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: 12/31/20
Item 1. Reports to Stockholders.
 |
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December 31, 2020 |
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The Altegris Mutual Funds |
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A SERIES OF NORTHERN LIGHTS FUND TRUST |
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Semi-Annual Report |
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Altegris Futures Evolution Strategy Fund |
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Advised by: |
Altegris Advisors, LLC |
1200 Prospect, Suite 400 |
La Jolla, CA 92037 |
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877.524.9441 | WWW.ALTEGRIS.COM |
Altegris Futures Evolution Strategy Fund |
PORTFOLIO REVIEW (Unaudited) |
December 31, 2020 |
The Fund’s performance figures* for the period ended December 31, 2020, compared to its benchmark:
| | | | Since Inception | Since Inception |
| Six Months | One Year | Five Years | February 16, 2012 | October 31, 2011 |
Altegris Futures Evolution Strategy Fund - Class A | 4.03% | (13.13)% | (2.25)% | N/A | 1.48% |
Altegris Futures Evolution Strategy Fund - Class A with load ** | (1.93)% | (18.14)% | (3.41)% | N/A | 0.82% |
Altegris Futures Evolution Strategy Fund - Class C | 3.58% | (13.85)% | (2.98)% | 0.59% | N/A |
Altegris Futures Evolution Strategy Fund - Class I | 4.06% | (12.95)% | (2.00)% | N/A | 1.74% |
Altegris Futures Evolution Strategy Fund - Class N | 4.00% | (13.17)% | (2.25)% | N/A | 1.46% |
Bank of America Merrill Lynch 3-Month Treasury Bill Index *** | 0.07% | 0.67% | 1.20% | 0.70% | 0.68% |
S&P 500 Total Return Index ^ | 22.16% | 18.40% | 15.22% | 14.47% | 15.08% |
SG Trend Index + | 7.19% | 6.28% | 0.46% | 2.03% | 2.30% |
| * | 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 2.18%, 2.93%, 1.93%, and 2.19% for Class A, Class C, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 28, 2020. 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. Investors cannot directly invest in an index. |
| ^ | S&P 500 Total Return Index is unmanaged and is generally representative of certain portions of the U.S. equity markets. Investors cannot directly invest in an index. |
| + | 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. Investors cannot directly invest in an index. |
Holdings by Type of Investment as of December 31, 2020 | | % of Net Assets | |
Asset Backed Securities | | | 49.2 | % |
Purchase Options | | | 26.6 | % |
Corporate Bonds | | | 11.0 | % |
Collateralized Mortgage Obligations | | | 6.3 | % |
U.S. Government Agencies | | | 5.3 | % |
Non U.S. Government Agencies | | | 1.5 | % |
Other, Cash & Cash Equivalents | | | 0.1 | % |
| | | 100.0 | % |
Please refer to the Portfolio of Investments in this report for a detailed listing of the Fund’s holdings.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
Shares | | | | | | | | | | | | | Value ($) | |
| | | | COMMON STOCK - 0.0% * | | | | | | | | | | | | | |
| | | | OIL & GAS PRODUCERS - 0.0% * | | | | | | | | | | | | | |
| 6,140 | | | Frontera Energy Corp. | | | | | | | | | | | | 15,841 | |
| | | | TOTAL COMMON STOCK (Cost - $545,295) | | | | | | | | | | | | 15,841 | |
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Principal Amount | | | | | | | | | | | | | | | | |
($) | | | | | Variable Rate | | | Interest Rate | | | | Maturity | | | | |
| | | | ASSET BACKED SECURITIES - 44.1% | | | | | | | | | | | | | |
| | | | AUTO LOAN - 0.4% | | | | | | | | | | | | | |
| 219,335 | | | Arivo Acceptance Auto Loan Receivables Trust 2019-1 (b) | | | | | 2.9900 | | | | 7/15/2024 | | | 222,096 | |
| 88,783 | | | GLS Auto Receivables Trust 2019-1 (b) | | | | | 3.3700 | | | | 1/17/2023 | | | 89,094 | |
| 358,652 | | | GLS Auto Receivables Issuer Trust 2020-2 (b) | | | | | 1.5800 | | | | 8/15/2024 | | | 361,864 | |
| | | | | | | | | | | | | | | | 673,054 | |
| | | | COLLATERALIZED LOAN OBLIGATIONS - 12.2% | | | | | | | | | | |
| 501,021 | | | Adams Mill CLO Ltd. A1R (b,c) | | 3 Month LIBOR + 1.10 | | | 1.3369 | | | | 7/15/2026 | | | 499,823 | |
| 400,000 | | | Anchorage Capital CLO 1-R Ltd. (b,c) | | 3 Month LIBOR + 0.99 | | | 1.2141 | | | | 4/13/2031 | | | 397,213 | |
| 500,000 | | | Apidos CLO XXI 2015-21A ER (b,c,h) | | 3 Month LIBOR + 8.25 | | | 8.4678 | | | | 7/18/2027 | | | 402,715 | |
| 500,000 | | | Apidos CLO XXIV 2016-24A DR (b,c) | | 3 Month LIBOR + 5.80 | | | 6.0184 | | | | 10/20/2030 | | | 460,483 | |
| 500,000 | | | Atrium XIII 13A E (b,c) | | 3 Month LIBOR + 6.05 | | | 6.2591 | | | | 11/21/2030 | | | 466,681 | |
| 500,000 | | | Atrium XIV 14A E (b,c) | | 3 Month LIBOR + 5.65 | | | 5.8801 | | | | 8/23/2030 | | | 470,422 | |
| 500,000 | | | Canyon Capital CLO 2016-1 Ltd DR (b,c) | | 3 Month LIBOR + 5.75 | | | 5.9869 | | | | 7/15/2031 | | | 452,913 | |
| 500,000 | | | Carlyle Global Market Strategies CLO 2014-2R A (b,c,h) | | 3 Month LIBOR + 5.35 | | | 5.5710 | | | | 5/15/2031 | | | 431,594 | |
| 843,058 | | | Carlyle Global Market Strategies CLO 2014-3d-R Ltd. A1A (b.c) | | 3 Month LIBOR + 1.05 | | | 1.2665 | | | | 7/27/2031 | | | 840,699 | |
| 1,000,000 | | | Cathedral Lake CLO 2013 Ltd. A1RR (b,c) | | 3 Month LIBOR + 1.20 | | | 1.4369 | | | | 10/15/2029 | | | 995,806 | |
| 118,219 | | | CENT CLO 19 Ltd. 2013-19A A1A (b,c) | | 3 Month LIBOR + 1.33 | | | 1.5433 | | | | 10/29/2025 | | | 118,195 | |
| 500,000 | | | Chenango Park CLO Ltd. 2018-1A O (b,c) | | 3 Month LIBOR + 5.80 | | | 6.0369 | | | | 4/15/2030 | | | 474,903 | |
| 500,000 | | | Dryden 40 Senior Loan Fund 2015-40A ER (b,c) | | 3 Month LIBOR + 5.75 | | | 5.9710 | | | | 8/15/2031 | | | 463,615 | |
| 500,000 | | | Fillmore Park CLO Ltd 2018-1A E (b,c) | | 3 Month LIBOR + 5.40 | | | 5.6369 | | | | 7/18/2030 | | | 463,054 | |
| 1,500,000 | | | Hayfin Kingsland VIII Ltd. 2018 8A R (b,c) | | 3 Month LIBOR + 1.12 | | | 1.3384 | | | | 4/20/2031 | | | 1,487,700 | |
| 996,871 | | | Jefferson Mill CLO Ltd. 2015-1A AR(b,c) | | 3 Month LIBOR + 1.18 | | | 1.3934 | | | | 10/20/2031 | | | 990,539 | |
| 500,000 | | | LCM Loan Income Fund I Income Note Issuer Ltd. 27A E (b,c,h) | | 3 Month LIBOR + 5.60 | | | 5.8301 | | | | 7/16/2031 | | | 437,975 | |
| 500,000 | | | LCM XIV LP ER 14A (b,c) | | 3 Month LIBOR + 5.50 | | | 5.7184 | | | | 7/20/2031 | | | 429,250 | |
| 500,000 | | | LCM XVII LP 17A ER (b,c,h) | | 3 Month LIBOR + 6.00 | | | 6.2369 | | | | 10/15/2031 | | | 448,085 | |
| 491,179 | | | Longfellow Place CLO Ltd. 2013 1A ARR (b,c) | | 3 Month LIBOR + 1.34 | | | 1.5769 | | | | 4/15/2029 | | | 490,543 | |
| 500,000 | | | Myers Park CLO Ltd. 2018-1A E (b,c) | | 3 Month LIBOR + 5.50 | | | 5.7184 | | | | 10/20/2030 | | | 464,911 | |
| 982,916 | | | Ocean Trails CLO V 2014-5A DRR (b,c) | | 3 Month LIBOR + 1.28 | | | 1.5041 | | | | 10/13/2031 | | | 981,324 | |
| 1,500,000 | | | OCP CLO 2020-18 Ltd. AA (b,c) | | 3 Month LIBOR + 1.80 | | | 2.0184 | | | | 4/20/2030 | | | 1,500,737 | |
| 500,000 | | | Octagon Investment Partners 26 Ltd 2016-1A FR (b,c) | | 3 Month LIBOR + 8.09 | | | 8.3269 | | | | 7/15/2030 | | | 418,940 | |
| 500,000 | | | Octagon Investment Partners XVI Ltd 2013-1A ER (b,c) | | 3 Month LIBOR + 5.75 | | | 5.9677 | | | | 7/17/2030 | | | 465,053 | |
| 989,618 | | | Romark WM-R Ltd 2018-1A A1 (b,c) | | 3 Month LIBOR + 1.03 | | | 1.2484 | | | | 4/20/2031 | | | 981,814 | |
| 1,000,000 | | | Steele Creek CLO 2018-2 Ltd. AA (b,c) | | 3 Month LIBOR + 1.20 | | | 1.4204 | | | | 8/18/2031 | | | 992,069 | |
| 500,000 | | | THL Credit Wind River 2018-2 2AF Clo Ltd. (b,c) | | 3 Month LIBOR + 5.75 | | | 5.9869 | | | | 7/15/2030 | | | 450,348 | |
| 500,000 | | | Voya CLO 2018-2 Ltd. 2A E (b,c) | | 3 Month LIBOR + 5.25 | | | 5.4869 | | | | 7/15/2031 | | | 458,994 | |
| 500,000 | | | Voya CLO 2019-2 Ltd. 2A E (b,c) | | 3 Month LIBOR + 6.60 | | | 6.8184 | | | | 7/20/2032 | | | 493,415 | |
| 1,790,955 | | | Wellfleet CLO 2016-1 Ltd. AR (b,c) | | 3 Month LIBOR + 0.91 | | | 1.1284 | | | | 4/20/2028 | | | 1,781,837 | |
| 38,834 | | | Zais CLO 2 Ltd. 2014-2A A1AR (b,c) | | 3 Month LIBOR + 1.20 | | | 1.4147 | | | | 7/25/2026 | | | 38,814 | |
| | | | | | | | | | | | | | | | 20,250,464 | |
| | | | COLLATERALIZED MORTGAGE OBLIGATIONS - 10.5% | | | | | | | | | |
| 24,147 | | | Alternative Loan Trust 2007-J2 2 A1 | 6.0000 | | | | 7/25/2037 | | | 24,701 | |
| 534,435 | | | BRAVO Residential Funding Trust 2019-NQM1 A2 (b,d) | 2.8920 | | | | 7/25/2059 | | | 546,627 | |
| 534,435 | | | BRAVO Residential Funding Trust 2019-NQM1 A3 (b,d) | 2.9960 | | | | 7/25/2059 | | | 545,962 | |
| 341,752 | | | CHL Mortgage Pass-Through Trust 2007-12 A9 | 5.7500 | | | | 8/25/2037 | | | 274,959 | |
| 45,396 | | | CitiMortgage Alternative Loan Trust Series 2007-A1 | 5.5000 | | | | 1/25/2022 | | | 44,387 | |
| 630,899 | | | CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9 5A12 | 5.5000 | | | | 10/25/2035 | | | 511,699 | |
| 969,515 | | | CSMC 2020-RPL2 Trust A12 (b) | | | | | 4.0000 | | | | 2/25/2060 | | | 972,412 | |
| 133,106 | | | CSMC Mortgage-Backed Trust 2006-7 1A3 | 5.0000 | | | | 8/25/2036 | | | 120,009 | |
| 315,138 | | | CSMC Mortgage-Backed Trust 2007-1 5A14 | 6.0000 | | | | 2/25/2037 | | | 280,366 | |
| 307,006 | | | Deephaven Residential Mortgage Trust 2018-3 A2 (b,d) | 3.8910 | | | | 8/25/2058 | | | 304,187 | |
| 117,713 | | | First Horizon Alternative Mortgage Securities Trust 2005-AA4 1A1 (d) | 2.4403 | | | | 5/25/2035 | | | 87,681 | |
| 1,000,000 | | | FMC GMSR Issuer Trust 2019-GT1 A (b,d) | 5.0700 | | | | 5/25/2024 | | | 933,418 | |
| 1,000,000 | | | FMC GMSR Issuer Trust 2019-GT1 B (b,d) | 5.6600 | | | | 5/25/2024 | | | 966,545 | |
| 970,570 | | | GCAT 2020-3 LLC (b,f) | | | | | 2.9814 | | | | 9/25/2025 | | | 980,691 | |
| 119,266 | | | GSR Mortgage Loan Trust 2005-AR7 3A1 (d) | 2.9101 | | | | 11/25/2035 | | | 110,982 | |
| 353,337 | | | GSR Mortgage Loan Trust 2006-AR1 3A1 (d) | 3.3865 | | | | 1/25/2036 | | | 353,280 | |
| 230,666 | | | GSR Mortgage Loan Trust 2007-1F 2A2 | | | | | 5.5000 | | | | 1/25/2037 | | | 312,920 | |
| 544,602 | | | Homeward Opportunities Fund I Trust 2018-1 A2 (b,d) | 3.8970 | | | | 6/25/2048 | | | 545,495 | |
| 624,023 | | | Homeward Opportunities Fund I Trust 2018-1 A3 (b,d) | 3.9990 | | | | 6/25/2048 | | | 623,569 | |
| 668,041 | | | JP Morgan Mortgage Trust 2007-S2 1A11 | 6.0000 | | | | 6/25/2037 | | | 420,287 | |
| 683,692 | | | Legacy Mortgage Asset Trust 2020-GS3 (b,f) | | | | | 2.8820 | | | | 10/25/2059 | | | 685,783 | |
| 312,450 | | | Lehman Mortgage Trust 2006-1 1A3 | 5.5000 | | | | 2/25/2036 | | | 252,140 | |
| 167,677 | | | MASTR Adjustable Rate Mortgages Trust 2006-2 2A1 (d) | 2.8312 | | | | 4/25/2036 | | | 130,440 | |
| 1,000,000 | | | Mello Warehouse Securitization Trust 2019-1 G (b,c) | | 1 Month LIBOR + 5.50 | | | 5.6480 | | | | 6/25/2052 | | | 998,168 | |
| 434,295 | | | Merrill Lynch Mortgage Investors Trust Series 2006-AF2 | 6.2500 | | | | 10/25/2036 | | | 288,700 | |
| 129,474 | | | Morgan Stanley Mortgage Loan Trust 2006-7 3A (d) | 4.9989 | | | | 6/25/2036 | | | 104,966 | |
| 770,593 | | | Morgan Stanley Mortgage Loan Trust 2007-12 | 6.2500 | | | | 8/25/2037 | | | 523,469 | |
| 1,434,009 | | | New Residential Mortgage Loan Trust 2020-NPL1 (b,c) | 4.3350 | | | | 7/25/2050 | | | 1,451,467 | |
| 1,805 | | | Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-5 2AN (d) | 5.6750 | | | | 12/25/2035 | | | 1,809 | |
| 118,457 | | | PHH Alternative Mortgage Trust Series 2007-2 3A1 | 6.0000 | | | | 5/25/2037 | | | 117,281 | |
| 272,950 | | | Radnor RE 2019-2 M1A Ltd. (b,c) | | 1 Month LIBOR + 1.20 | | | 1.3480 | | | | 6/25/2029 | | | 272,827 | |
| 207,152 | | | RALI Series 2006-QA1 1A21 Trust (d) | 4.4955 | | | | 1/25/2036 | | | 181,993 | |
| 2,151 | | | RALI Series 2006-QS10 Trust A9 | | | | | 6.5000 | | | | 8/25/2036 | | | 2,184 | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
Principal Amount | | | | | | | | | | | | |
($) | | | | | Variable Rate | | Interest Rate | | Maturity | | Value ($) | |
| | | | ASSET BACKED SECURITIES - 44.1% (Continued) | | | | | | |
| | | | COLLATERALIZED MORTGAGE OBLIGATIONS - 10.5% (Continued) | | | | | | |
| 358,127 | | | RALI Series 2006-QS12 2A3 Trust | | | | 6.0000 | | 9/25/2036 | | | 354,858 | |
| 249,610 | | | RALI Series 2007-QS6 A6 Trust | | | | 6.2500 | | 4/25/2037 | | | 245,664 | |
| 351,775 | | | Residential Asset Securitization Trust 2006-A2 A3 | | | | 6.0000 | | 1/25/2046 | | | 219,262 | |
| 219,865 | | | Residential Asset Securitization Trust 2006-A6 2A11 | | | | 6.0000 | | 7/25/2036 | | | 178,616 | |
| 487,746 | | | Residential Asset Securitization Trust 2007-A1 A8 | | | | 6.0000 | | 3/25/2037 | | | 285,399 | |
| 372,685 | | | Residential Asset Securitization Trust 2007-A3 1A1 (c) | | 1 Month LIBOR + 0.45 | | 0.5980 | | 4/25/2037 | | | 133,552 | |
| 48,611 | | | Residential Asset Securitization Trust 2007-A3 1A2 (c) | | 46.38 - (7.67 * 1 Month LIBOR) | | 45.2487 | | 4/25/2037 | | | 125,995 | |
| 118,525 | | | RFMSI Series 2006-S3 Trust A7 | | | | 5.5000 | | 3/25/2036 | | | 114,066 | |
| 200,277 | | | RFMSI Series 2006-S7 Trust A3 | | | | 6.2500 | | 8/25/2036 | | | 189,615 | |
| 79,146 | | | RFMSI Series 2006-S7 Trust A7 | | | | 6.2500 | | 8/25/2036 | | | 74,933 | |
| 352,604 | | | RFMSI Series 2007-S1 A5 Trust A5 | | | | 6.0000 | | 1/25/2037 | | | 345,976 | |
| 134,251 | | | RFMSI Series 2007-S2 A4 Trust | | | | 6.0000 | | 2/25/2037 | | | 128,093 | |
| 344,484 | | | RFMSI Series 2007-S6 Trust 1A11 | | | | 6.0000 | | 6/25/2037 | | | 337,609 | |
| 708,693 | | | Toorak Mortgage Corp 2018-1 Ltd. A1 (b,f) | | | | 4.3356 | | 8/25/2021 | | | 710,284 | |
| | | | | | | | | | | | | 17,415,326 | |
| | | | HOME EQUITY - 0.1% | | | | | | | | | | |
| 171,688 | | | GSAA Home Equity Trust 2007-10 A1A | | | | 6.0000 | | 11/25/2037 | | | 145,115 | |
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| | | | NON-AGENCY CMBS - 10.6% | | | | | | | | | | |
| 215,000 | | | AREIT 2019-CRE3 Trust (b,c) | | 1 Month LIBOR + 2.65 | | 2.8031 | | 9/14/2036 | | | 205,150 | |
| 1,111,000 | | | Atrium Hotel Portfolio Trust 2017-ATRM (b,c) | | 1 Month LIBOR + 3.05 | | 3.2090 | | 12/15/2036 | | | 802,899 | |
| 265,000 | | | BAMLL Commercial Mortage Securities Trust 2019-AHT (b,c) | | 1 Month LIBOR + 2.50 | | 2.6590 | | 3/15/2034 | | | 249,267 | |
| 243,000 | | | Bancorp Commercial Mortgage 2019-CRE6 Trust (b,c) | | 1 Month LIBOR + 2.35 | | 2.5086 | | 3/15/2036 | | | 230,640 | |
| 101,000 | | | BBCMS 2017-DELC Mortgage Trust C (b,c) | | 1 Month LIBOR + 1.20 | | 1.3586 | | 8/15/2036 | | | 98,593 | |
| 115,000 | | | BBCMS 2017-DELC Mortgage Trust D (b,c) | | 1 Month LIBOR + 1.70 | | 1.8586 | | 8/15/2036 | | | 109,953 | |
| 231,000 | | | BBCMS 2017-DELC Mortgage Trust E (b,c) | | 1 Month LIBOR + 2.50 | | 2.6586 | | 8/15/2036 | | | 218,545 | |
| 230,000 | | | BBCMS 2017-DELC Mortgage Trust F (b,c) | | 1 Month LIBOR + 3.50 | | 3.6586 | | 8/15/2036 | | | 208,754 | |
| 30,200,000 | | | BB-UBS Trust 2012-SHOW XA (b,d,g) | | | | 0.5958 | | 11/5/2024 | | | 658,396 | |
| 16,627,000 | | | BB-UBS Trust 2012-SHOW XB (b,d,g) | | | | 0.1438 | | 11/5/2024 | | | 114,096 | |
| 599,000 | | | BFLD 2019-DPLO E (b,c) | | 1 Month LIBOR + 2.24 | | 2.3990 | | 10/15/2034 | | | 562,240 | |
| 116,978 | | | BX Trust 2017-SLCT D (b,c) | | 1 Month LIBOR + 2.05 | | 2.2086 | | 7/15/2034 | | | 116,106 | |
| 286,450 | | | BX Trust 2017-SLCT E (b,c) | | 1 Month LIBOR + 3.15 | | 3.3086 | | 7/15/2034 | | | 282,875 | |
| 408,324 | | | BX Trust 2018-EXCL A (b,c) | | 1 Month LIBOR + 1.09 | | 1.2466 | | 9/15/2037 | | | 376,947 | |
| 100,000 | | | BX Trust 2018-GW D (b,c) | | 1 Month LIBOR + 1.77 | | 1.9290 | | 5/15/2035 | | | 96,871 | |
| 111,000 | | | BXMT 2017-FL1 Ltd. C (b,c) | | 1 Month LIBOR + 1.95 | | 2.1025 | | 6/15/2035 | | | 110,371 | |
| 526,000 | | | BXMT 2020-FL2 Ltd. (b,c) | | 1 Month LIBOR + 1.65 | | 1.8025 | | 2/16/2037 | | | 518,138 | |
| 116,000 | | | Carbon Capital VI Commercial Mortgage 2019-FL2 B Trust (b,c) | | 1 Month LIBOR + 2.85 | | 3.0086 | | 10/15/2035 | | | 101,652 | |
| 2,840,806 | | | CD 2017-CD4 Mortgage Trust XA (d,g) | | | | 1.2932 | | 5/10/2050 | | | 166,063 | |
| 6,083,032 | | | CFCRE Commerical MortageTrust 2017-C8 XA (d,g) | | | | 1.5987 | | 6/15/2050 | | | 427,538 | |
| 2,302,000 | | | CFCRE Commercial Mortgage Trust 2017-C8 XB (d,g) | | | | 0.9459 | | 6/15/2050 | | | 122,370 | |
| 283,000 | | | CHT 2017-COSMO Mortgage Trust F (b,c) | | 1 Month LIBOR + 3.00 | | 3.1586 | | 11/15/2034 | | | 270,937 | |
| 6,004,743 | | | Citigroup Commercial Mortgage Trust 2014-GC21 XA (d,g) | | | | 1.1692 | | 5/10/2047 | | | 195,030 | |
| 4,301,911 | | | Citigroup Commercial Mortgage Trust 2014-GC25 XA (d,g) | | | | 0.9890 | | 10/10/2047 | | | 132,611 | |
| 224,000 | | | Citigroup Commercial Mortgage Trust 2015-GC27 D (b,d) | | | | 4.5770 | | 2/10/2048 | | | 198,945 | |
| 1,919,762 | | | Citigroup Commercial Mortgage Trust 2016-GC36 XA (b,g) | | | | 1.2496 | | 2/10/2049 | | | 95,821 | |
| 4,211,909 | | | Citigroup Commercial Mortgage Trust 2016-P3 XA (d,g) | | | | 1.6990 | | 4/15/2049 | | | 273,720 | |
| 796,000 | | | Citigroup Commercial Mortgage Trust 2018-TBR (b,c) | | 1 Month LIBOR + 1.80 | | 1.9590 | | 12/15/2036 | | | 729,898 | |
| 7,772,217 | | | COMM 2013-CCRE12 Mortgage Trust XA (d,g) | | | | 1.1189 | | 10/10/2046 | | | 206,445 | |
| 5,163,451 | | | COMM 2013-LC6 Mortgage Trust XA (d,g) | | | | 1.3239 | | 1/10/2023 | | | 103,242 | |
| 566,000 | | | CSMC Trust 2017-CHOP D (b,c) | | 1 Month LIBOR + 1.90 | | 2.0586 | | 7/15/2032 | | | 501,235 | |
| 171,000 | | | CSMC Trust 2017-LSTK C (b) | | | | 3.2294 | | 4/5/2021 | | | 170,280 | |
| 204,000 | | | CSMC Trust 2017-LSTK D (b,d) | | | | 3.3305 | | 4/5/2021 | | | 200,019 | |
| 92,814 | | | DBGS 2018-BIOD Mortgage Trust F (b,c) | | 1 Month LIBOR + 2.00 | | 2.1586 | | 5/15/2035 | | | 92,438 | |
| 110,000 | | | DBJPM 16-C1 Mortgage Trust C (d) | | | | 3.3464 | | 5/10/2049 | | | 102,961 | |
| 526,000 | | | GPMT 2018-GPP Mortgage Trust FL1D (b,c) | | 1 Month LIBOR + 2.95 | | 3.0970 | | 11/21/2035 | | | 501,205 | |
| 100,000 | | | GS Mortgage Securities Corp Trust 2018-RIVR (b,c) | | | | 1.7090 | | 7/15/2035 | | | 86,846 | |
| 250,000 | | | GS Mortgage Securities Corp Trust 2019-SMP F (b,c) | | 1 Month LIBOR + 3.10 | | 3.2586 | | 8/15/2032 | | | 210,211 | |
| 569,000 | | | GS Mortgage Securities Trust 2014-GC26 D (b,d) | | | | 4.5111 | | 11/10/2047 | | | 419,568 | |
| 231,000 | | | Hawaii Hotel Trust 2019-MAUI F (b,c) | | 1 Month LIBOR + 2.75 | | 2.9086 | | 5/15/2038 | | | 213,361 | |
| 334,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3 E (b,d) | | | | 5.6961 | | 2/15/2046 | | | 97,308 | |
| 1,109,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 B (b,c) | | 1 Month LIBOR + 1.10 | | 1.2586 | | 2/15/2035 | | | 1,032,088 | |
| 144,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 C (b,c) | | 1 Month LIBOR + 1.30 | | 1.4586 | | 2/15/2035 | | | 131,651 | |
| 786,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT EFL (b,c) | | 1 Month LIBOR + 2.60 | | 2.7528 | | 7/5/2023 | | | 736,369 | |
| 500,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT FEX (b) | | | | 5.5422 | | 7/5/2023 | | | 477,866 | |
| 642,000 | | | JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP A (b,c) | | 1 Month LIBOR + 0.96 | | 1.1190 | | 7/15/2036 | | | 636,365 | |
| 305,000 | | | J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP F (b,c) | | 1 Month LIBOR + 3.00 | | 3.1590 | | 7/15/2036 | | | 282,823 | |
| 144,000 | | | JPMBB Commercial Mortgage Securities Trust 2014-C23 E (b,d) | | | | 3.3640 | | 9/15/2047 | | | 93,873 | |
| 7,849,804 | | | JPMBB Commercial Mortgage Securities Trust 2014-C25 XA (d,g) | | | | 0.8455 | | 11/15/2047 | | | 214,082 | |
| 100,000 | | | JPMBB Commercial Mortgage Securities Trust 2015-C28 B | | | | 3.9860 | | 10/15/2048 | | | 106,450 | |
| 16,132,500 | | | Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 XB (d,g) | | | | 0.1668 | | 11/15/2052 | | | 200,400 | |
| 165,000 | | | Morgan Stanley Capital I Trust 2017-ASHF D (b,c) | | 1 Month LIBOR + 2.20 | | 2.3590 | | 11/15/2034 | | | 147,099 | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
Principal Amount | | | | | | | | | | | | |
($) | | | | | Variable Rate | | Interest Rate | | Maturity | | Value ($) | |
| | | | ASSET BACKED SECURITIES - 44.1% (Continued) | | | | | | |
| | | | NON-AGENCY CMBS - 10.6% (Continued) | | | | | | |
| 247,000 | | | Morgan Stanley Capital I Trust 2017-ASHF E (b,c) | | 1 Month LIBOR + 3.15 | | 3.3090 | | 11/15/2034 | | | 216,110 | |
| 119,000 | | | Morgan Stanley Capital I Trust 2017-ASHF F (b,c) | | 1 Month LIBOR + 4.35 | | 4.5090 | | 11/15/2034 | | | 98,375 | |
| 150,000 | | | Morgan Stanley Capital I Trust 2018-SUN C (b,c) | | 1 Month LIBOR + 3.05 | | 3.2090 | | 7/15/2035 | | | 138,795 | |
| 573,000 | | | Morgan Stanley Capital I Trust 2019-PLND B (b,c) | | 1 Month LIBOR + 1.30 | | 1.4590 | | 5/15/2036 | | | 522,111 | |
| 104,318 | | | Motel 6 Trust 2017-MTL6 (b,c) | | 1 Month LIBOR + 4.25 | | 4.4086 | | 8/15/2034 | | | 102,225 | |
| 745,000 | | | Natixis Commercial Mortgage Securities Trust 2018-850T C (b,c) | | 1 Month LIBOR + 1.15 | | 1.3121 | | 7/15/2033 | | | 712,257 | |
| 636,007 | | | Shelter Growth CRE 2019-FL2 Issuer Ltd. B (b,c) | | 1 Month LIBOR + 2.30 | | 2.4586 | | 5/15/2036 | | | 623,330 | |
| 3,788,608 | | | UBS Commercial Mortgage Trust 2012-C1 XA (b,d,g) | | | | 2.0593 | | 5/10/2045 | | | 60,017 | |
| 80,543 | | | Velocity Commercial Capital Loan Trust 2017-1 AFX (b,d) | | | | 3.0000 | | 5/25/2047 | | | 80,671 | |
| 4,660,068 | | | Wells Fargo Commercial Mortgage Trust 2015-C26 XA (d,g) | | | | 1.2059 | | 2/15/2048 | | | 192,557 | |
| 148,000 | | | Wells Fargo Commercial Mortgage Trust 2016-C33 D (b) | | | | 3.1230 | | 3/15/2059 | | | 132,223 | |
| | | | | | | | | | | | | 17,517,282 | |
| | | | OTHER ASSET BACKED SECURITIES - 3.9% | | | | | | |
| 456,422 | | | AASET 2019-2 US Ltd. A (b) | | | | 3.3760 | | 10/16/2039 | | | 431,501 | |
| 250,000 | | | Affirm Asset Securitization Trust 2020-A (b) | | | | 2.1000 | | 2/18/2025 | | | 251,425 | |
| 1,000,000 | | | AMSR 2020-SFR4 Trust (b) | | | | 4.8700 | | 11/17/2037 | | | 1,014,164 | |
| 11,600 | | | Consumer Loan Underlying Bond Credit Trust 2018-P2 A (b) | | | | 3.4700 | | 10/15/2025 | | | 11,608 | |
| 435,223 | | | Hilton Grand Vacations Trust 2018-AA A (b) | | | | 3.5400 | | 2/25/2032 | | | 461,691 | |
| 952,182 | | | Horizon Aircraft Finance II Ltd. 2019-1C (b) | | | | 6.9000 | | 7/15/2039 | | | 574,065 | |
| 217,304 | | | Marlette Funding Trust 2019-4 A (b) | | | | 2.3900 | | 12/17/2029 | | | 219,002 | |
| 400,000 | | | Pagaya AI Debt Selection Trust 2020-3 (b) | | | | 2.1000 | | 5/17/2027 | | | 401,355 | |
| 139,647 | | | Prosper Marketplace Issuance Trust Series 2019-4 AA (b) | | | | 2.4800 | | 2/17/2026 | | | 140,119 | |
| 134,876 | | | SCF Equipment Leasing 2017-2A A LLC (b) | | | | 3.4100 | | 12/20/2023 | | | 135,414 | |
| 107,994 | | | Sierra Timeshare 2016-2A A Receivables Funding LLC (b) | | | | 2.3300 | | 7/20/2033 | | | 108,220 | |
| 274,472 | | | Sierra Timeshare 2016-3A A Receivables Funding LLC (b) | | | | 2.4300 | | 10/20/2033 | | | 276,809 | |
| 2,000,000 | | | TES 2017-1A B LLC (b) | | | | 7.7400 | | 10/20/2047 | | | 1,901,667 | |
| 108,015 | | | Theorem Funding Trust 2020-1 (b) | | | | 2.4800 | | 10/15/2026 | | | 108,863 | |
| 360,388 | | | Upstart Pass-Through Trust Series 2020-ST1 (b) | | | | 3.7500 | | 2/20/2028 | | | 365,723 | |
| | | | | | | | | | | | | 6,401,626 | |
| | | | RESIDENTIAL MORTGAGE - 4.4% | | | | | | | | | | |
| 2,521,295 | | | Ajax Mortgage Loan Trust 2019-C (b,d) | | | | 3.9500 | | 10/25/2058 | | | 2,528,157 | |
| 492,686 | | | Bayview Opportunity Master Fund IVa Trust 2019-SBR1 (b,f) | | | | 3.4748 | | 6/28/2034 | | | 512,725 | |
| 2 | | | Countrywide Asset-Backed Certificates 2005-15 1AF6 (d) | | | | 4.4229 | | 4/25/2036 | | | 2 | |
| 992,726 | | | Legacy Mortgage Asset Trust 2019-GS1 A1 (b,f) | | | | 4.0000 | | 1/25/2059 | | | 1,008,157 | |
| 1,484,655 | | | Legacy Mortgage Asset Trust 2019-GS2 A1 (b,f) | | | | 3.7500 | | 1/25/2059 | | | 1,488,573 | |
| 500,000 | | | Legacy Mortgage Asset Trust 2019-GS3 A1 (b,f) | | | | 4.2500 | | 4/25/2059 | | | 495,251 | |
| 500,000 | | | Legacy Mortgage Asset Trust 2019-GS4 A1 (b,f) | | | | 4.2500 | | 5/25/2059 | | | 499,523 | |
| 699,276 | | | Pretium Mortgage Credit Partners I 2019-NPL2 LLC A1 (b,e,f) | | | | 3.1048 | | 6/27/2060 | | | 700,804 | |
| | | | | | | | | | | | | 7,233,192 | |
| | | | STUDENT LOANS - 1.7% | | | | | | | | | | |
| 470,090 | | | AccessLex Institute 2004-2 A3 (c) | | 3 Month LIBOR + 0.19 | | 0.4048 | | 10/25/2024 | | | 462,816 | |
| 363,366 | | | AccessLex Institute 2007-A A3 (c) | | 3 Month LIBOR + 0.30 | | 0.5065 | | 5/25/2036 | | | 354,137 | |
| 417,398 | | | AccessLex Institute 2007-A B (c) | | 3 Month LIBOR + 0.55 | | 0.7565 | | 2/25/2037 | | | 392,648 | |
| 344,760 | | | Commonbond Student Loan Trust 2017-BGS C (b) | | | | 2.6800 | | 9/25/2042 | | | 353,582 | |
| 138,595 | | | Commonbond Student Loan Trust 2017-BGS A1 (b) | | | | 4.4400 | | 9/25/2042 | | | 144,950 | |
| 260,399 | | | DRB Prime Student Loan Trust 2016-R (b) | | | | 3.0700 | | 10/25/2044 | | | 263,882 | |
| 12,000 | | | Earnest Student Loan Program 2016-DR LLC (b, h) ** | | | | 0.0000 | | 1/25/2041 | | | 163,976 | |
| 90,286 | | | Earnest Student Loan Program 2017-A2 LLC (b) | | | | 2.6500 | | 1/25/2041 | | | 91,542 | |
| 152,880 | | | Laurel Road Prime Student Loan Trust 2019-A (b) | | | | 2.3400 | | 10/25/2048 | | | 155,522 | |
| 8,000 | | | SoFi Professional Loan Program 2020-A R1 Trust (b,h)** | | | | 0.0000 | | 5/15/2046 | | | 494,921 | |
| | | | | | | | | | | | | 2,877,976 | |
| | | | WHOLE BUSINESS - 0.3% | | | | | | | | | | |
| 467,552 | | | Small Business Lending Trust 2020-A A (b) | | | | 2.6200 | | 12/15/2026 | | | 465,025 | |
| | | | | | | | | | | | | | |
| | | | TOTAL ASSET BACKED SECURITIES (Cost - $78,040,519) | | | | | 72,979,060 | |
| | | | | | | | | | | | | | |
| | | | COLLATERALIZED MORTGAGE OBLIGATIONS - 5.7% | | | | | | |
| 1,399,018 | | | Fannie Mae-Aces 2020-M49 1A1 (d) | | | | 1.2557 | | 11/25/2030 | | | 1,435,002 | |
| 196,531 | | | Fannie Mae REMICS 2005-2S (c,e,g) | | 6.60 - 1 Month LIBOR | | 6.4520 | | 2/25/2035 | | | 37,917 | |
| 335,948 | | | Fannie Mae REMICS 2006-99 AS (c,e,g) | | 6.58 - 1 Month LIBOR | | 6.4320 | | 10/25/2036 | | | 72,658 | |
| 219,443 | | | Fannie Mae REMICS 2006-119 PS (c,e,g) | | 6.70 - 1 Month LIBOR | | 6.5520 | | 12/25/2036 | | | 45,158 | |
| 366,884 | | | Fannie Mae REMICS 2006-126 CS (c,e,g) | | 6.70 - 1 Month LIBOR | | 6.5520 | | 1/25/2037 | | | 73,481 | |
| 205,978 | | | Fannie Mae REMICS 2010-115 SE (c,e,g) | | 6.00 - 1 Month LIBOR | | 5.8520 | | 10/25/2040 | | | 49,141 | |
| 66,996 | | | Fannie Mae REMICS 2010-134 CS (c,e,g) | | 6.68 - 1 Month LIBOR | | 6.5320 | | 12/25/2025 | | | 5,411 | |
| 66,996 | | | Fannie Mae REMICS 2010-134 SE (c,e,g) | | 6.65 - 1 Month LIBOR | | 6.5020 | | 12/25/2025 | | | 5,788 | |
| 191,804 | | | Fannie Mae REMICS 2010-142 SC (c,e,g) | | 6.60 - 1 Month LIBOR | | 6.4520 | | 12/25/2040 | | | 44,795 | |
| 465,698 | | | Fannie Mae REMICS 2011-93 ES (c,e,g) | | 6.50 - 1 Month LIBOR | | 6.3520 | | 9/25/2041 | | | 100,358 | |
| 598,677 | | | Fannie Mae REMICS 2012-3 DS (c,e,g) | | 5.95 - 1 Month LIBOR | | 5.8020 | | 2/25/2042 | | | 113,737 | |
| 1,540,792 | | | Fannie Mae REMICS 2012-20 SA (c,e,g) | | 6.45 - 1 Month LIBOR | | 6.3020 | | 3/25/2042 | | | 249,922 | |
| 557,771 | | | Fannie Mae REMICS 2014-73 PS (c,e,g) | | 6.20 - 1 Month LIBOR | | 6.0520 | | 11/25/2044 | | | 106,536 | |
| 315,416 | | | Fannie Mae REMICS 2018-77 BA | | | | 3.0000 | | 4/25/2044 | | | 318,485 | |
| 135,241 | | | Freddie Mac REMICS 3257 SI (c,e,g) | | 6.32 - 1 Month LIBOR | | 6.1614 | | 12/15/2036 | | | 26,923 | |
| 564,419 | | | Freddie Mac REMICS 3753 SB (c,e,g) | | 6.00 - 1 Month LIBOR | | 5.8414 | | 11/15/2040 | | | 120,575 | |
| 70,227 | | | Freddie Mac REMICS 3770 SP (c,e,g) | | 6.50 - 1 Month LIBOR | | 6.3414 | | 11/15/2040 | | | 7,344 | |
| 336,649 | | | Freddie Mac REMICS 3926 FS (c,e,g) | | 6.58 - 1 Month LIBOR | | 6.4214 | | 9/15/2041 | | | 75,586 | |
| 1,189,036 | | | Freddie Mac REMICS 4089 SH (c,e,g) | | 6.00 - 1 Month LIBOR | | 5.8414 | | 8/15/2042 | | | 189,997 | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
Principal Amount | | | | | | | | | | | | |
($) | | | | | Variable Rate | | Interest Rate | | Maturity | | Value ($) | |
| | | | COLLATERALIZED MORTGAGE OBLIGATIONS - 5.7% (Continued) | | | | | | |
| 1,520,037 | | | Freddie Mac REMICS 4255 GS (c,e,g) | | 6.15 - 1 Month LIBOR | | 5.9914 | | 9/15/2043 | | | 263,066 | |
| 430,967 | | | Freddie Mac REMICS 4291 MS (c,e,g) | | 5.90 - 1 Month LIBOR | | 5.7414 | | 1/15/2054 | | | 76,128 | |
| 874,346 | | | Freddie Mac REMICS 4314 MS (c,e,g) | | 6.10 - 1 Month LIBOR | | 5.9414 | | 7/15/2043 | | | 75,841 | |
| 1,086,292 | | | Government National Mortgage Association 2010-35 DS (c,e,g) | | 5.68 - 1 Month LIBOR | | 5.5284 | | 3/20/2040 | | | 200,302 | |
| 1,624,584 | | | Government National Mortgage Association 2010-121 SE (c,e,g) | | 6.00 - 1 Month LIBOR | | 5.8484 | | 9/20/2040 | | | 301,929 | |
| 910,876 | | | Government National Mortgage Association 2011-69 SC (c,e,g) | | 5.38 - 1 Month LIBOR | | 5.2284 | | 5/20/2041 | | | 150,009 | |
| 80,593 | | | Government National Mortgage Association 2011-130 (e,g) | | | | 5.0000 | | 2/20/2041 | | | 1,132 | |
| 824,994 | | | Government National Mortgage Association 2013-102 BS (c,e,g) | | 6.15 - 1 Month LIBOR | | 5.9984 | | 3/20/2043 | | | 113,628 | |
| 253,264 | | | Government National Mortgage Association 2013-148 DS (c,e,g) | | 5.68 - 1 Month LIBOR | | 5.5269 | | 10/16/2043 | | | 56,981 | |
| 902,798 | | | Government National Mortgage Association 2013-186 SG (c,e,g) | | 6.25 - 1 Month LIBOR | | 6.0969 | | 2/16/2043 | | | 137,067 | |
| 1,141,371 | | | Government National Mortgage Association 2014-5 SA (c,e,g) | | 5.55 - 1 Month LIBOR | | 5.3984 | | 1/20/2044 | | | 201,817 | |
| 1,550,681 | | | Government National Mortgage Association 2014-58 SG (c,e,g) | | 5.60 - 1 Month LIBOR | | 5.4469 | | 4/16/2044 | | | 266,710 | |
| 1,159,629 | | | Government National Mortgage Association 2014-76 SA (c,e,g) | | 5.60 - 1 Month LIBOR | | 5.4484 | | 1/20/2040 | | | 204,870 | |
| 566,740 | | | Government National Mortgage Association 2014-95 CS (c,e,g) | | 6.25 - 1 Month LIBOR | | 6.0969 | | 6/16/2044 | | | 113,230 | |
| 1,092,111 | | | Government National Mortgage Association 2014-145 CS (c,e,g) | | 5.60 - 1 Month LIBOR | | 5.4469 | | 5/16/2044 | | | 183,793 | |
| 627,019 | | | Government National Mortgage Association 2014-156 PS (c,e,g) | | 6.25 - 1 Month LIBOR | | 6.0984 | | 10/20/2044 | | | 121,463 | |
| 1,080,659 | | | Government National Mortgage Association 2015-80 MS (d,e,g) | | 6.25 - 1 Month LIBOR | | 6.0984 | | 6/20/2045 | | | 243,346 | |
| 1,600,620 | | | Government National Mortgage Association 2016-136 UD (e) | | | | 3.0000 | | 4/20/2045 | | | 1,622,658 | |
| 854,670 | | | Government National Mortgage Association 2017-4 NC (e) | | | | 3.0000 | | 10/20/2045 | | | 867,698 | |
| 2,072,593 | | | Government National Mortgage Association 2019-22 SA (c,e,g) | | 5.60 - 1 Month LIBOR | | 5.4484 | | 2/20/2045 | | | 425,357 | |
| 1,048,073 | | | Government National Mortgage Association 2020-168 IA (d,g) | | | | 0.9885 | | 12/16/2062 | | | 92,868 | |
| 553,226 | | | Vista Point Securitization Trust 2020-2 (b,d) | | | | 1.4750 | | 4/25/2065 | | | 555,795 | |
| | | | TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $9,799,339) | | | | | 9,354,502 | |
| | | | | | | | | | | | | | |
| | | | CORPORATE BONDS - 9.9% | | | | | | | | | | |
| | | | ADVERTISING - 0.1% | | | | | | | | | | |
| 167,000 | | | Omnicom Group, Inc. | | | | 3.6250 | | 5/1/2022 | | | 174,178 | |
| | | | | | | | | | | | | | |
| | | | AEROSPACE / DEFENSE - 0.1% | | | | | | | | | | |
| 155,000 | | | Northrop Grumman Corp. | | | | 2.9300 | | 1/15/2025 | | | 168,587 | |
| | | | | | | | | | | | | | |
| | | | AUTOMOTIVE - 0.2% | | | | | | | | | | |
| 230,000 | | | Daimler Finance North America LLC (b) | | | | 2.3000 | | 2/12/2021 | | | 230,464 | |
| 170,000 | | | Hyundai Capital America (b) | | | | 2.8500 | | 11/1/2022 | | | 176,171 | |
| | | | | | | | | | | | | 406,635 | |
| | | | BANKING - 2.1% | | | | | | | | | | |
| 300,000 | | | Banco de Reservas de la Republica Dominicana | | | | 7.0000 | | 2/1/2023 | | | 313,128 | |
| 165,000 | | | Bank of America Corp. (c) | | 3 Month Libor + 0.79 | | 1.0154 | | 3/5/2024 | | | 166,250 | |
| 165,000 | | | Bank of Nova Scotia | | | | 0.5500 | | 9/15/2023 | | | 165,641 | |
| 200,000 | | | Bank of Philippine Island | | | | 2.5000 | | 9/10/2024 | | | 207,250 | |
| 200,000 | | | BDO Unibank, Inc. | | | | 2.9500 | | 3/6/2023 | | | 207,613 | |
| 200,000 | | | CIMB Bank Bhd | | | | 3.2630 | | 3/15/2022 | | | 205,093 | |
| 165,000 | | | Citigroup, Inc. (c) | | 3 Month LIBOR + 1.02 | | 1.2484 | | 6/1/2024 | | | 166,838 | |
| 300,000 | | | DBS Group Holdings Ltd. (c) | | 5 Year Swap + 2.39 | | 3.6000 | | Perpetual | | | 302,250 | |
| 160,000 | | | JPMorgan Chase & Co. (c) | | 3 Month LIBOR + 0.70 | | 3.2070 | | 4/1/2023 | | | 165,810 | |
| 200,000 | | | Korea Development Bank | | | | 0.8000 | | 4/27/2026 | | | 200,744 | |
| 110,000 | | | Macquarie Bank Ltd. (b) | | | | 2.1000 | | 10/17/2022 | | | 113,461 | |
| 200,000 | | | Malayan Banking Bhd (c) | | 5 Year Swap 2.54 | | 3.9050 | | 10/29/2026 | | | 203,862 | |
| 200,000 | | | Oversea-Chinese Banking Corp Ltd. (b,c) | | 5 Year Treasury Note + 1.58 | | 1.8320 | | 9/10/2030 | | | 203,138 | |
| 165,000 | | | Sumitomo Mitsui Financial Group, Inc. | | | | 2.0580 | | 7/14/2021 | | | 166,480 | |
| 165,000 | | | Toronto-Dominion Bank (The) (c) | | SOFRRATE + 0.48 | | 0.5644 | | 1/27/2023 | | | 165,618 | |
| 75,000 | | | Truist Financial Corp. | | | | 2.2000 | | 3/16/2023 | | | 77,854 | |
| 200,000 | | | United Overseas Bank Ltd. (c) | | 5 Year Treasury Note + 1.50 | | 3.7500 | | 4/15/2029 | | | 214,601 | |
| 160,000 | | | Wells Fargo & Co. (c) | | SOFRRATE + 1.60 | | 1.6540 | | 6/2/2024 | | | 164,461 | |
| | | | | | | | | | | | | 3,410,092 | |
| | | | BIOTECH & PHARMA - 0.5% | | | | | | | | | | |
| 170,000 | | | AbbVie, Inc. (b) | | | | 2.3000 | | 11/21/2022 | | | 176,188 | |
| 230,000 | | | AstraZeneca PLC | | | | 3.5000 | | 8/17/2023 | | | 247,754 | |
| 170,000 | | | Bristol-Myers Squibb Co. (b) | | | | 2.6000 | | 5/16/2022 | | | 175,411 | |
| 175,000 | | | GlaxoSmithKline Capital PLC | | | | 0.5340 | | 10/1/2023 | | | 175,518 | |
| 110,000 | | | Royalty Pharma PLC (b) | | | | 0.7500 | | 9/2/2023 | | | 110,526 | |
| | | | | | | | | | | | | 885,397 | |
| | | | CHEMICALS - 0.4% | | | | | | | | | | |
| 150,000 | | | DuPont de Nemours, Inc. | | | | 4.4930 | | 11/15/2025 | | | 175,103 | |
| 200,000 | | | LG Chem Ltd. | | | | 3.2500 | | 10/15/2024 | | | 216,385 | |
| 200,000 | | | MEGlobal Canada, Inc. (b) | | | | 5.0000 | | 5/18/2025 | | | 225,000 | |
| | | | | | | | | | | | | 616,488 | |
| | | | COMMERCIAL SUPPORT SERVICES - 0.2% | | | | | | | | | | |
| 170,000 | | | Cintas Corp. | | | | 2.9000 | | 4/1/2022 | | | 174,977 | |
| 165,000 | | | Republic Services, Inc. | | | | 2.5000 | | 8/15/2024 | | | 176,200 | |
| | | | | | | | | | | | | 351,177 | |
| | | | CONSTRUCTION MATERIALS - 0.3% | | | | | | | | | | |
| 200,000 | | | Cemex SAB de CV | | | | 7.7500 | | 4/16/2026 | | | 210,900 | |
| 300,000 | | | Tecnoglass, Inc. | | | | 8.2000 | | 1/31/2022 | | | 312,753 | |
| | | | | | | | | | | | | 523,653 | |
| | | | DIVERSIFIED INDUSTRIALS - 0.1% | | | | | | | | | | |
| 85,000 | | | Honeywell International, Inc. | | | | 0.4830 | | 8/19/2022 | | | 85,136 | |
| | | | | | | | | | | | | | |
| | | | E-COMMERCE DISCRETIONARY - 0.4% | | | | | | | | | | |
| 200,000 | | | Alibaba Group Holding Ltd. | | | | 2.8000 | | 6/6/2023 | | | 210,407 | |
| 170,000 | | | eBay, Inc. | | | | 2.7500 | | 1/30/2023 | | | 178,044 | |
| 200,000 | | | JD.com, Inc. | | | | 3.1250 | | 4/29/2021 | | | 201,375 | |
| | | | | | | | | | | | | 589,826 | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
Principal Amount | | | | | | | | | | | | |
($) | | | | | Variable Rate | | Interest Rate | | Maturity | | Value ($) | |
| | | | CORPORATE BONDS - 9.9% (Continued) | | | | | | | | | | |
| | | | ELECTRICAL UTILITIES - 1.3% | | | | | | | | | | |
| 200,000 | | | AES Andres BV ** | | | | 0.0000 | | 5/11/2026 | | | 1,000 | |
| 200,000 | | | AES Andres BV | | | | 7.9500 | | 5/11/2026 | | | 206,500 | |
| 65,000 | | | DTE Energy Co. | | | | 1.5000 | | 10/1/2024 | | | 69,256 | |
| 25,000 | | | DTE Energy Co. | | | | 2.2500 | | 11/1/2022 | | | 25,825 | |
| 70,000 | | | DTE Energy Co. | | | | 1.0500 | | 6/1/2025 | | | 70,786 | |
| 147,800 | | | Empresa Electrica Angamos SA | | | | 4.8750 | | 5/25/2029 | | | 147,800 | |
| 200,000 | | | Empresa Electrica Guacolda SA | | | | 4.5600 | | 4/30/2025 | | | 180,055 | |
| 150,000 | | | Enel Generacion Chile SA | | | | 4.2500 | | 4/15/2024 | | | 163,117 | |
| 85,000 | | | Entergy Corp | | | | 0.9000 | | 9/15/2025 | | | 84,971 | |
| 179,412 | | | Fenix Power Peru SA | | | | 4.3170 | | 9/20/2027 | | | 188,608 | |
| 300,000 | | | Korea East-West Power Co. Ltd. (b) | | | | 1.7500 | | 5/6/2025 | | | 313,281 | |
| 200,000 | | | Korea Electric Power Corp. | | | | 1.1250 | | 6/15/2025 | | | 203,172 | |
| 85,000 | | | Pacific Gas and Electric Co. | | | | 1.7500 | | 6/16/2022 | | | 85,240 | |
| 200,000 | | | Perusahaan Listrik Negara PT | | | | 5.5000 | | 11/22/2021 | | | 208,400 | |
| 155,000 | | | PSEG Power LLC | | | | 3.8500 | | 6/1/2023 | | | 166,763 | |
| | | | | | | | | | | | | 2,114,774 | |
| | | | ELECTRICAL EQUIPMENT - 0.2% | | | | | | | | | | |
| 250,000 | | | Carrier Global Corp. | | | | 1.9230 | | 2/15/2023 | | | 257,543 | |
| | | | | | | | | | | | | | |
| | | | FOOD - 0.1% | | | | | | | | | | |
| 20,000 | | | Mondelez International, Inc. | | | | 0.6250 | | 7/1/2022 | | | 20,087 | |
| 150,000 | | | Mondelez International, Inc. | | | | 2.1250 | | 4/13/2023 | | | 155,797 | |
| | | | | | | | | | | | | 175,884 | |
| | | | HEALTHCARE FACILITIES & SERVICES - 0.3% | | | | | | | | | | |
| 50,000 | | | Anthem, Inc. | | | | 3.3000 | | 1/15/2023 | | | 52,887 | |
| 70,000 | | | Anthem, Inc. | | | | 3.5000 | | 8/15/2024 | | | 76,806 | |
| 170,000 | | | Cardinal Health Inc | | | | 2.6160 | | 6/15/2022 | | | 174,980 | |
| 170,000 | | | Cigna Corp. | | | | 3.4000 | | 9/17/2021 | | | 173,655 | |
| 32,000 | | | CVS Health Corp. | | | | 3.7000 | | 3/9/2023 | | | 34,234 | |
| | | | | | | | | | | | | 512,562 | |
| | | | INSTITUTIONAL FINANCIAL SERVICES - 0.2% | | | | | | | | | | |
| 105,000 | | | Goldman Sachs Group, Inc. | | | | 3.5000 | | 4/1/2025 | | | 116,654 | |
| 165,000 | | | Morgan Stanley (c) | | 3 Month LIBOR + 0.93 | | 1.1458 | | 7/22/2022 | | | 165,708 | |
| | | | | | | | | | | | | 282,362 | |
| | | | INSURANCE - 0.1% | | | | | | | | | | |
| 30,000 | | | Marsh & McLennan Cos, Inc. | | | | 3.8750 | | 3/15/2024 | | | 33,089 | |
| 110,000 | | | Prudential Financial, Inc. | | | | 3.5000 | | 5/15/2024 | | | 121,076 | |
| | | | | | | | | | | | | 154,165 | |
| | | | INTERNET MEDIA $ SERVICES - 0.2% | | | | | | | | | | |
| 200,000 | | | Baidu, Inc. | | | | 3.5000 | | 11/28/2022 | | | 210,027 | |
| 200,000 | | | Tencent Holdings Ltd. (b) | | | | 1.8100 | | 1/26/2026 | | | 204,353 | |
| | | | | | | | | | | | | 414,380 | |
| | | | LEISURE FACILITIES & SERVICES - 0.1% | | | | | | | | | | |
| 125,000 | | | McDonald’s Corp. | | | | 2.6250 | | 1/15/2022 | | | 128,015 | |
| | | | | | | | | | | | | | |
| | | | MACHINERY - 0.0% * | | | | | | | | | | |
| 52,619 | | | INVEPAR A-1 ** (a, b, h) | | | | 0.0000 | | 12/30/2028 | | | 2,250 | |
| | | | | | | | | | | | | | |
| | | | OIL & GAS PRODUCERS- 0.6% | | | | | | | | | | |
| 125,000 | | | Exxon Mobil Corp. | | | | 1.5710 | | 4/15/2023 | | | 128,550 | |
| 200,000 | | | ONGC Videsh Vankorneft Pte Ltd. | | | | 2.8750 | | 1/27/2022 | | | 202,522 | |
| 200,000 | | | Petronas Capital Ltd | | | | 3.1250 | | 3/18/2022 | | | 206,305 | |
| 400,000 | | | Reliance Holding USA, Inc. | | | | 5.4000 | | 2/14/2022 | | | 418,803 | |
| 115,000 | | | Valero Energy Corp | | | | 1.2000 | | 3/15/2024 | | | 116,058 | |
| | | | | | | | | | | | | 1,072,238 | |
| | | | OIL & GAS SERVICES & EQUIPMENT - 0.1 % | | | | | | | | | | |
| 120,000 | | | Schlumberger Holdings Corp. (b) | | | | 3.7500 | | 5/1/2024 | | | 130,796 | |
| | | | | | | | | | | | | | |
| | | | REIT - 0.3% | | | | | | | | | | |
| 165,000 | | | Crown Castle International Corp. | | | | 1.3500 | | 7/15/2025 | | | 168,429 | |
| 120,000 | | | Simon Property Group LP. | | | | 2.0000 | | 9/13/2024 | | | 125,406 | |
| 150,000 | | | Welltower, Inc. | | | | 3.6250 | | 3/15/2024 | | | 163,484 | |
| | | | | | | | | | | | | 457,319 | |
| | | | RETAIL - CONSUMER STAPLES - 0.1% | | | | | | | | | | |
| 130,000 | | | Dollar Tree, Inc. | | | | 3.7000 | | 5/15/2023 | | | 139,159 | |
| 30,000 | | | Dollar Tree, Inc. | | | | 4.0000 | | 5/15/2025 | | | 33,876 | |
| 75,000 | | | Target Corp. | | | | 2.9000 | | 1/15/2022 | | | 77,073 | |
| | | | | | | | | | | | | 250,108 | |
| | | | SEMICONDUCTORS - 0.1% | | | | | | | | | | |
| 170,000 | | | Microchip Technology, Inc. (b) | | | | 0.9720 | | 2/15/2024 | | | 170,416 | |
| 60,000 | | | Micron Technology, Inc. | | | | 2.4970 | | 4/24/2023 | | | 62,521 | |
| | | | | | | | | | | | | 232,937 | |
| | | | SOFTWARE - 0.1% | | | | | | | | | | |
| 75,000 | | | Oracle Corp. | | | | 2.5000 | | 4/1/2025 | | | 80,607 | |
| | | | | | | | | | | | | | |
| | | | SPECIALTY FINANCE - 0.6% | | | | | | | | | | |
| 160,000 | | | American Express Co. | | | | 3.7000 | | 11/5/2021 | | | 164,087 | |
| 75,000 | | | Avolon Holdings Funding Ltd. (b) | | | | 3.6250 | | 5/1/2022 | | | 76,624 | |
| 130,000 | | | Capital One Financial Corp. | | | | 3.2000 | | 1/30/2023 | | | 136,968 | |
| 20,000 | | | Capital One Financial Corp. | | | | 3.9000 | | 1/29/2024 | | | 21,908 | |
| 83,278 | | | Interoceanica IV Finance Ltd. ** | | | | 0.0000 | | 11/30/2025 | | | 79,687 | |
| 200,000 | | | NongHyup Bank (b) | | | | 1.2500 | | 7/20/2025 | | | 203,699 | |
| 140,447 | | | PERU ENHANCED PASS-THRU ** | | | | 0.0000 | | 6/2/2025 | | | 135,531 | |
| 200,000 | | | Unifin Financiera SAB de CV SOFOM ENR | | | | 7.2500 | | 9/27/2023 | | | 193,002 | |
| | | | | | | | | | | | | 1,011,506 | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
Principal Amount | | | | | | | | | | | | | | |
($) | | | | | | | Variable Rate | | Interest Rate | | Maturity | | | Value ($) | |
| | | | CORPORATE BONDS - 9.9% (Continued) | | | | | | | | |
| | | | STEEL - 0.1% | | | | | | | | | | | | |
| 200,000 | | | POSCO | | | | | | 2.3750 | | 11/12/2022 | | | 205,514 | |
| | | | | | | | | | | | | | | | |
| | | | TECHNOLOGY HARDWARE - 0.1% | | | | | | | | |
| 145,000 | | | PayPal Holdings, Inc. | | | | | | 2.2000 | | 9/26/2022 | | | 149,820 | |
| 25,000 | | | PayPal Holdings, Inc. | | | | | | 1.3500 | | 6/1/2023 | | | 25,598 | |
| | | | | | | | | | | | | | | 175,418 | |
| | | | TELECOMMUNICATIONS - 0.5% | | | | | | | | |
| 150,000 | | | AT&T, Inc. | | | | | | 4.4500 | | 4/1/2024 | | | 167,517 | |
| 200,000 | | | KT Corp. | | | | | | 1.0000 | | 9/1/2025 | | | 200,904 | |
| 200,000 | | | SingTel Group Treasury Pte Ltd. | | | | | | 3.2500 | | 6/30/2025 | | | 220,937 | |
| 160,000 | | | Verizon Communications, Inc. (c) | | | | 3 Month LIBOR + 1.10 | | 1.3210 | | 5/15/2025 | | | 164,296 | |
| | | | | | | | | | | | | | | 753,654 | |
| | | | TOBACCO & CANNABIS - 0.1% | | | | | | | | |
| 170,000 | | | BAT International Finance PLC | | | | | | 1.6680 | | 3/25/2026 | | | 174,015 | |
| | | | | | | | | | | | | | | | |
| | | | TRANSPORTATION & LOGISTICS - 0.3% | | | | | | | | |
| 200,000 | | | HTHP Finance 19 Ltd. | | | | | | 2.8750 | | 11/5/2024 | | | 208,726 | |
| 165,000 | | | Penske Truck Leasing Co. Lp / PTL Finance Corp. (b) | | 2.7000 | | 11/1/2024 | | | 176,769 | |
| 134,000 | | | Union Pacific Corp. | | | | | | 3.2000 | | 6/8/2021 | | | 135,661 | |
| | | | | | | | | | | | | | | 521,156 | |
| | | | | | | | | | | | | | | | |
| | | | TOTAL CORPORATE BONDS (Cost - $15,982,005) | | | | | | | 16,318,372 | |
| | | | | | | | | | | | | | | | |
| | | | NON U.S. GOVERNMENT & AGENCIES - 1.3% | | | | | | | | |
| 200,000 | | | Abu Dhabi Government International Bond (b) | | 2.5000 | | 4/16/2025 | | | 213,660 | |
| 400,000 | | | Brazilian Government International Bond | | 2.8750 | | 6/6/2025 | | | 416,504 | |
| 200,000 | | | Indonesia Government International Bond | | 2.9500 | | 1/11/2023 | | | 208,582 | |
| 200,000 | | | Panama Government International Bond | | 4.0000 | | 9/22/2024 | | | 221,252 | |
| 300,000 | | | Peruvian Government International Bond | | 2.3920 | | 1/23/2026 | | | 319,953 | |
| 400,000 | | | Qatar Government International Bond | | 2.3750 | | 6/2/2021 | | | 403,200 | |
| 200,000 | | | Saudi Government International Bond | | 2.3750 | | 10/26/2021 | | | 202,981 | |
| 250,000 | | | Wakala Global Sukuk Bhd | | 4.6460 | | 7/6/2021 | | | 255,040 | |
| | | | TOTAL NON U.S. GOVERNMENT & AGENCIES (Cost - $2,218,874) | | | | | 2,241,172 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | Interest Rate | | | | | | |
| | | | U.S. GOVERNMENT & AGENCIES - 4.8% | | | | | | | | |
| | | | U.S. TREASURY NOTES - 4.8% | | | | | | | | | |
| 1,580,000 | | | United States Treasury Note | | | 2.6250 | | 5/15/2021 | | | 1,594,442 | |
| 1,970,000 | | | United States Treasury Note | | 1.5000 | | 9/30/2021 | | | 1,990,316 | |
| 780,000 | | | United States Treasury Note | | 1.3750 | | 1/31/2022 | | | 790,481 | |
| 1,120,000 | | | United States Treasury Note | | 0.1250 | | 5/15/2023 | | | 1,119,694 | |
| 1,860,000 | | | United States Treasury Note | 2.2500 | | 12/31/2023 | | | 1,976,105 | |
| 410,000 | | | United States Treasury Note | | 0.3750 | | 7/31/2027 | | | 404,619 | |
| | | | TOTAL U.S. GOVERNMENT & AGENCIES (Cost - $7,868,897) | | | | | 7,875,657 | |
| | | | | | | | | | | | | | | | |
Shares | | | | | | | | | | | | | | | |
| | | | WARRANT - 0.0%* (i) | | | | | | | | |
| 43,904 | | | OAS SA WARRANT (a,h) (Cost - $7,950) | | | | | | | — | |
| | | | | | | | | | | | | | | | |
Contracts | | | | | Notional | | Counterparty | | | | | | Value ($) | |
| | | | PURCHASED OPTIONS (a,i) - 23.8% | | | | | | | | |
| 379,335 | | | ISAM, August 2021, Call @ 0.001 | | 15,590,661 | | Nomura | | | | | | | 15,639,493 | |
| 385,223 | | | WNTN, August 2021, Call @ 0.001 | | 15,563,024 | | Nomura | | | | | | | 15,612,930 | |
| 57,812 | | | WNTN TRND, August 2021, Call @ 0.001 | | 8,199,998 | | Nomura | | | | | | | 8,207,100 | |
| | | | TOTAL PURCHASED OPTIONS (Cost - $38,051,614) | | | | | | | 39,459,523 | |
| | | | | | | | | | | | | | | | |
| | | | TOTAL INVESTMENTS - 89.6% (Cost - $152,514,493) | $ | 148,244,127 | |
| | | | OTHER ASSETS LESS LIABILITIES - 10.4% | | | | | 17,188,804 | |
| | | | TOTAL NET ASSETS - 100.0% | | | | | | $ | 165,432,931 | |
| | CMBS - Commercial Mortgage Backed Security |
| | LIBOR - London Interbank Offered Rate |
| | Perpetual - Perpetual bonds are fixed income instruments without defined maturity dates. |
| | REIT - Real Estate Investment Trust |
| | REMICS - Real Estate Mortgage Investment Conduits |
| | SOFRRATE - Secured Overnight Financing Rate |
* | | Represents a percentage less than 0.05% |
(a) | | The value of these securities have been determined in good faith under the policies of the Board of Trustees as of December 31, 2020. |
(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, 2020, these securities amounted to $65,489,752 or 39.6% of net assets. |
(c) | | Variable rate security; the rate shown represents the rate as of December 31, 2020. |
(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, 2020. |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
WNTN Top 50 Holdings ^
FUTURES CONTRACTS |
| | | | | | | | | | Unrealized | | | | |
Number of | | | | | | | Notional Value at | | | Appreciation/ | | | % of Fund Net | |
Contracts | | | Description | | Expiration Date | | December 31, 2020 | | | (Depreciation) | | | Assets | |
Long Contracts | | | | | | | | | | | | | | | | | |
| 124 | | | 2 Year T Note Future | | Mar-21 | | | 27,401,094 | | | $ | 23,391 | | | | 0.01 | % |
| 113 | | | 5 Year T Note Future | | Mar-21 | | | 14,256,539 | | | | 29,008 | | | | 0.02 | % |
| 39 | | | Aluminum LME Future | | Jan-21 | | | 1,929,525 | | | | 73,846 | | | | 0.04 | % |
| 42 | | | Aluminum LME Future | | Feb-21 | | | 2,073,750 | | | | 50,898 | | | | 0.03 | % |
| 48 | | | Aluminum LME Future | | Mar-21 | | | 2,373,000 | | | | (34,867 | ) | | | (0.02 | )% |
| 285 | | | Australian 3 Yr Bond Future | | Mar-21 | | | 25,751,711 | | | | 8,346 | | | | 0.01 | % |
| 42 | | | Australian 10 Yr Bond Future | | Mar-21 | | | 4,757,711 | | | | 15,019 | | | | 0.01 | % |
| 41 | | | Australian Bills Future | | Mar-21 | | | 2,253,187 | | | | 5,405 | | | | 0.00 | % |
| 41 | | | Australian Bills Future | | Sep-21 | | | 2,253,132 | | | | 569 | | | | 0.00 | % |
| 38 | | | Canadian BondFuture | | Mar-21 | | | 4,449,353 | | | | 12,471 | | | | 0.01 | % |
| 23 | | | Copper LME Future | | Jan-21 | | | 4,460,706 | | | | 250,026 | | | | 0.15 | % |
| 21 | | | Copper LME Future | | Feb-21 | | | 4,074,919 | | | | (1,153 | ) | | | (0.00 | )% |
| 8 | | | E-Mini NASDAQ Future | | Mar-21 | | | 2,061,680 | | | | 34,801 | | | | 0.02 | % |
| 23 | | | E - Mini S&P 500 Future | | Mar-21 | | | 4,311,120 | | | | 75,220 | | | | 0.05 | % |
| 43 | | | ERX Bobl Future | | Mar-21 | | | 7,100,843 | | | | (49 | ) | | | (0.00 | )% |
| 70 | | | Euribor Future | | Dec-21 | | | 1,535,475 | | | | 2,016 | | | | 0.00 | % |
| 83 | | | Euribor Future | | Dec-22 | | | 1,820,182 | | | | 1,405 | | | | 0.00 | % |
| 84 | | | Euribor Future | | Mar-22 | | | 1,842,478 | | | | 3,207 | | | | 0.00 | % |
| 84 | | | Euribor Future | | Jun-22 | | | 1,842,387 | | | | 1,924 | | | | 0.00 | % |
| 87 | | | Euribor Future | | Sep-22 | | | 1,908,091 | | | | 1,924 | | | | 0.00 | % |
| 74 | | | Euribor Future | | Mar-23 | | | 1,622,571 | | | | 1,008 | | | | 0.00 | % |
| 17 | | | Euro BTP Future | | Mar-21 | | | 3,156,822 | | | | 14,537 | | | | 0.01 | % |
| 54 | | | Euro BTS Future | | Mar-21 | | | 7,470,035 | | | | 1,295 | | | | 0.00 | % |
| 23 | | | Euro Bund Future | | Mar-21 | | | 4,991,116 | | | | 10,665 | | | | 0.01 | % |
| 19 | | | Euro Oat Future | | Mar-21 | | | 3,896,098 | | | | 7,366 | | | | 0.00 | % |
| 40 | | | Euro Stoxx50 Future | | Mar-21 | | | 1,734,672 | | | | 31,438 | | | | 0.02 | % |
| 6 | | | Eurx Euro Buxl Future | | Mar-21 | | | 1,650,919 | | | | 1,393 | | | | 0.00 | % |
| 13 | | | Gilts Future | | Mar-21 | | | 2,408,681 | | | | 17,484 | | | | 0.01 | % |
| 19 | | | Gold CMX Future | | Feb-21 | | | 3,600,690 | | | | 131,410 | | | | 0.08 | % |
| 10 | | | OSK Nikkei Future | | Mar-21 | | | 2,655,918 | | | | 88,756 | | | | 0.05 | % |
| 21 | | | Silver CMX Future | | Mar-21 | | | 2,773,260 | | | | 231,180 | | | | 0.14 | % |
| 35 | | | Soybeans Future | | Mar-21 | | | 2,294,250 | | | | 100,200 | | | | 0.06 | % |
| 47 | | | Soybeans Future | | May-21 | | | 3,070,863 | | | | 228,813 | | | | 0.14 | % |
| 16 | | | Topix Index Future | | Mar-21 | | | 2,794,521 | | | | 58,364 | | | | 0.04 | % |
| 45 | | | US 10 YR Note Future | | Mar-21 | | | 6,213,516 | | | | 5,969 | | | | 0.00 | % |
| 12 | | | US T Bond Future | | Mar-21 | | | 2,078,250 | | | | (11,953 | ) | | | (0.01 | )% |
| | | | | | | | | Subtotal | | | $ | 1,471,332 | | | | | |
| | | | | | | | | | Unrealized | | | | |
Number of | | | | | | | Notional Value at | | | Appreciation/ | | | % of Fund Net | |
Contracts | | | Description | | Expiration Date | | December 31, 2020 | | | (Depreciation) | | | Assets | |
Short Contracts |
| 39 | | | Aluminum LME Future | | Jan-21 | | | 1,929,525 | | | $ | 47,480 | | | | 0.03 | % |
| 42 | | | Aluminum LME Future | | Feb-21 | | | 2,073,750 | | | | 22,819 | | | | 0.01 | % |
| 23 | | | Copper LME Future | | Jan-21 | | | 4,460,706 | | | | 15,265 | | | | 0.01 | % |
| 13 | | | Copper LME Future | | Feb-21 | | | 2,522,569 | | | | 3,933 | | | | 0.00 | % |
| 38 | | | Live Cattle Future | | Feb-21 | | | 1,748,380 | | | | (30,170 | ) | | | (0.02 | )% |
| 4 | | | Japan Government Bond | | Mar-21 | | | 5,881,735 | | | | 6,485 | | | | 0.00 | % |
| | | | | | | | | Subtotal | | | | 65,812 | | | | | |
FORWARD FOREIGN CURRENCY CONTRACTS |
| | Currency to | | | | | | | | | | | | | Unrealized | | | | |
| | Deliver/ | | | | | In Exchange | | | | | | | | Appreciation/ | | | % of Fund Net | |
Settlement Date | | Receive | | Value | | | For | | Value | | | U.S. Dollar Value | | | (Depreciation) | | | Assets | |
To Buy: | | | | | | | | | | | | | | | | | | | | | | | | |
01/05/21 | | BRL | | | 12,830,760 | | | USD | | | 2,469,021 | | | $ | 2,469,921 | | | $ | 1,307 | | | | 0.00 | % |
03/17/21 | | CNH | | | 51,000,000 | | | USD | | | 7,766,911 | | | | 7,843,800 | | | | 38,518 | | | | 0.02 | % |
01/05/21 | | USD | | | 2,400,000 | | | BRL | | | 12,830,760 | | | | 2,399,397 | | | | (70,524 | ) | | | (0.04 | )% |
To Sell: | | | | | | | | | | | | | | | | | | | | | | | | |
01/05/21 | | BRL | | | 12,344,548 | | | USD | | | 2,375,459 | | | $ | 2,376,326 | | | $ | (1,258 | ) | | | (0.00 | )% |
01/05/21 | | USD | | | 2,400,000 | | | BRL | | | 12,344,548 | | | | 2,399,397 | | | | (23,071 | ) | | | (0.01 | )% |
01/29/21 | | USD | | | 3,400,000 | | | INR | | | 251,053,650 | | | | 3,407,001 | | | | 29,170 | | | | 0.02 | % |
01/29/21 | | USD | | | 2,100,000 | | | KRW | | | 2,303,529,640 | | | | 2,098,459 | | | | 16,412 | | | | 0.01 | % |
03/17/21 | | CNH | | | 16,000,000 | | | USD | | | 2,439,391 | | | | 2,460,800 | | | | (9,371 | ) | | | (0.01 | )% |
| | | | | | | | | | | | | | | Subtotal | | | $ | (18,817 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | All Other Investments | | | | 14,094,603 | | | | | |
| | | | | | | | Total Value of Purchased Option | | | | 15,612,930 | | | | | |
| ^ | 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 basket. |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
ISAM Top 50 Holdings ^
FUTURES CONTRACTS |
| | | | | | | | | | Unrealized | | | | |
Number of | | | | | | | Notional Value at | | | Appreciation/ | | | % of Fund Net | |
Contracts | | | Description | | Expiration Date | | December 31, 2020 | | | (Depreciation) | | | Assets | |
Long Contracts |
| 31 | | | 2 Year T Note Future | | Mar-21 | | | 6,850,273 | | | $ | 166,150 | | | | 0.10 | % |
| 123 | | | Aluminum LME Future | | Mar-21 | | | 6,080,813 | | | | 56,994 | | | | 0.03 | % |
| 193 | | | Australian 3 Year Bond Future | | Mar-21 | | | 17,438,878 | | | | 183,225 | | | | 0.11 | % |
| 54 | | | Australian Bills Future | | Sep-21 | | | 2,967,466 | | | | (14 | ) | | | (0.00 | )% |
| 31 | | | Eurex 2 Bund Future | | Mar-21 | | | 4,251,809 | | | | (706 | ) | | | (0.00 | )% |
| 422 | | | Euribor Future | | Dec-21 | | | 9,256,720 | | | | (2,870 | ) | | | (0.00 | )% |
| 82 | | | Euro BTP Future | | Mar-21 | | | 15,227,024 | | | | 2,482 | | | | 0.00 | % |
| 205 | | | Euro BTS Future | | Mar-21 | | | 28,358,467 | | | | 71,028 | | | | 0.04 | % |
| 14 | | | Euro Oat Future | | Mar-21 | | | 2,870,809 | | | | (2,381 | ) | | | (0.00 | )% |
| 497 | | | Short Sterling Future | | Dec-21 | | | 6,070,005 | | | | (3,610 | ) | | | (0.00 | )% |
| 62 | | | Zinc LME Future | | Mar-21 | | | 4,261,462 | | | | 23,782 | | | | 0.01 | % |
| | | | | | | | | Subtotal | | | | 494,080 | | | | | |
Short Contracts |
| (57 | ) | | Korean 10 year Bond Future | | Mar-21 | | | 6,297,131 | | | | (23,943 | ) | | | (0.01 | )% |
INTEREST RATE SWAPS |
| | | | | | | | | | Unrealized | | | | |
Number of | | | | | | | Notional Value at | | | Appreciation/ | | | % of Fund Net | |
Contracts | | | Description | | Maturity Date | | December 31, 2020 | | | (Depreciation) | | | Assets | |
| | | | | | | | | | | | | | | | | | |
| 2,000,000,000 | | | CLP/USD IRS | | 12/21/2022 | | $ | 394,477,318 | | | $ | 10,909 | | | | 0.01 | % |
| 2,000,000,000 | | | USD/CLP IRS | | 12/21/2022 | | | 394,477,318 | | | | (7,749,997 | ) | | | (4.68 | )% |
| 600,000,000 | | | USD/JPY IRS | | 3/15/2023 | | | 132,158,590 | | | | 5,927 | | | | 0.00 | % |
| 250,000,000 | | | USD/HUF IRS | | 3/15/2023 | | | 55,066,079 | | | | 579,486 | | | | 0.35 | % |
| 80,000,000 | | | USD/HKD IRS | | 3/15/2023 | | | 17,621,145 | | | | 267,325 | | | | 0.16 | % |
| 70,000,000 | | | USD/SEK IRS | | 3/15/2023 | | | 15,418,502 | | | | 16,867 | | | | 0.01 | % |
| 14,000,000 | | | USD/SGD IRS | | 3/15/2023 | | | 3,083,700 | | | | 11,524 | | | | 0.01 | % |
| 180,000,000 | | | USD/MXN IRS | | 6/14/2023 | | | 44,117,647 | | | | 1,230,436 | | | | 0.74 | % |
| 2,000,000,000 | | | USD/CLP IRS | | 6/21/2023 | | | 493,827,160 | | | | (1,073,987 | ) | | | (0.65 | )% |
| 2,000,000,000 | | | CLP/USD IRS | | 6/21/2023 | | | 493,827,160 | | | | 1,512 | | | | 0.00 | % |
| 75,000,000 | | | THB/USD IRS | | 6/21/2023 | | | 18,518,519 | | | | (551 | ) | | | (0.00 | )% |
| 75,000,000 | | | USD/ZAR IRS | | 6/21/2023 | | | 18,518,519 | | | | 357,395 | | | | 0.22 | % |
| 25,000,000 | | | USD/THB IRS | | 6/21/2023 | | | 6,172,840 | | | | 5,506 | | | | 0.00 | % |
| 15,000,000 | | | USD/PLN IRS | | 6/21/2023 | | | 3,703,704 | | | | 356 | | | | 0.00 | % |
| 75,000,000 | | | USD/ZAR IRS | | 12/17/2025 | | | 37,313,433 | | | | 3,500,813 | | | | 2.12 | % |
| 75,000,000 | | | USD/ZAR IRS | | 12/17/2025 | | | 37,313,433 | | | | (3,500,813 | ) | | | (2.12 | )% |
| 60,000,000 | | | USD/MXN IRS | | 6/10/2026 | | | 32,608,696 | | | | 1,119,376 | | | | 0.68 | % |
| 100,000,000 | | | USD/INR IRS | | 6/16/2026 | | | 54,644,809 | | | | 539,531 | | | | 0.33 | % |
| 2,000,000,000 | | | USD/KRW IRS | | 6/17/2026 | | | 1,092,896,175 | | | | 7,034 | | | | 0.00 | % |
| 500,000,000 | | | USD/HUF IRS | | 6/17/2026 | | | 273,224,044 | | | | 4,176,273 | | | | 2.52 | % |
| 400,000,000 | | | USD/JPY IRS | | 6/17/2026 | | | 218,579,235 | | | | (319,580 | ) | | | (0.19 | )% |
| 100,000,000 | | | USD/ZAR IRS | | 6/17/2026 | | | 54,644,809 | | | | 1,823,094 | | | | 1.10 | % |
| 50,000,000 | | | THB/USD IRS | | 6/17/2026 | | | 27,322,404 | | | | (11,423 | ) | | | (0.01 | )% |
| 25,000,000 | | | USD/ZAR IRS | | 6/17/2026 | | | 13,661,202 | | | | (455,774 | ) | | | (0.28 | )% |
| 25,000,000 | | | USD/ZAR IRS | | 6/17/2026 | | | 13,661,202 | | | | (455,774 | ) | | | (0.28 | )% |
| 20,000,000 | | | USD/SEK IRS | | 6/17/2026 | | | 10,928,962 | | | | (25,562 | ) | | | (0.02 | )% |
| 20,000,000 | | | USD/HKD IRS | | 6/17/2026 | | | 10,928,962 | | | | 60,530 | | | | 0.04 | % |
| 10,000,000 | | | USD/PLN IRS | | 6/17/2026 | | | 5,464,481 | | | | (50,080 | ) | | | (0.03 | )% |
| 6,000,000 | | | USD/GBP IRS | | 6/17/2026 | | | 3,278,689 | | | | 21,319 | | | | 0.01 | % |
| 6,000,000 | | | USD/AUD IRS | | 6/17/2026 | | | 3,278,689 | | | | (23,736 | ) | | | (0.01 | )% |
| 500,000,000 | | | USD/HUF IRS | | 3/19/2031 | | | 510,204,082 | | | | 5,979,718 | | | | 3.61 | % |
| 50,000,000 | | | USD/ZAR IRS | | 3/19/2031 | | | 51,020,408 | | | | 2,890,965 | | | | 1.75 | % |
| 40,000,000 | | | USD/CZK IRS | | 3/19/2031 | | | 40,816,327 | | | | 1,239,713 | | | | 0.75 | % |
| 10,000,000 | | | USD/SEK IRS | | 3/19/2031 | | | 10,204,082 | | | | (10,657 | ) | | | (0.01 | )% |
| 10,000,000 | | | USD/SEK IRS | | 3/19/2031 | | | 10,204,082 | | | | 10,657 | | | | 0.01 | % |
| 60,000,000 | | | USD/MXN IRS | | 6/4/2031 | | | 62,500,000 | | | | 1,071,743 | | | | 0.65 | % |
| | | | | | | | | Subtotal | | | $ | 11,250,076 | | | | | |
FORWARD FOREIGN CURRENCY CONTRACTS |
| | | | | | | | | | Unrealized | | | | |
| | Currency to Deliver/ | | | | | | Appreciation/ | | | % of Fund Net | |
Settlement Date | | Receive | | Value | | | U.S. Dollar Value | | | (Depreciation) | | | Assets | |
To Sell: | | | | | | | | | | | | | | | | | | |
03/17/21 | | USD/PHP | | | 5,300,000 | | | | 5,310,877 | | | | 28,945 | | | | 0.02 | % |
03/17/21 | | USD/INR | | | 3,000,000 | | | | 3,023,527 | | | | 46,594 | | | | 0.03 | % |
| | | | | | | | | Subtotal | | | $ | 75,539 | | | | | |
| | | | | | | | | | | | | | | | | | |
| | All Other Investments | | | | 3,843,741 | | | | | |
| | | | | Total Value of Purchased Option | | | | 15,639,493 | | | | | |
| ^ | 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.
Altegris Futures Evolution Strategy Fund |
PORTFOLIO OF INVESTMENTS (Unaudited) (Continued) |
December 31, 2020 |
WNTN TRND Top 50 Holdings ^
| | | | | | | | | | | | |
FUTURES CONTRACTS |
| | | | | | | | | | Unrealized | | | | |
Number of | | | | | | | Notional Value at | | | Appreciation/ | | | % of Fund Net | |
Contracts | | | Description | | Expiration Date | | December 31, 2020 | | | (Depreciation) | | | Assets | |
Long Contracts |
| 13 | | | 2 Year T Note Future | | Mar-21 | | | 2,872,695 | | | $ | 2,242 | | | | 0.00 | % |
| 10 | | | 5 Year T Note Future | | Mar-21 | | | 1,261,641 | | | | 2,305 | | | | 0.00 | % |
| 30 | | | Aluminum LME Future | | Mar-21 | | | 1,483,125 | | | | (18,868 | ) | | | (0.01 | )% |
| 82 | | | Australian 3 YR Bond Future | | Mar-21 | | | 7,409,264 | | | | 4,821 | | | | 0.00 | % |
| 19 | | | Australian Bills Future | | Mar-21 | | | 1,044,160 | | | | 1,176 | | | | 0.00 | % |
| 18 | | | Australian Bills Future | | Jun-21 | | | 989,180 | | | | 152 | | | | 0.00 | % |
| 8 | | | Copper LME Future | | Jan-21 | | | 1,551,550 | | | | 82,178 | | | | 0.05 | % |
| 7 | | | Copper LME Future | | Feb-21 | | | 1,358,306 | | | | 5,056 | | | | 0.00 | % |
| 32 | | | Corn Future | | Mar-21 | | | 774,400 | | | | 93,625 | | | | 0.06 | % |
| 14 | | | Cotton Future | | Mar-21 | | | 546,840 | | | | 42,480 | | | | 0.03 | % |
| 3 | | | Dax Index Fuutre | | Mar-21 | | | 1,259,409 | | | | 33,243 | | | | 0.02 | % |
| 17 | | | E-Mini MSCI EM Future | | Mar-21 | | | 1,094,970 | | | | 24,480 | | | | 0.01 | % |
| 8 | | | E-Mini NASDAQ Future | | Mar-21 | | | 2,061,680 | | | | 41,382 | | | | 0.03 | % |
| 17 | | | E0Mini S&P 500 Future | | Mar-21 | | | 3,186,480 | | | | 52,020 | | | | 0.03 | % |
| 21 | | | ERX Bobl Future | | Mar-21 | | | 3,467,854 | | | | (2,822 | ) | | | (0.00 | )% |
| 25 | | | Euribor Future | | Mar-22 | | | 548,357 | | | | (1,985 | ) | | | (0.00 | )% |
| 25 | | | Euribor Future | | Jun-22 | | | 548,329 | | | | (2,352 | ) | | | (0.00 | )% |
| 25 | | | Euribor Future | | Sep-22 | | | 548,302 | | | | (2,458 | ) | | | (0.00 | )% |
| 4 | | | Euro BTP Future | | Mar-21 | | | 742,782 | | | | 3,689 | | | | 0.00 | % |
| 4 | | | Euro BTS Future | | Mar-21 | | | 553,336 | | | | 366 | | | | 0.00 | % |
| 28 | | | Euro Bund Future | | Mar-21 | | | 6,076,141 | | | | 7,721 | | | | 0.00 | % |
| 6 | | | Euro Oat Future | | Mar-21 | | | 1,230,347 | | | | 3,225 | | | | 0.00 | % |
| 41 | | | Euro Stoxx50 Future | | Mar-21 | | | 1,778,039 | | | | 20,529 | | | | 0.01 | % |
| 34 | | | Eurodollars Future | | Dec-21 | | | 605,868 | | | | 1,338 | | | | 0.00 | % |
| 37 | | | Eurodollars Future | | Mar-22 | | | 659,525 | | | | 4,863 | | | | 0.00 | % |
| 37 | | | Eurodollars Future | | Jun-22 | | | 659,459 | | | | 5,038 | | | | 0.00 | % |
| 37 | | | Eurodollars Future | | Sep-22 | | | 659,360 | | | | 4,950 | | | | 0.00 | % |
| 34 | | | Eurodollars Future | | Dec-22 | | | 605,595 | | | | 3,513 | | | | 0.00 | % |
| 4 | | | Eurex Euro-Buxl Future | | Mar-21 | | | 1,100,613 | | | | 7,207 | | | | 0.00 | % |
| 7 | | | FTSE Index Future | | Mar-21 | | | 614,330 | | | | (8,633 | ) | | | (0.01 | )% |
| 4 | | | Gilts Future | | Mar-21 | | | 741,133 | | | | 2,406 | | | | 0.00 | % |
| 5 | | | Gold CMX Future | | Feb-21 | | | 947,550 | | | | 6,260 | | | | 0.00 | % |
| 5 | | | Hang Seng Index Future | | Jan-21 | | | 877,745 | | | | 33,602 | | | | 0.02 | % |
| 11 | | | High Grade Copper Future | | Mar-21 | | | 967,725 | | | | 50,038 | | | | 0.03 | % |
| 10 | | | Nickel LME Future | | Jan-21 | | | 993,990 | | | | 25,257 | | | | 0.02 | % |
| 8 | | | OSK Nikkei Future | | Mar-21 | | | 2,124,734 | | | | 58,848 | | | | 0.04 | % |
| 10 | | | Platinum NMX Future | | Apr-21 | | | 539,600 | | | | 22,255 | | | | 0.01 | % |
| 8 | | | SFE SPI Future | | Mar-21 | | | 1,005,914 | | | | (6,559 | ) | | | (0.00 | )% |
| 7 | | | Silver CMX Future | | Mar-21 | | | 924,420 | | | | 59,870 | | | | 0.04 | % |
| 13 | | | Soybeans Future | | Mar-21 | | | 852,150 | | | | 42,375 | | | | 0.03 | % |
| 9 | | | Soybeans Future | | May-21 | | | 588,038 | | | | 43,188 | | | | 0.03 | % |
| 9 | | | Topix Index Future | | Mar-21 | | | 1,571,918 | | | | 28,311 | | | | 0.02 | % |
| 6 | | | US 10 YR Note Future | | Mar-21 | | | 828,469 | | | | 531 | | | | 0.00 | % |
| 14 | | | Zinc LME Future | | Jan-21 | | | 956,666 | | | | (7,953 | ) | | | (0.00 | )% |
| 12 | | | Zinc LME Future | | Feb-21 | | | 822,549 | | | | (39,984 | ) | | | (0.02 | )% |
| | | | | | | | | Subtotal | | | $ | 728,926 | | | | | |
| | | | | | | | | | Unrealized | | | | |
Number of | | | | | | | Notional Value at | | | Appreciation/ | | | % of Fund Net | |
Contracts | | | Description | | Expiration Date | | December 31, 2020 | | | (Depreciation) | | | Assets | |
Short Contracts |
| 7 | | | Copper LME Future | | Jan-21 | | $ | 1,357,606 | | | $ | 1,986 | | | | 0.00 | % |
| 4 | | | ERX 2 Bund Future | | Mar-21 | | | 548,621 | | | | (31 | ) | | | (0.00 | )% |
| 24 | | | Natural Gas Future | | Feb-21 | | | 609,360 | | | | 32,360 | | | | 0.02 | % |
| 7 | | | Nickel LME Future | | Jan-21 | | | 695,793 | | | | 39,210 | | | | 0.02 | % |
| 14 | | | Zinc LME Future | | Jan-21 | | | 956,666 | | | | 42,523 | | | | 0.03 | % |
| | | | | | | | | Subtotal | | | $ | 116,048 | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | | | | All Other Investments | | | | 7,362,126 | | | | | |
| | | | | | Total Value of Purchased Option | | | | 8,207,100 | | | | | |
| ^ | 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.
Altegris Futures Evolution Strategy Fund |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) |
December 31, 2020 |
ASSETS | | | | |
Investment securities: | | | | |
At cost | | $ | 152,514,493 | |
At value | | $ | 148,244,127 | |
Cash | | | 17,608,966 | |
Receivable for securities sold | | | 114 | |
Receivable for Fund shares sold | | | 1,106,640 | |
Interest receivable | | | 570,027 | |
Prepaid expenses and other assets | | | 72,330 | |
TOTAL ASSETS | | | 167,602,204 | |
| | | | |
LIABILITIES | | | | |
Foreign cash due to custodian (Cost: $7,950) | | | 8,536 | |
Payable for Fund shares repurchased | | | 1,680,863 | |
Investment advisory fees payable | | | 198,922 | |
Distribution (12b-1) fees payable | | | 12,649 | |
Payable to related parties | | | 140,719 | |
Accrued expenses and other liabilities | | | 127,584 | |
TOTAL LIABILITIES | | | 2,169,273 | |
NET ASSETS | | $ | 165,432,931 | |
| | | | |
Composition of Net Assets: | | | | |
Paid in capital | | $ | 195,577,971 | |
Accumulated loss | | | (30,145,040 | ) |
NET ASSETS | | $ | 165,432,931 | |
| | | | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
STATEMENT OF ASSETS AND LIABILITIES (Unaudited) (Continued) |
December 31, 2020 |
Net Asset Value Per Share: | | | | |
Class A Shares: | | | | |
Net Assets | | $ | 6,539,114 | |
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | | | 825,050 | |
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share (a)(b) | | $ | 7.93 | |
Maximum offering price per share (net asset value plus maximum sales charge of 5.75%) (c) | | $ | 8.41 | |
| | | | |
Class C Shares: | | | | |
Net Assets | | $ | 5,101,143 | |
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | | | 644,636 | |
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)(d) | | $ | 7.91 | |
| | | | |
Class I Shares: | | | | |
Net Assets | | $ | 138,263,173 | |
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | | | 17,526,105 | |
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b) | | $ | 7.89 | |
| | | | |
Class N Shares: | | | | |
Net Assets | | $ | 15,529,501 | |
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | | | 1,959,772 | |
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b) | | $ | 7.92 | |
| | | | |
| (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. |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
STATEMENT OF OPERATIONS (Unaudited) |
Six Months ended December 31, 2020 |
INVESTMENT INCOME | | | | |
Interest | | $ | 3,562,355 | |
TOTAL INVESTMENT INCOME | | | 3,562,355 | |
| | | | |
EXPENSES | | | | |
Advisory fees | | | 1,821,597 | |
Distribution (12b-1) fees: | | | | |
Class A | | | 9,834 | |
Class C | | | 32,912 | |
Class N | | | 44,451 | |
Administrative services fees | | | 172,690 | |
Transfer agent fees | | | 111,986 | |
Third party administrative services fees | | | 93,489 | |
Registration fees | | | 68,543 | |
Printing and postage expenses | | | 34,640 | |
Custodian fees | | | 32,176 | |
Audit fees | | | 24,250 | |
Accounting services fees | | | 23,523 | |
Legal fees | | | 15,963 | |
Compliance officer fees | | | 15,372 | |
Trustees fees and expenses | | | 11,090 | |
Insurance expense | | | 3,300 | |
Other expenses | | | 2,521 | |
TOTAL EXPENSES | | | 2,518,337 | |
Less: Fees waived by the Advisor | | | (385,025 | ) |
NET EXPENSES | | | 2,133,312 | |
| | | | |
NET INVESTMENT INCOME | | | 1,429,043 | |
| | | | |
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS | | | | |
Net realized gain/(loss) from: | | | | |
Investments | | | (1,018,310 | ) |
Purchased Options | | | 190,894 | |
Forward exchange contracts and translations | | | 3,620 | |
Net Realized Loss | | | (823,796 | ) |
| | | | |
Net change in unrealized appreciation/(depreciation) on: | | | | |
Investments | | | 4,731,439 | |
Purchased Options | | | (373,833 | ) |
Foreign Currency Translations | | | (4,080 | ) |
Net change in unrealized appreciation on: | | | 4,353,526 | |
| | | | |
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | | | 3,529,730 | |
| | | | |
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 4,958,773 | |
| | | | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
| | For the Six Months Ended | | | For the Year Ended | |
| | December 31, 2020 | | | June 30, | |
| | (Unaudited) | | | 2020 | |
DECREASE IN NET ASSETS FROM OPERATIONS | | | | | | | | |
Net investment income | | $ | 1,429,043 | | | $ | 6,606,278 | |
Net realized loss on investments, purchased options | | | (823,796 | ) | | | (53,310,051 | ) |
Net change in unrealized appreciation/(depreciation) on investments, purchased options | | | 4,353,526 | | | | (12,268,401 | ) |
Net increase/(decrease) in net assets resulting from operations | | | 4,958,773 | | | | (58,972,174 | ) |
| | | | | | | | |
DISTRIBUTIONS TO SHAREHOLDERS | | | | | | | | |
Total Distributions Paid | | | | | | | | |
Class A | | | (111,736 | ) | | | (199,098 | ) |
Class C | | | (64,575 | ) | | | (72,445 | ) |
Class I | | | (3,092,079 | ) | | | (4,482,045 | ) |
Class N | | | (453,242 | ) | | | (1,095,232 | ) |
Total distributions to shareholders | | | (3,721,632 | ) | | | (5,848,820 | ) |
| | | | | | | | |
SHARES OF BENEFICIAL INTEREST | | | | | | | | |
Proceeds from shares sold: | | | | | | | | |
Class A | | | 385,391 | | | | 2,421,153 | |
Class C | | | 24,580 | | | | 808,194 | |
Class I | | | 17,523,705 | | | | 154,993,602 | |
Class N | | | 7,163,062 | | | | 112,402,354 | |
Net asset value of shares issued in reinvestment of distributions: | | | | | | | | |
Class A | | | 102,817 | | | | 184,198 | |
Class C | | | 60,320 | | | | 70,868 | |
Class I | | | 2,098,260 | | | | 3,881,013 | |
Class N | | | 445,375 | | | | 671,832 | |
Redemption fee proceeds: | | | | | | | | |
Class A | | | 612 | | | | 294 | |
Class C | | | 5 | | | | 10 | |
Class I | | | 2,958 | | | | 11,982 | |
Class N | | | 400 | | | | 3,303 | |
Payments for shares redeemed: | | | | | | | | |
Class A | | | (3,721,882 | ) | | | (11,869,258 | ) |
Class C | | | (3,765,018 | ) | | | (5,887,368 | ) |
Class I | | | (116,325,386 | ) | | | (308,613,645 | ) |
Class N | | | (32,857,074 | ) | | | (133,458,357 | ) |
Net decrease from shares of beneficial interest transactions | | | (128,861,875 | ) | | | (184,379,825 | ) |
| | | | | | | | |
NET DECREASE IN NET ASSETS | | | (127,624,734 | ) | | | (249,200,819 | ) |
| | | | | | | | |
NET ASSETS | | | | | | | | |
Beginning of Period | | | 293,057,665 | | | | 542,258,484 | |
End of Period | | $ | 165,432,931 | | | $ | 293,057,665 | |
| | | | | | | | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued) |
| | For the Six Months Ended | | | For the Year Ended | |
| | December 31, 2020 | | | June 30, | |
| | (Unaudited) | | | 2020 | |
SHARE ACTIVITY | | | | | | | | |
Class A: | | | | | | | | |
Shares Sold | | | 51,496 | | | | 477,215 | |
Shares Reinvested | | | 13,568 | | | | 134,597 | |
Shares Redeemed | | | (494,746 | ) | | | (2,418,281 | ) |
Net decrease in shares of beneficial interest outstanding | | | (429,682 | ) | | | (1,806,469 | ) |
| | | | | | | | |
Class C: | | | | | | | | |
Shares Sold | | | 3,211 | | | | 178,727 | |
Shares Reinvested | | | 7,961 | | | | 64,680 | |
Shares Redeemed | | | (501,098 | ) | | | (818,129 | ) |
Net decrease in shares of beneficial interest outstanding | | | (489,926 | ) | | | (574,722 | ) |
| | | | | | | | |
Class I: | | | | | | | | |
Shares Sold | | | 2,333,047 | | | | 27,135,458 | |
Shares Reinvested | | | 278,152 | | | | 2,317,075 | |
Shares Redeemed | | | (15,434,402 | ) | | | (36,212,667 | ) |
Net decrease in shares of beneficial interest outstanding | | | (12,823,203 | ) | | | (6,760,134 | ) |
| | | | | | | | |
Class N: | | | | | | | | |
Shares Sold | | | 951,088 | | | | 3,712,832 | |
Shares Reinvested | | | 59,114 | | | | 264,518 | |
Shares Redeemed | | | (4,315,689 | ) | | | (4,552,912 | ) |
Net decrease in shares of beneficial interest outstanding | | | (3,305,487 | ) | | | (575,562 | ) |
| | | | | | | | |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
FINANCIAL HIGHLIGHTS |
|
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period |
| | Class A | |
| | Six Months Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | December 31, | | | June 30, | | | June 30, | | | June 30, | | | June 30, | | | June 30, | |
| | 2020 | | | 2020 | | | 2019 | | | 2018^ | | | 2017^ | | | 2016^ | |
| | (Unaudited) | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | $ | 7.74 | | | $ | 9.31 | | | $ | 9.82 | | | $ | 9.37 | | | $ | 10.84 | | | $ | 10.68 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (1) | | | 0.04 | | | | 0.12 | | | | 0.11 | | | | 0.09 | | | | 0.12 | | | | 0.15 | |
Net realized and unrealized gain/(loss) on investments | | | 0.27 | | | | (1.59 | ) | | | (0.17 | ) | | | 0.48 | | | | (0.90 | ) | | | 0.82 | |
Total from investment operations | | | 0.31 | | | | (1.47 | ) | | | (0.06 | ) | | | 0.57 | | | | (0.78 | ) | | | 0.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.12 | ) | | | (0.10 | ) | | | (0.45 | ) | | | (0.12 | ) | | | (0.69 | ) | | | (0.81 | ) |
Total distributions | | | (0.12 | ) | | | (0.10 | ) | | | (0.45 | ) | | | (0.12 | ) | | | (0.69 | ) | | | (0.81 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees collected (2) | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, at end of year/period | | $ | 7.93 | | | $ | 7.74 | | | $ | 9.31 | | | $ | 9.82 | | | $ | 9.37 | | | $ | 10.84 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return (3) | | | 4.03 | % (6) | | | (15.94 | )% (4) | | | (0.52 | )% (4) | | | 6.06 | % (4) | | | (7.36 | )% | | | 9.63 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, at end of year/period (000s) | | $ | 6,539 | | | $ | 9,711 | | | $ | 21,669 | | | $ | 40,624 | | | $ | 59,411 | | | $ | 100,131 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios including the expenses and income of AFES Fund Limited applicable for the years 2016 through 2018: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio of gross expenses to average net assets (5) | | | 2.25 | % (7) | | | 2.18 | % | | | 2.08 | % | | | 2.00 | % | | | 1.99 | % | | | 1.97 | % |
Ratio of net expenses to average net assets | | | 1.94 | % (7) | | | 1.94 | % | | | 1.94 | % | | | 1.94 | % | | | 1.94 | % | | | 1.94 | % |
Ratio of net investment income to average net assets | | | 1.06 | % (7) | | | 1.30 | % | | | 1.17 | % | | | 0.94 | % | | | 1.14 | % | | | 1.36 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio Turnover Rate | | | 25 | % (6) | | | 68 | % | | | 64 | % | | | 53 | % | | | 77 | % | | | 59 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | 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. |
| (5) | 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. |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
FINANCIAL HIGHLIGHTS |
|
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period |
| | Class C | |
| | Six Months Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | December 31, | | | June 30, | | | June 30, | | | June 30, | | | June 30, | | | June 30, | |
| | 2020 | | | 2030 | | | 2019 | | | 2018^ | | | 2017^ | | | 2016^ | |
| | (Unaudited) | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | $ | 7.72 | | | $ | 9.30 | | | $ | 9.75 | | | $ | 9.31 | | | $ | 10.78 | | | $ | 10.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (1) | | | 0.01 | | | | 0.05 | | | | 0.04 | | | | 0.02 | | | | 0.04 | | | | 0.07 | |
Net realized and unrealized gain/(loss) on investments | | | 0.26 | | | | (1.58 | ) | | | (0.18 | ) | | | 0.47 | | | | (0.88 | ) | | | 0.83 | |
Total from investment operations | | | 0.27 | | | | (1.53 | ) | | | (0.14 | ) | | | 0.49 | | | | (0.84 | ) | | | 0.90 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.08 | ) | | | (0.05 | ) | | | (0.31 | ) | | | (0.05 | ) | | | (0.63 | ) | | | (0.69 | ) |
Total distributions | | | (0.08 | ) | | | (0.05 | ) | | | (0.31 | ) | | | (0.05 | ) | | | (0.63 | ) | | | (0.69 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees collected | | | — | | | | — | | | | 0.00 | (2) | | | 0.00 | (2) | | | 0.00 | (2) | | | 0.00 | (2) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, at end of year/period | | $ | 7.91 | | | $ | 7.72 | | | $ | 9.30 | | | $ | 9.75 | | | $ | 9.31 | | | $ | 10.78 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return (3) | | | 3.58 | % (6) | | | (16.54 | )% | | | (1.42 | )% (4) | | | 5.26 | % (4) | | | (8.02 | )% | | | 8.93 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, at end of year/period (000s) | | $ | 5,101 | | | $ | 8,763 | | | $ | 15,878 | | | $ | 22,237 | | | $ | 31,270 | | | $ | 33,831 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios including the expenses and income of AFES Fund Limited applicable for the years 2016 through 2018: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio of gross expenses to average net assets (5) | | | 3.00 | % (7) | | | 2.93 | % | | | 2.83 | % | | | 2.75 | % | | | 2.74 | % | | | 2.72 | % |
Ratio of net expenses to average net assets | | | 2.69 | % (7) | | | 2.69 | % | | | 2.69 | % | | | 2.69 | % | | | 2.69 | % | | | 2.69 | % |
Ratio of net investment income to average net assets | | | 0.28 | % (7) | | | 0.55 | % | | | 0.45 | % | | | 0.18 | % | | | 0.40 | % | | | 0.62 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio Turnover Rate | | | 25 | % (6) | | | 68 | % | | | 64 | % | | | 53 | % | | | 77 | % | | | 59 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | 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. |
| (5) | 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 year. |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
FINANCIAL HIGHLIGHTS |
|
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year or Period |
| | Class I | |
| | Six Months Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | December 31, | | | June 30, | | | June 30, | | | June 30, | | | June 30, | | | June 30, | |
| | 2020 | | | 2020 | | | 2019 | | | 2018^ | | | 2017^ | | | 2016^ | |
| | (Unaudited) | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | $ | 7.71 | | | $ | 9.27 | | | $ | 9.80 | | | $ | 9.36 | | | $ | 10.82 | | | $ | 10.70 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (1) | | | 0.05 | | | | 0.14 | | | | 0.14 | | | | 0.12 | | | | 0.14 | | | | 0.17 | |
Net realized and unrealized gain/(loss) on investments | | | 0.26 | | | | (1.57 | ) | | | (0.17 | ) | | | 0.46 | | | | (0.88 | ) | | | 0.83 | |
Total from investment operations | | | 0.31 | | | | (1.43 | ) | | | (0.03 | ) | | | 0.58 | | | | (0.74 | ) | | | 1.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.13 | ) | | | (0.13 | ) | | | (0.50 | ) | | | (0.14 | ) | | | (0.72 | ) | | | (0.88 | ) |
Total distributions | | | (0.13 | ) | | | (0.13 | ) | | | (0.50 | ) | | | (0.14 | ) | | | (0.72 | ) | | | (0.88 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees collected (2) | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, at end of year/period | | $ | 7.89 | | | $ | 7.71 | | | $ | 9.27 | | | $ | 9.80 | | | $ | 9.36 | | | $ | 10.82 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return (3) | | | 4.06 | % (6) | | | (15.67 | )% | | | (0.24 | )% (4) | | | 6.22 | % (4) | | | (7.05 | )% | | | 9.94 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, at end of year/period (000s) | | $ | 138,263 | | | $ | 233,878 | | | $ | 424,680 | | | $ | 515,569 | | | $ | 379,132 | | | $ | 353,331 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios including the expenses and income of AFES Fund Limited applicable for the years 2016 through 2018: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio of gross expenses to average net assets (5) | | | 2.00 | % (7) | | | 1.93 | % | | | 1.83 | % | | | 1.75 | % | | | 1.74 | % | | | 1.72 | % |
Ratio of net expenses to average net assets | | | 1.69 | % (7) | | | 1.69 | % | | | 1.69 | % | | | 1.69 | % | | | 1.69 | % | | | 1.69 | % |
Ratio of net investment income to average net assets | | | 1.22 | % (7) | | | 1.55 | % | | | 1.45 | % | | | 1.20 | % | | | 1.41 | % | | | 1.57 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio Turnover Rate | | | 25 | % (6) | | | 68 | % | | | 64 | % | | | 53 | % | | | 77 | % | | | 59 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | 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 value may differ from the net asset values and returns for shareholder transactions. |
| (5) | 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 year. |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
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 | |
| | Six Months Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | | | Year Ended | |
| | December 31, | | | June 30, | | | June 30, | | | June 30, | | | June 30, | | | June 30, | |
| | 2020 | | | 2020 | | | 2019 | | | 2018^ | | | 2017^ | | | 2016^ | |
| | (Unaudited) | | | | | | | | | | | | | | | | |
Net asset value, beginning of year/period | | $ | 7.73 | | | $ | 9.30 | | | $ | 9.82 | | | $ | 9.37 | | | $ | 10.84 | | | $ | 10.67 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income/(loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (1) | | | 0.04 | | | | 0.12 | | | | 0.11 | | | | 0.09 | | | | 0.12 | | | | 0.14 | |
Net realized and unrealized gain/(loss) on investments | | | 0.26 | | | | (1.59 | ) | | | (0.19 | ) | | | 0.48 | | | | (0.90 | ) | | | 0.83 | |
Total from investment operations | | | 0.30 | | | | (1.47 | ) | | | (0.07 | ) | | | 0.57 | | | | (0.78 | ) | | | 0.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | (0.11 | ) | | | (0.10 | ) | | | (0.45 | ) | | | (0.12 | ) | | | (0.69 | ) | | | (0.80 | ) |
Total distributions | | | (0.11 | ) | | | (0.10 | ) | | | (0.45 | ) | | | (0.12 | ) | | | (0.69 | ) | | | (0.80 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees collected (2) | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | | | | 0.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, at end of year/period | | $ | 7.92 | (6) | | $ | 7.73 | | | $ | 9.30 | | | $ | 9.82 | | | $ | 9.37 | | | $ | 10.84 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return (3) | | | 4.00 | % | | | (15.95 | )% | | | (0.62 | )% (4) | | | 6.07 | % (4) | | | (7.35 | )% | | | 9.71 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net assets, at end of year/period (000s) | | $ | 15,530 | | | $ | 40,706 | | | $ | 80,032 | | | $ | 90,121 | | | $ | 90,042 | | | $ | 97,811 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Ratios including the expenses and income of AFES Fund Limited applicable for the years 2016 through 2018: | | | | | | | | | | | | | | | | | | | | | | | | |
Ratio of gross expenses to average net assets (5) | | | 2.26 | % (7) | | | 2.19 | % | | | 2.08 | % | | | 2.00 | % | | | 1.99 | % | | | 1.97 | % |
Ratio of net expenses to average net assets | | | 1.94 | % (7) | | | 1.94 | % | | | 1.94 | % | | | 1.94 | % | | | 1.94 | % | | | 1.94 | % |
Ratio of net investment income to average net assets | | | 1.16 | % (7) | | | 1.29 | % | | | 1.21 | % | | | 0.95 | % | | | 1.15 | % | | | 1.33 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
Portfolio Turnover Rate | | | 25 | % (6) | | | 68 | % | | | 64 | % | | | 53 | % | | | 77 | % | | | 59 | % |
| | | | | | | | | | | | | | | | | | | | | | | | |
| (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) | 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. |
| (5) | 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 year. |
See accompanying notes to financial statements.
Altegris Futures Evolution Strategy Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) |
December 31, 2020 |
| 1. | ORGANIZATION AND CONSOLIDATION OF SUBSIDIARY |
The Altegris Futures Evolution Strategy Fund (the “Fund”) is 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. The Fund’s commencement date, diversification status and investment objective is as follows:
| Commencement | Diversification | Investment Objective |
| Date | Status | |
Futures | October 31, 2011 | Diversified | Long term capital |
Evolution | | | appreciation. |
Strategy Fund | | | |
The Fund offers Class A, Class C, Class I, and Class N 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 and Class N 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 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. The 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 Fund in preparation of their financial statements. The policies are in conformity with the generally accepted accounting principles in the United States of America (“GAAP”). The Fund operates as an investment company and accordingly follows the Investment Company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services – Investment Companies. The preparation of the 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 financial statements and the reported amounts of income and expenses for the six months 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. 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
Altegris Futures Evolution Strategy Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
December 31, 2020 |
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 Fund 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 committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor and/or sub-advisor. The committee 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 committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) 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 committee 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 Fund’s 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 value of any securities into which the security is convertible or exchangeable.
The Fund utilizes 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 Fund has 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 Fund’s 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
Altegris Futures Evolution Strategy Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
December 31, 2020 |
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, 2020 for the Fund’s assets and liabilities measured at fair value:
FUTURES EVOLUTION STRATEGY FUND |
Assets * | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
Common Stock | | $ | 15,841 | | | $ | — | | | $ | — | | | $ | 15,841 | |
Asset Backed Securities | | | — | | | | 72,979,060 | | | | — | | | | 72,979,060 | |
Collateralized Mortgage Obligations | | | — | | | | 9,354,502 | | | | — | | | | 9,354,502 | |
Corporate Bonds | | | — | | | | 16,318,372 | | | | — | | | | 16,318,372 | |
Non U.S. Government & Agencies | | | — | | | | 2,241,172 | | | | — | | | | 2,241,172 | |
U.S. Government & Agencies | | | — | | | | 7,875,657 | | | | — | | | | 7,875,657 | |
Warrant | | | — | | | | — | | | | — | | | | — | |
Purchased Options | | | — | | | | 39,459,523 | | | | — | | | | 39,459,523 | |
Total | | $ | 15,841 | | | $ | 148,228,286 | | | $ | — | | | $ | 148,244,127 | |
| * | Refer to the Portfolio of Investments for security classification. |
The Fund did not hold any Level 3 securities as of December 31, 2020.
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.
Dividends and Distributions to Shareholders – Dividends from net investment income are declared and paid monthly. Distributable net realized capital gains, if any 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 the Fund’s policy to continue to qualify as a regulated investment company by complying with the provisions of the Internal Revenue Code of 1986, as amended 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.
The 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 the 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 (2018-2020) or expected to be taken in the Fund’s 2021 tax return. The Fund identifies its major tax jurisdictions as U.S. federal and Ohio and foreign jurisdictions where the Fund makes significant investments; however, the Fund is 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.
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.
Altegris Futures Evolution Strategy Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
December 31, 2020 |
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 Fund enters into contracts that contain a variety of representations and warranties and which provide general indemnities. The 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.
Market and Geopolitical Risk - The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in a Fund’s portfolio may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years may result in market volatility and may have long term effects on both the U.S. and global financial markets. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your Fund investment.
Option Transactions - When the Fund purchases an option, an amount equal to the premium paid by the 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 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 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 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 Fund, this default will cause the value of an investment in the Fund to decrease. In addition, to the extent the Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The 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 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 Fund. The 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 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 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, 2020, $308,399 of option premiums was amortized.
| 3. | INVESTMENT TRANSACTIONS AND ASSOCIATED RISKS |
For the six months ended December 31, 2020, 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 | | $ | 43,260,881 | | | $ | 126,181,706 | |
Altegris Futures Evolution Strategy Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
December 31, 2020 |
During the normal course of business, the Fund purchases and sells 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: Overall securities and derivatives market risks may affect the value of individual instruments in which the Fund invests. Factors such as domestic and foreign economic growth and market conditions, interest rate levels, and political events affect the securities and derivatives markets. When the value of the Fund’s investments goes down, your investment in the Fund decreases in value and you could lose money.
Counterparty Risk: The 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: Liquidity risk exists when particular investments of the Fund would be difficult to purchase or sell, possibly preventing the Fund from selling such illiquid securities at an advantageous time or price, achieve its desired level of exposure to a certain sector, or possibly requiring the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations.
LIBOR Risk: The Fund holds securities for which interest rates may be based on floating rates such as the London Interbank Offered Rate, or “LIBOR,” which is the offered rate for short-term Eurodollar deposits between major international banks. Plans are underway to phase out the use of LIBOR by the end of 2021. There remains uncertainty regarding the nature of any replacement rate and the impact of the transition from LIBOR on the Funds transactions and the financial markets generally. As Such, the potential effect of the transition away from the LIBOR on the Funds’ investments cannot yet be determined.
Impact of Derivatives on the Statement of Assets and Liabilities and Statement of Operations
The following is a summary of the location of derivative investments on each Fund’s Statement of Assets and Liabilities as of December 31, 2020:
Location on the Statement of Assets and Liabilities |
Derivative Investment Type | | Asset Derivatives |
Purchased Options | | Investment Securities at value |
The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of December 31, 2020:
Futures Evolution Strategy Fund |
| | Equity Risk | | | Interest Rate Risk | | | Currency Risk | | | Commodity Risk | | | Total | |
Purchased Options | | $ | 39,459,523 | | | $ | — | | | $ | — | | | $ | — | | | $ | 39,459,523 | |
| | $ | 39,459,523 | | | $ | — | | | $ | — | | | $ | — | | | $ | 39,459,523 | |
The following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the six months ended December 31, 2020:
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 |
The effect of Derivative Instruments on the Statement of Operations for the six months ended December 31, 2020:
| | | | | | 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 | | $ | 190,894 | | | | | |
Equity Risk | | | | Net change in unrealized depreciation on purchased options | | | | | | $ | (373,833 | ) |
Total | | | | | | $ | 190,894 | | | $ | (373,833 | ) |
Altegris Futures Evolution Strategy Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
December 31, 2020 |
The notional value of the derivative instruments outstanding as of December 31, 2020 as disclosed in the 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 Statements of Operations serve as indicators of the volume of derivative activity for a Fund.
| 4. | INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES |
Altegris Advisors, L.L.C., serves as the Fund’s 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.
Pursuant to an advisory agreement with the Trust, on behalf of the Fund the Advisor, under the oversight of the Board, directs the daily operations of the Fund 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 Fund pays 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. Pursuant to a sub-advisory agreement between the Advisor and sub-advisor, the sub -advisor is entitled to receive, on a monthly basis, an annual sub- advisory fee on the fixed income portion of the Fund’s average daily net assets. The sub-advisor is paid by the Advisor not by the Fund. During the six months ended December 31, 2020, the Advisor earned $1,821,597.
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, 2021, 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 |
1.94% | | 2.69% | | 1.69% | | 1.94% |
During the six months ended December 31, 2020, the Advisor waived $385,025 pursuant to the Waiver Agreement.
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 the 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:
Jun-21 | | | 369,004 | |
Jun-22 | | | 840,952 | |
Jun-23 | | | 1,104,976 | |
| | $ | 2,314,932 | |
Altegris Futures Evolution Strategy Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
December 31, 2020 |
The Trust, on behalf of the Funds, has adopted the Trust’s Master Distribution and Shareholder Servicing Plans for Class A, Class C and Class N 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%, and 0.25% of the average daily net assets attributable to Class A, Class C and Class N 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, 2020, pursuant to the Plans, the Funds incurred the following:
12b-1 Fees | |
Class A | | $ | 9,834 | |
Class C | | | 32,912 | |
Class N | | | 44,451 | |
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, 2020, the Distributor received underwriting commissions for sales of Class A and Class C shares, respectively. The amounts of underwriting commissions received from the Fund and retained by the Distributor are as follows:
| | Received | | | Retained | |
| | Class A | | | Class C | | | Class A | | | Class C | |
Futures Evolution Strategy Fund | | $ | 986 | | | $ | 306 | | | $ | 136 | | | $ | 60 | |
The Fund is part of a series of Altegris Mutual Funds (“Family”) comprised of the Fund and 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 Fund 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 Fund.
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.
The Fund 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, 2020, redemption fees for the Fund was as follows:
Class A | | $ | 612 | |
Class C | | | 5 | |
Class I | | | 2,958 | |
Class N | | | 400 | |
Altegris Futures Evolution Strategy Fund |
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued) |
December 31, 2020 |
| 6. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
| | | Gross Unrealized | | | Gross Unrealized | | | Net Unrealized Appreciation/ | |
Tax Cost | | | Appreciation | | | Depreciation | | | Depreciation | |
$ | 152,642,323 | | | $ | 3,465,348 | | | $ | (7,863,544 | ) | | $ | (4,398,196 | ) |
| 7. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of Fund distributions paid for the following years was as follows:
| | Fiscal Year Ended | | | Fiscal Year Ended | |
| | June 30, 2020 | | | June 30, 2019 | |
Ordinary Income | | $ | 5,848,820 | | | $ | 31,519,039 | |
Long-Term Capital Gain | | | — | | | | — | |
Return of Capital | | | — | | | | — | |
| | $ | 5,848,820 | | | $ | 31,519,039 | |
As of June 30, 2020, the components of accumulated earnings/(deficit) on a tax basis was as follows:
Undistributed | | | Undistributed | | | Post October Loss | | | Capital Loss | | | Other | | | Unrealized | | | Total | |
Ordinary | | | Long-Term | | | and | | | Carry | | | Book/Tax | | | Appreciation/ | | | Accumulated | |
Income | | | Gains | | | Late Year Loss | | | Forwards | | | Differences | | | (Depreciation) | | | Earnings/(Deficits) | |
$ | 2,141,911 | | | $ | — | | | $ | (5,909,528 | ) | | $ | (18,902,569 | ) | | $ | — | | | $ | (8,711,995 | ) | | $ | (31,382,181 | ) |
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 and bonds with perpetual maturities.
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 Fund incurred and elected to defer such capital losses of $5,909,528.
At June 30, 2020, the Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:
Non-Expiring | | | Non-Expiring | | | | | | CLCF | |
Short-Term | | | Long-Term | | | Total | | | Utilized | |
$ | 9,388,200 | | | $ | 9,514,369 | | | $ | 18,902,569 | | | $ | — | |
Permanent book and tax differences, primarily attributable to differences in book and tax treatment of controlled foreign corporations held through the options issued from Nomura and adjustments relating to paydowns, defaulted bonds and bonds with perpetual maturities, resulted in reclassifications for the Funds for the fiscal year ended June 30, 2020 as follows:
Paid In | | | Accumulated | |
Capital | | | Earnings (Losses) | |
$ | (49,328,179 | ) | | $ | 49,328,179 | |
Subsequent events after the date of the 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 financial statements.
Altegris Funds |
EXPENSE EXAMPLES (Unaudited) |
December 31, 2020 |
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, 2020 and ending December 31, 2020.
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 Account | | Ending Account | | Expenses Paid During |
Actual | | Expense | | Value | | Value | | Period * |
Expenses | | Ratio | | 7/1/2020 | | 12/31/2020 | | 7/1/20-12/31/20 |
Class A | | 1.94% | | $1,000.00 | | $1,040.30 | | $9.98 |
Class C | | 2.69% | | $1,000.00 | | $1,035.80 | | $13.80 |
Class I | | 1.69% | | $1,000.00 | | $1,040.60 | | $8.69 |
Class N | | 1.94% | | $1,000.00 | | $1,040.00 | | $9.98 |
| | | | | | | | |
Hypothetical | | Annualized | | Beginning Account | | Ending Account | | Expenses Paid During |
(5% return before | | Expense | | Value | | Value | | Period * |
expenses) | | Ratio | | 7/1/2020 | | 12/31/2020 | | 7/1/20-12/31/20 |
Class A | | 1.94% | | $1,000.00 | | $1,015.43 | | $9.86 |
Class C | | 2.69% | | $1,000.00 | | $1,011.64 | | $13.64 |
Class I | | 1.69% | | $1,000.00 | | $1,016.69 | | $8.59 |
Class N | | 1.94% | | $1,000.00 | | $1,015.43 | | $9.86 |
| * | 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). |
Altegris Future Evolution Strategy Fund |
SUPPLEMENTAL INFORMATION (Unaudited) |
December 31, 2020 |
RESULTS OF SHAREHOLDER MEETING
At a Special Meeting of Shareholders of the Trust, held at the offices of Thompson Hine LLP, 41 South High Street, Suite 1700, Columbus, OH 43215, on January 8, 2021, Trust shareholders of record as of the close of business on October 9, 2020 voted to approve the following proposal:
Altegris Futures Evolution Strategy Fund
Proposal: To approve a new investment advisory agreement by and between the Trust, on behalf of each Fund, and Altegris Advisors, LLC, the current investment adviser to the Funds. (Shareholders of each Fund, voting separately, must approve this proposal with respect to their Fund.) No changes are proposed with respect to any Fund’s investment strategy, risks, investment objective, portfolio manager, investment process, or advisory fees.
Shares Voted | | Shares Voted Against |
In Favor | | or Abstentions |
14,487,328 | | 939,224 |
Altegris/AACA Opportunistic Real Estate Fund
Proposal: To approve a new investment advisory agreement by and between the Trust, on behalf of each Fund, and Altegris Advisors, LLC, the current investment adviser to the Funds. (Shareholders of each Fund, voting separately, must approve this proposal with respect to their Fund.) No changes are proposed with respect to any Fund’s investment strategy, risks, investment objective, portfolio manager, investment process, or advisory fees.
Shares Voted | | Shares Voted Against |
In Favor | | or Abstentions |
13,412,281 | | 88,373 |
Altegris Future Evolution Strategy Fund |
SUPPLEMENTAL INFORMATION (Unaudited) |
December 31, 2020 |
Altegris Advisors, LLC (Adviser to AACA Altegris Opportunistic Real Estate Fund and Altegris Futures Evolution Strategy Fund) *
In connection with the special meeting held on September 14, 2020 of the Board of Trustees (the “Trustees” or the “Board”) of the Northern Lights Fund Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of an investment advisory agreement (the “Advisory Agreement”) between Altegris Advisors, LLC (“Altegris”) and the Trust, with respect to the Altegris/ AACA Opportunistic Real Estate Fund (“Altegris Opportunistic”) and Altegris Futures Evolution Strategy Fund (“Altegris Futures Evolution”). In considering the approval of the Advisory Agreement, the Board received materials specifically relating to the Advisory Agreement.
The Trustees were assisted by independent legal counsel throughout the Advisory Agreement review process. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Advisory Agreement.
Nature, Extent & Quality of Services.
The Trustees noted that Altegris was founded in 2002 and specialized in identifying, evaluating, selecting, and monitoring alternative strategies and managers for the purpose of offering these strategies to financial professionals and individuals seeking portfolio diversification. They also noted that Altegris managed approximately $2 billion in assets. The Trustees discussed the anticipated changes in the adviser personnel as a result of the Transaction, noting areas of continuity, and remarked positively on the educational and professional backgrounds of the firm’s key personnel who would be responsible for servicing the Altegris Funds after the Transaction. The Trustees considered that Altegris’ investment process relied on a rigorous methodology for sourcing, evaluating, qualifying and selecting effective alternative managers. The Trustees commented that Altegris implemented a comprehensive risk mitigation process that provided oversight of each portfolio manager, ensuring that each Fund’s portfolio was constructed in accordance with the respective Fund’s investment mandate, which was expected to continue. The Trustees observed that the adviser conducted a comprehensive supervision of its sub-advisers with a process that monitored performance characteristics and compliance with each Fund’s investment limitations. The Trustees found that the adviser continued to be fully engaged with its sub-advisers and fully abreast of the strategies employed by each sub-adviser. The Trustees expressed satisfaction with the adviser’s expected resources after the Transaction. The Trustees concluded that the adviser should continue to provide a high level of quality service to the Altegris Funds to the benefit of each Fund’s shareholders.
Performance.
Altegris Futures Evolution. The Trustees discussed the Fund’s investment objective and investment strategy. The Trustees noted that the Fund outperformed its peer group, Morningstar category, and benchmark average over the since inception period. They further noted that the Fund underperformed all three comparable metrics for the one-year, three-year, and five-year periods, with the recent 12-month period being the most challenging. The Trustees discussed the adviser’s rationale for the Fund’s relative underperformance being caused in-part by the unprecedented market volatility of 2020, which resulted from the Coronavirus pandemic,
Altegris Future Evolution Strategy Fund |
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
December 31, 2020 |
and coincided with substantial redemptions. The Trustees agreed the Fund had previously produced reasonable returns for shareholders, but that future performance of the Fund would continue to be monitored. The Trustees agreed that the adviser would be required to attend a future meeting of the Board prior to the next renewal date and provide a performance update.
Altegris Opportunistic. The Trustees considered the Fund’s investment objective and principal investment strategy. The Trustees recognized the Fund’s strong performance in all time periods reported, with a five-star Morningstar rating. They noted that the Fund outperformed its peer group, Morningstar category, and benchmark average over the one-year, three-year, five-year and since inception periods. The Trustees noted that the Fund’s outperformance of comparable funds had been impressive and indicated that Altegris should continue to provide positive performance to the Fund for the benefit of shareholders.
Fees and Expenses.
Altegris Futures Evolution. The Trustees reviewed the Fund’s advisory fee of 1.50% (with breakpoints at various levels) and considered the fee relative to the fees charged by funds in the Broadridge selected peer group and Morningstar category. They acknowledged that Altegris’ maximum advisory fee was higher than the Fund’s Morningstar category median and average and slightly higher than its peer group median and average of 1.45%. They discussed that the advisory fee was within the range of both comparable metrics. They discussed the Fund’s net expense ratio, noting that it was slightly higher than its peer group median and average and higher than its Morningstar category median and average. They again noted that it was well within the range of both comparable metrics. After further discussion, the Trustees concluded that the Fund’s advisory fee was not unreasonable.
Altegris Opportunistic. The Trustees noted the adviser would charge the Fund an advisory fee of 1.30%. The Trustees reviewed comparable fees of funds and observed that the Fund’s advisory fee was higher than the Fund’s Morningstar category median and average as well as higher than the Broadridge selected peer group median and average. They noted that the fee was the highest among the peer group and the Morningstar. They acknowledged the Fund’s net expense ratio was higher than the Morningstar category and peer group median and average respectively. The Trustees noted the adviser’s observation that the Fund was different than most funds in its peer group and Morningstar category because it employed a shorting strategy, which allowed investors to potentially benefit from both short-term and long-term gains. The Trustees concluded that the Fund’s advisory fee was not unreasonable.
Economies of Scale.
Altegris Futures Evolution. The Trustees considered whether economies of scale would be realized by the adviser in connection with Altegris’ advisory services. They noted that the advisory fee for the Fund included breakpoints that result in lower fees beginning at $1 billion in Fund assets. They considered the impact of the sub-advisory fee on the ability of Altegris to realize economies of scale, and that the sub- advisory fee also included non-standard breakpoints. The Trustees discussed the impact of the sub-adviser fee paid by Altegris and its breakpoints, noting the variation between the breakpoint schedules. The Trustees concluded that the breakpoints remained appropriate.
Altegris Opportunistic. The Trustees considered the adviser’s statement that at current asset levels, the adviser does not believe the Fund will benefit from economies of scale, but that the adviser indicated it would be willing to discuss breakpoints in the advisory fee if the Fund’s assets reached higher asset levels. They
Altegris Future Evolution Strategy Fund |
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
December 31, 2020 |
noted that the adviser was providing some limits on expenses incurred by shareholders through the expense limitation agreement. They considered the impact of the sub-advisory fee on the ability of Altegris to realize economies of scale, and that the sub- advisory fee did not include breakpoints. The Trustees concluded that at this time the absence of breakpoints was reasonable and agreed to consider implementing breakpoints as the Fund’s assets increased.
Profitability.
The Trustees reviewed the projected (pro-forma) profitability analysis provided by Altegris with respect to each Altegris Fund and noted that the adviser estimated that it would realize a profit with respect to each Fund over the initial two-year period of the new Advisory Agreement. They discussed the impact of the fee waiver on the Adviser’s profits related to Futures Evolution. They also discussed the advisory fees relative to the sub-advisory fees of each Fund, the allocation of responsibilities among the Adviser and the sub-adviser to each Fund, and the reasonableness of the fees and profits based in those allocations. They noted that adviser’s stated profits appeared reasonable in terms of actual dollars and as a percentage of revenue. They considered the adviser’s assertion that it would devote significant resources and personnel to manage the Funds and supervise the sub-advisers, and concluded that, with respect to each Fund, excessive profitability was not a concern at this time.
Conclusion.
Having requested and received such information from Altegris as the Trustees believed to be reasonably necessary to evaluate the terms of the Advisory Agreement, and as assisted by the advice of Counsel, the Trustees concluded that the advisory fee structure is reasonable and that approval of the Advisory Agreement in the best interests of shareholders of the Funds. The Trustees further concluded that Advisory Agreement and related transaction meet the requirements of Section 15 of the 1940 Act such that there will be no unfair burden on the Funds or shareholders, and that the Board will remain at least 75% independent.
| * | Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund |
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 are no longer our 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 |
PRIVACY NOTICE
Northern Lights Fund Trust
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. |
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 Fund uses 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 Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Form N- PORT is available on the SEC’s website at http://www.sec.gov. The information on Form N-PORT 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 | 4221 North 203rd Street, Suite 100 |
La Jolla, CA 92037 | Elkhorn, Nebraska 68022 |
| |
INVESTMENT SUB-ADVISOR | |
| |
Doubleline Capital LP | |
333 South Grand Ave. Suite 1800 | |
Los Angeles, CA 90071 | |
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ABOUT ALTEGRIS
Altegris is a pioneer in providing access to alternative sources of income and growth.
With one of the leading research and investment teams focused solely on alternatives, Altegris follows a disciplined process for identifying, evaluating, selecting and monitoring investment talent across a spectrum of alternative strategies.
For additional information, visit altegris.com
AltegrisFE-SA20
877.524.9441 | WWW.ALTEGRIS.COM
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 3/8/2021
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 3/8/2021
By (Signature and Title)
/s/ Jim Colantino
Jim Colantino, Treasurer/Principal Financial Officer
Date 3/8/2021