,035,559	)		(3,067,904	)		(32,345	)
Canadian Dollar	1/15/2020	BAML		(4,320,000	)		(3,280,072	)		(3,331,620	)		(51,548	)
Chinese Yen	1/15/2020	BAML		(13,310,628	)		(1,900,000	)		(1,910,573	)		(10,573	)
Euro	1/15/2020	BAML		(3,375,000	)		(3,761,863	)		(3,791,384	)		(29,521	)
Hungary Forint	1/15/2020	BAML		(295,196,400	)		(1,000,000	)		(1,002,572	)		(2,572	)
Japanese Yen	1/15/2020	BAML		(563,790,861	)		(5,161,352	)		(5,191,433	)		(30,081	)
Mexican Peso	1/15/2020	BAML		(30,300,000	)		(1,576,837	)		(1,601,489	)		(24,652	)
New Zealand Dollar	1/15/2020	BAML		(3,260,000	)		(2,134,944	)		(2,199,755	)		(64,811	)
Norwegian Krone	1/15/2020	BAML		(34,114,712	)		(3,813,641	)		(3,882,492	)		(68,851	)
Polish Zloty	1/15/2020	BAML		(6,640,997	)		(1,730,503	)		(1,753,561	)		(23,058	)
Russian Ruble	1/15/2020	BAML		(154,901,960	)		(2,454,325	)		(2,490,108	)		(35,783	)
South African Rand	1/15/2020	BAML		(17,790,684	)		(1,225,978	)		(1,270,174	)		(44,196	)
Swedish Krona	1/15/2020	BAML		(29,294,009	)		(3,101,626	)		(3,131,246	)		(29,620	)
Swiss Franc	1/15/2020	BAML		(1,455,000	)		(1,473,890	)		(1,503,859	)		(29,969	)
Turkish Lira New	1/15/2020	BAML		(8,968,487	)		(1,518,842	)		(1,502,265	)		16,577
Taiwan Dollar	1/16/2020	BAML		(12,029,000	)		(400,000	)		(401,535	)		(1,535	)
Indian Rupee	1/17/2020	BAML		(7,099,012	)		(100,000	)		(99,311	)		689
South Korean Won	1/17/2020	BAML		(1,626,394,000	)		(1,400,000	)		(1,406,823	)		(6,823	)
Colombian Peso	1/21/2020	BAML		(334,471,000	)		(100,000	)		(101,859	)		(1,859	)
Indian Rupee	1/21/2020	BAML		(121,009,812	)		(1,700,000	)		(1,692,138	)		7,862
South Korean Won	1/21/2020	BAML		(1,171,858,519	)		(1,000,000	)		(1,013,746	)		(13,746	)
Taiwan Dollar	1/21/2020	BAML		(15,025,029	)		(500,000	)		(501,670	)		(1,670	)
South Korean Won	1/28/2020	BAML		(1,161,520,000	)		(1,000,000	)		(1,004,963	)		(4,963	)
Taiwan Dollar	1/30/2020	BAML		(3,002,700	)		(100,000	)		(100,302	)		(302	)
Indian Rupee	2/3/2020	BAML		(114,609,280	)		(1,600,000	)		(1,600,467	)		(467	)
Brazilian Real	2/4/2020	BAML		(6,675,900	)		(1,635,837	)		(1,657,769	)		(21,932	)
Australian Dollar	3/18/2020	BAML		(853,000	)		(585,338	)		(600,726	)		(15,388	)
British Pound	3/18/2020	BAML		(172,000	)		(230,455	)		(228,332	)		2,123
Canadian Dollar	3/18/2020	BAML		(8,436	)		(6,366	)		(6,507	)		(141	)
Chilean Peso	3/18/2020	BAML		(1,223,930,016	)		(1,589,883	)		(1,628,975	)		(39,092	)
Czech Koruna	3/18/2020	BAML		(36,255,889	)		(1,576,852	)		(1,601,645	)		(24,793	)
Euro	3/18/2020	BAML		(1,175,000	)		(1,310,789	)		(1,325,179	)		(14,390	)
Hong Kong Dollar	3/18/2020	BAML		(1,817,900	)		(233,000	)		(233,164	)		(164	)
Hungary Forint	3/18/2020	BAML		(573,830,834	)		(1,927,504	)		(1,955,091	)		(27,587	)
Indian Rupee	3/18/2020	BAML		(2,164,143	)		(29,953	)		(30,084	)		(131	)
Israeli Shekel	3/18/2020	BAML		(27,814	)		(8,039	)		(8,086	)		(47	)
Japanese Yen	3/18/2020	BAML		(4,351,564	)		(40,000	)		(40,214	)		(214	)
Norwegian Krone	3/18/2020	BAML		(18,977,343	)		(2,076,494	)		(2,160,125	)		(83,631	)
Polish Zloty	3/18/2020	BAML		(5,326,369	)		(1,377,932	)		(1,406,632	)		(28,700	)
Russian Ruble	3/18/2020	BAML		(63,398,626	)		(1,010,717	)		(1,011,482	)		(765	)
Singapore Dollar	3/18/2020	BAML		(190,483	)		(140,974	)		(141,763	)		(789	)
South African Rand	3/18/2020	BAML		(6,303,743	)		(427,496	)		(446,345	)		(18,849	)
South Korean Won	3/18/2020	BAML		(1,745,818,284	)		(1,471,456	)		(1,512,447	)		(40,991	)
Swedish Krona	3/18/2020	BAML		(15,407,088	)		(1,629,257	)		(1,651,876	)		(22,619	)
Taiwan Dollar	3/18/2020	BAML		(9,331,212	)		(308,741	)		(312,410	)		(3,669	)
Turkish Lira New	3/18/2020	BAML		(5,351,837	)		(881,691	)		(882,480	)		(789	)
Philippine Peso	3/18/2020	BAML		(386,836	)		(7,598	)		(7,619	)		(21	)
													(1,188,803	)

														Unrealized
		Settlement		Currency Amount		Currency Amount			Market Value		Market Value			Appreciation/
Foreign Currency		Date	Counterparty	Purchased Buy		Purchased Sell			Buy		Sell			(Depreciation)
To Buy:	To Sell:
Australian Dollar	British Pound	1/2/2020	BAML		234,085	$	(125,000	)	$	164,550	$	(165,594	)	$	(1,044	)
British Pound	Australian Dollar	1/2/2020	BAML		125,000		(234,717	)		165,594		(164,994	)		600

See accompanying notes to consolidated financial statements.

30

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited) (Continued)

December 31, 2019

														Unrealized
		Settlement		Currency Amount		Currency Amount			Market Value		Market Value			Appreciation/
Foreign Currency		Date	Counterparty	Purchased Buy		Purchased Sell			Buy		Sell			(Depreciation)
To Buy:	To Sell:
British Pound	Australian Dollar	1/3/2020	BAML		125,000	$	(235,938	)	$	165,594	$	(165,853	)	$	(259	)
British Pound	Euro	1/3/2020	BAML		169,236		(200,000	)		224,196		(224,500	)		(304	)
Canadian Dollar	Euro	1/3/2020	BAML		181,844		(125,000	)		140,230		(140,313	)		(82	)
Euro	British Pound	1/3/2020	BAML		100,000		(84,862	)		112,250		(112,421	)		(170	)
Euro	Japanese Yen	1/6/2020	BAML		100,000		(12,222,324	)		112,271		(112,487	)		(215	)
Japanese Yen	Euro	1/6/2020	BAML		12,219,080		(100,000	)		112,456		(112,272	)		184
Australian Dollar	Japanese Yen	1/7/2020	BAML		200,000		(15,249,197	)		140,605		(140,351	)		253
Canadian Dollar	Japanese Yen	1/7/2020	BAML		200,000		(16,688,745	)		154,235		(153,601	)		634
Euro	Japanese Yen	1/7/2020	BAML		200,000		(24,389,300	)		224,558		(224,476	)		83
Japanese Yen	Canadian Dollar	1/7/2020	BAML		16,680,940		(200,000	)		153,528		(154,235	)		(706	)
Japanese Yen	Euro	1/7/2020	BAML		73,272,623		(600,000	)		674,391		(673,678	)		718
New Zealand Dollar	Japanese Yen	1/7/2020	BAML		200,000		(14,658,357	)		134,938		(134,914	)		24
Swiss Franc	Japanese Yen	1/7/2020	BAML		1,250,000		(140,448,002	)		1,291,220		(1,292,661	)		(1,436	)
Australian Dollar	British Pound	1/15/2020	BAML		469,621		(250,000	)		330,222		(331,308	)		(1,085	)
Australian Dollar	Canadian Dollar	1/15/2020	BAML		400,000		(362,792	)		281,266		(279,789	)		1,478
Australian Dollar	Euro	1/15/2020	BAML		606,017		(375,000	)		426,130		(421,265	)		4,866
Australian Dollar	Japanese Yen	1/15/2020	BAML		800,000		(60,331,860	)		562,533		(555,541	)		6,993
Australian Dollar	New Zealand Dollar	1/15/2020	BAML		200,000		(209,247	)		140,633		(141,194	)		(561	)
British Pound	Australian Dollar	1/15/2020	BAML		1,000,000		(1,942,181	)		1,325,229		(1,365,679	)		(40,450	)
British Pound	Euro	1/15/2020	BAML		1,087,976		(1,300,000	)		1,441,816		(1,460,385	)		(18,571	)
British Pound	Japanese Yen	1/15/2020	BAML		375,000		(54,556,125	)		496,961		(502,358	)		(5,397	)
British Pound	Swiss Franc	1/15/2020	BAML		125,000		(164,660	)		165,654		(170,189	)		(4,535	)
Canadian Dollar	Australian Dollar	1/15/2020	BAML		2,170,690		(2,400,000	)		1,674,055		(1,687,600	)		(13,546	)
Canadian Dollar	Euro	1/15/2020	BAML		2,017,927		(1,375,000	)		1,556,242		(1,544,638	)		11,604
Canadian Dollar	Japanese Yen	1/15/2020	BAML		800,000		(66,622,160	)		616,967		(613,462	)		3,504
Euro	Australian Dollar	1/15/2020	BAML		1,125,000		(1,827,093	)		1,263,795		(1,284,752	)		(20,956	)
Euro	British Pound	1/15/2020	BAML		300,000		(256,176	)		337,012		(339,493	)		(2,481	)
Euro	Canadian Dollar	1/15/2020	BAML		125,000		(183,062	)		140,422		(141,179	)		(758	)
Euro	Japanese Yen	1/15/2020	BAML		402,438		(49,090,728	)		452,088		(452,032	)		56
Euro	Norwegian Krone	1/15/2020	BAML		1,250,000		(12,586,742	)		1,404,217		(1,432,459	)		(28,242	)
Euro	Polish Zloty	1/15/2020	BAML		100,000		(427,405	)		112,337		(112,856	)		(519	)
Euro	Swedish Krona	1/15/2020	BAML		1,250,000		(13,042,929	)		1,404,217		(1,394,163	)		10,054
Euro	Hungary Forint	1/15/2020	BAML		300,000		(99,049,020	)		337,012		(336,399	)		613
Japanese Yen	Australian Dollar	1/15/2020	BAML		104,913,080		(1,400,000	)		966,049		(984,433	)		(18,385	)
Japanese Yen	British Pound	1/15/2020	BAML		35,575,851		(250,000	)		327,586		(331,308	)		(3,722	)
Japanese Yen	Canadian Dollar	1/15/2020	BAML		116,270,620		(1,400,000	)		1,070,630		(1,079,693	)		(9,062	)
Japanese Yen	Euro	1/15/2020	BAML		109,919,377		(902,438	)		1,012,147		(1,013,775	)		(1,628	)
Japanese Yen	New Zealand Dollar	1/15/2020	BAML		86,352,940		(1,200,000	)		795,145		(809,725	)		(14,580	)
Japanese Yen	Swiss Franc	1/15/2020	BAML		222,560,675		(2,000,000	)		2,049,358		(2,067,160	)		(17,802	)
New Zealand Dollar	Australian Dollar	1/15/2020	BAML		2,501,658		(2,400,000	)		1,688,047		(1,687,601	)		446
New Zealand Dollar	Japanese Yen	1/15/2020	BAML		200,000		(14,615,400	)		134,954		(134,580	)		374
Norwegian Krone	Euro	1/15/2020	BAML		1,233,743		(125,000	)		140,409		(140,422	)		(13	)
Norwegian Krone	Swedish Krona	1/15/2020	BAML		500,000		(522,053	)		56,903		(55,802	)		1,101
Swedish Krona	Euro	1/15/2020	BAML		14,388,894		(1,375,000	)		1,538,033		(1,544,639	)		(6,605	)
Swedish Krona	Norwegian Krone	1/15/2020	BAML		11,401,776		(11,000,000	)		1,218,739		(1,251,876	)		(33,137	)
Swiss Franc	British Pound	1/15/2020	BAML		159,522		(125,000	)		164,879		(165,654	)		(776	)
Swiss Franc	Euro	1/15/2020	BAML		1,916,584		(1,750,000	)		1,980,943		(1,965,903	)		15,040
Swiss Franc	Japanese Yen	1/15/2020	BAML		1,750,000		(195,318,100	)		1,808,765		(1,798,506	)		10,260
Hungary Forint	Euro	1/15/2020	BAML		33,078,840		(100,000	)		112,345		(112,337	)		8
Polish Zloty	Euro	1/15/2020	BAML		852,148		(200,000	)		225,010		(224,675	)		335
															(177,799	)
BAML - Bank of America Merrill Lynch					Net unrealized depreciation on forward currency contracts										(614,146	)

See accompanying notes to consolidated financial statements.

31

Altegris Funds

STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)

December 31, 2019

	Altegris Futures Evolution			Altegris GSA Trend			Altegris Managed Futures
ASSETS	Strategy Fund			Strategy Fund			Strategy Fund
Investment securities:
At cost	$	433,676,332		$	10,758,535		$	—
At value	$	435,525,162		$	10,759,000		$	—
Cash		21,244,278			1,116,435			2,661,731
Foreign cash (Cost: $0, $71,924, and $0, respectively)		—			72,119			—
Segregated cash at custodian		—			8,520,000			49,814,909
Segregated cash at broker		—			5,919,183			12,484,864
Receivable for securities sold		1,299,199			—			—
Receivable for Fund shares sold		1,854,870			2,829			5,257
Interest receivable		1,845,152			—			—
Unrealized appreciation on futures contracts		—			975,081			926,435
Unrealized appreciation on forward foreign currency exchange contracts		—			541,877			925,340
Prepaid expenses and other assets		156,232			21,760			45,028
TOTAL ASSETS		461,924,893			27,928,284			66,863,564
LIABILITIES
Foreign cash due to custodian (Cost: $11,023, $0, and $2,951,901, respectively)		11,023			—			2,985,341
Unrealized depreciation on futures contracts		—			796,710			852,863
Unrealized depreciation on forward foreign currency exchange contracts		—			1,009,391			1,539,486
Payable for Fund shares repurchased		1,344,485			135			329,329
Investment advisory fees payable		494,200			25,954			55,043
Distribution (12b-1) fees payable		40,592			5,070			10,239
Payable to related parties		26,258			3,333			21,983
Accrued expenses and other liabilities		53,407			81,158			25,573
TOTAL LIABILITIES		2,219,465			1,921,751			5,819,857
NET ASSETS	$	459,705,428		$	26,006,533		$	61,043,707
Composition of Net Assets:
Paid in capital	$	469,358,164		$	27,294,379		$	63,229,817
Accumulated earnings/(loss)		(9,652,736	)		(1,287,846	)		(2,186,110	)
NET ASSETS	$	459,705,428		$	26,006,533		$	61,043,707

32

Altegris Funds

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)

December 31, 2019

	Altegris Futures Evolution		Altegris GSA Trend			Altegris Managed Futures
Net Asset Value Per Share:	Strategy Fund		Strategy Fund			Strategy Fund
Class A Shares:
Net Assets	$	18,609,567	$	9		$	30,672,666
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		1,999,201		1			3,989,794
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share (a)(b)	$	9.31	$	7.72	(e)	$	7.69
Maximum offering price per share (net asset value plus maximum sales charge of 5.75%) (c)	$	9.88	$	8.19		$	8.16
Class C Shares:
Net Assets	$	14,224,825	$	—		$	4,486,775
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		1,527,819		—			608,507
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)(d)	$	9.31	$	—		$	7.37
Class I Shares:
Net Assets	$	322,890,332	$	3,324,734		$	25,452,993
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		34,834,718		428,457			3,262,216
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)	$	9.27	$	7.76		$	7.80
Class N Shares:
Net Assets	$	103,980,704	$	22,681,790		$	—
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		11,176,698		2,938,096			—
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)	$	9.30	$	7.72		$	—
Class O Shares:
Net Assets	$	—	$	—		$	431,273
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		—		—			56,101
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)	$	—	$	—		$	7.69

(a) Purchases of $1 million or more, a contingent deferred sales charge of up to 1.00% may apply to redemptions made within 18 months of purchase.

(b) Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%.

(c) On investments of $25,000 or more, the sales load is reduced.

(d) A contingent deferred sales charge of up to 1.00% may be applied to shares redeemed within 12 months of purchase.

(e) NAV does not recalculate due to rounding.

See accompanying notes to consolidated financial statements.

33

Altegris Funds

STATEMENTS OF OPERATIONS (Unaudited)

December 31, 2019

	Altegris Futures Evolution			Altegris GSA Trend			Altegris Managed Futures
	Strategy Fund			Strategy Fund			Strategy Fund
INVESTMENT INCOME
Dividends	$	7,672		$	—		$	—
Interest		7,411,523			88,440			346,789
TOTAL INVESTMENT INCOME		7,419,195			88,440			346,789
EXPENSES
Advisory fees		3,867,932			196,950			498,078
Distribution (12b-1) fees:
Class A		26,195			—			45,516
Class C		78,768			—			24,462
Class N		124,708			35,375			—
Class O		—			—			605
Administrative services fees		303,623			17,577			19,454
Third party administrative services fees		252,913			2,624			20,336
Transfer agent fees		177,818			18,367			25,556
Registration fees		68,386			25,867			35,315
Printing and postage expenses		50,452			5,169			13,454
Custodian fees		60,424			3,200			16,632
Audit fees		39,001			5,584			22,437
Accounting services fees		30,552			7,165			11,719
Compliance officer fees		45,981			7,906			9,007
Legal fees		12,098			11,081			15,032
Insurance expense		6,055			33			520
Trustees fees and expenses		9,593			9,582			9,572
Other expenses		9,789			1,066			49
TOTAL EXPENSES		5,164,288			347,546			767,744
Less: Fees waived by the Advisor		(580,376	)		(71,568	)		(149,586	)
NET EXPENSES		4,583,912			275,978			618,158
NET INVESTMENT INCOME/(LOSS)		2,835,283			(187,538	)		(271,369	)
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
Net realized gain/(loss) from:
Forward exchange contracts and translations		—			(166,196	)		20,865
Futures contracts		—			1,441,605			3,768,582
Investments		1,518,192			—			—
Purchased Options		7,456,808			—			—
Net Realized Gain		8,975,000			1,275,409			3,789,447
Net change in unrealized appreciation/(depreciation) on:
Foreign currency translations		—			21,630			(20,504	)
Forward foreign currency exchange contracts		—			152,224			39,003
Futures contracts		—			(945,588	)		(1,341,285	)
Investments		(964,526	)		(4,807	)		—
Purchased Options		(830,566	)		—			—
Net change in unrealized depreciation on:		(1,794,545	)		(776,541	)		(1,322,786	)
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS		7,180,455			498,868			2,466,661
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	10,015,738		$	311,330		$	2,195,292

See accompanying notes to consolidated financial statements.

34

Altegris Funds

STATEMENTS OF CHANGES IN NET ASSETS

	Altegris Futures Evolution Strategy Fund
	For the Six Months Ended			For the Year Ended
	December 31, 2019			June 30,
	(Unaudited)			2019
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income	$	2,835,283		$	8,540,570
Net realized gain/(loss) on investments, purchased options		8,975,000			(13,350,858	)
Net change in unrealized appreciation/(depreciation) on investments, purchased options		(1,794,545	)		1,383,777
Net increase/(decrease) in net assets resulting from operations		10,015,738			(3,426,511	)
DISTRIBUTIONS TO SHAREHOLDERS
Total Distributions Paid
Class A		(134,840	)		(1,348,881	)
Class C		(37,256	)		(604,858	)
Class I		(2,942,014	)		(25,683,120	)
Class N		(664,998	)		(3,882,180	)
Total distributions to shareholders		(3,779,108	)		(31,519,039	)
SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		1,281,492			4,558,152
Class C		462,078			1,685,313
Class I		49,567,759			250,420,509
Class N		46,527,652			34,926,220
Net asset value of shares issued in reinvestment of distributions:
Class A		124,654			1,244,429
Class C		36,721			595,857
Class I		2,533,342			21,331,401
Class N		443,279			2,443,279
Redemption fee proceeds:
Class A		281			235
Class I		3,727			10,539
Class N		43			8,851
Payments for shares redeemed:
Class A		(4,527,802	)		(22,916,956	)
Class C		(2,179,813	)		(7,716,660	)
Class I		(162,983,541	)		(334,803,983	)
Class N		(20,079,558	)		(43,133,990	)
Net decrease from shares of beneficial interest transactions		(88,789,686	)		(91,346,804	)
NET DECREASE IN NET ASSETS		(82,553,056	)		(126,292,354	)
NET ASSETS
Beginning of Year/Period		542,258,484			668,550,838
End of Year/Period	$	459,705,428		$	542,258,484

See accompanying notes to consolidated financial statements.

35

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Altegris Futures Evolution Strategy Fund
	For the Six Months Ended			For the Year Ended
	December 31, 2019			June 30,
	(Unaudited)			2019
SHARE ACTIVITY
Class A:
Shares Sold		131,892			477,215
Shares Reinvested		13,168			134,597
Shares Redeemed		(474,434	)		(2,418,281	)
Net decrease in shares of beneficial interest outstanding		(329,374	)		(1,806,469	)
Class C:
Shares Sold		46,972			178,727
Shares Reinvested		3,892			64,680
Shares Redeemed		(229,616	)		(818,129	)
Net decrease in shares of beneficial interest outstanding		(178,752	)		(574,722	)
Class I:
Shares Sold		5,218,485			27,135,458
Shares Reinvested		268,695			2,317,075
Shares Redeemed		(16,475,476	)		(36,212,667	)
Net decrease in shares of beneficial interest outstanding		(10,988,296	)		(6,760,134	)
Class N:
Shares Sold		4,636,042			3,712,832
Shares Reinvested		47,028			264,518
Shares Redeemed		(2,110,117	)		(4,552,912	)
Net increase/(decrease) in shares of beneficial interest outstanding		2,572,953			(575,562	)

See accompanying notes to consolidated financial statements.

36

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

	Altegris GSA Trend Strategy Fund
	For the Six Months Ended			For the Year Ended
	December 31, 2019			June 30,
	(Unaudited)			2019
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment loss	$	(187,538	)	$	(224,599	)
Net realized gain on futures and foreign exchange contracts		1,275,409			141,879
Net change in unrealized depreciation on futures and foreign exchange contracts		(776,541	)		(299,433	)
Net increase/(decrease) in net assets resulting from operations		311,330			(382,153	)
DISTRIBUTIONS TO SHAREHOLDERS
Total Distributions Paid
Class A		(1	)		—
Class I		(371,351	)		—
Class N		(2,478,094	)		—
Total distributions to shareholders		(2,849,446	)		—
SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class I		2,275,434			352,129
Class N		1,302,619			6,218,476
Net asset value of shares issued in reinvestment of distributions:
Class A		1			—
Class I		242,414			—
Class N		1,689,880			—
Redemption fee proceeds:
Class I		17			2
Class N		291			37
Payments for shares redeemed:
Class I		(591,803	)		(1,413,491	)
Class N		(6,582,752	)		(15,236,854	)
Net decrease from shares of beneficial interest transactions		(1,663,899	)		(10,079,701	)
NET DECREASE IN NET ASSETS		(4,202,015	)		(10,461,854	)
NET ASSETS
Beginning of Year/Period		30,208,548			40,670,402
End of Year/Period	$	26,006,533		$	30,208,548
SHARE ACTIVITY
Class A:
Shares Sold		0	(a)		—
Net increase in shares of beneficial interest outstanding		0	(a)		—
Class I:
Shares Sold		261,526			39,860
Shares Reinvested		30,999			—
Shares Redeemed		(66,572	)		(161,674	)
Net increase/(decrease) in shares of beneficial interest outstanding		225,953			(121,814	)
Class N:
Shares Sold		145,079			715,876
Shares Reinvested		217,208			—
Shares Redeemed		(739,576	)		(1,763,327	)
Net decrease in shares of beneficial interest outstanding		(377,289	)		(1,047,451	)

(a) Amount less than $0.5.

See accompanying notes to consolidated financial statements.

37

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

	Altegris Managed Futures Strategy Fund
	For the Six Months Ended			For the Year Ended
	December 31, 2019			June 30,
	(Unaudited)			2019
DECREASE IN NET ASSETS FROM OPERATIONS
Net investment loss	$	(271,369	)	$	(316,820	)
Net realized gain/(loss) on investments, futures, forward foreign exchange contracts and swaps		3,789,447			(184,689	)
Net change in unrealized depreciation on investments, futures forward foreign exchange contracts		(1,322,786	)		(1,525	)
Net increase/(decrease) in net assets resulting from operations		2,195,292			(503,034	)
DISTRIBUTIONS TO SHAREHOLDERS
From Return of Capital
Class A		—			(282,366	)
Class C		—			(21,257	)
Class I		—			(203,242	)
Class N		—			(3,454	)
Total Distributions Paid:
Class A		(1,976,897	)		(627,981	)
Class C		(256,809	)		(47,274	)
Class I		(1,611,204	)		(452,009	)
Class O		(27,287	)		(7,682	)
Total distributions to shareholders		(3,872,197	)		(1,645,265	)
SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		1,599,947			7,631,001
Class C		27,738			254,506
Class I		5,410,493			11,085,130
Class O		9,014			15,337
Net asset value of shares issued in reinvestment of distributions:
Class A		906,126			352,222
Class C		217,301			55,528
Class I		890,973			322,764
Class O		25,987			10,751
Redemption fee proceeds:
Class A		50			2,524
Class C		—			—
Class I		143			336
Class O		78			—
Payments for shares redeemed:
Class A		(8,172,200	)		(24,255,213	)
Class C		(617,688	)		(2,893,846	)
Class I		(4,451,647	)		(24,713,682	)
Class O		(89,708	)		(547,922	)
Net decrease from shares of beneficial interest transactions		(4,243,393	)		(32,680,564	)
NET DECREASE IN NET ASSETS		(5,920,298	)		(34,828,863	)
NET ASSETS
Beginning of Year/Period		66,964,005			101,792,868
End of Year/Period	$	61,043,707		$	66,964,005

See accompanying notes to consolidated financial statements.

38

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Altegris Managed Futures Strategy Fund
	For the Six Months Ended			For the Year Ended
	December 31, 2019			June 30,
	(Unaudited)			2019
SHARE ACTIVITY
Class A:
Shares Sold		194,071			963,390
Shares Reinvested		117,526			45,272
Shares Redeemed		(995,442	)		(3,087,137	)
Net decrease in shares of beneficial interest outstanding		(683,845	)		(2,078,475	)
Class C:
Shares Sold		3,748			33,364
Shares Reinvested		29,365			7,423
Shares Redeemed		(79,192	)		(383,062	)
Net decrease in shares of beneficial interest outstanding		(46,079	)		(342,275	)
Class I:
Shares Sold		661,739			1,386,559
Shares Reinvested		113,935			40,908
Shares Redeemed		(540,631	)		(3,091,319	)
Net increase/(decrease) in shares of beneficial interest outstanding		235,043			(1,663,852	)
Class O:
Shares Sold		1,073			1,962
Shares Reinvested		3,370			1,382
Shares Redeemed		(10,953	)		(68,353	)
Net decrease in shares of beneficial interest outstanding		(6,510	)		(65,009	)

See accompanying notes to consolidated financial statements.

39

Altegris Funds

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris Futures Evolution Strategy Fund Class A(1)
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018^			2017^			2016^			2015*^
Net asset value, beginning of year/period	$	9.31		$	9.82		$	9.37		$	10.84		$	10.68		$	10.73
Income/(loss) from investment operations:
Net investment income (2)		0.05			0.11			0.09			0.12			0.15			0.11
Net realized and unrealized gain/(loss) on investments		0.01			(0.17	)		0.48			(0.90	)		0.82			1.06
Total from investment operations		0.06			(0.06	)		0.57			(0.78	)		0.97			1.17
Less distributions from:
Net investment income		(0.06	)		(0.45	)		(0.12	)		(0.69	)		(0.81	)		(1.22	)
Total distributions		(0.06	)		(0.45	)		(0.12	)		(0.69	)		(0.81	)		(1.22	)
Redemption fees collected (3)		0.00			0.00			0.00			0.00			0.00			0.00
Net assets, at end of year/period	$	9.31		$	9.31		$	9.82		$	9.37		$	10.84		$	10.68
Total return (4)		0.66	% (5,6)		(0.52	)% (6)		6.06	% (6)		(7.36	)%		9.63	%		11.02	% (5)
Net assets, at end of year/period (000s)	$	18,610		$	21,669		$	40,624		$	59,411		$	100,131		$	59,517
Ratios including the expenses and income of AFES Fund Limited:
Ratio of gross expenses to average net assets (7,9)		2.17	% (8)		2.08	%		2.00	%		1.99	%		1.97	%		1.98	% (8)
Ratio of net expenses to average net assets (10)		1.94	% (8)		1.94	%		1.94	%		1.94	%		1.94	%		1.94	% (8)
Ratio of net investment income to average net assets (11)		0.94	% (8)		1.17	%		0.94	%		1.14	%		1.36	%		1.27	% (8)
Portfolio Turnover Rate		22	% (5)		64	%		53	%		77	%		59	%		68	% (5)

* For the period October 1, 2014 through June 30, 2015.

^ Consolidated.

(1) Class A commenced operations on October 31, 2011.

(2) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

(3) Represents less than $0.01 per share.

(4) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(5) Not annualized.

(6) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(7) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(8) Annualized for periods less than one full year.

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AFES Fund Limited: (7)

2.17 % (8) 2.08 % 2.00 % 1.99 % 1.97 % 1.98 % (8)

(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited:

1.94 % (8) 1.94 % 1.94 % 1.94 % 1.94 % 1.94 % (8)

(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited:

0.94 % (8) 1.17 % 0.92 % 1.13 % 1.32 % 1.26 % (8)

See accompanying notes to consolidated financial statements.

40

Altegris Funds

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris Futures Evolution Strategy Fund Class C(1)
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018^			2017^			2016^			2015*^
Net asset value, beginning of year/period	$	9.30		$	9.75		$	9.31		$	10.78		$	10.57		$	10.63
Income/(loss) from investment operations:
Net investment income (2)		0.01			0.04			0.02			0.04			0.07			0.04
Net realized and unrealized gain/(loss) on investments		0.02			(0.18	)		0.47			(0.88	)		0.83			1.07
Total from investment operations		0.03			(0.14	)		0.49			(0.84	)		0.90			1.11
Less distributions from:
Net investment income		(0.02	)		(0.31	)		(0.05	)		(0.63	)		(0.69	)		(1.17	)
Total distributions		(0.02	)		(0.31	)		(0.05	)		(0.63	)		(0.69	)		(1.17	)
Redemption fees collected		—			0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)		0.00	(3)
Net assets, at end of year/period	$	9.31		$	9.30		$	9.75		$	9.31		$	10.78		$	10.57
Total return (4)		0.35	% (5)		(1.42	)% (6)		5.26	% (6)		(8.02	)%		8.93	%		10.46	% (5)
Net assets, at end of year/period (000s)	$	14,225		$	15,878		$	22,237		$	31,270		$	33,831		$	20,459
Ratios including the expenses and income of AFES Fund Limited:
Ratio of gross expenses to average net assets (7,9)		2.92	% (8)		2.83	%		2.75	%		2.74	%		2.72	%		2.73	% (8)
Ratio of net expenses to average net assets (10)		2.69	% (8)		2.69	%		2.69	%		2.69	%		2.69	%		2.69	% (8)
Ratio of net investment income to average net assets (11)		0.19	% (8)		0.45	%		0.18	%		0.40	%		0.62	%		0.52	% (8)
Portfolio Turnover Rate		22	% (5)		64	%		53	%		77	%		59	%		68	% (5)

* For the period October 1, 2014 through June 30, 2015.

^ Consolidated.

(1) Class C Shares commenced operations on February 16, 2012.

(2) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

(3) Represents less than $0.01 per share.

(4) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(5) Not annualized.

(6) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(7) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(8) Annualized for periods less than one full year.

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AFES Fund Limited: (7)

2.92 % (8) 2.83 % 2.75 % 2.74 % 2.72 % 2.73 % (8)

(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited:

2.69 % (8) 2.69 % 2.69 % 2.69 % 2.69 % 2.69 % (8)

(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited:

0.19 % (8) 0.45 % 0.17 % 0.39 % 0.58 % 0.52 % (8)

See accompanying notes to consolidated financial statements.

41

Altegris Funds

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris Futures Evolution Strategy Fund Class I(1)
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018^			2017^			2016^			2015*^
Net asset value, beginning of year/period	$	9.27		$	9.80		$	9.36		$	10.82		$	10.70		$	10.75
Income/(loss) from investment operations:
Net investment income (2)		0.06			0.14			0.12			0.14			0.17			0.13
Net realized and unrealized gain/(loss) on investments		0.02			(0.17	)		0.46			(0.88	)		0.83			1.06
Total from investment operations		0.08			(0.03	)		0.58			(0.74	)		1.00			1.19
Less distributions from:
Net investment income		(0.08	)		(0.50	)		(0.14	)		(0.72	)		(0.88	)		(1.24	)
Total distributions		(0.08	)		(0.50	)		(0.14	)		(0.72	)		(0.88	)		(1.24	)
Redemption fees collected (3)		0.00			0.00			0.00			0.00			0.00			0.00
Net assets, at end of year/period	$	9.27		$	9.27		$	9.80		$	9.36		$	10.82		$	10.70
Total return (4)		0.81	% (5)		(0.24	)% (6)		6.22	% (6)		(7.05	)%		9.94	%		11.20	% (5)
Net assets, at end of year/period (000s)	$	322,890		$	424,680		$	515,569		$	379,132		$	353,331		$	344,564
Ratios including the expenses and income of AFES Fund Limited:				��
Ratio of gross expenses to average net assets (7,9)		1.91	% (8)		1.83	%		1.75	%		1.74	%		1.72	%		1.74	% (8)
Ratio of net expenses to average net assets (10)		1.69	% (8)		1.69	%		1.69	%		1.69	%		1.69	%		1.69	% (8)
Ratio of net investment income to average net assets (11)		1.19	% (8)		1.45	%		1.20	%		1.41	%		1.57	%		1.51	% (8)
Portfolio Turnover Rate		22	% (5)		64	%		53	%		77	%		59	%		68	% (5)

* For the period October 1, 2014 through June 30, 2015.

^ Consolidated.

(1) Class I commenced operations on October 31, 2011.

(2) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

(3) Represents less than $0.01 per share.

(4) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(5) Not annualized.

(6) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(7) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(8) Annualized for periods less than one full year.

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AFES Fund Limited: (7)

1.91 % (8) 1.83 % 1.75 % 1.74 % 1.72 % 1.74 % (8)

(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited:

1.69 % (8) 1.69 % 1.69 % 1.69 % 1.69 % 1.69 % (8)

(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited:

1.19 % (8) 1.45 % 1.19 % 1.40 % 1.53 % 1.50 % (8)

See accompanying notes to consolidated financial statements.

42

Altegris Funds

FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris Futures Evolution Strategy Fund Class N(1)
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018^			2017^			2016^			2015*^
Net asset value, beginning of year/period	$	9.30		$	9.82		$	9.37		$	10.84		$	10.67		$	10.72
Income/(loss) from investment operations:
Net investment income (2)		0.05			0.11			0.09			0.12			0.14			0.11
Net realized and unrealized gain/(loss) on investments		0.02			(0.19	)		0.48			(0.90	)		0.83			1.06
Total from investment operations		0.06			(0.07	)		0.57			(0.78	)		0.97			1.17
Less distributions from:
Net investment income		(0.06	)		(0.45	)		(0.12	)		(0.69	)		(0.80	)		(1.22	)
Total distributions		(0.06	)		(0.45	)		(0.12	)		(0.69	)		(0.80	)		(1.22	)
Redemption fees collected (3)		0.00			0.00			0.00			0.00			0.00			0.00
Net assets, at end of year/period	$	9.30		$	9.30		$	9.82		$	9.37		$	10.84		$	10.67
Total return (4)		0.67	% (5)		(0.62	)% (6)		6.07	% (6)		(7.35	)%		9.71	%		11.04	% (5)
Net assets, at end of year/period (000s)	$	103,981		$	80,032		$	90,121		$	90,042		$	97,811		$	67,179
Ratios including the expenses and income of AFES Fund Limited:
Ratio of gross expenses to average net assets (7,9)		2.17	% (8)		2.08	%		2.00	%		1.99	%		1.97	%		1.99	% (8)
Ratio of net expenses to average net assets (10)		1.94	% (8)		1.94	%		1.94	%		1.94	%		1.94	%		1.94	% (8)
Ratio of net investment income to average net assets (11)		0.94	% (8)		1.21	%		0.95	%		1.15	%		1.33	%		1.27	% (8)
Portfolio Turnover Rate		22	% (5)		64	%		53	%		77	%		59	%		68	% (5)

* For the period October 1, 2014 through June 30, 2015.

^ Consolidated.

(1) Class N commenced operations on October 31, 2011.

(2) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

(3) Represents less than $0.01 per share.

(4) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(5) Not annualized.

(6) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(7) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(8) Annualized for periods less than one full year.

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AFES Fund Limited: (7)

2.17 % (8) 2.08 % 2.00 % 1.99 % 1.97 % 1.99 % (8)

(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited:

1.94 % (8) 1.94 % 1.94 % 1.94 % 1.94 % 1.94 % (8)

(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited:

0.94 % (8) 1.21 % 0.93 % 1.13 % 1.29 % 1.26 % (8)

See accompanying notes to consolidated financial statements.

43

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris GSA Trend Strategy Fund Class A(1)
	Six Months Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017
Net asset value, beginning of year/period	$	8.60		$	8.68		$	8.93		$	10.00
Income/(loss) from investment operations:
Net investment loss (2)		(0.16	)		(0.05	)		(0.20	)		(0.11	)
Net realized and unrealized loss on investments		0.21			(0.03	)		(0.05	)		(0.96	)
Total from investment operations		0.05			(0.08	)		(0.25	)		(1.07	)
Less distributions from:
Net investment income		(0.36	)		—			—			—
Net realized gains		(0.57	)		—			—			—
Total distributions		(0.93	)		—			—			—
Redemption fees collected		—			0.00	(3)		0.00	(3)		0.00	(3)
Net asset value, end of year/period	$	7.72		$	8.60		$	8.68		$	8.93
Total return (4)		0.44	% (5,11)		(0.92	)% (11)		(2.80	)%		(10.70	)% (5)
Net assets, at end of year/period (12)	$	9		$	9		$	9		$	9
Ratios including the expenses and income of AGSAT Fund Limited:
Ratio of gross expenses to average net assets (6,8)		2.35	% (7)		2.45	%		3.01	%		1.85	% (7)
Ratio of net expenses to average net assets (9)		1.85	% (7)		2.45	%		3.01	%		1.85	% (7)
Ratio of net investment loss to average net assets (10)		(3.51	)% (7)		(1.39	)%		(2.15	)%		(1.85	)% (7)
Portfolio Turnover Rate		0	% (5)		0	%		0	%		0	% (5)

 (1) Class A commenced operations on March 17, 2017.

(2) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

(3) Represents less than $0.01 per share.

(4) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(5) Not annualized.

(6) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(7) Annualized for periods less than one full year.

(8) Ratio of gross expenses to average net assets excluding the expenses and income of AGSAT Fund Limited: (6)

2.35 % (7) 2.45 % 3.01 % 1.85 % (7)

(9) Ratio of net expenses to average net assets excluding the expenses and income of AGSAT Fund Limited:

1.85 % (7) 2.45 % 3.01 % 1.85 % (7)

(10) Ratio of net investment loss to average net assets excluding the expenses and income of AGSAT Fund Limited:

(3.51 )% (7) (1.39 )% (2.15 )% (1.85 )% (7)

(11) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(12) Actual net assets

See accompanying notes to consolidated financial statements.

44

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris GSA Trend Strategy Fund Class I(1)
	Six Months Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017
Net asset value, beginning of year/period	$	8.64		$	8.71		$	8.93		$	10.00
Income/(loss) from investment operations:
Net investment loss (2)		(0.04	)		(0.03	)		(0.10	)		(0.03	)
Net realized and unrealized loss on investments		0.09			(0.04	)		(0.12	)		(1.04	)
Total from investment operations		0.05			(0.07	)		(0.22	)		(1.07	)
Less distributions from:
Net investment income		(0.36	)		—			—			—
Net realized gains		(0.57	)		—			—			—
Total distributions		(0.93	)		—			—			—
Redemption fees collected (3)		0.00			0.00			0.00			0.00
Net assets, at end of year/period	$	7.76		$	8.64		$	8.71		$	8.93
Total return (4)		0.48	% (5)		(0.80	)%		(2.46	)%		(10.70	)% (5)
Net assets, at end of year/period (000s)	$	3,325		$	1,749		$	2,824		$	8,981
Ratios including the expenses and income of AGSAT Fund Limited:
Ratio of gross expenses to average net assets (6,8)		2.10	% (7)		2.20	%		2.11	%		2.34	% (7)
Ratio of net expenses to average net assets (9)		1.60	% (7)		1.60	%		1.60	%		1.60	% (7)
Ratio of net investment loss to average net assets (10)		(1.00	)% (7)		(0.40	)%		(1.04	)%		(1.23	) (7)
Portfolio Turnover Rate		0	% (5)		0	%		0	%		0	% (5)

(1) Class I shares commenced operations on March 17, 2017.

(2) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

(3) Represents less than $0.01 per share.

(4) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(5) Not annualized.

(6) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(7) Annualized for periods less than one full year.

(8) Ratio of gross expenses to average net assets excluding the expenses and income of AGSAT Fund Limited: (6)

2.10 % (7) 2.20 % 2.11 % 2.34 % (7)

(9) Ratio of net expenses to average net assets excluding the expenses and income of AGSAT Fund Limited:

1.60 % (7) 1.60 % 1.60 % 1.60 % (7)

(10) Ratio of net investment loss to average net assets excluding the expenses and income of AGSAT Fund Limited:

(1.00 )% (7) (0.40 )% (1.04 )% (1.27 )% (7)

See accompanying notes to consolidated financial statements.

45

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris GSA Trend Strategy Fund Class N(1)
	Six Months Ended			Year Ended			Year Ended			Period Ended
	December 31, 2019			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017
Net asset value, beginning of year/period	$	8.58		$	8.67		$	8.93		$	10.00
Income/(loss) from investment operations:
Net investment loss (2)		(0.06	)		(0.06	)		(0.11	)		(0.04	)
Net realized and unrealized loss on investments		0.10			(0.03	)		(0.15	)		(1.03	)
Total from investment operations		0.04			(0.09	)		(0.26	)		(1.07	)
Less distributions from:
Net investment income		(0.34	)		—			—			—
Net realized gains		(0.57	)		—			—			—
Total distributions		(0.90	)		—			—			—
Redemption fees collected (3)		0.00			0.00			0.00			0.00
Net assets, at end of year/period	$	7.72		$	8.58		$	8.67		$	8.93
Total return (4)		0.40	% (5,11)		(1.04	)%		(2.91	)%		(10.70	)% (5)
Net assets, at end of year/period (000s)	$	22,682		$	28,459		$	37,846		$	40,183
Ratios including the expenses and income of AGSAT Fund Limited:
Ratio of gross expenses to average net assets (7,8)		2.32	% (7)		2.45	%		2.39	%		2.38	% (7)
Ratio of net expenses to average net assets (9)		1.85	% (7)		1.85	%		1.85	%		1.85	% (7)
Ratio of net investment loss to average net assets (10)		(1.26	)% (7)		(0.64	)%		(1.19	)%		(1.49	)% (7)
Portfolio Turnover Rate		0	% (5)		0	%		0	%		0	% (5)

(1) Class N shares commenced operations on March 17, 2017.

(2) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year or period.

(3) Represents less than $0.01 per share.

(4) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(5) Not annualized.

(6) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(7) Annualized for periods less than one full year.

(8) Ratio of gross expenses to average net assets excluding the expenses and income of AGSAT Fund Limited: (6)

2.32 % (7) 2.45 % 2.39 % 2.38 % (7)

(9) Ratio of net expenses to average net assets excluding the expenses and income of AGSAT Fund Limited:

1.85 % (7) 1.85 % 1.85 % 1.85 % (7)

(10) Ratio of net investment loss to average net assets excluding the expenses and income of AGSAT Fund Limited:

(1.26 )% (7) (0.64 )% (1.19 )% (1.54 )% (7)

(11) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

See accompanying notes to consolidated financial statements.

46

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris Managed Futures Strategy Fund Class A *
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015
Net asset value, beginning of year/period	$	7.94		$	8.08		$	7.99		$	9.56		$	9.51		$	8.91
Income/(loss) from investment operations:
Net investment loss (1)		(0.04	)		(0.03	)		(0.08	)		(0.12	)		(0.16	)		(0.17	)
Net realized and unrealized gain/(loss) on investments		0.29			0.04	(10)		0.17			(0.80	)		1.05			0.77
Total from investment operations		0.25			0.01			0.09			(0.92	)		0.89			0.60
Less distributions from:
Net investment income		(0.41	)		(0.15	)		—			(0.65	)		(0.84	)		—
Net realized gains		(0.09	)		—			—			—			—			—
Total distributions		(0.50	)		(0.15	)		—			(0.65	)		(0.84	)		—
Redemption fees collected (2)		0.00			0.00			0.00			0.00			0.00			0.00
Net asset value, end of year/period	$	7.69		$	7.94		$	8.08		$	7.99		$	9.56		$	9.51
Total return (3)		3.15	% (9,11)		0.14	% (9)		1.13	%		8.96	%		(9.91	)%		(6.73	)%
Net assets, at end of year/period (000s)	$	30,673		$	37,092		$	54,558		$	74,542		$	105,874		$	88,326
Ratios including the expenses and income of AMFS Fund Limited:
Ratio of gross expenses to average net assets (4,5,6)		2.35	% (12)		2.31	%		2.17	%		2.04	%		1.98	%		1.99	%
Ratio of net expenses to average net assets (5,7)		1.90	% (12)		1.90	%		1.90	%		1.90	%		1.90	%		1.90	%
Ratio of net investment loss to average net assets (5,8)		(0.85	)% (12)		(0.40	)%		(0.91	)%		(1.41	)%		(1.68	)%		(1.79	)%
Portfolio Turnover Rate		0	% (11)		280	%		479	%		472	%		231	%		179	%

* Class A commenced operations on August 26, 2010.

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year.

(2) Represents less than $0.01 per share.

(3) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(4) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(5) The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

(6) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (4,5)

2.35 % (12) 2.31 % 2.17 % 2.04 % 1.98 % 1.99 %

(7) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)

1.90 % (12) 1.90 % 1.90 % 1.90 % 1.90 % (1.90 )%

(8) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited: (5)

(0.85 )% (12) (0.40 )% (0.91 )% (1.46 )% (1.71 )% (1.79 )%

(9) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(10) Realized and unrealized gain/loss per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.

(11) Not annualized.

(12) Annualized for periods less than one full year.

See accompanying notes to consolidated financial statements.

47

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris Managed Futures Strategy Fund Class C *
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015
Net asset value, beginning of year/period	$	7.60		$	7.73		$	7.69		$	9.23		$	9.21		$	8.70
Income/(loss) from investment operations:
Net investment loss (1)		(0.06	)		(0.09	)		(0.13	)		(0.19	)		(0.22	)		(0.23	)
Net realized and unrealized gain/(loss) on investments		0.26			0.04	(10)		0.17			(0.77	)		1.10			0.74
Total from investment operations		0.20			(0.05	)		0.04			(0.96	)		0.88			0.51
Less distributions from:
Net investment income		(0.34	)		(0.08	)		—			(0.58	)		(0.86	)		—
Net realized gains		(0.09	)		—			—			—			—			—
Total distributions		(0.43	)		(0.08	)		—			(0.58	)		(0.86	)		—
Redemption fees collected		—			—			0.00	(2)		0.00	(2)		0.00	(2)		0.00	(2)
Net asset value, end of year/period	$	7.37		$	7.60		$	7.73		$	7.69		$	9.23		$	9.21
Total return (3)		2.70	% (9,11)		(0.65	)% (9)		0.52	%		(9.63	)%		9.08	%		5.86	%
Net assets, at end of year/period (000s)	$	4,487		$	4,973		$	7,704		$	10,713		$	20,483		$	18,268
Ratios including the expenses and income of AMFS Fund Limited:
Ratio of gross expenses to average net assets (4,5,6)		3.10	% (12)		3.06	%		2.91	%		2.79	%		2.73	%		2.74	%
Ratio of net expenses to average net assets (5,7)		2.65	% (12)		2.65	%		2.65	%		2.65	%		2.65	%		2.65	%
Ratio of net investment loss to average net assets (5,8)		(1.60	)% (12)		(1.16	)%		(1.66	)%		(2.17	)%		(2.43	)%		(2.54	)%
Portfolio Turnover Rate		0	% (11)		280	%		479	%		472	%		231	%		179	%

* Class C commenced operations on February 1, 2011.

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year.

(2) Represents less than $0.01 per share.

(3) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(4) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(5) The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

(6) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (4,5)

3.10 % (12) 3.06 % 2.91 % 2.79 % 2.73 % 2.74 %

(7) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)

2.65 % (12) 2.65 % 2.65 % 2.65 % 2.65 % 2.65 %

(8) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited: (5)

(1.60 )% (12) (1.16 )% (1.66 )% (2.23 )% (2.47 )% (2.54 )%

(9) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(10) Realized and unrealized gain/loss per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.

(11) Not annualized.

(12) Annualized for periods less than one full year.

See accompanying notes to consolidated financial statements.

48

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris Managed Futures Strategy Fund Class I *
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015
Net asset value, beginning of year/period	$	8.06		$	8.21		$	8.12		$	9.68		$	9.62		$	8.99
Income (loss) from investment operations:
Net investment loss (1)		(0.03	)		(0.01	)		(0.06	)		(0.10	)		(0.14	)		(0.15	)
Net realized and unrealized gain/(loss) on investments		0.29			0.03	(10)		0.15			(0.78	)		0.97			0.78
Total from investment operations		0.26			0.02			0.09			(0.88	)		0.83			0.63
Less distributions from:
Net investment income		(0.43	)		(0.17	)		—			(0.68	)		(0.77	)		—
Net realized gains		(0.09	)		—			—			—			—			—
Total distributions		(0.52	)		(0.17	)		—			(0.68	)		(0.77	)		—
Redemption fees collected (2)		0.00			0.00			0.00			0.00			0.00			0.00
Net asset value, end of year/period	$	7.80		$	8.06		$	8.21		$	8.12		$	9.68		$	9.62
Total return (3)		3.28	% (9,11)		0.30	% (9)		1.11	%		(8.72	)%		10.19	%		(7.01	)%
Net assets, at end of year/period (000s)	$	25,453		$	24,402		$	38,500		$	98,384		$	106,609		$	110,681
Ratios including the expenses and income of AMFS Fund Limited:
Ratio of gross expenses to average net assets (4,5,6)		2.10	% (12)		2.06	%		1.88	%		1.79	%		1.73	%		1.74	%
Ratio of net expenses to average net assets (5,7)		1.65	% (12)		1.65	%		1.65	%		1.65	%		1.65	%		1.65	%
Ratio of net investment loss to average net assets (5,8)		(0.61	)% (12)		(0.16	)%		(0.68	)%		(1.15	)%		(1.43	)%		(1.54	)%
Portfolio Turnover Rate		0	% (11)		280	%		479	%		472	%		231	%		179	%

* Class I commenced operations on August 26, 2010.

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year.

(2) Represents less than $0.01 per share.

(3) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(4) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(5) The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

(6) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (4,5)

2.10 % (12) 2.06 % 1.88 % 1.79 % 1.73 % 1.74 %

(7) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)

1.65 % (12) 1.65 % 1.65 % 1.65 % 1.65 % 1.65 %

(8) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited: (5)

(0.61 )% (12) (0.16 )% (0.68 )% (1.21 )% (1.46 )% (1.54 )%

(9) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(10) Realized and unrealized gain/loss per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.

(11) Not annualized.

(12) Annualized for periods less than one full year.

See accompanying notes to consolidated financial statements.

49

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period

	Altegris Managed Futures Strategy Fund Class O *
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2019			June 30,			June 30,			June 30,			June 30,			June 30,
	(Unaudited)			2019			2018			2017			2016			2015
Net asset value, beginning of year/period	$	7.94		$	8.08		$	7.99		$	9.55		$	9.51		$	8.91
Income/(loss) from investment operations:
Net investment loss (1)		(0.04	)		(0.03	)		(0.08	)		(0.13	)		(0.16	)		(0.17	)
Net realized and unrealized gain/(loss) on investments		0.28			0.04	(10)		0.17			(0.79	)		1.05			0.77
Total from investment operations		0.25			0.01			0.09			(0.92	)		0.89			0.60
Less distributions from:
Net investment income		(0.41	)		(0.15	)		—			(0.65	)		(0.85	)		—
Net realized gains		(0.09	)		—			—			—			—			—
Total distributions		(0.50	)		(0.15	)		—			(0.65	)		(0.85	)		—
Redemption fees collected		0.00	(2)		0.00	(2)		0.00	(2)		0.01			0.00	(2)		0.00	(2)
Net asset value, end of year/period	$	7.69		$	7.94		$	8.08		$	7.99		$	9.55		$	9.51
Total return (3)		3.17	% (9,11)		0.14	% (9)		1.13	%		(8.95	)%		9.91	%		(6.73	)%
Net assets, at end of year/period (000s)	$	431		$	497		$	1,031		$	1,100		$	1,696		$	2,009
Ratios including the expenses and income of AMFS Fund Limited:
Ratio of gross expenses to average net assets (4,5,6)		2.35	% (12)		2.31	%		2.17	%		2.04	%		1.97	%		1.97	%
Ratio of net expenses to average net assets (5,7)		1.90	% (12)		1.90	%		1.90	%		1.90	%		1.90	%		1.90	%
Ratio of net investment loss to average net assets (5,8)		(0.85	)% (12)		(0.42	)%		(0.90	)%		(1.41	)%		(1.68	)%		(1.80	)%
Portfolio Turnover Rate		0	% (11)		280	%		479	%		472	%		231	%		179	%

* Class N commenced operations on March 13, 2013.

(1) Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the year.

(2) Represents less than $0.01 per share.

(3) Total returns shown exclude the effect of applicable sales charges and redemption fees and assumes reinvestment of all distributions.

(4) Represents the ratio of expenses to average net assets absent fee waivers and/or expense reimbursements by the advisor.

(5) The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.

(6) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (4,5)

2.35 % (12) 2.31 % 2.17 % 2.04 % 1.97 % 1.97 %

(7) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)

1.90 % (12) 1.90 % 1.90 % 1.90 % 1.90 % 1.90 %

(8) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited: (5)

(0.85 )% (12) 0.42 % (0.90 )% (1.47 )% (1.72 )% (1.80 )%

(9) Includes adjustments in accordance with accounting principles generally accepted in the United States and consequently the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(10) Realized and unrealized gain/loss per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.

(11) Not annualized.

(12) Annualized for periods less than one full year.

See accompanying notes to consolidated financial statements.

50

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)

December 31, 2019

1. ORGANIZATION AND CONSOLIDATION OF SUBSIDIARY

The Altegris Futures Evolution Strategy Fund, Altegris GSA Trend Strategy Fund, and Altegris Managed Futures Strategy Fund (each a “Fund” and collectively the “Funds”) are each a series of shares of beneficial interest of Northern Lights Fund Trust (the “Trust”), a statutory trust organized under the laws of the State of Delaware on January 19, 2005, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Fund’s commencement date, diversification status and investment objectives are as follows:

	Commencement Date	Diversification Status	Investment Objective
Futures Evolution Strategy Fund	October 31, 2011	Diversified	Long term capital appreciation.
GSA Trend Strategy Fund	March 17, 2017	Non-Diversified	Long term capital appreciation through utilization of an absolute return strategy.
Managed Futures Strategy Fund	August 26, 2010	Diversified	Achieve positive absolute returns in rising and falling equity markets and do so with less volatility than major equity market indices.

The Altegris Futures Evolution Strategy Fund (the “Futures Evolution Strategy Fund”) offers Class A, Class C, Class I, and Class N shares. The Altegris GSA Trend Strategy Fund (the “GSA Trend Strategy Fund”) offers Class A, Class I, and Class N shares. The Altegris Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”) offers Class A, Class C, Class I, and Class O shares. Class A shares are offered at net asset value (“NAV”) plus a maximum sales charge of 5.75%. Investors that purchase $1,000,000 or more of a Fund’s Class A shares will not pay any initial sales charge on the purchase. However, purchases of $1,000,000 or more of Class A shares may be subject to a contingent deferred sales charge (“CDSC”) on shares redeemed during the first 18 months after their purchase of up to 1.00% (the amount of the commissions paid on the shares redeemed). Class C, Class N, and Class O shares of the Funds are offered at their NAV without an initial sales charge. Purchases of $1,000,000 of more of Class C shares are subject to a CDSC of up to 1.00% on shares redeemed within 12 months of purchase. If you redeem Class C shares within one year after purchase, you will be charged a CDSC of up to 1.00%. The charge will apply to the lesser of the original cost of the Class C shares being redeemed or the proceeds of your redemption and will be calculated without regard to any redemption fee. When you redeem Class C shares, the redemption order is processed so that the lowest CDSC is charged. Class I shares of the Funds are sold at NAV without an initial sales charge and are not subject to 12b-1 distribution fees, but have a higher minimum initial investment than Class A and Class C shares. All classes are subject to a 1.00% redemption fee on redemptions made with 30 days of the original purchase. Each share class of each Fund represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. Each Fund’s income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

2. SIGNIFICANT ACCOUNTING POLICIES

The following is a summary of significant accounting policies followed by the Funds in preparation of their consolidated financial statements. The policies are in conformity with the generally accepted accounting principles in the United States of America (“GAAP”). The Funds operate as investment companies and accordingly follow the Investment Company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies including FASB Accounting Standard Update ASU 2013-08. The preparation of the consolidated financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the

51

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2019

consolidated financial statements and the reported amounts of income and expenses for the year ended. Actual results could differ from those estimates.

Security Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the primary exchange on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. Futures shall be valued at the final settlement price (typically at 4:00 P.M. Eastern Time) on the valuation date. Forward foreign exchange contracts are valued by reference to the forward foreign exchange rate corresponding to the remaining life of the contract. Options are valued based on the daily price reported from the counterparty or pricing agent. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. The independent pricing service does not distinguish between smaller --sized bond positions known as “odd lots” and larger institutional sized bond positions known as “round lots”. The Fund may fair value a particular bond if the adviser does not believe that the round lot value provided by the independent pricing service reflects fair value of the Fund’s holding. Short-term debt obligations with remaining maturities in excess of sixty days are valued at current market prices by an independent pricing service approved by the Board. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.

The Funds may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value team composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor and/or sub-advisor. The team may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board has also engaged a third party valuation firm to attend valuation meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

Fair Valuation Process – As noted above, the fair value team is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor and/or sub-advisor. The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source), (ii) securities for which, in the judgment of the advisor or sub-advisor, the prices or values available do not represent the fair value of the instrument. Factors which may cause the advisor or sub-advisor to make such a judgment include, but are not limited to, the following: only a bid price or an ask price is available; the spread between bid and ask prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to a Fund’s calculation of its NAV. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private investments or non-traded securities are valued via inputs from the advisor or sub-advisor based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the advisor or sub-advisor is unable to obtain a current bid from such independent dealers or other independent parties, the fair value team shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Funds’ holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market

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December 31, 2019

value of any securities into which the security is convertible or exchangeable.

The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2019 for each Fund’s assets and liabilities measured at fair value:

FUTURES EVOLUTION STRATEGY FUND
Assets *	Level 1		Level 2		Level 3		Total
Common Stock	$	79,472	$	—	$	—	$	79,472
Bonds and Notes		—		322,846,646		—		322,846,646
Warrant		—		—		—		—
Short-Term Investments		—		1,516,795		—		1,516,795
Purchased Options		—		111,082,249		—		111,082,249
Total	$	79,472	$	435,445,690	$	—	$	435,525,162
GSA TREND STRATEGY FUND
Assets	Level 1		Level 2		Level 3		Total
Investments *
Short-Term Investments	$	—	$	10,759,000	$	—	$	10,759,000
Derivatives
Futures Contracts		975,081		—		—		975,081
Currency Contracts		—		541,877		—		541,877
Total:	$	975,081	$	11,300,877	$	—	$	12,275,958
Liabilities
Derivatives
Futures Contracts	$	796,710	$	—	$	—	$	796,710
Currency Contracts		—		1,009,391		—		1,009,391
Derivative Total	$	796,710	$	1,009,391	$	—	$	1,806,101

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December 31, 2019

MANAGED FUTURES STRATEGY FUND
Assets *	Level 1		Level 2		Level 3		Total
Derivatives
Futures Contracts	$	926,435	$	—	$	—	$	926,435
Currency Contracts		—		925,340		—		925,340
Total:	$	926,435	$	925,340	$	—	$	1,851,775
Liabilities *	Level 1		Level 2		Level 3		Total
Derivatives
Futures	$	852,863	$	—	$	—	$	852,863
Currency Contracts		—		1,539,486		—		1,539,486
Total:	$	852,863	$	1,539,486	$	—	$	2,392,349

* Refer to the Consolidated Portfolios of Investments for security classification.

The Funds did not hold any Level 3 securities as of December 31, 2019.

Consolidation of Subsidiaries –The consolidated financial statements of Altegris GSA Trend Strategy Fund with AGSAT Fund Limited (“AGSAT”) and Altegris Managed Futures Strategy Fund with AMFS Fund Limited (“AMFS”) include the accounts of AGSAT and AMFS (collectively the “CFCs”) as wholly-owned and controlled foreign corporation subsidiaries, in which each Fund may invest up to 25% of its total assets.

Altegris Advisors, L.L.C. (the “Advisor”) fair values Altegris Futures Evolution Strategy Funds Options Purchased investments daily based on the Commodity Trading Advisors (“CTAs’”) position information on a next-trading day basis. The Advisor applies current day pricing to the CTAs’ positions calculating an estimated profit and loss which is then used to determine a daily fair value NAV for each CTA. The Advisor receives a daily CTA estimated profit and loss figure from each CTA which is compared to the Advisors estimated profit and loss. If the difference of these estimates exceeds the Advisor’s threshold, additional procedures are conducted by the Advisor which may include, but are not limited to, reviewing current prices and speaking with the CTA. The Advisor then makes a final determination on the fair value NAV for each CTA, using either the Advisor’s estimate or the CTA’s estimate. The Advisor’s fair value NAV is back reviewed daily and reviewed by the Fund’s fair valuation committee on a regular basis. For financial reporting purposes, as of December 31, 2019, the NAV is calculated using the current market values of the Fund’s total consolidated assets as of the close of the regular trading session of the exchange or the close price, normally at 4 P.M. Eastern Time on each day the NYSE is open for business.

A summary of each Fund’s investment in the CFCs is as follows:

	Inception Date of	AGSAT Net Assets at	% of Fund Net Assets at
	AGSAT	December 31, 2019	December 31, 2019
AGSAT	3/17/2017	$ 2,402,573	9.24%
	Inception Date of	AMFS Net Assets at	% of Fund Net Assets at
	AMFS	December 31, 2019	December 31, 2019
AMFS	09/11/10	$ 3,010,089	4.93%

Security Transactions and Related Income – Security transactions are accounted for on a trade date basis. Interest income is recognized on an accrual basis. Discounts are accreted and premiums are amortized on securities purchased over the lives of the respective securities. Dividend income is recorded on the ex-dividend date. Realized gains or losses from sales of securities are determined by comparing the identified cost of the security lot sold with the net sales proceeds.

Exchange Traded Funds– The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The Funds may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity in an ETF could result in it being more volatile than the underlying securities. Additionally, ETFs have fees and expenses that increase their costs versus the costs of owning the underlying securities directly.

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December 31, 2019

Foreign Currency Translations – All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities and income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The Funds isolates the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. It is shown on the Statements of Operations as net change in unrealized appreciation/ (depreciation) on foreign currency transactions.

Each Fund’s investments in foreign securities are subject to foreign currency fluctuations, higher volatility than U.S. securities and varying degrees of regulation and limited liquidity. Greater political, economic, credit and information risks are also associated with investments in foreign securities.

Dividends and Distributions to Shareholders –Dividends from net investment income are declared and paid monthly for the Altegris Futures Evolution Strategy Fund, and annually for the Altegris GSA Trend Strategy Fund and the Altegris Managed Futures Strategy Fund. Distributable net realized capital gains are declared and distributed annually. Dividends from net investment income and distributions from net realized gains are recorded on the ex-dividend date and determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require reclassification.

Federal Income Taxes– It is each Fund’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision has been recorded.

Each Fund recognizes tax benefits only for tax positions where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed each Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions expected to be taken on returns filed for all open tax years (2017-2019) or expected to be taken in each Fund’s 2020 tax return. Each Fund identifies its major tax jurisdictions as U.S. federal and foreign jurisdictions where the Fund makes significant investments; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

For tax purposes, AGSAT, and AMFS are exempted Cayman investment companies. AGSAT, and AMFS have received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, AGSAT, and AMFS are CFCs and as such are not subject to U.S. income tax.

Expenses– Expenses of the Trust that are directly identifiable to a fund are charged to that fund. Expenses, which are not readily identifiable to a particular fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.

Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.

Futures Contracts –The Funds are each subject to equity price risk in the normal course of pursuing their investment objectives. Each Fund may sell futures contracts to hedge against market risk and to reduce return volatility. A futures contract provides for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a stock index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are incurred when a futures contract is bought or sold and initial and variation margin deposits must be maintained. Entering into a contract to buy is commonly referred to as buying or purchasing a contract or holding a long position. Entering into a contract to sell is commonly referred to as selling a contract or holding a short position. The Funds

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December 31, 2019

may also buy or sell hedge instruments based on one or more market indices in an attempt to maintain a fund’s volatility at a targeted level. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, a Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If a Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Fund segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. These amounts are disclosed on the Statements of Assets and Liabilities as Deposits with Brokers. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

Forward Foreign Currency Contracts – A Fund may enter into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. A forward involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses from contract transactions are included as a component of net realized gains/(losses) from forward foreign currency contracts in the statements of operations.

Option Transactions – When the Futures Evolution Strategy Fund purchases an option, an amount equal to the premium paid by the Futures Evolution Strategy Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Futures Evolution Strategy Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities. The Futures Evolution Strategy Fund invests in options which are not traded on an exchange. In doing so, it is assuming a credit risk with regard to the party with which it trades and also bears the risk of settlement default. These risks may differ materially from risks associated with transactions effected on an exchange, which generally are backed by clearing organization guarantees, daily mark-to-market and settlement, segregation and minimum capital requirements applicable to intermediaries. Relying on a counterparty exposes the Futures Evolution Strategy Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Futures Evolution Strategy Fund, this default will cause the value of an investment in the Futures Evolution Strategy Fund to decrease. In addition, to the extent the Futures Evolution Strategy Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Futures Evolution Strategy Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Futures Evolution Strategy Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Futures Evolution Strategy Fund. The Futures Evolution Strategy Fund holds fully funded options with Nomura Securities (Bermuda), Ltd. The options provide exposure to the daily returns of a reference asset on a 1 to 1 basis. According to the terms of the option, the Adviser may increase or decrease this exposure on a daily basis. The Futures Evolution Strategy Fund pays an upfront premium of 1.10% per annum, which is charged based on the contract year, which is accrued daily over the contract period. The option contracts were initially entered into as of August 16, 2017, and have a two year valuation period, which may be extended or reduced to zero at any time. Based on the terms of the call option agreement, the Futures Evolution Strategy Fund amortizes the option premiums on a straight-line basis for a one-year period with the unamortized balance due from the counterparty as a rebate in the case of an early exercise subject to an early exercise fee. For the six months ended December 31, 2019, $785,255 of option premiums was amortized.

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December 31, 2019

As of December 31, 2019, the fair value on the option contracts was $111,082,249. For the six months ended December 31, 2019, the Fund had realized gain/loss of $7,456,808 from options purchased contracts as disclosed on the Statement of Operations. The fair value on option contracts is disclosed on the portfolio of investments. As of December 31, 2019, the net change in unrealized depreciation on option purchased contracts was $830,566.

3. INVESTMENT TRANSACTIONS AND ASSOCIATED RISKS

For the six months ended December 31, 2019, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and U.S. Government securities, amounted to the following:

	Purchases		Sales
Futures Evolution Strategy Fund	$	98,744,395	$	120,041,262
GSA Trend Strategy Fund		—		—
Managed Futures Strategy Fund		—		—

During the normal course of business, the Funds purchase and sell various financial instruments, which may result in market, credit and liquidity risks, the amount of which is not apparent from the financial statements.

Market Risk: The risk that changes in interest rates, foreign exchange rates or equity prices will affect the positions held by the Funds. The Funds are exposed to market risk on financial instruments that are valued at market prices as disclosed in the schedule of investments. The prices of derivative instruments, including options, forwards and futures prices, can be highly volatile. Price movements of derivative contracts in which a Fund’s assets may be invested are influenced by, among other things, interest rates, changing supply and demand relationships, trade, fiscal, monetary and exchange control programs and policies of governments, and national and international political and economic events and policies. The Funds are exposed to market risk on derivative contracts in that a Fund may not be able to readily dispose of its holdings when it chooses and also that the price obtained on disposal is below that at which the investment is included in each Fund’s financial statements. All financial instruments are recognized at fair value, and all changes in market conditions directly affect net income. Each Fund’s investments in derivative instruments are exposed to market risk and are disclosed in the schedule of investments.

Counterparty Risk: The Futures Evolution Strategy Fund invests in derivative instruments issued for the Funds by Nomura Securities (“Nomura”), a Nomura product or other counterparty’s products, as applicable (the “Product”). If Nomura or a counterparty becomes insolvent, it may not be able to make any payments under the Product and investors may lose their capital invested in the Product. A decline in Nomura’s or any counterparty’s financial standing is likely to reduce the market value of the Product and therefore the price an investor may receive for the Product if they sell it in the market.

Liquidity Risk: The risk that a Fund will encounter difficulty in raising funds to meet commitments. Liquidity risk may result in an inability to sell investments quickly at close to fair value. Each Fund’s financial instruments include investments in securities which are not traded on organized public exchanges and which generally may be illiquid. As a result, the Funds may not be able to quickly liquidate their investments in these instruments at an amount close to its fair value in order to meet its liquidity requirements. The Funds do not anticipate any material losses as a result of liquidity risk.

Currency Risk:The Funds invest in financial instruments and enter into transactions that are denominated in currencies other than their functional currency. Consequently, each Fund is exposed to risks that the exchange rate of its currency relative to other foreign currencies may change in a manner that has an adverse effect on the fair value or future cash flows of that portion of each Fund’s assets or liabilities denominated in currencies other than the USD. Each Fund’s currency risk is managed on an ongoing basis by the various CTAs in accordance with policies and procedures in place and may consider hedging significant foreign currency exposure should the need arise.

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December 31, 2019

Impact of Derivatives on the Consolidated Statement of Assets and Liabilities and Consolidated Statement of Operations

The following is a summary of the location of derivative investments on each Fund’s Consolidated Statement of Assets and Liabilities as of December 31, 2019:

	Location on the Statement of Assets and Liabilities
Derivative Investment Type	Asset Derivatives
Futures Contracts	Unrealized appreciation on futures contracts
Forward Foreign Currency Exchange Contracts	Unrealized appreciation on forward foreign currency exchange contracts
Purchased Options	Investment Securities at value
Derivative Investment Type	Liability Derivatives
Futures Contracts	Unrealized depreciation on futures contracts
Forward Foreign Currency Exchange Contracts	Unrealized depreciation on forward foreign currency exchange contracts

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of December 31, 2019:

Futures Evolution Strategy Fund
	Equity Risk		Interest Rate Risk			Currency Risk			Commodity Risk		Total
Purchased Options	$	—	$	—		$	—		$	815,416	$	815,416
	$	—	$	—		$	—		$	815,416	$	815,416
GSA Trend Strategy Fund
	Equity Risk		Interest Rate Risk			Currency Risk			Commodity Risk		Total
Futures Contracts	$	118,704	$	(146,948	)	$	(3,991	)	$	210,606	$	178,371
Forward Foreign
Exchange Contracts		—		—			(467,514	)		—		(467,514	)
	$	118,704	$	(146,948	)	$	(471,505	)	$	210,606	$	(289,143	)
Managed Futures Strategy Fund
	Equity Risk		Interest Rate Risk			Currency Risk			Commodity Risk		Total
Futures Contracts	$	102,741	$	(348,448	)	$	14,141		$	305,138	$	73,572
Forward Foreign
Exchange Contracts		—		—			(614,146	)		—		(614,146	)
	$	102,741	$	(348,448	)	$	(600,005	)	$	305,138	$	(540,574	)

The following is a summary of the location of derivative investments on each Fund’s Consolidated Statement of Operations for the six months ended December 31, 2019:

Derivative Investment Type	Location of Gain (Loss) on Derivative
Options	Net realized gain/(loss) from purchased options
	Net change unrealized appreciation/(depreciation) on purchased options
Futures Contracts	Net realized gain/(loss) from futures contracts
	Net change unrealized appreciation/(depreciation) on futures contracts
Foreign Exchange Contracts	Net realized gain/(loss) from forward exchange contracts and translations
	Net change unrealized appreciation/(depreciation) on Forward foreign currency exchange contracts

The effect of Derivative Instruments on the Consolidated Statement of Operations for the six months ended December 31, 2019:

			Realized Gain		Change in Unrealized
Risk Type	Derivative	Location of Gain/Loss Derivatives	Derivatives		Depreciation on Derivatives
Futures Evolution Strategy Fund
Equity Risk	Options purchased	Net realized gain from purchased options	$	7,456,808
Equity Risk		Net change in unrealized depreciation on purchased options			$	(830,566	)
Total			$	7,456,808	$	(830,566	)

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December 31, 2019

			Realized
		Location of Gain/(Loss) On	Gain/(Loss)			Change in Unrealized
Risk Type	Derivative	Derivatives	Derivatives			Depreciation on Derivatives
GSA Trend Strategy Fund
Commodity Risk	Futures	Net realized loss from futures contracts	$	(1,203,635	)
Currency Risk		Net realized loss from futures contracts	$	(29,496	)
Equity Risk		Net realized gain from futures contracts	$	349,319
Interest Rate Risk		Net realized gain from futures contracts	$	2,325,417
Currency Risk	Forward Contracts	Net realized loss from forward exchange contracts and translations	$	(166,196	)
Commodity Risk	Futures
		Net change in unrealized appreciation on futures contracts				$	421,036
Currency Risk
		Net change in unrealized appreciation on futures contracts				$	116,458
Equity Risk
		Net change in unrealized appreciation on futures contracts				$	44,755
Interest Rate Risk
		Net change in unrealized depreciation on futures contracts				$	(1,527,837	)
Currency Risk	Forward Contracts	Net change in unrealized appreciation on forward foreign currency exchange contracts				$	152,224
Total			$	1,275,409		$	(793,364	)
Managed Futures Strategy Fund
Currency Risk	Forward Contract	Net realized gain from forward exchange contracts and translations	$	20,865
Commodity Risk	Futures	Net realized loss from futures contracts	$	(214,183	)
Currency Risk		Net realized loss from futures contracts	$	(88,788	)
Equity Risk		Net realized gain from futures contracts	$	2,034,152
Interest Risk		Net realized gain from futures contracts	$	2,037,401
Currency Risk	Forward Contract	Net change in unrealized appreciation on forward foreign exchange contracts				$	39,003
Commodity Risk
	Futures	Net change in unrealized appreciation on futures contracts				$	395,712
Currency Risk
		Net change in unrealized appreciation on futures contracts				$	83,714
Equity Risk
		Net change in unrealized depreciation on futures contracts				$	(33,381	)
Interest Risk
		Net change in unrealized depreciation on futures contracts				$	(1,787,330	)
Total			$	3,789,447		$	(1,302,282	)

The notional value of the derivative instruments outstanding as of December 31, 2019 as disclosed in the Consolidated Portfolios of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Consolidated Statements of Operations serve as indicators of the volume of derivative activity for a Fund.

Offsetting of Financial Assets and Derivative Assets

The Funds are required to disclose the impact of offsetting assets and liabilities represented in the statement of assets and liabilities to enable users of the financial statements to evaluate the effect or potential effect of netting arrangements on its financial position for recognized assets and liabilities. These recognized assets and liabilities are financial instruments and derivative instruments that are either subject to an enforceable master netting arrangement or similar agreement or meet the following right of setoff criteria: the amounts owed by the Funds to another party are determinable, the Funds have the right to set off the amounts owed with the amounts owed by the other party, the Funds intend to set off, and the Funds’ right of setoff is enforceable by law.

As of December 31, 2019, the Funds hold financial instruments and derivative instruments that are eligible for offset in the statement of assets and liabilities and are subject to a master netting arrangement. The master netting arrangement allows the counterparty or the Funds to net any collateral held on behalf of the Funds or the counterparty or liabilities or payment obligations of the counterparty or the Funds against any liabilities or payment obligations of the Funds or the counterparty to each other. The Funds have not elected to offset assets and liabilities in the statement of assets and liabilities.

59

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2019

The following tables provide disclosure regarding the potential effect of offsetting of recognized assets and liabilities presented in the statements of assets and liabilities had the Funds elected to offset:

GSA Trend Strategy Fund
Assets
							Gross Amounts Not
							Offset in the
							Consolidated Statement
							of Assets & Liabilities
			Gross Amounts
			Offset in the		Net Amounts of Assets
	Gross Amounts		Consolidated		Presented in the
	of Recognized		Statement of Assets		Consolidated Statement
Description	Assets		& Liabilities		of Assets & Liabilities		Financial Instruments			Net Amount
Forward Contracts	$	541,877	$	—	$	541,877	$	(541,877	)	$	—
Total	$	541,877	$	—	$	541,877	$	(541,877	)	$	—
Liabilities
							Gross Amounts Not
							Offset in the
							Consolidated Statement
							of Assets & Liabilities
			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented in
	Gross Amounts		Consolidated		the Consolidated
	of Recognized		Statement of Assets		Statement of Assets &
Description	Liabilities		& Liabilities		Liabilities		Financial Instruments			Net Amount
Forward Contracts	$	1,009,391	$	—	$	1,009,391	$	(541,877	)	$	467,514
Total	$	1,009,391	$	—	$	1,009,391	$	(541,877	)	$	467,514
Managed Futures Strategy Fund
Assets
							Gross Amounts Not Offset
							in the Consolidated
							Statement of Assets &
							Liabilities
			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented in
	Gross Amounts		Consolidated		the Consolidated
	of Recognized		Statement of Assets		Statement of Assets &
Description	Liabilities		& Liabilities		Liabilities		Financial Instruments			Net Amount
Forward Contracts	$	925,340	$	—	$	925,340	$	(925,340	)	$	—
Total	$	925,340	$	—	$	925,340	$	(925,340	)	$	—
Liabilities
							Gross Amounts Not Offset
							in the Consolidated
							Statement of Assets &
							Liabilities
			Gross Amounts		Net Amounts of
			Offset in the		Liabilities Presented in
	Gross Amounts		Consolidated		the Consolidated
	of Recognized		Statement of Assets		Statement of Assets &
Description	Liabilities		& Liabilities		Liabilities		Financial Instruments			Net Amount
Forward Contracts	$	1,539,486	$	—	$	1,539,486	$	(925,340	)	$	614,146
Total	$	1,539,486	$	—	$	1,539,486	$	(925,340	)	$	614,146

60

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2019

4. INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

Altegris Advisors, L.L.C., serves as the Funds’ investment advisor (the “Advisor”). The Advisor delegates management of the Futures Evolution Strategy Fund’s Fixed Income strategy portfolio to DoubleLine Capital, L.P., who serves as that Fund’s sub-advisor. The Advisor delegates management of the GSA Trend Strategy Fund’s portfolio to GSA Capital Partners LLP who serves as that Fund’s sub-advisor. The Advisor delegates management of the Managed Futures Strategy Fund to Crabel Capital Management, LLC, GSA Capital Partners LLP and Millburn Ridgefield Corporation, who serve as the sub-advisors. The Advisor also delegates management of the Managed Futures Strategy Fund to Centurion Investment Management, LLC, Phase Capital LP, QMS Capital Management and Three Rock Capital Management, LLC but currently there are no assets allocated to these sub-advisors.

Pursuant to an advisory agreement with the Trust, on behalf of the Funds, the Advisor, under the oversight of the Board, directs the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Altegris Futures Evolution Strategy Fund and the Altegris Managed Futures Strategy Fund pay the Advisor a fee computed and accrued daily and paid monthly, based on each respective Fund’s average daily net assets computed at the following annual rates: 1.50% on the first $1 billion, 1.40% on net assets greater than $1 billion and less than or equal to $1.5 billion, 1.30% on net assets greater than $1.5 billion and less than or equal to $2 billion, 1.20% on net assets greater than $2 billion and less than or equal to $2.5 billion, 1.10% on net assets greater than $2.5 billion and less than or equal to $3 billion and 1.00% on net assets greater than $3 billion. The Altegris GSA Trend Strategy Fund pays the Advisor a fee computed and accrued daily and paid monthly, based on the Fund’s average daily net asset at an annual rate of 1.35% on the first $400 Million and 1.20% on assets over $400 Million. Pursuant to a sub-advisory agreement between the Advisor and each sub-advisor, the sub-advisors are entitled to receive, on a monthly basis, an annual sub-advisory fee on the fixed income portion of each Fund’s average daily net assets. The sub-advisors are paid by the Advisor not by the Funds. During the six months ended December 31, 2019, the Advisor earned the following in advisory fees:

ADVISORY FEES
Futures Evolution Strategy Fund	$	3,867,932
GSA Trend Strategy Fund		196,950
Managed Futures Strategy Fund		498,078

Pursuant to a written agreement (the “Waiver Agreement”) the Advisor has contractually agreed to reduce its fees and to reimburse expenses, at least until October 31, 2020, to ensure that total annual Fund operating expenses (exclusive of any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; fees and expenses associated with investments in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); borrowing costs (such as interest and dividend expense on securities sold short); taxes; expenses incurred in connection with any merger or reorganization; and extraordinary expenses such as litigation expenses) will not exceed the amounts below (the “Expense Limitation”). The Board may terminate this expense reimbursement arrangement at any time upon 60 days’ notice to the Advisor.

	Class A	Class C	Class I	Class N	Class O
Futures Evolution Strategy Fund	1.94%	2.69%	1.69%	1.94%	NA
GSA Trend Strategy Fund	1.85%	NA	1.60%	1.85%	NA
Managed Futures Strategy Fund	1.90%	2.65%	1.65%	NA	1.90%

During the six months ended December 31, 2019, the Advisor waived the following amounts pursuant to the Waiver Agreement:

WAIVED FEES
Futures Evolution Strategy Fund	$	580,376
GSA Trend Strategy Fund		71,568
Managed Futures Strategy Fund		149,586

61

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2019

If the Advisor waives any fee or reimburses any expense pursuant to the Waiver Agreement, and a Fund’s operating expenses are subsequently lower than its respective Expense Limitation, the Advisor shall be entitled to reimbursement by the Fund provided that such reimbursement does not cause the Fund’s operating expense to exceed the respective Expense Limitation. If a Fund’s operating expenses subsequently exceed the respective expense limitation, the reimbursement for the Fund shall be suspended. The Advisor may seek reimbursement only for expenses waived or paid by it during the three years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement). Cumulative expenses previously waived or reimbursed subject to the aforementioned conditions will expire as presented in the table below:

FUTURES EVOLUTION			GSA TREND STRATEGY			MANAGED FUTURES
STRATEGY FUND			FUND			STRATEGY FUND
Jun-20		305,925	Jun-20	$	81,339	Jun-20	$	287,366
Jun-21		369,004	Jun-21		269,806	Jun-21		365,961
Jun-22		840,952	Jun-22		214,920	Jun-22		347,680
	$	1,515,881		$	566,065		$	1,001,007

On June 30, 2019, $143,860 and $174,316 of previously waived fees expired without recoupment by the Advisor for the Altegris Futures Evolution Strategy Fund and the Altegris Managed Futures Strategy Fund, respectively.

The Trust, on behalf of the Funds, has adopted the Trust’s Master Distribution and Shareholder Servicing Plans for Class A, Class C, Class N, and Class O shares (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that a monthly service and/or distribution fee is calculated by the Funds at an annual rate of 0.25%, 1.00%, 0.25%, and 0.25% of the average daily net assets attributable to Class A, Class C, Class N, and Class O shares, respectively. These fees are paid to Northern Lights Distributors, LLC (“NLD” or the “Distributor”) to provide compensation for ongoing distribution-related activities and/or maintenance of the Funds’ shareholder accounts, not otherwise required to be provided by the Advisor. During the six months ended December 31, 2019, pursuant to the Plans, the Funds incurred the following:

	12b-1 Fees
	Futures Evolution		GSA Trend		Managed Futures
	Strategy Fund		Strategy Fund		Strategy Fund
Class A	$	26,195	$	—	$	45,516
Class C		78,768		N/A		24,462
Class N		124,708		35,375		N/A
Class O		N/A		N/A		605

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ Class A and Class C shares. During the six months ended December 31, 2019, the Distributor received underwriting commissions for sales of Class A and Class C shares, respectively. The amounts of underwriting commissions received from the Funds and retained by the Distributor are as follows:

	Received				Retained
	Class A		Class C		Class A		Class C
Futures Evolution Strategy Fund	$	15,419	$	4,390	$	2,671	$	—
GSA Trend Strategy Fund		—		N/A		—		N/A
Managed Futures Strategy Fund		481		1,875		64		—

The administration of Futures Evolution Limited (“FEL”) is performed by NAV Consulting (the “Administrator”). Pursuant to the terms of the Administration Agreement with FEL, the Administrator receives a recurring fee accrued on a weekly basis as a percentage of the net asset value of FEL before any management fees accrued. Prior to October 1,2019 Maples Fund Services (Cayman) Limited (“Maples”) was the administrator. Pursuant to the terms of the Administration Agreement with FEL, Maples received a recurring fee accrued on a twice a week basis as a percentage of the net asset value of FEL prior to subscriptions issued, and before any management fees accrued.

62

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2019

The Funds are part of a series of Altegris Mutual Funds (“Family”) comprised of the Fund Altegris/AACA Real Estate Fund. The Family shares the minimum annual fees based on a percentage of the average net assets of each fund.

In addition, certain affiliates of the Distributor provide services to the Funds as follows:

Gemini Fund Services, LLC(“GFS”): GFS, an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with GFS, the Funds pay GFS customary fees for providing administration, fund accounting and transfer agency services to the Funds. Certain officers of the Trust are also officers of GFS, and are not paid any fees directly by the Funds for serving in such capacities. GFS provides a Principal Executive Officer and a Principal Financial Officer to the Trust.

Northern Lights Compliance Services, LLC(“NLCS”): NLCS, an affiliate of GFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Funds.

Blu Giant, LLC(“Blu Giant”): Blu Giant, an affiliate of GFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

On February 1, 2019, NorthStar Financial Services Group, LLC, the parent company of GFS and its affiliated companies including NLD, NLCS and Blu Giant (collectively, the “Gemini Companies”), sold its interest in the Gemini Companies to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent mutual fund administration firm) and its affiliates (collectively, the “Ultimus Companies”). As a result of these separate transactions, the Gemini Companies and the Ultimus Companies are now indirectly owned through a common parent entity, The Ultimus Group, LLC.

5. REDEMPTION FEES

The Funds may assess a short-term redemption fee of 1.00% of the total redemption amount if a shareholder sells their shares after holding them for less than 30 days. The redemption fee is paid directly to the respective Fund in which the short-term redemption fee occurs. For the six months ended December 31, 2019, redemption fees for the Funds were as follows:

	Futures Evolution		GSA Trend		Managed Futures
	Strategy Fund		Strategy Fund		Strategy Fund
Class A	$	281	$	—	$	50
Class C		—		N/A		—
Class I		3,727		17		143
Class N		43		291		N/A
Class O		N/A		N/A		78

6. AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

								Net Unrealized
			Gross Unrealized		Gross Unrealized			Appreciation/
	Tax Cost		Appreciation		Depreciation			Depreciation
Futures Evolution Strategy Fund	$	433,847,793	$	11,480,315	$	(9,768,450	)	$	1,711,865
GSA Trend Strategy Fund		10,758,535		1,517,423		(1,806,101	)		(288,678	)
Managed Futures Strategy Fund		—		926,435		(852,863	)		73,572

63

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2019

7. DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

The tax character of Fund distributions paid for the following years was as follows:

	For the period ended June 30, 2019
	Ordinary		Long-Term		Return of
Fund	Income		Capital Gains		Capital		Total
Futures Evolution Strategy Fund	$	31,519,039	$	—	$	—	$	31,519,039
GSA Trend Strategy Fund		—		—		—		—
Managed Futures Strategy Fund		—		1,134,946		510,319		1,645,265
	For the period ended June 30, 2018
	Ordinary		Long-Term		Return of
Fund	Income		Capital Gains		Capital		Total
Futures Evolution Strategy Fund	$	8,505,301	$	—	$	—	$	8,505,301
GSA Trend Strategy Fund		—		—		—		—
Managed Futures Strategy Fund		—		—		—		—

As of June 30, 2019, the components of accumulated earnings/(deficit) on a tax basis was as follows:

	Undistributed		Undistributed		Post October Loss			Capital Loss			Unrealized			Total
	Ordinary		Long-Term		and			Carry			Appreciation/			Accumulated
Fund	Income		Capital Gains		Late Year Loss			Forwards			(Depreciation)			Earnings/(Deficits)
Futures Evolution Fund	$	255,567	$	—	$	(2,306,607	)	$	(17,203,919	)	$	3,365,593		$	(15,889,366	)
GSA Trend Strategy Fund		186,899		1,115,244		—			—			(51,873	)		1,250,270
Managed Futures Strategy Fund		—		—		(450,160	)		—			(59,045	)		(509,205	)

The difference between book basis and tax basis unrealized appreciation (depreciation), accumulated net realized gain (loss) from investments, and accumulated net investment income (loss) is primarily attributable to the tax deferral of losses on wash sales, the mark-to-market on open forward foreign currency and futures contracts, and tax adjustments for defaulted bonds, bonds with perpetual maturities, and the Funds’ wholly owned subsidiary.

Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Managed Futures Strategy Fund below incurred and elected to defer such capital losses as follows:

	Late Year
Fund	Losses
Managed Futures Strategy Fund		5,948

Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds below incurred and elected to defer such capital losses as follows:

	Post October
Fund	Losses
Futures Evolution Strategy Fund	$	2,306,607
GSA Trend Strategy Fund		444,212

64

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited) (Continued)

December 31, 2019

At June 30, 2019, the Futures Evolution Strategy Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

	Non-Expiring		Non-Expiring				CLCF
Fund	Short-Term		Long-Term		Total		Utilized
Futures Evolution Strategy Fund	$	10,980,648	$	6,223,271	$	17,203,919	$	—

Permanent book and tax differences, primarily attributable to differences in book and tax treatment of net operating losses, Controlled Foreign Corporations and the options issued from Nomura, resulted in reclassifications for the Funds for the fiscal year ended June 30, 2019 as follows:

	Paid In			Accumulated
Fund	Capital			Earnings (Losses)
Futures Evolution Strategy Fund	$	(17,001,026	)	$	17,001,026
GSA Trend Strategy Fund		(5,506,606	)		5,506,606
Managed Futures Strategy Fund		(5,285,412	)		5,285,412

8. NEW ACCOUNTING PRONOUNCEMENTS

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. The amendments have been adopted in these financial statements.

9. SUBSEQUENT EVENTS

Subsequent events after the date of the Consolidated Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the consolidated financial statements, other than the following.

The Board has determined based on the recommendation of the investment adviser of Altegris GSA Trend Strategy Fund and Altegris Managed Futures Strategy Fund (each a “Fund”, collectively referred to as the “Funds”), that it is in the best interests of each Fund and its shareholders that each Fund cease operations. The Board has determined to close the Funds and redeem all outstanding shares on March 30, 2020. Effective at the close of business January 17, 2020, the Funds will not accept any purchases and will no longer pursue its stated investment objective.

65

Altegris Funds

EXPENSE EXAMPLES (Unaudited)

December 31, 2019

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases, contingent deferred sales charges (CDSCs) and redemption fees; (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period beginning July 1, 2019 and ending December 31, 2019.

Actual Expenses

The “Actual Expenses” section of each table provides information about actual account values and actual expenses. You may use the information below; together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number provided under the heading “Expenses Paid During Period”.

Hypothetical Example for Comparison Purposes

The “Hypothetical” section of each table below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

Futures Evolution Strategy Fund
	Annualized	Beginning	Ending Account	Expenses Paid During
Actual	Expense	Account Value	Value	Period *
Expenses	Ratio	7/1/2019	12/31/2019	7/1/19 – 12/31/19
Class A	1.94%	$1,000.00	$1,007.70	$9.79
Class C	2.69%	$1,000.00	$1,003.50	$13.55
Class I	1.69%	$1,000.00	$1,008.10	$8.53
Class N	1.94%	$1,000.00	$1,006.70	$9.79
Hypothetical	Annualized	Beginning	Ending Account	Expenses Paid During
(5% return before	Expense	Account Value	Value	Period *
expenses)	Ratio	7/1/2019	12/31/2019	7/1/19 – 12/31/19
Class A	1.94%	$1,000.00	$1,015.38	$9.83
Class C	2.69%	$1,000.00	$1,011.61	$13.60
Class I	1.69%	$1,000.00	$1,016.64	$8.57
Class N	1.94%	$1,000.00	$1,015.38	$9.83

66

Altegris Funds

EXPENSE EXAMPLES (Unaudited)(Continued)

June 30, 2019

GSA Trend Strategy Fund
	Annualized	Beginning	Ending Account	Expenses Paid During
Actual	Expense	Account Value	Value	Period *
Expenses	Ratio	7/1/2019	12/31/2019	7/1/19 – 12/31/19
Class A	1.85%	$1,000.00	$1,006.10	$9.33
Class I	1.60%	$1,000.00	$1,004.80	$8.06
Class N	1.85%	$1,000.00	$1,002.90	$9.31
Hypothetical	Annualized	Beginning	Ending Account	Expenses Paid During
(5% return before	Expense	Account Value	Value	Period *
expenses)	Ratio	7/1/2019	12/31/2019	7/1/19 – 12/31/19
Class A	1.85%	$1,000.00	$1,015.84	$9.37
Class I	1.60%	$1,000.00	$1,017.09	$8.11
Class N	1.85%	$1,000.00	$1,015.84	$9.37
Managed Futures Strategy Fund
	Annualized	Beginning	Ending Account	Expenses Paid During
Actual	Expense	Account Value	Value	Period *
Expenses	Ratio	7/1/2019	12/31/2019	7/1/19 – 12/31/19
Class A	1.90%	$1,000.00	$1,030.20	$9.70
Class C	2.65%	$1,000.00	$1,025.70	$13.49
Class I	1.65%	$1,000.00	$1,031.50	$8.43
Class O	1.90%	$1,000.00	$1,030.40	$9.70
Hypothetical	Annualized	Beginning	Ending Account	Expenses Paid During
(5% return before	Expense	Account Value	Value	Period *
expenses)	Ratio	7/1/2019	12/31/2019	7/1/19 – 12/31/19
Class A	1.90%	$1,000.00	$1,015.58	$9.63
Class C	2.65%	$1,000.00	$1,011.81	$13.40
Class I	1.65%	$1,000.00	$1,016.84	$8.36
Class O	1.90%	$1,000.00	$1,015.58	$9.63

* Expenses are equal to each Fund’s annualized expense ratio, multiplied by the number of days in the period (184) divided by the number of days in the fiscal year (365).

67

PRIVACY NOTICE

Northern Lights Fund Trust

Rev. February 2014

FACTS WHAT DOES NORTHERN LIGHTS FUND TRUST DO WITH YOUR PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information.�� Federal law gives consumers the right to limit some, but not all sharing.  Federal law also requires us to tell you how we collect, share, and protect your personal information.  Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depends on the product or service that you have with us. This information can include:   ●         Social Security number and wire transfer instructions   ●         account transactions and transaction history   ●         investment experience and purchase history   When you areno longerour customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business.  In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Northern Lights Fund Trust chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information:	Does Northern Lights Fund Trust share information?	Can you limit this sharing?
For our everyday business purposes -such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus.	YES	NO
For our marketing purposes -to offer our products and services to you.	NO	We don’t share
For joint marketing with other financial companies.	NO	We don’t share
For our affiliates’ everyday business purposes -information about your transactions and records.	NO	We don’t share
For our affiliates’ everyday business purposes -information about your credit worthiness.	NO	We don’t share
For nonaffiliates to market to you	NO	We don’t share

QUESTIONS?   Call 1-402-493-4603

68

PRIVACY NOTICE

Northern Lights Fund Trust

Page 2

What we do:
How does Northern Lights Fund Trust protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.
How does Northern Lights Fund Trust collect my personal information?	We collect your personal information, for example, when you ●    open an account or deposit money ●     direct us to buy securities or direct us to sell your securities ●     seek advice about your investments We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only: ●    sharing for affiliates’ everyday business purposes – information about your creditworthiness. ●    affiliates from using your information to market to you. ●    sharing for nonaffiliates to market to you. State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. ●    Northern Lights Fund Trust does not share with our affiliates.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. ●    Northern Lights Fund Trust does not share with nonaffiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ●    Northern Lights Fund Trust doesn’t jointly market.

69

PROXY VOTING POLICY

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling 1-877-772-5838 or by referring to the Security and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

PORTFOLIO HOLDINGS

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (1-800-SEC-0330). The information on Form N-Q is available without charge, upon request, by calling 1-877-772-5838.

INVESTMENT ADVISOR	ADMINISTRATOR
Altegris Advisors, L.L.C.	Gemini Fund Services, LLC
1200 Prospect Street, Suite 400	80 Arkay Drive, Suite 110
La Jolla, CA 92037	Hauppauge, New York 11788
INVESTMENT SUB-ADVISORS
Doubleline Capital LP	Crabel Capital Management, LLC
333 South Grand Ave. Suite 1800	200 Pequot Ave
Los Angeles, CA 90071	Southport, CT 06890
PhaseCapital LP	Centurion Investment Management, LLC
200 Clarendon Street, 25th Floor	610 W Germantown Pike
Boston, MA 02116	Plymouth Meeting, PA 19462
Millburn Ridgefield Corporation	GSA Capital Partners, LLP
411 West Putnam Avenue #305	Stratton House 5 Stratton Street
Greenwich, CT 06830	London W1J 8LA United Kingdom
QMS Capital Management LP	Three Rock Capital Management Limited
240 Leigh Farm Rd #450	149 Francis St, Merchants Quay
Durham, NC 27707	Dublin 8, D08 K030, Ireland

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Item 2. Code of Ethics.Not applicable.

Item 3. Audit Committee Financial Expert.Not applicable.

Item 4. Principal Accountant Fees and Services.Not applicable.

Item 5. Audit Committee of Listed Companies.Not applicable to open-end investment companies.

Item 6. Schedule of Investments.Schedule of investments in securities of unaffiliated issuers is included under Item 1.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.

Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.

Item 10. Submission of Matters to a Vote of Security Holders. None

Item 11. Controls and Procedures.

(a)       Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

(b)       There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-Ended Management Investment Companies

Not applicable.

Item 13. Exhibits.

(a)(1) Not applicable.

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.

(a)(3) Not applicable for open-end investment companies.

(b) Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

(Registrant)Northern Lights Fund Trust

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, President/Principal Executive Officer

Date 3/4/2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, President/Principal Executive Officer

Date 3/4/2020

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Treasurer/Principal Financial Officer

Date 3/4/2020