Mutual Fund Series Trust N-CSRS Certified semi-annual shareholder report (management investment company)

\]’/united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-21872

Mutual Fund Series Trust

(Exact name of Registrant as specified in charter)

4221 North 203^rd Street, Suite 100, Elkhorn, NE 68022

(Address of principal executive offices) (Zip code)

Ultimus Fund Solutions ___

80 Arkay Drive, Suite 110, Hauppauge, NY 11788

(Name and address of agent for service)

Registrant's telephone number, including area code: 402-895-1600

Date of fiscal year end: 6/30

Date of reporting period: 12/31/23

ITEM 1. REPORTS TO SHAREHOLDERS.

SEMI-ANNUAL REPORT

Catalyst/Millburn Dynamic Commodity Strategy Fund

(DCXAX, DCXCX, DCXIX)

Catalyst/Warrington Strategic Program Fund

(CWXAX, CWXCX, CWXIX)

Catalyst Systematic Alpha Fund

(ATRAX, ATRCX, ATRFX)

Catalyst/Aspect Enhanced Multi-Asset Fund

(CASAX, CASCX, CASIX)

Catalyst Nasdaq-100 Hedged Equity Fund

(CLPAX, CLPCX, CLPFX)

Catalyst/Millburn Hedge Strategy Fund

(MBXAX, MBXCX, MBXIX)

Catalyst Buffered Shield Fund

(SHIEX, SHINX, SHIIX)

December 31, 2023

Mutual Fund Series Trust

CATALYST FUNDS 

SEMI-ANNUAL REPORT 

TABLE OF CONTENTS

Portfolio Review	Page 1
Schedules of Investments	Page 8
Statements of Assets and Liabilities	Page 42
Statements of Operations	Page 44
Statements of Changes in Net Assets	Page 46
Financial Highlights	Page 50
Notes to Financial Statements	Page 64
Supplemental Information	Page 84
Expense Example	Page 87
Privacy Notice	Page 88

Catalyst/Millburn Dynamic Commodity Strategy Fund 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for the periods ended December 31, 2023, compared to its benchmarks:

				Annualized
			Annualized 5 Year	Since
	6 Month Return	1 Year Return	Return	Inception**
Class A	(1.08)%	(7.37)%	0.29%	1.72%
Class A with load	(6.80)%	(12.65)%	(0.89)%	1.00%
Class C	(1.47)%	(8.12)%	(0.47)%	0.97%
Class I	(0.96)%	(7.21)%	0.52%	1.97%
S&P 500 Total Return Index (a)	8.04%	26.29%	15.69%	13.74%
Bloomberg Commodity Total Return Index(b)	(0.14)%	(7.91)%	7.23%	3.04%

* The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods less than 1 year are not annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 3.48% for Class A, 4.23% for Class C and 3.23% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228.

Performance information for the period prior to June 2021 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.

(a) The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index.

(b) The Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index (“BCOM”). This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) U.S. Treasury Bills. Investors cannot invest directly in an index.

** Inception date is September 30, 2015.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

Holdings by Industry/Security Type ^	% of Net Assets
U.S. Government & Agencies		19.7	%
Electric Utilities		6.5	%
Institutional Financial Services		5.9	%
Electrical Equipment		4.7	%
Chemicals		4.2	%
Metals & Mining		3.9	%
Specialty REIT		3.6	%
Renewable Energy		3.1	%
Machinery		2.7	%
Food		2.5	%
Other/Cash & Equivalents		43.2	%
		100.0	%

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.

1

Catalyst/Warrington Strategic Program Fund 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmark:

			Annualized	Annualized	Annualized	Annualized
	6 Month Return	1 Year Return (b)	5 Year Return	10 Year Return	Since Inception**	Since Inception***
Class A	2.40%	4.04%	3.20%	0.85%	8.21%	N/A
Class A with load	(3.46)%	(1.90)%	1.99%	0.26%	7.86%	N/A
Class C	2.04%	3.41%	2.46%	0.10%	N/A	(0.34)%
Class I	2.50%	4.34%	3.49%	1.11%	N/A	0.64%
S&P 500 Total Return Index (a)	8.04%	26.29%	15.69%	12.03%	9.77%	13.04%

* The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. As disclosed in the Fund’s Prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.35% for Class A, 3.10% for Class C and 2.10% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228.

Performance information for the period prior to April 5, 2020 does not reflect the Fund’s current strategy.

(a) The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index.

(b) Fund performance was materially impacted by a nonrecurring litigation settlement of $1.96 million booked to the Fund on June 19, 2023. The impact was $0.1482/share, or 1.65% of the Fund’s NAV.

** Inception date is December 15, 2005 for Class A and the benchmark.

*** Inception date is August 30, 2013 for Class C, Class I and benchmark.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

Holdings by Industry/Security Type ^	% of Net Assets
U.S. Treasury Bills		55.6	%
Other/Cash & Equivalents		44.4	%
		100.0	%

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.

2

Catalyst Systematic Alpha Fund 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmark:

			Annualized	Annualized
	6 Month Return	1 Year Return	5 Year Return	Since Inception**
Class A	(0.54)%	24.29%	17.16%	6.13%
Class A with load	(6.24)%	17.13%	15.77%	5.46%
Class C	(0.90)%	23.41%	16.27%	5.30%
Class I	(0.42)%	24.60%	17.42%	6.33%
S&P 500 Total Return Index(a)	8.04%	26.29%	15.69%	12.16%
BNP Paribas Catalyst Systematic Alpha Index II (b)	(1.17)%	19.27%	17.23%	14.53%

* The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods less than 1 year are not annualized. As disclosed in the Fund’s Prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.87% for Class A, 3.62% for Class C and 2.62% for Class I shares. Please review the Fund’s most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228.

Performance information for the period prior to November 2017 does not reflect the Fund’s current strategy and prior to November 2022, represents performance for prior Sub-Advisor.

(a) The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index.

(b) BNP Paribas Catalyst Systematic Alpha Index II™ (BNP CASA Index II) is a rules-based Index that seeks absolute returns through risk-balances exposure to carry, momentum and volatility risk premia across the equity, commodity, forex and fixed-income markets. The BNPP CASA Index II is composed of six rules-based Index Components created by BNP Paribas (each, a “BNPP Index Component”). Carry Risk Premium captures the tendency for higher yielding assets to outperform lower yielding assets over time. Volatility Risk Premium captures the behavioral tendency of markets to over exaggerate the probability of near-term market corrections. Momentum Risk Premium captures the tendency for assets that have performed well in recent past to continue to perform well, and assets that have performed poorly in the recent past to continue to perform poorly. Investors cannot invest directly in an Index.

** Inception date is July 31, 2014.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

Holdings by Industry/Security Type ^	% of Net Assets
U.S. Treasury Bills		22.7	%
Software		8.3	%
Technology Services		7.6	%
Internet Media & Services		6.4	%
Biotech & Pharma		6.2	%
Retail - Discretionary		5.3	%
Aerospace & Defense		4.2	%
Beverages		4.2	%
Leisure Facilities & Services		4.2	%
Medical Equipment & Devices		4.1	%
Other/Cash & Equivalents		26.8	%
		100.0	%

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.

3

Catalyst/Aspect Enhanced Multi-Asset Fund

PORTFOLIO REVIEW (Unaudited)

December 31, 2023

The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmark:

	Annualized
	Since Inception*
Class A	0.00%
Class A with load	(5.75)%
Class C	0.00%
Class I	0.00%
Credit Suisse Managed Futures Hedge Fund Index (a)	0.00%
BofA Merrill Lynch 3 Month U.S. Treasury Bill Index (b)	0.05%
S&P 500 Total Return Index(c)	(0.28)%

* The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance for periods greater than 1 year are annualized. As disclosed in the Fund’s Prospectus dated December 8, 2023, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.69% for Class A, 3.44% for Class C and 2.44% for Class I shares. Please review the Fund’s most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228.

(a) Credit Suisse Managed Futures Hedge Fund Index is designed to broadly represent the performance of Managed Futures hedge funds in the Credit Suisse database representing at least 85% of total Managed Futures hedge fund assets under management. Investors cannot invest directly in an index.

(b) BofA Merrill Lynch 3-Month U.S. Treasury Bill Index “BofAML 3-Month T-Bill”, is an index of short-term U.S. Government securities maturing in 90 days. Investors cannot invest directly in an index.

(c) The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index.

* Inception date is December 28, 2023 for Class A, Class C, Class I and the benchmarks.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

Holdings by Industry/Security Type ^	% of Net Assets
Other/Cash & Equivalents		100.0	%
		100.0	%

Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets. 

4

Catalyst Nasdaq-100 Hedged Equity Fund 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for the periods ended December 31, 2023, compared to its benchmarks:

			Annualized	Annualized	Annualized
	6 Month Return	1 Year Return	5 Year Return	Since Inception**	Since Inception***
Class A	6.54%	35.92%	6.06%	4.42%	N/A
Class A with load	0.43%	28.06%	4.81%	3.81%	N/A
Class C	6.07%	34.70%	5.25%	3.60%	N/A
Class I	6.63%	36.16%	6.31%	N/A	4.15%
Nasdaq-100 Index(a)	11.32%	55.13%	22.66%	17.91%	18.03%
S&P 500 Total Return Index(b)	8.04%	26.29%	15.69%	12.03%	11.87%

* The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.61% for Class A, 3.36% for Class C and 2.36% for Class I shares. Please review the Fund’s most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228.

Performance information for the period prior to October 2020 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.

(a) The Nasdaq 100 Index (“NDX”) is a large-capitalization growth index comprised of the 100 largest domestic and international (including emerging markets) non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NDX is concentrated in the technology sector Investors cannot invest directly in an index.

(b) The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index.

** Inception date is December 31, 2013 for Class A, Class C.

*** Inception date is June 6, 2014 for Class I

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

Holdings by Industry/Security Type ^	% of Net Assets
Semiconductors		15.0	%
Exchange Traded Fund		14.2	%
Software		13.6	%
Internet Media & Services		9.7	%
Technology Hardware		9.3	%
E-Commerce Discretionary		5.3	%
Biotech & Pharma		3.2	%
Automotive		2.2	%
Retail - Consumer Staples		2.0	%
Beverages		2.0	%
Other/Cash & Equivalents		23.5	%
		100.0	%

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.

5

Catalyst/Millburn Hedge Strategy Fund 

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for each of the periods ended December 31, 2023, compared to its benchmark:

			Annualized	Annualized	Annualized	Annualized	Annualized
	6 Month Return	1 Year Return	5 Year Return	10 Year Return	Since Inception**	Since Inception***	Since Inception****
Class A	1.03%	(0.91)%	6.96%	N/A	N/A	7.73%	N/A
Class A with load	(4.79)%	(6.62)%	5.70%	N/A	N/A	6.93%	N/A
Class C	0.65%	(1.66)%	6.16%	N/A	N/A	6.92%	N/A
Class C-1	0.63%	(1.65)%	N/A	N/A	N/A	NA	10.94%
Class I (a)	1.15%	(0.67)%	7.22%	8.75%	10.17%	N/A	N/A
BofA Merrill Lynch 3 Month U.S. Treasury Bill Index (b)	2.71%	5.04%	1.89%	1.26%	2.15%	1.56%	2.06%
Credit Suisse Managed Futures Hedge Fund Index (c)	(0.70)%	(2.78)%	6.82%	3.89%	4.63%	2.82%	9.39%
S&P 500 Total Return Index (d)	8.04%	26.29%	15.69%	12.03%	9.14%	13.14%	14.44%

* The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods less than 1 year are not annualized. As disclosed in the Fund’s Prospectus dated November 1, 2023, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.24% for Class A, 2.99% for Class C, 2.99% for Class C-1 and 1.99% for Class I shares. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228.

(a) The Fund acquired all of the assets and liabilities of Millburn Hedge Fund, L.P. (the “Predecessor Fund”) in a tax-free reorganization on December 28, 2015. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Class I shares of the Fund, so the Predecessor Fund became the I shares of the Fund. The Fund’s investment objective, policies and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies and guidelines. The Predecessor Fund commenced operations on January 1, 1997. Updated performance information will be available at no cost by calling 1-866-447-4228 or visiting the Fund’s website at www.CatalystMF.com.

(b) BofA Merrill Lynch 3-Month U.S. Treasury Bill Index “BofAML 3-Month T-Bill”, is an index of short-term U.S. Government securities maturing in 90 days. Investors cannot invest directly in an index.

(c) Credit Suisse Managed Futures Hedge Fund Index is designed to broadly represent the performance of Managed Futures hedge funds in the Credit Suisse database representing at least 85% of total Managed Futures hedge fund assets under management. Investors cannot invest directly in an index.

(d) The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index.

** Inception date is January 1, 1997 for Class I shares and Benchmarks.

*** Inception date is December 28, 2015 for Class A shares, Class C shares and Benchmarks.

**** Inception date is October 30, 2020 for Class C-1 shares and Benchmarks.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

Holdings by Industry/Security Type ^	% of Net Assets
Equity		51.5	%
U.S. Government & Agencies		34.0	%
Other/Cash & Equivalents		14.5	%
		100.0	%

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets. 

6

Catalyst Buffered Shield Fund

PORTFOLIO REVIEW (Unaudited) 

December 31, 2023

The Fund’s performance figures* for the periods ended December 31, 2023, compared to its benchmarks:

				Annualized	Annualized
				Since	Since
	6 Month Return	1 Year Return	5 Year Return	Inception**	Inception***
Class A (a)	6.07%	13.72%	6.30%	4.76%	N/A
Class A with Load	(0.09)%	7.17%	5.05%	4.05%	N/A
Class C (a)	5.72%	12.91%	5.50%	N/A	4.21%
Class I	6.29%	14.02%	6.57%	5.03%	N/A
S&P 500 Total Return Index (b)	8.04%	26.29%	15.69%	11.96%	13.03%

* The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022 the Fund’s total gross annual operating expenses. including the cost of underlying funds, are 1.89% for Class A, 2.64% for Class C and 1.64% for Class I shares. Please review the Fund’s most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228.

** Inception date is April 14, 2015 for Class A, Class I. Total returns for Class A and Class I shares are based on the performance of the Fund’s Predecessor Fund.

*** Inception date is September 5, 2017 for Class C.

(a) Buffered Shield merged with the Exceed Defined Shield Index Fund, (the “Predecessor Fund”) effective as of the close of business on September 1, 2017. The Predecessor Fund was organized originally as an investment company on April 14, 2015. Buffered Shield acquired all of the assets and liabilities of the Predecessor Fund, a series of Forum Funds in a tax-free exchange. In connection with the acquisition, Investor Shares and Institutional Shares of the Predecessor Fund were exchanged for Class A shares and Class I shares of the Buffered Shield Fund, respectively.

(b) The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index.

The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.

Holdings by Industry/Security Type ^	% of Net Assets
Fixed Income		89.5	%
Other/Cash & Equivalents		10.5	%
		100.0	%

^ Does not include derivatives in which the Fund invests.

Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.

7

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 52.9%
		AEROSPACE & DEFENSE - 0.2%
	236	Hexcel Corporation	$	17,405
		AUTOMOTIVE - 1.0%
	7,901	Sumitomo Electric Industries Ltd.		100,622
		BEVERAGES - 0.1%
	1,680	Treasury Wine Estates Ltd.		12,344
		BIOTECH & PHARMA - 0.4%
	392	Bayer A.G.		14,554
	830	Elanco Animal Health, Inc.(a)		12,367
	96	Zoetis, Inc.		18,947
				45,868
		CHEMICALS - 4.2%
	274	Air Products and Chemicals, Inc.		75,021
	131	Balchem Corporation		19,486
	199	CF Industries Holdings, Inc.		15,821
	317	Corteva, Inc.		15,191
	205	Ecolab, Inc.		40,662
	201	FMC Corporation		12,673
	7,630	Ganfeng Lithium Group Company Ltd.		28,825
	6,487	Incitec Pivot Ltd.		12,557
	812	K+S A.G.		12,828
	237	Linde PLC		97,339
	271	Mosaic Company (The)		9,683
	206	Nutrien Ltd.		11,606
	5,759	Tianqi Lithium Corporation		31,824
	4,496	Toray Industries, Inc.		23,379
	1,750	Tronox Holdings PLC, Class A		24,780
	346	Yara International ASA		12,301
				443,976
		COMMERCIAL SUPPORT SERVICES - 2.2%
	495	ABM Industries, Inc.		22,191
	289	Casella Waste Systems, Inc.(a)		24,698

The accompanying notes are an integral part of these consolidated financial statements.

8

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 52.9% (Continued)
		COMMERCIAL SUPPORT SERVICES - 2.2% (Continued)
	143	Clean Harbors, Inc.(a)	$	24,955
	690	GFL Environmental, Inc.		23,804
	2,217	PureCycle Technologies, Inc.(a)		8,979
	213	Republic Services, Inc.		35,126
	1,280	Schnitzer Steel Industries, Inc.		38,605
	418	Stericycle, Inc.(a)		20,716
	202	Waste Management, Inc.		36,178
				235,252
		CONSTRUCTION MATERIALS - 0.3%
	91	Advanced Drainage Systems, Inc.		12,798
	108	Owens Corning		16,009
				28,807
		CONTAINERS & PACKAGING - 1.3%
	1,502	Billerud A.B.		15,252
	590	International Paper Company		21,329
	1,050	Mondi PLC		20,580
	48,126	Nine Dragons Paper Holdings Ltd.(a)		23,729
	9,542	Oji Holdings Corporation		36,750
	462	Westrock Company		19,182
				136,822
		DIVERSIFIED INDUSTRIALS - 0.3%
	147	General Electric Company		18,761
	211	Pentair PLC		15,342
				34,103
		ELEC & GAS MARKETING & TRADING - 0.1%
	178	Orsted A/S		9,868
		ELECTRIC UTILITIES - 6.5%
	332	Alliant Energy Corporation		17,032
	2,313	Altus Power, Inc.(a)		15,798
	142	BKW A.G.		25,240
	492	Boralex, Inc.		12,506
	70,304	China Datang Corp Renewable Power Company Ltd.		16,206
	18,950	China Longyuan Power Group Corp Ltd., H Shares		14,367

The accompanying notes are an integral part of these consolidated financial statements.

9

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 52.9% (Continued)
		ELECTRIC UTILITIES - 6.5% (Continued)
	693	Dominion Energy, Inc.	$	32,571
	198	Duke Energy Corporation		19,214
	2,779	EDP - Energias de Portugal S.A.		13,975
	604	EDP Renovaveis S.A.		12,353
	2,533	Endesa S.A.		51,622
	1,993	Enel SpA		14,808
	797	Engie S.A.		14,006
	369	Entergy Corporation		37,339
	413	ERG SpA		13,159
	2,022	Fortum OYJ		29,154
	1,184	Iberdrola S.A.		15,516
	1,453	Innergex Renewable Energy, Inc.		10,078
	6,256	Kyushu Electric Power Company, Inc.(a)		45,305
	1,008	Neoen S.A.		33,696
	213	NextEra Energy, Inc.		12,938
	687	Northland Power, Inc.		12,480
	2,072	PG&E Corporation		37,358
	1,430	PNM Resources, Inc.		59,487
	629	Public Service Enterprise Group, Inc.		38,463
	2,105	RENOVA, Inc.(a)		17,753
	313	RWE A.G.		14,230
	877	Solaria Energia y Medio Ambiente S.A.(a)		18,018
	580	SSE PLC		13,723
	795	West Holdings Corporation		17,396
				685,791
		ELECTRICAL EQUIPMENT - 4.7%
	194	A O Smith Corporation		15,993
	110	Badger Meter, Inc.		16,981
	2,010	Bloom Energy Corporation, Class A(a)		29,748
	557	BWX Technologies, Inc.		42,739
	6,195	Furukawa Electric Company Ltd.		97,417
	182	Itron, Inc.(a)		13,743
	838	Nexans S.A.		73,318
	1,086	NKT A/S(a)		74,600

The accompanying notes are an integral part of these consolidated financial statements.

10

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 52.9% (Continued)
		ELECTRICAL EQUIPMENT - 4.7% (Continued)
	2,516	Prysmian SpA	$	114,355
	684	Siemens Energy A.G.(a)		9,062
	73	Watts Water Technologies, Inc., Class A		15,209
				503,165
		ENGINEERING & CONSTRUCTION - 1.0%
	85	Acciona S.A.		12,509
	219	Arcosa, Inc.		18,098
	351	Montrose Environmental Group, Inc.(a)		11,278
	334	Stantec, Inc.		26,816
	213	Tetra Tech, Inc.		35,556
				104,257
		FOOD - 2.5%
	260	Bakkafrost P/F		13,615
	913	Beyond Meat, Inc.(a)		8,126
	6,800	China Mengniu Dairy Company Ltd.		18,288
	659	Darling Ingredients, Inc.(a)		32,845
	3,213	Leroy Seafood Group ASA		13,232
	1,689	Maruha Nichiro Corporation		33,256
	782	Mowi ASA		14,009
	1,217	NH Foods Ltd.		41,262
	5,781	Nissui Corporation		31,126
	744	Pilgrim’s Pride Corporation(a)		20,579
	243	Salmar ASA		13,614
	399	Tyson Foods, Inc., Class A		21,446
				261,398
		FORESTRY, PAPER & WOOD PRODUCTS - 2.4%
	1,163	Canfor Corporation(a)		15,668
	3,622	Daio Paper Corporation		28,850
	459	Holmen A.B.		19,377
	1,702	Mercer International, Inc.		16,135
	6,768	Navigator Company S.A. (The)		26,510
	3,109	Nippon Paper Industries Company Ltd.(a)		27,873
	388	Stella-Jones, Inc.		22,584
	1,312	Stora Enso OYJ, R Shares		18,142

The accompanying notes are an integral part of these consolidated financial statements.

11

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 52.9% (Continued)
		FORESTRY, PAPER & WOOD PRODUCTS - 2.4% (Continued)
	1,199	Svenska Cellulosa A.B. SCA	$	17,966
	362	Sylvamo Corporation		17,778
	643	UPM-Kymmene OYJ		24,178
	250	West Fraser Timber Company Ltd.		21,389
				256,450
		GAS & WATER UTILITIES - 1.1%
	241	American States Water Company		19,382
	105	American Water Works Company, Inc.		13,859
	1,588	Aris Water Solution, Inc., Class A		13,323
	353	California Water Service Group		18,310
	466	Essential Utilities, Inc.		17,405
	241	Middlesex Water Company		15,814
	289	SJW Group		18,886
				116,979
		INDUSTRIAL INTERMEDIATE PROD - 0.7%
	406	Gibraltar Industries, Inc.(a)		32,066
	339	Mueller Industries, Inc.		15,984
	582	SKF A.B., B Shares		11,618
	59	Valmont Industries, Inc.		13,777
				73,445
		INSTITUTIONAL FINANCIAL SERVICES - 5.9%
	1,005	Cboe Global Markets, Inc.		179,452
	708	CME Group, Inc.		149,105
	3,429	Hong Kong Exchanges & Clearing Ltd.		117,688
	1,332	Intercontinental Exchange, Inc.		171,069
				617,314
		MACHINERY - 2.7%
	103	AGCO Corporation		12,505
	36	Bucher Industries A.G.		15,118
	854	CECO Environmental Corporation(a)		17,319
	38	Deere & Company		15,195
	442	Donaldson Company, Inc.		28,885
	1,310	Energy Recovery, Inc.(a)		24,680
	175	Franklin Electric Company, Inc.		16,914

The accompanying notes are an integral part of these consolidated financial statements.

12

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 52.9% (Continued)
		MACHINERY - 2.7% (Continued)
	86	IDEX Corporation	$	18,671
	1,097	Kubota Corporation		16,515
	113	Lindsay Corporation		14,595
	1,081	Mueller Water Products, Inc.		15,566
	255	Tennant Company		23,636
	344	Toro Company (The)		33,021
	132	Xylem, Inc.		15,096
	436	Zurn Elkay Water Solutions Corporation		12,823
				280,539
		MEDICAL EQUIPMENT & DEVICES - 0.8%
	77	Danaher Corporation		17,813
	668	Neogen Corporation(a)		13,433
	124	STERIS PLC		27,262
	57	Waters Corporation(a)		18,767
				77,275
		METALS & MINING - 3.9%
	6,904	Boss Energy Ltd.(a)		18,963
	552	Cameco Corporation		23,801
	924	Cleveland-Cliffs, Inc.(a)		18,868
	2,586	Energy Fuels, Inc.(a)		18,542
	256	Eramet S.A.		20,208
	5,023	Iluka Resources Ltd.		22,595
	17,814	Liontown Resources Ltd.(a)		20,033
	2,771	Lithium Americas Corporation(a)		17,777
	1,483	Livent Corporation(a)		26,664
	5,354	Lynas Rare Earths Ltd.(a)		26,128
	1,159	MP Materials Corporation(a)		23,006
	3,352	NexGen Energy Ltd.(a)		23,452
	619	Piedmont Lithium, Inc.(a)		17,474
	8,437	Pilbara Minerals Ltd.		22,714
	2,828	SunCoke Energy, Inc.		30,373
	3,171	Uranium Energy Corporation(a)		20,294
	405	Warrior Met Coal, Inc.		24,693

The accompanying notes are an integral part of these consolidated financial statements.

13

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 52.9% (Continued)
		METALS & MINING - 3.9% (Continued)
	4,261	Yellow Cake PLC(a)	$	33,598
				409,183
		OIL & GAS PRODUCERS - 0.1%
	3,022	Vertex Energy, Inc.(a)		10,245
		RENEWABLE ENERGY - 3.1%
	572	Array Technologies, Inc.(a)		9,610
	901	Atlantica Sustainable Infrastructure PLC		19,372
	502	Canadian Solar, Inc.(a)		13,167
	1,094	Encavis A.G.(a)		18,829
	90	Enphase Energy, Inc.(a)		11,893
	83	First Solar, Inc.(a)		14,299
	21,099	FuelCell Energy, Inc.(a)		33,757
	1,641	Maxeon Solar Technologies Ltd.(a)		11,766
	39,368	Meyer Burger Technology A.G.(a)		9,151
	43,016	NEL ASA(a)		29,172
	895	Nordex S.E.(a)		10,276
	6,028	Plug Power, Inc.(a)		27,126
	632	Shoals Technologies Group, Inc., Class A(a)		9,821
	196	SMA Solar Technology A.G.(a)		13,102
	111	SolarEdge Technologies, Inc.(a)		10,390
	681	Sunnova Energy International, Inc.(a)		10,385
	1,811	SunPower Corporation(a)		8,747
	566	Sunrun, Inc.(a)		11,111
	385	Vestas Wind Systems A/S(a)		12,220
	13,109	Xinjiang Goldwind Science & Technology Company Ltd.		5,893
	13,520	Xinte Energy Company Ltd., H Shares(a)		18,942
	24,013	Xinyi Solar Holdings Ltd.		14,023
				323,052
		SOFTWARE - 0.3%
	44	Roper Technologies, Inc.		23,987
		SPECIALTY REIT - 3.6%
	14,702	Farmland Partners, Inc.		183,480

The accompanying notes are an integral part of these consolidated financial statements.

14

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 52.9% (Continued)
		SPECIALTY REIT - 3.6% (Continued)
	11,674	Gladstone Land Corporation	$	168,689
	375	Hannon Armstrong Sustainable Infrastructure Capital, Inc.		10,343
				362,512
		STEEL - 2.4%
	560	ATI, Inc.(a)		25,463
	295	Carpenter Technology Corporation		20,886
	515	Commercial Metals Company		25,771
	131	Nucor Corporation		22,799
	119	Reliance Steel & Aluminum Company		33,282
	603	Ryerson Holding Corporation		20,912
	186	Steel Dynamics, Inc.		21,967
	1,029	TimkenSteel Corporation(a)		24,130
	502	United States Steel Corporation		24,422
	576	Worthington Enterprises, Inc.		33,149
				252,781
		TECHNOLOGY HARDWARE - 0.1%
	8,415	Flat Glass Group Company Ltd.		14,204
		TIMBER REIT - 0.6%
	518	PotlatchDeltic Corporation		25,434
	671	Rayonier, Inc.		22,418
	753	Weyerhaeuser Company		26,182
				74,034
		WHOLESALE - CONSUMER STAPLES - 0.4%
	261	Archer-Daniels-Midland Company		18,849
	202	Bunge Global S.A.		20,392
				39,241
		TOTAL COMMON STOCKS (Cost $5,399,862)		5,550,919

Principal			Coupon Rate
Amount ($)			(%)	Maturity
		U.S. GOVERNMENT & AGENCIES — 19.7%
		U.S. TREASURY NOTES — 19.7%
	525,000	United States Treasury Note	2.7500	02/15/24	523,348

The accompanying notes are an integral part of these consolidated financial statements. 

15

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Principal			Coupon Rate
Amount ($)			(%)	Maturity	Fair Value
		U.S. GOVERNMENT & AGENCIES — 19.7% (Continued)
		U.S. TREASURY NOTES — 19.7% (Continued)
	387,000	United States Treasury Note	2.5000	05/15/24	$	383,228
	400,000	United States Treasury Note	2.3750	08/15/24		393,481
	787,000	United States Treasury Note	2.2500	11/15/24		769,417
		TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,067,863)				2,069,474

Shares
		SHORT-TERM INVESTMENTS — 22.4%
		MONEY MARKET FUNDS - 22.4%
	2,346,791	First American Treasury Obligations Fund, Class X, 5.28%(b)		2,346,791
		TOTAL SHORT-TERM INVESTMENTS (Cost $2,346,791)
		TOTAL INVESTMENTS - 95.0% (Cost $9,814,516)	$	9,967,184
		OTHER ASSETS IN EXCESS OF LIABILITIES - 5.0%		526,548
		NET ASSETS - 100.0%	$	10,493,732

OPEN FUTURES CONTRACTS
Number of Contracts		Open Long Futures Contracts	Expiration	Notional Amount(c)		Value and Unrealized Appreciation (Depreciation)
	4	CBOT Soybean Meal Future(d)	03/14/2024	$	154,400	$	(3,960	)
	1	CME Lean Hogs Future(d)	02/14/2024		27,190		(130	)
	2	COMEX Copper Future(d)	03/26/2024		194,525		3,687
	5	COMEX Gold 100 Troy Ounces Future(d)	02/27/2024		1,035,900		12,250
	2	COMEX Silver Future(d)	03/26/2024		240,860		(790	)
	12	ICE Brent Crude Oil Future(d)	01/31/2024		924,480		(19,510	)
	5	ICE Gas Oil Future(d)	02/12/2024		371,125		(5,250	)
	6	LME Zinc Future(d)	03/18/2024		399,525		17,967
	3	NYBOT CSC C Coffee Future(d)	03/18/2024		211,838		7,594
	3	NYBOT CSC Cocoa Future(d)	03/13/2024		125,880		4,930
	10	NYMEX Light Sweet Crude Oil Future(d)	01/22/2024		716,500		(6,500	)
	4	NYMEX NY Harbor ULSD Futures(d)	01/31/2024		424,855		(8,354	)
	5	NYMEX Platinum Future(d)	04/26/2024		252,300		5,895
	2	NYMEX Reformulated Gasoline Blendstock for Oxygen(d)	01/31/2024		176,929		(139	)
		TOTAL LONG FUTURES CONTRACTS				$	7,690

The accompanying notes are an integral part of these consolidated financial statements.

16

CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

OPEN FUTURES CONTRACTS (Continued)
Number of Contracts		Open Short Futures Contracts	Expiration	Notional Amount(c)		Value and Unrealized Appreciation (Depreciation)
	4	CBOT Corn Future(d)	03/14/2024	$	94,250	$	3,075
	6	CBOT Wheat Future(d)	03/14/2024		188,400		(2,887	)
	1	KCBT Hard Red Winter Wheat Future(d)	03/14/2024		32,100		(725	)
	2	LME Nickel Future(d)	03/18/2024		199,116		2,339
	3	LME Primary Aluminum Future(d)	03/18/2024		178,575		(3,784	)
	1	NYBOT CTN Number 2 Cotton Future(d)	03/06/2024		40,500		515
	20	NYMEX Henry Hub Natural Gas Futures(d)	03/26/2024		460,800		(21,020	)
		TOTAL SHORT FUTURES CONTRACTS				$	(22,487	)
		TOTAL FUTURES CONTRACTS				$	(14,797	)

A.B.	- Aktiebolag
A.G.	- Aktiengesellschaft
A/S	- Anonim Sirketi
Ltd.	- Limited Company
OYJ	- Julkinen osakeyhtiö
PLC	- Public Limited Company
REIT	- Real Estate Investment Trust
S.A.	- Société Anonyme
S.E.	- Societas Europeae

^(a) Non-income producing security.

^(b) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(c) The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

^(d) All or a portion of this investment is a holding of the CHCSF Fund Limited.

The accompanying notes are an integral part of these consolidated financial statements.

17

CATALYST/WARRINGTON STRATEGIC PROGRAM FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

			Discount Rate
Shares			(%)	Maturity	Fair Value
		SHORT-TERM INVESTMENTS — 86.5%
		MONEY MARKET FUNDS - 30.9%
	35,995,409	First American Treasury Obligations Fund, Class X, 5.28%(b)			$	35,995,409
Principal
Amount ($)
		U.S. TREASURY BILLS — 55.6%
	20,000,000	United States Treasury Bill(a)(d)	4.8463	01/25/24		19,932,690
	10,000,000	United States Treasury Bill(a)(d)	5.0084	02/15/24		9,936,004
	15,409,000	United States Treasury Bill(a)(d)	5.0738	03/28/24		15,217,890
	20,000,000	United States Treasury Bill(a)(d)	5.0794	04/11/24		19,712,167
						64,798,751
		TOTAL SHORT-TERM INVESTMENTS (Cost $100,785,114)				100,794,160

Contracts(c)			Broker/Counterparty	Expiration Date	Exercise Price		Notional Value		Fair Value
		FUTURE OPTIONS PURCHASED - 0.1%
		PUT OPTIONS PURCHASED - 0.1%
	1,050	S&P Emini Future, Maturing March 2024	ADM	01/02/2024	$	4,150	$	217,875,000	$	2,625
	200	S&P Emini Future, Maturing March 2024	FCS	01/02/2024		4,150		41,500,000		500
	744	S&P Emini Future, Maturing March 2024	ADM	01/02/2024		4,450		165,540,000		3,720
	200	S&P Emini Future, Maturing March 2024	FCS	01/02/2024		4,450		44,500,000		1,000
	372	S&P Emini Future, Maturing March 2024	ADM	01/02/2024		4,650		86,490,000		1,860
	100	S&P Emini Future, Maturing March 2024	FCS	01/02/2024		4,650		23,250,000		500
	1,300	S&P Emini Future, Maturing March 2024	ADM	01/03/2024		4,025		261,625,000		6,500
	200	S&P Emini Future, Maturing March 2024	FCS	01/03/2024		4,025		40,250,000		1,000
	372	S&P Emini Future, Maturing March 2024	ADM	01/03/2024		4,650		86,490,000		3,720
	100	S&P Emini Future, Maturing March 2024	FCS	01/03/2024		4,650		23,250,000		1,000
	372	S&P Emini Future, Maturing March 2024	ADM	01/04/2024		4,670		86,862,000		7,440
	100	S&P Emini Future, Maturing March 2024	FCS	01/04/2024		4,670		23,350,000		2,000
	744	S&P Emini Future, Maturing March 2024	ADM	01/05/2024		4,500		167,400,000		13,020
	200	S&P Emini Future, Maturing March 2024	FCS	01/05/2024		4,500		45,000,000		3,500
	372	S&P Emini Future, Maturing March 2024	ADM	01/05/2024		4,700		87,420,000		28,830
	100	S&P Emini Future, Maturing March 2024	FCS	01/05/2024		4,700		23,500,000		7,750
		TOTAL PUT OPTIONS PURCHASED (Cost - $330,195)								84,965
		TOTAL FUTURE OPTIONS PURCHASED (Cost - $330,195)								84,965

The accompanying notes are an integral part of these consolidated financial statements.

18

CATALYST/WARRINGTON STRATEGIC PROGRAM FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

	Fair Value
TOTAL INVESTMENTS - 86.6% (Cost $101,115,309)	$	100,879,125
PUT OPTIONS WRITTEN – (0.1)% (Proceeds - $309,160)		(77,880	)
OTHER ASSETS IN EXCESS OF LIABILITIES - 13.5%		15,757,308
NET ASSETS - 100.0%	$	116,558,553

Contracts(c)			Counterparty	Expiration Date	Exercise Price		Notional Value		Fair Value
		WRITTEN FUTURE OPTIONS - 0.1%
		PUT OPTIONS WRITTEN - 0.1%
	1,488	S&P Emini Future, Maturing March 2024	ADM	01/02/2024	$	4,200	$	312,480,000	$	3,720
	400	S&P Emini Future, Maturing March 2024	FCS	01/02/2024		4,200		84,000,000		1,000
	744	S&P Emini Future, Maturing March 2024	ADM	01/02/2024		4,550		169,260,000		3,720
	200	S&P Emini Future, Maturing March 2024	FCS	01/02/2024		4,550		45,500,000		1,000
	744	S&P Emini Future, Maturing March 2024	ADM	01/03/2024		4,525		168,330,000		7,440
	200	S&P Emini Future, Maturing March 2024	FCS	01/03/2024		4,525		45,250,000		2,000
	744	S&P Emini Future, Maturing March 2024	ADM	01/04/2024		4,525		168,330,000		9,300
	200	S&P Emini Future, Maturing March 2024	FCS	01/04/2024		4,525		45,250,000		2,500
	1,488	S&P Emini Future, Maturing March 2024	ADM	01/05/2024		4,250		316,200,000		18,600
	400	S&P Emini Future, Maturing March 2024	FCS	01/05/2024		4,250		85,000,000		5,000
	744	S&P Emini Future, Maturing March 2024	ADM	01/05/2024		4,600		171,120,000		18,600
	200	S&P Emini Future, Maturing March 2024	FCS	01/05/2024		4,600		46,000,000		5,000
		TOTAL PUT OPTIONS WRITTEN (Proceeds - $309,160)								77,880
		TOTAL FUTURE OPTIONS WRITTEN (Proceeds - $309,160)							$	77,880

ADM	ADM Investor Services, Inc.
FCS	StoneX Group, Inc.

^(a) Zero coupon bond.

^(b) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(c) Each contract is equivalent to one futures contract.

^(d) Held as collateral for options.

The accompanying notes are an integral part of these consolidated financial statements.

19

CATALYST SYSTEMATIC ALPHA FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Principal			Coupon Rate
Amount ($)			(%)	Maturity	Fair Value
		CONVERTIBLE BONDS — 0.2%
		ASSET MANAGEMENT — 0.1%
	225,000	New Mountain Finance Corporation	7.5000	10/15/25	$	229,613
		SPECIALTY FINANCE — 0.1%
	225,000	Arbor Realty Trust, Inc.	7.5000	08/01/25		229,275
	225,000	Two Harbors Investment Corporation	6.2500	01/15/26		208,125
						437,400
		TOTAL CONVERTIBLE BONDS (Cost $650,982)				667,013
		CORPORATE BONDS — 68.2%
		AEROSPACE & DEFENSE — 4.2%
	13,000,000	RTX Corporation	3.9500	08/16/25		12,818,248
		ASSET MANAGEMENT — 0.5%
	1,650,000	Ares Capital Corporation	4.2000	06/10/24		1,634,549
		BEVERAGES — 4.2%
	13,000,000	Constellation Brands, Inc.	5.0000	02/02/26		12,961,510
		BIOTECH & PHARMA — 6.2%
	13,000,000	AbbVie, Inc.	3.8000	03/15/25		12,835,477
	6,500,000	Gilead Sciences, Inc.	3.6500	03/01/26		6,363,623
						19,199,100
		CHEMICALS — 3.2%
	5,000,000	DuPont de Nemours, Inc.	4.4930	11/15/25		4,967,275
	5,000,000	Sherwin-Williams Company (The)	3.1250	06/01/24		4,948,071
						9,915,346
		E-COMMERCE DISCRETIONARY — 2.4%
	7,291,000	Amazon.com, Inc.	4.7000	11/29/24		7,282,008
		FOOD — 1.6%
	5,000,000	Kraft Heinz Foods Company	3.0000	06/01/26		4,807,871

The accompanying notes are an integral part of these consolidated financial statements.

20

CATALYST SYSTEMATIC ALPHA FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Principal			Coupon Rate
Amount ($)			(%)	Maturity	Fair Value
		CORPORATE BONDS — 68.2% (Continued)
		HEALTH CARE FACILITIES & SERVICES — 2.3%
	6,988,000	HCA, Inc.	5.0000	03/15/24	$	6,975,954
		INSTITUTIONAL FINANCIAL SERVICES — 0.3%
	800,000	Goldman Sachs Group, Inc. (The)	3.7500	05/22/25		784,294
		INTERNET MEDIA & SERVICES — 6.4%
	6,500,000	Netflix, Inc.	5.7500	03/01/24		6,496,815
	13,000,000	VeriSign, Inc.	5.2500	04/01/25		13,015,020
						19,511,835
		LEISURE FACILITIES & SERVICES — 4.2%
	13,000,000	McDonald’s Corporation Series MTN	3.7000	01/30/26		12,786,183
		MEDICAL EQUIPMENT & DEVICES — 4.1%
	13,000,000	Thermo Fisher Scientific, Inc.	1.2150	10/18/24		12,590,332
		RETAIL - DISCRETIONARY — 5.3%
	11,700,000	Lowe’s Companies, Inc.	4.4000	09/08/25		11,616,962
	1,300,000	Lowe’s Companies, Inc.	4.8000	04/01/26		1,301,847
	3,500,000	Ross Stores, Inc.	3.3750	09/15/24		3,449,423
						16,368,232
		SEMICONDUCTORS — 3.3%
	10,000,000	Intel Corporation	4.8750	02/10/26		10,080,154
		SOFTWARE — 8.3%
	13,000,000	Microsoft Corporation	2.7000	02/12/25		12,732,962
	13,000,000	Oracle Corporation	2.9500	05/15/25		12,628,174
						25,361,136
		TECHNOLOGY HARDWARE — 4.1%
	13,000,000	Apple, Inc.	2.5000	02/09/25		12,689,366
		TECHNOLOGY SERVICES — 7.6%
	13,000,000	Equifax, Inc.	2.6000	12/01/24		12,662,228
	11,000,000	International Business Machines Corporation	3.3000	05/15/26		10,677,912
						23,340,140

The accompanying notes are an integral part of these consolidated financial statements.

21

CATALYST SYSTEMATIC ALPHA FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares					Fair Value
		TOTAL CORPORATE BONDS (Cost $208,209,466)			$	209,106,258
		SHORT-TERM INVESTMENTS — 29.6%
		MONEY MARKET FUNDS - 6.9%
	21,264,676	First American Treasury Obligations Fund, Class X, 5.28%(a),(c)				21,264,676
Principal			Discount Rate
Amount ($)			(%)	Maturity
		U.S. TREASURY BILLS — 22.7%
	1,000,000	United States Treasury Bill(a),(b),(d)	5.0587	03/21/24		988,618
	2,000,000	United States Treasury Bill(a),(b),(d)	5.0921	04/18/24		1,969,165
	5,000,000	United States Treasury Bill(a),(b),(d)	5.0334	05/16/24		4,904,225
	5,000,000	United States Treasury Bill(a),(b),(d)	4.9850	06/13/24		4,885,761
	7,000,000	United States Treasury Bill(a),(b),(d)	4.6835	07/11/24		6,824,240
	9,000,000	United States Treasury Bill(a),(b),(d)	4.6824	08/08/24		8,741,299
	5,000,000	United States Treasury Bill(a),(b),(d)	4.6926	09/05/24		4,837,713
	13,000,000	United States Treasury Bill(a),(b),(d)	4.6698	10/03/24		12,532,892
	5,000,000	United States Treasury Bill(a),(b),(d)	4.5789	10/31/24		4,806,033
	20,000,000	United States Treasury Bill(a),(b),(d)	4.5224	11/29/24		19,160,839
						69,650,785
		TOTAL SHORT-TERM INVESTMENTS (Cost $90,804,925)				90,915,461
		TOTAL INVESTMENTS - 98.0% (Cost $299,665,373)			$	300,688,732
		OTHER ASSETS IN EXCESS OF LIABILITIES - 2.0%				6,089,315
		NET ASSETS - 100.0%			$	306,778,047

^(a) All or a portion of this investment is a holding of the CSACS Fund Limited.

^(b) Zero coupon bond.

^(c) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(d) This security is segregated as Collateral for a Swap Contract.

The accompanying notes are an integral part of these consolidated financial statements.

22

CATALYST SYSTEMATIC ALPHA FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

TOTAL RETURN SWAP - (0.1) %

The BNP Paribas Catalyst Systematic Index (“BNP CASA Index”) is a rules based index designed to capitalize on structural inefficiencies and behavioral biases present within the equity, fixed income, commodity and currency markets. The BNP CASA Index is comprised of seven rules-based Index components created by BNP Paribas.*

			Notional				Pay/Receive Fixed	Upfront	Unrealized
Shares		Frequency and Reference Entity	Amount		Counterparty	Maturity	Rate	Payments	Depreciation
	76,487	At Maturity BNP Paribas Catalyst Systematic Index +		389,403,579	BNP Paribas	11/6/2024	0.1500%	—	$	(170,605	)

+ This instrument is held by CSACS Fund Ltd.

* Additional information can be found on https://marketing-indx.bnpparibas.com/casaindex/

The accompanying notes are an integral part of these consolidated financial statements.

23

CATALYST/ASPECT ENHANCED MULTI-ASSET FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

	Fair Value
TOTAL INVESTMENTS - 0.0% (Cost $0)	$	0
OTHER ASSETS IN EXCESS OF LIABILITIES - 100.0%		15,099,964
NET ASSETS - 100.0%	$	15,099,964

The accompanying notes are an integral part of these consolidated financial statements.

24

CATALYST NASDAQ-100 HEDGED EQUITY FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 75.8%
		ADVERTISING & MARKETING - 0.2%
	419	Trade Desk, Inc. (The), Class A(a)(b)	$	30,151
		AUTOMOTIVE - 2.2%
	2,134	Lucid Group, Inc.(a)(b)		8,984
	1,390	Tesla, Inc.(a)		345,387
				354,371
		BEVERAGES - 2.0%
	1,312	Keurig Dr Pepper, Inc.		43,716
	984	Monster Beverage Corporation(a)		56,688
	1,293	PepsiCo, Inc.		219,603
				320,007
		BIOTECH & PHARMA - 3.2%
	502	Amgen, Inc.(b)		144,585
	547	AstraZeneca PLC - ADR		36,840
	136	Biogen, Inc.(a)		35,193
	1,170	Gilead Sciences, Inc.		94,782
	357	Moderna, Inc.(a)(b)		35,504
	100	Regeneron Pharmaceuticals, Inc.(a)		87,829
	242	Vertex Pharmaceuticals, Inc.(a)		98,467
				533,200
		CABLE & SATELLITE - 1.5%
	141	Charter Communications, Inc., Class A(a)		54,804
	3,865	Comcast Corporation, Class A(b)		169,480
	3,609	Sirius XM Holdings, Inc.(b)		19,741
				244,025
		COMMERCIAL SUPPORT SERVICES - 0.4%
	96	Cintas Corporation		57,855
		DIVERSIFIED INDUSTRIALS - 0.7%
	624	Honeywell International, Inc.		130,860
		E-COMMERCE DISCRETIONARY - 5.3%
	4,518	Amazon.com, Inc.(a)		686,466
	500	eBay, Inc.		21,810

The accompanying notes are an integral part of these financial statements.

25

CATALYST NASDAQ-100 HEDGED EQUITY FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 75.8% (Continued)
		E-COMMERCE DISCRETIONARY - 5.3% (Continued)
	426	JD.com, Inc. - ADR	$	12,307
	47	MercadoLibre, Inc.(a)(b)		73,862
	612	PDD Holdings, Inc. - ADR(a)		89,542
				883,987
		ELECTRIC UTILITIES - 0.9%
	484	American Electric Power Company, Inc.		39,310
	302	Constellation Energy Corporation		35,301
	935	Exelon Corporation		33,567
	518	Xcel Energy, Inc.(b)		32,069
				140,247
		ENTERTAINMENT CONTENT - 0.4%
	254	Electronic Arts, Inc.		34,750
	2,289	Warner Bros Discovery, Inc.(a)(b)		26,049
				60,799
		FOOD - 0.8%
	1,154	Kraft Heinz Company (The)		42,675
	1,278	Mondelez International, Inc., A		92,565
				135,240
		INDUSTRIAL SUPPORT SERVICES - 0.2%
	537	Fastenal Co.		34,781
		INTERNET MEDIA & SERVICES - 9.7%
	400	Airbnb, Inc., Class A(a)		54,456
	2,598	Alphabet, Inc., Class A(a)		362,915
	2,540	Alphabet, Inc., Class C(a)		357,962
	34	Booking Holdings, Inc.(a)		120,605
	1,364	Meta Platforms, Inc., Class A(a)		482,801
	416	Netflix, Inc.(a)		202,542
				1,581,281
		LEISURE FACILITIES & SERVICES - 1.0%
	280	Marriott International, Inc., Class A(b)		63,143
	1,076	Starbucks Corporation		103,307
				166,450

The accompanying notes are an integral part of these financial statements.

26

CATALYST NASDAQ-100 HEDGED EQUITY FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 75.8% (Continued)
		MEDICAL EQUIPMENT & DEVICES - 1.7%
	72	Align Technology, Inc.(a)	$	19,728
	364	DexCom, Inc.(a)(b)		45,169
	427	GE HealthCare Technologies, Inc.		33,016
	78	IDEXX Laboratories, Inc.(a)		43,294
	149	Illumina, Inc.(a)		20,747
	330	Intuitive Surgical, Inc.(a)		111,328
				273,282
		OIL & GAS PRODUCERS - 0.2%
	168	Diamondback Energy, Inc.(b)		26,053
		OIL & GAS SERVICES & EQUIPMENT - 0.2%
	948	Baker Hughes Company		32,403
		RENEWABLE ENERGY - 0.1%
	128	Enphase Energy, Inc.(a)(b)		16,914
		RETAIL - CONSUMER STAPLES - 2.0%
	417	Costco Wholesale Corporation		275,254
	207	Dollar Tree, Inc.(a)		29,405
	811	Walgreens Boots Alliance, Inc.(b)		21,175
				325,834
		RETAIL - DISCRETIONARY - 1.0%
	114	Lululemon Athletica, Inc.(a)		58,286
	57	O’Reilly Automotive, Inc.(a)		54,155
	320	Ross Stores, Inc.(b)		44,285
				156,726
		SEMICONDUCTORS - 15.0%
	1,517	Advanced Micro Devices, Inc.(a)		223,621
	468	Analog Devices, Inc.		92,926
	786	Applied Materials, Inc.		127,387
	81	ASML Holding N.V.		61,311
	388	Broadcom, Inc.		433,105
	514	GLOBALFOUNDRIES, Inc.(a)(b)		31,148
	3,933	Intel Corporation		197,633

The accompanying notes are an integral part of these financial statements.

27

CATALYST NASDAQ-100 HEDGED EQUITY FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 75.8% (Continued)
		SEMICONDUCTORS - 15.0% (Continued)
	128	KLA Corporation(b)	$	74,406
	124	Lam Research Corporation(b)		97,124
	810	Marvell Technology, Inc.		48,851
	511	Microchip Technology, Inc.		46,082
	1,029	Micron Technology, Inc.		87,815
	1,082	NVIDIA Corporation		535,829
	242	NXP Semiconductors N.V.		55,583
	405	ON Semiconductor Corporation(a)(b)		33,830
	1,048	QUALCOMM, Inc.		151,572
	853	Texas Instruments, Inc.		145,402
				2,443,625
		SOFTWARE - 13.6%
	428	Adobe, Inc.(a)		255,345
	84	ANSYS, Inc.(a)		30,482
	144	Atlassian Corp PLC, Class A(a)		34,252
	201	Autodesk, Inc.(a)		48,939
	255	Cadence Design Systems, Inc.(a)(b)		69,454
	212	Crowdstrike Holdings, Inc., Class A(a)		54,128
	281	Datadog, Inc., Class A(a)(b)		34,108
	738	Fortinet, Inc.(a)		43,195
	263	Intuit, Inc.		164,383
	3,254	Microsoft Corporation(b)		1,223,634
	287	Palo Alto Networks, Inc.(a)(b)		84,631
	143	Synopsys, Inc.(a)		73,632
	194	Workday, Inc., Class A(a)		53,556
	239	Zoom Video Communications, Inc., Class A(a)		17,186
	137	Zscaler, Inc.(a)		30,354
				2,217,279
		TECHNOLOGY HARDWARE - 9.3%
	6,856	Apple, Inc.		1,319,986
	3,827	Cisco Systems, Inc.		193,340
				1,513,326
		TECHNOLOGY SERVICES - 1.8%
	387	Automatic Data Processing, Inc.		90,159

The accompanying notes are an integral part of these financial statements.

28

CATALYST NASDAQ-100 HEDGED EQUITY FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		COMMON STOCKS — 75.8% (Continued)
		TECHNOLOGY SERVICES - 1.8% (Continued)
	474	Cognizant Technology Solutions Corporation, Class A	$	35,801
	384	CoStar Group, Inc.(a)(b)		33,558
	339	Paychex, Inc.		40,378
	1,031	PayPal Holdings, Inc.(a)		63,314
	136	Verisk Analytics, Inc.		32,485
				295,695
		TELECOMMUNICATIONS - 1.1%
	1,105	T-Mobile US, Inc.		177,165
		TRANSPORTATION & LOGISTICS - 0.7%
	1,884	CSX Corporation		65,318
	103	Old Dominion Freight Line, Inc.(b)		41,749
				107,067
		TRANSPORTATION EQUIPMENT - 0.3%
	491	PACCAR, Inc.		47,946
		WHOLESALE - DISCRETIONARY - 0.3%
	897	Copart, Inc.(a)(b)		43,953
		TOTAL COMMON STOCKS (Cost $10,458,664)		12,350,522
		EXCHANGE-TRADED FUNDS — 14.2%
		EQUITY - 14.2%
	5,654	Invesco QQQ Trust Series 1(b)		2,315,426
		TOTAL EXCHANGE-TRADED FUNDS (Cost $2,103,888)
		SHORT-TERM INVESTMENTS — 29.7%
		COLLATERAL FOR SECURITIES LOANED - 27.4%
	4,467,107	Mount Vernon Liquid Assets Portfolio, LLC, 5.55% (Cost $4,467,107)(c),(d)		4,467,107

The accompanying notes are an integral part of these financial statements.

29

CATALYST NASDAQ-100 HEDGED EQUITY FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares									Fair Value
		SHORT-TERM INVESTMENTS — 29.7% (Continued)
		MONEY MARKET FUNDS - 2.3%
	380,193	First American Treasury Obligations Fund, Class X, 5.28% (Cost $380,193)(d)							$	380,193
		TOTAL SHORT-TERM INVESTMENTS (Cost $4,847,300)								4,847,300
Contracts(e)			Counterparty	Expiration Date	Exercise Price		Notional Value
		FUTURE OPTIONS PURCHASED - 0.3%
		PUT OPTIONS PURCHASED - 0.3%
	66	S&P E-mini 3rd Week Future	WED	01/19/2024	$	4,740	$	15,906,000	$	66,001
		TOTAL FUTURE OPTIONS PURCHASED (Cost - $158,401)
		TOTAL INVESTMENTS - 120.0% (Cost $17,568,253)							$	19,579,249
		CALL OPTIONS WRITTEN - 0.0% (Proceeds - $4,208)								(7,425	)
		PUT OPTIONS WRITTEN - 0.0% (Proceeds - $21,037)								(4,207	)
		LIABILITIES IN EXCESS OF OTHER ASSETS - (20.0)%								(3,267,454	)
		NET ASSETS - 100.0%							$	16,300,163
Contracts(e)			Counterparty	Expiration Date	Exercise Price		Notional Value		Fair Value
		FUTURE OPTIONS WRITTEN - 0.0% (f)
		CALL OPTIONS WRITTEN - 0.0%(f)
	33	S&P E-mini 3rd Week Future	WED	01/19/2024	$	4,970	$	7,953,000	$	7,425
		TOTAL CALL OPTIONS WRITTEN (Proceeds - $4,208)
		PUT OPTIONS WRITTEN - 0.0%(f)
	33	S&P E-mini 3rd Week Future	WED	01/19/2024	$	4,470	$	7,953,000	$	4,207
		TOTAL PUT OPTIONS WRITTEN (Proceeds - $21,037)
		TOTAL FUTURE OPTIONS WRITTEN (Proceeds - $25,245)							$	11,632
OPEN FUTURES CONTRACTS
									Value and Unrealized
Number of Contracts		Open Long Futures Contracts				Expiration	Notional Amount(g)		Appreciation (Depreciation)
	128	CBOE Volatility Index Future				03/20/2024	$	2,082,163	$	(89,262	)
	7	CBOE Volatility Index Future				04/17/2024		118,658		(7,692	)
	2	CME E-Mini NASDAQ 100 Index Future				03/15/2024		680,940		4,750
		TOTAL LONG FUTURES CONTRACTS							$	(92,204	)

The accompanying notes are an integral part of these financial statements.

30

CATALYST NASDAQ-100 HEDGED EQUITY FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

OPEN FUTURES CONTRACTS
						Value and Unrealized
Number of Contracts		Open Short Futures Contracts	Expiration	Notional Amount(g)		Appreciation (Depreciation)
	98	CBOE Volatility Index Future	01/17/2024	$	1,377,018	$	65,728
		TOTAL SHORT FUTURES CONTRACTS
		TOTAL FUTURES CONTRACTS				$	(26,476	)

ADR	- American Depositary Receipt
ETF	- Exchange-Traded Fund
LLC	- Limited Liability Company
N.V.	- Naamioze Vennootschap
PLC	- Public Limited Company
WED	- Wedbush Securities

^(a) Non-income producing security.

^(b) All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2023 was $4,363,004.

^(c) Security was purchased with cash received as collateral for securities on loan at December 31, 2023. Total collateral had a value of $4,467,107 at December 31, 2023.

^(d) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(e) Each contract is equivalent to one futures contract.

^(f) Percentage rounds to greater than (0.1%).

^(g) The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

The accompanying notes are an integral part of these financial statements.

31

CATALYST/MILLBURN HEDGE STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares			Fair Value
		EXCHANGE-TRADED FUNDS — 51.5%
		EQUITY - 51.5%
	1,594,086	Dimensional Emerging Core Equity Market ETF	$	38,433,413
	1,475,301	Dimensional International Core Equity 2 ETF		37,664,435
	2,865,643	Dimensional US Core Equity 2 ETF		83,762,745
	1,043,052	Dimensional US High Profitability ETF		29,841,718
	1,470,545	iShares Core S&P Mid-Cap ETF		407,561,546
	1,812,439	iShares Core S&P Small-Cap ETF		196,196,522
	641,238	iShares MSCI Australia ETF		15,607,733
	470,558	iShares MSCI Brazil ETF		16,450,708
	429,477	iShares MSCI Canada ETF		15,753,216
	211,033	iShares MSCI France ETF		8,268,273
	686,232	iShares MSCI Hong Kong ETF		11,919,850
	1,960,463	iShares MSCI India ETF		95,690,199
	1,291,678	iShares MSCI International Quality Factor ETF		48,515,426
	768,040	iShares MSCI Japan ETF		49,262,086
	200,477	iShares MSCI Malaysia ETF		4,260,136
	243,537	iShares MSCI Mexico ETF		16,523,985
	519,016	iShares MSCI Singapore ETF		9,705,599
	134,839	iShares MSCI South Africa ETF		5,634,922
	259,367	iShares MSCI Spain ETF		7,941,818
	467,504	iShares MSCI Switzerland ETF		22,566,418
	1,016,634	iShares MSCI Taiwan ETF		46,795,663
	88,525	iShares MSCI Thailand ETF		5,653,207
	111,274	iShares MSCI Turkey ETF		3,591,925
	1,513,446	iShares MSCI United Kingdom ETF		50,019,390
	3,577,133	iShares MSCI USA Min Vol Factor ETF		279,123,688
	221,106	iShares MSCI USA Quality Factor ETF		32,533,537
	1,547,720	iShares Russell 1000 ETF		405,905,047
	1,320,393	iShares Russell 2000 ETF		265,016,079
	664,220	iShares Russell Mid-Cap ETF		51,629,821
	510,691	SPDR S&P 500 ETF Trust		242,736,539
	6,002,949	Vanguard FTSE Emerging Markets ETF		246,721,204
	93,268	Vanguard FTSE Europe ETF		6,013,921
	435,581	Vanguard Large-Cap ETF		95,021,995
	367,442	Vanguard Mid-Cap ETF		85,481,707

The accompanying notes are an integral part of these consolidated financial statements. 

32

CATALYST/MILLBURN HEDGE STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Shares			Fair Value
		EXCHANGE-TRADED FUNDS — 51.5% (Continued)
		EQUITY - 51.5% (Continued)
	911,439	Vanguard Real Estate ETF	$	80,534,750
	238,203	Vanguard S&P 500 ETF		104,047,070
	304,104	Vanguard Small-Cap ETF		64,874,506
	384,523	WisdomTree India Earnings Fund		15,765,442
				3,203,026,239
		TOTAL EXCHANGE-TRADED FUNDS (Cost $2,586,378,890)		3,203,026,239

Principal			Coupon Rate
Amount ($)			(%)	Maturity
		U.S. GOVERNMENT & AGENCIES — 34.0%
		U.S. TREASURY NOTES — 34.0%
	472,555,000	United States Treasury Note(c),(d)	2.7500	02/15/24	471,067,893
	491,258,000	United States Treasury Note(c),(d)	2.5000	05/15/24	486,469,374
	745,158,000	United States Treasury Note(c),(d)	2.3750	08/15/24	733,013,101
	430,000,000	United States Treasury Note(c),(d)	2.2500	11/15/24	420,393,138
					2,110,943,506
		TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,109,296,452)			2,110,943,506

Shares
		SHORT-TERM INVESTMENTS — 9.9%
		MONEY MARKET FUNDS - 9.9%
	615,760,788	First American Treasury Obligations Fund, Class X, 5.28%(a),(c)		615,760,788
		TOTAL SHORT-TERM INVESTMENTS (Cost $615,760,788)		615,760,788
		TOTAL INVESTMENTS - 95.4% (Cost $5,311,436,130)	$	5,929,730,533
		OTHER ASSETS IN EXCESS OF LIABILITIES- 4.6%		287,369,415
		NET ASSETS - 100.0%	$	6,217,099,948

OPEN FUTURES CONTRACTS
Number of Contracts		Open Long Futures Contracts	Expiration	Notional Amount(b)		Value and Unrealized Appreciation (Depreciation)
	2,393	3 Month Euro Euribor Future	09/16/2024	$	643,062,610	$	612,317

The accompanying notes are an integral part of these consolidated financial statements.

33

CATALYST/MILLBURN HEDGE STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

OPEN FUTURES CONTRACTS (Continued)
Number of Contracts		Open Long Futures Contracts (Continued)	Expiration	Notional Amount(b)		Value and Unrealized Appreciation (Depreciation)
	3,384	3 Month Euro Euribor Future	12/16/2024	$	912,499,448	$	2,063,574
	3,274	3 Month Euro Euribor Future	03/17/2025		884,916,152		2,971,049
	2,526	3 Month Euro Euribor Future	06/16/2025		683,648,598		2,856,824
	2,076	3 Month Euro Euribor Future	09/15/2025		562,087,657		2,842,892
	1,526	3 Month Euro Euribor Future	12/15/2025		413,130,216		2,307,341
	1,206	3 Month Euro Euribor Future	03/16/2026		326,364,264		1,974,630
	2,210	BMF Ibovespa Index Future	02/14/2024		61,861,413		119,951
	719	CME Canadian Dollar Currency Future	03/19/2024		54,374,375		353,335
	469	CME E-Mini NASDAQ 100 Index Future	03/15/2024		159,680,430		(18,435	)
	352	CME E-mini Russell 2000 Index Futures	03/15/2024		36,039,520		(130,205	)
	957	CME E-Mini Standard & Poor’s 500 Index Futures	03/15/2024		230,637,000		(35,825	)
	587	CME Euro Foreign Exchange Currency Future	03/18/2024		81,262,813		672,881
	78	CME Lean Hogs Future(c)	02/14/2024		2,120,820		(80,150	)
	571	CME Mexican Peso Currency Future	03/18/2024		16,627,520		69,775
	243	COMEX Copper Future(c)	03/26/2024		23,634,788		(209,937	)
	517	COMEX Gold 100 Troy Ounces Future(c)	02/27/2024		107,112,060		(811,760	)
	175	E-mini Dow Jones Industrial Average Index Futures	03/15/2024		33,260,500		45,350
	30	Eurex DAX Index Future	03/15/2024		14,003,919		(18,713	)
	6,134	Eurex EURO STOXX 50 Future	03/15/2024		307,648,068		(861,098	)
	1,058	Euro-BTP Italian Bond Futures	03/07/2024		139,170,567		(537,006	)
	1,562	FTSE 100 Index Future	03/15/2024		154,451,678		409,840
	318	FTSE/MIB Index Future	03/15/2024		53,575,171		18,071
	3,727	ICE Brent Crude Oil Future(c)	01/31/2024		287,128,080		(9,141,730	)
	832	ICE Brent Crude Oil Future(c)	02/29/2024		63,989,120		(1,927,610	)
	224	ICE Brent Crude Oil Future(c)	03/28/2024		17,200,960		(496,330	)
	172	ICE Brent Crude Oil Future(c)	04/30/2024		13,182,080		(315,560	)
	112	ICE Brent Crude Oil Future(c)	05/31/2024		8,560,160		(267,180	)
	63	ICE Brent Crude Oil Future(c)	06/28/2024		4,798,710		(148,890	)
	169	ICE Gas Oil Future(c)	02/12/2024		12,544,025		(786,925	)
	200	ICE Gas Oil Future(c)	03/12/2024		14,695,000		(210,200	)
	3	ICE Gas Oil Future(c)	04/11/2024		218,250		(3,000	)
	1,411	ICE US MSCI Emerging Markets EM Index Futures	03/15/2024		72,927,535		954,585
	635	IFSC NIFTY 50 Index Futures	01/25/2024		27,747,595		50,209
	3,757	KFE KOSPI 200 Index Future	03/14/2024		262,926,498		4,624,653
	28	LME Copper Future(c)	03/18/2024		5,988,850		(22,915	)
	4	LME Lead Future(c)	03/18/2024		207,250		(495	)
	149	LME Zinc Future(c)	03/18/2024		9,921,538		398,936
	27	MEFF Madrid IBEX 35 Index Future	01/19/2024		3,006,485		(3,583	)
	93	NYBOT CSC C Coffee Future(c)	03/18/2024		6,566,963		(270,150	)
	2,376	NYMEX Light Sweet Crude Oil Future(c)	01/22/2024		170,240,400		(5,497,980	)
	73	NYMEX Light Sweet Crude Oil Future(c)	02/20/2024		5,244,320		(99,270	)
	14	NYMEX Light Sweet Crude Oil Future(c)	03/20/2024		1,008,140		(19,640	)
	29	NYMEX Light Sweet Crude Oil Future(c)	04/22/2024		2,091,770		(50,950	)
	52	NYMEX Light Sweet Crude Oil Future(c)	05/21/2024		3,750,240		(132,770	)
	52	NYMEX Light Sweet Crude Oil Future(c)	06/20/2024		3,742,440		(131,480	)
	617	NYMEX NY Harbor ULSD Futures(c)	01/31/2024		65,533,915		(3,444,595	)
	153	NYMEX NY Harbor ULSD Futures(c)	02/29/2024		16,034,155		(903,193	)
	2	NYMEX NY Harbor ULSD Futures(c)	04/30/2024		203,389		(9,001	)

The accompanying notes are an integral part of these consolidated financial statements. 

34

CATALYST/MILLBURN HEDGE STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

OPEN FUTURES CONTRACTS (Continued)
Number of Contracts		Open Long Futures Contracts (Continued)	Expiration	Notional Amount(b)		Value and Unrealized Appreciation (Depreciation)
	64	NYMEX Platinum Future(c)	04/26/2024	$	3,229,440	$	18,645
	370	NYMEX Reformulated Gasoline Blendstock for Oxygen(c)	01/31/2024		32,731,902		(1,183,316	)
	263	NYMEX Reformulated Gasoline Blendstock for Oxygen(c)	02/29/2024		23,481,587		(883,529	)
	98	NYMEX Reformulated Gasoline Blendstock for Oxygen(c)	03/28/2024		9,521,954		(320,028	)
	47	NYMEX Reformulated Gasoline Blendstock for Oxygen(c)	04/30/2024		4,571,587		(155,064	)
	170	SAFEX FTSE/JSE Top 40 Index Future	03/20/2024		6,635,085		58,901
	791	SFE S&P ASX Share Price Index 200 Future	03/21/2024		102,231,035		1,663,308
	1,139	SGX FTSE Taiwan Index Futures	01/30/2024		70,640,780		36,860
	423	Three Month SONIA Index Futures	12/17/2024		129,432,295		27,578
	988	Three Month SONIA Index Futures	03/18/2025		303,495,468		87,013
	927	Three Month SONIA Index Futures	06/17/2025		285,540,297		121,708
	775	Three Month SONIA Index Futures	09/16/2025		239,177,253		164,984
	585	Three Month SONIA Index Futures	12/16/2025		180,736,012		384,568
	514	Three Month SONIA Index Futures	03/17/2026		158,882,437		530,996
	362	Three Month SONIA Index Futures	06/16/2026		111,915,053		362,417
	218	Three-Month SOFR Futures	12/17/2024		52,268,225		15,100
	711	Three-Month SOFR Futures	03/18/2025		171,119,925		35,275
	774	Three-Month SOFR Futures	06/17/2025		186,882,300		62,487
	1,080	Three-Month SOFR Futures	09/16/2025		261,333,000		161,237
	531	Three-Month SOFR Futures	12/16/2025		128,634,750		96,375
	712	Three-Month SOFR Futures	03/17/2026		172,544,300		283,300
	745	Three-Month SOFR Futures	06/16/2026		180,532,125		365,737
	949	TSE TOPIX (Tokyo Price Index) Future	03/07/2024		159,260,489		278,149
		TOTAL LONG FUTURES CONTRACTS				$	(1,027,662	)
OPEN FUTURES CONTRACTS
Number of Contracts		Open Short Futures Contracts	Expiration	Notional Amount(b)		Value and Unrealized Appreciation (Depreciation)
	747	Carbon Emissions Future(c)	12/16/2024	$	66,279,962	$	(6,607,281	)
	1,159	CBOE Volatility Index Future(c)	01/17/2024		16,285,341		1,456,131
	1,044	CBOE Volatility Index Future(c)	02/14/2024		15,968,398		1,002,494
	344	CBOE Volatility Index Future(c)	03/20/2024		5,595,814		198,059
	2,852	CBOT 10 Year US Treasury Note	03/19/2024		321,964,063		(560,297	)
	9,411	CBOT 2 Year US Treasury Note Future	03/28/2024		1,937,857,238		(2,331,347	)
	2,331	CBOT 5 Year US Treasury Note	03/28/2024		253,550,884		(301,743	)
	1,090	CBOT Corn Future(c)	03/14/2024		25,683,125		453,300
	1,904	CBOT Soybean Future(c)	03/14/2024		123,569,600		2,563,663
	593	CBOT Soybean Meal Future(c)	03/14/2024		22,889,800		350,990
	460	CBOT Soybean Oil Future(c)	03/14/2024		13,297,680		239,250
	3,014	CBOT US Treasury Bond Futures	03/19/2024		376,561,625		(866,969	)
	1,354	CBOT Wheat Future(c)	03/14/2024		42,515,600		(836,212	)
	1,091	CME Australian Dollar Currency Future	03/18/2024		74,520,755		(1,599,968	)
	381	CME British Pound Currency Future	03/18/2024		30,363,319		59,837
	82	CME E-Mini Standard & Poor’s MidCap 400 Index	03/15/2024		23,037,900		154,530
	266	CME Japanese Yen Currency Future	03/18/2024		23,860,200		(66,256	)

The accompanying notes are an integral part of these consolidated financial statements.

35

CATALYST/MILLBURN HEDGE STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

OPEN FUTURES CONTRACTS (Continued)
Number of Contracts		Open Short Futures Contracts (Continued)	Expiration	Notional Amount(b)		Value and Unrealized Appreciation (Depreciation)
	160	CME Live Cattle Future(c)	02/29/2024	$	10,784,000	$	44,120
	538	CME New Zealand Dollar Currency Future	03/18/2024		34,015,050		(134,970	)
	79	CME Swiss Franc Currency Future	03/18/2024		11,830,250		(9,437	)
	109	COMEX Silver Future(c)	03/26/2024		13,126,870		(15,595	)
	3,833	Eurex 10 Year Euro BUND Future	03/07/2024		580,662,685		(1,121,763	)
	5,540	Eurex 2 Year Euro SCHATZ Future	03/07/2024		651,644,182		(910,890	)
	2,180	Eurex 30 Year Euro BUXL Future	03/07/2024		341,079,267		(13,574,814	)
	4,067	Eurex 5 Year Euro BOBL Future	03/07/2024		535,561,669		(1,467,009	)
	1,056	Euronext CAC 40 Index Future	01/19/2024		88,077,721		876,861
	518	French Government Bond Futures	03/07/2024		75,206,646		867,516
	891	HKG Hang Seng China Enterprises Index Future	01/30/2024		33,067,872		(85,688	)
	18	HKG Hang Seng Index Future	01/30/2024		1,974,607		(903	)
	41	ICE US Mini MSCI EAFE Index Futures	03/15/2024		4,617,420		(3,135	)
	284	KCBT Hard Red Winter Wheat Future(c)	03/14/2024		9,116,400		(123,150	)
	27	LME Nickel Future(c)	03/18/2024		2,688,066		24,338
	456	LME Primary Aluminum Future(c)	03/18/2024		27,143,401		(596,717	)
	1,243	Long Gilt Future	03/26/2024		162,658,172		(462,808	)
	1,346	Montreal Exchange 10 Year Canadian Bond Future	03/19/2024		126,150,992		(42,710	)
	118	Montreal Exchange S&P/TSX 60 Index Future	03/14/2024		22,628,014		(48,866	)
	89	NYBOT CSC Cocoa Future(c)	03/13/2024		3,734,440		19,610
	1,167	NYBOT CSC Number 11 World Sugar Future(c)	02/29/2024		26,898,884		3,114,518
	222	NYBOT CTN Number 2 Cotton Future(c)	03/06/2024		8,991,000		(14,915	)
	157	NYMEX Henry Hub Natural Gas Futures(c)	05/29/2024		3,954,830		(43,400	)
	284	NYMEX Henry Hub Natural Gas Futures(c)	04/26/2024		6,725,120		(65,590	)
	1,076	NYMEX Henry Hub Natural Gas Futures(c)	02/27/2024		25,038,520		(1,110,310	)
	2,976	NYMEX Henry Hub Natural Gas Futures(c)	01/29/2024		74,816,640		(3,899,440	)
	415	NYMEX Henry Hub Natural Gas Futures(c)	03/26/2024		9,561,600		(429,900	)
	12	NYMEX NY Harbor ULSD Futures(c)	03/28/2024		1,235,304		2,713
	354	OSE Nikkei 225 Index Future	03/07/2024		83,989,786		(376,139	)
	2,853	SFE 10 Year Australian Bond Future	03/15/2024		226,858,846		(2,198,851	)
	2,468	SFE 3 Year Australian Bond Future	03/15/2024		179,743,135		(1,508,725	)
	1,015	SGX FTSE China A50 Futures	01/30/2024		11,667,425		8,589
	52	SGX Nikkei 225 Stock Index Future	03/07/2024		6,162,287		3,865
	3,577	TEF SET50 Index Future	03/28/2024		18,150,544		(169,584	)
	143	TSE Japanese 10 Year Bond Futures	03/13/2024		148,806,823		40,157
	440	TTF Natural Gas Base Load Monthly Futures(c)	01/30/2024		10,937,143		592,153
	3,899	Ultra U.S. Treasury Bond Futures	03/19/2024		520,882,031		(7,961,593	)
		TOTAL SHORT FUTURES CONTRACTS				$	(37,474,281	)
		TOTAL FUTURES CONTRACTS				$	(38,501,943	)

The accompanying notes are an integral part of these consolidated financial statements.

36

CATALYST/MILLBURN HEDGE STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023 (Unaudited)

Foreign Currency	Settlement Date	Counterparty	Local Currency		U.S. Dollar Value		Unrealized Appreciation/(Depreciation)
To Buy:
Australian Dollar	01/02/2024	Bank Of America Merrill Lynch		49,580,000	$	33,792,257	$	(136,019	)
British Pound	01/02/2024	Deutsche Bank		36,020,000		45,918,693		(2,794	)
Canadian Dollar	01/02/2024	Deutsche Bank		6,550,000		4,943,508		(7,623	)
Euro	01/02/2024	Deutsche Bank		68,920,000		76,087,437		(201,984	)
Israeli Shekel	01/02/2024	Bank Of America Merrill Lynch		21,680,000		5,998,229		17,737
Mexican Peso	01/02/2024	Deutsche Bank		207,780,000		12,236,605		(62,642	)
Norwegian Krone	01/02/2024	Bank Of America Merrill Lynch		502,130,000		49,424,530		66,898
Polish Zloty	01/02/2024	Bank Of America Merrill Lynch		40,430,000		10,276,288		(83,923	)
Singapore Dollar	01/02/2024	Bank Of America Merrill Lynch		33,600,000		25,461,104		(54,137	)
South African Rand	01/02/2024	Bank Of America Merrill Lynch		720,850,000		39,409,877		554,151
Swedish Krona	01/02/2024	Bank Of America Merrill Lynch		205,390,000		20,367,748		(221,634	)
Australian Dollar	01/03/2024	Bank Of America Merrill Lynch		93,880,000		63,985,824		(184,179	)
British Pound	01/03/2024	Deutsche Bank		57,260,000		72,995,678		(84,115	)
Euro	01/03/2024	Deutsche Bank		59,390,000		65,566,350		(143,568	)
Mexican Peso	01/03/2024	Deutsche Bank		616,250,000		36,292,269		(128,952	)
New Zealand Dollar	01/03/2024	Bank Of America Merrill Lynch		140,050,000		88,515,991		(339,400	)
Norwegian Krone	01/03/2024	Bank Of America Merrill Lynch		393,170,000		38,699,625		(121,244	)
Polish Zloty	01/03/2024	Bank Of America Merrill Lynch		34,120,000		8,672,445		(9,489	)
Singapore Dollar	01/03/2024	Bank Of America Merrill Lynch		11,730,000		8,888,652		(7,781	)
South African Rand	01/03/2024	Bank Of America Merrill Lynch		294,300,000		16,089,793		38,778
Swedish Krona	01/03/2024	Bank Of America Merrill Lynch		28,790,000		2,854,995		(9,573	)
Swiss Franc	01/03/2024	Bank Of America Merrill Lynch		65,450,000		77,816,616		(276,375	)
Japanese Yen	01/04/2024	Deutsche Bank		5,366,000,000		38,066,974		129,995
New Zealand Dollar	01/04/2024	Bank Of America Merrill Lynch		26,670,000		16,856,356		(56,635	)
Swiss Franc	01/04/2024	Bank Of America Merrill Lynch		32,320,000		38,431,063		(83,458	)
Japanese Yen	01/05/2024	Deutsche Bank		15,486,999,999		109,884,292		(81,270	)
Australian Dollar	01/17/2024	Bank Of America Merrill Lynch		553,230,000		377,248,603		4,433,075
Brazilian Real	01/17/2024	Bank Of America Merrill Lynch		2,733,590,000		562,674,918		5,585,469
British Pound	01/17/2024	Deutsche Bank		776,440,000		989,896,712		7,002,558
Canadian Dollar	01/17/2024	Deutsche Bank		1,056,700,000		797,693,573		5,348,302
Chilean Peso	01/17/2024	Bank Of America Merrill Lynch		6,877,000,000		7,807,011		(55,517	)
Euro	01/17/2024	Deutsche Bank		1,163,960,000		1,285,789,948		12,892,162
Indian Rupee	01/17/2024	Bank Of America Merrill Lynch		11,774,680,000		141,398,760		25,482
Israeli Shekel	01/17/2024	Bank Of America Merrill Lynch		252,020,000		69,747,665		1,820,225
Japanese Yen	01/17/2024	Deutsche Bank		138,335,999,995		983,444,736		25,605,242
Mexican Peso	01/17/2024	Deutsche Bank		8,763,320,000		514,780,938		10,529,530
New Zealand Dollar	01/17/2024	Bank Of America Merrill Lynch		466,840,000		295,076,924		7,401,784
Norwegian Krone	01/17/2024	Bank Of America Merrill Lynch		5,582,500,000		549,685,071		18,395,127
Polish Zloty	01/17/2024	Bank Of America Merrill Lynch		773,950,000		196,679,444		3,747,896
Singapore Dollar	01/17/2024	Bank Of America Merrill Lynch		265,430,000		201,274,258		2,029,572

The accompanying notes are an integral part of these consolidated financial statements.

37

CATALYST/MILLBURN HEDGE STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023 (Unaudited) (Continued)

Foreign Currency	Settlement Date	Counterparty	Local Currency		U.S. Dollar Value		Unrealized Appreciation/(Depreciation)
To Buy: (continued)
South African Rand	01/17/2024	Bank Of America Merrill Lynch		3,378,630,000	$	184,475,276	$	3,496,167
South Korean Won	01/17/2024	Bank Of America Merrill Lynch		106,418,000,000		82,160,232		495,550
Swedish Krona	01/17/2024	Bank Of America Merrill Lynch		2,473,010,000		245,389,524		5,412,088
Swiss Franc	01/17/2024	Bank Of America Merrill Lynch		493,650,000		587,838,820		17,110,014
US Dollars	01/17/2024	Deutsche Bank		689,088,936		689,088,935		(29,285,821	)
					$	9,769,684,547	$	100,499,669
To Sell:
Australian Dollar	01/02/2024	Bank Of America Merrill Lynch		49,580,000	$	33,792,258	$	142,935
British Pound	01/02/2024	Deutsche Bank		36,020,000		45,918,696		89,219
Canadian Dollar	01/02/2024	Deutsche Bank		6,550,000		4,943,509		10,717
Euro	01/02/2024	Deutsche Bank		68,920,000		76,087,436		486,308
Israeli Shekel	01/02/2024	Bank Of America Merrill Lynch		21,680,000		5,998,229		(3,619	)
Mexican Peso	01/02/2024	Deutsche Bank		207,780,000		12,236,605		16,019
Norwegian Krone	01/02/2024	Bank Of America Merrill Lynch		502,130,000		49,424,533		161,503
Polish Zloty	01/02/2024	Bank Of America Merrill Lynch		40,430,000		10,276,289		88,330
Singapore Dollar	01/02/2024	Bank Of America Merrill Lynch		33,600,000		25,461,104		49,881
South African Rand	01/02/2024	Bank Of America Merrill Lynch		720,850,000		39,409,873		(535,491	)
Swedish Krona	01/02/2024	Bank Of America Merrill Lynch		205,390,000		20,367,750		303,861
Australian Dollar	01/03/2024	Bank Of America Merrill Lynch		93,880,000		63,985,823		180,218
British Pound	01/03/2024	Deutsche Bank		57,260,000		72,995,681		(100,212	)
Euro	01/03/2024	Deutsche Bank		59,390,000		65,566,350		125,607
Mexican Peso	01/03/2024	Deutsche Bank		616,250,000		36,292,270		64,233
New Zealand Dollar	01/03/2024	Bank Of America Merrill Lynch		140,050,000		88,515,990		353,914
Norwegian Krone	01/03/2024	Bank Of America Merrill Lynch		393,170,000		38,699,628		7,032
Polish Zloty	01/03/2024	Bank Of America Merrill Lynch		34,120,000		8,672,445		12,041
Singapore Dollar	01/03/2024	Bank Of America Merrill Lynch		11,730,000		8,888,654		(1,473	)
South African Rand	01/03/2024	Bank Of America Merrill Lynch		294,300,000		16,089,792		(186,720	)
Swedish Krona	01/03/2024	Bank Of America Merrill Lynch		28,790,000		2,854,995		15,371
Swiss Franc	01/03/2024	Bank Of America Merrill Lynch		65,450,000		77,816,617		(49,005	)
Japanese Yen	01/04/2024	Deutsche Bank		5,366,000,000		38,066,977		(5,733	)
New Zealand Dollar	01/04/2024	Bank Of America Merrill Lynch		26,670,000		16,856,353		910
Swiss Franc	01/04/2024	Bank Of America Merrill Lynch		32,320,000		38,431,064		127,323
Japanese Yen	01/05/2024	Deutsche Bank		15,487,000,000		109,884,294		(326,382	)
Australian Dollar	01/17/2024	Bank Of America Merrill Lynch		1,138,560,000		776,386,260		(19,720,137	)
Brazilian Real	01/17/2024	Bank Of America Merrill Lynch		1,473,670,000		303,336,337		(5,025,315	)
British Pound	01/17/2024	Deutsche Bank		776,440,000		989,896,711		(5,318,668	)
Canadian Dollar	01/17/2024	Deutsche Bank		1,102,320,000		832,131,711		(17,953,785	)
Chilean Peso	01/17/2024	Bank Of America Merrill Lynch		3,371,999,999		3,828,013		(2,342	)
Euro	01/17/2024	Deutsche Bank		656,160,000		724,839,281		(9,961,462	)
Indian Rupee	01/17/2024	Bank Of America Merrill Lynch		7,342,319,999		88,171,813		(183,568	)
Israeli Shekel	01/17/2024	Bank Of America Merrill Lynch		180,200,000		49,871,159		(571,375	)
Japanese Yen	01/17/2024	Deutsche Bank		91,640,999,992		651,485,214		(11,498,175	)
Mexican Peso	01/17/2024	Deutsche Bank		2,349,919,999		138,040,608		(2,298,047	)
New Zealand Dollar	01/17/2024	Bank Of America Merrill Lynch		1,069,590,000		676,058,878		(10,598,475	)
Norwegian Krone	01/17/2024	Bank Of America Merrill Lynch		5,587,549,998		550,182,323		(23,927,805	)
Polish Zloty	01/17/2024	Bank Of America Merrill Lynch		504,800,000		128,281,907		(431,808	)
Singapore Dollar	01/17/2024	Bank Of America Merrill Lynch		149,140,000		113,092,125		(911,305	)
South African Rand	01/17/2024	Bank Of America Merrill Lynch		3,378,629,999		184,475,275		(4,645,625	)

The accompanying notes are an integral part of these consolidated financial statements.

38

CATALYST/MILLBURN HEDGE STRATEGY FUND

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023 (Unaudited) (Continued)

Foreign Currency	Settlement Date	Counterparty	Local Currency		U.S. Dollar Value		Unrealized Appreciation/(Depreciation)
To Sell: (continued)
South Korean Won	01/17/2024	Bank Of America Merrill Lynch		76,379,999,992	$	58,969,333	$	(292,962	)
Swedish Krona	01/17/2024	Bank Of America Merrill Lynch		2,051,240,000		203,538,525		(2,623,092	)
Swiss Franc	01/17/2024	Bank Of America Merrill Lynch		684,590,000		815,210,327		(26,273,178	)
British Pound	02/21/2024	Deutsche Bank		117,160,000		149,396,307		145,009
South African Rand	02/21/2024	Bank Of America Merrill Lynch		432,100,000		23,520,674		(175,369	)
					$	8,468,245,996	$	(141,240,697	)
Total							$	(40,741,028	)

ETF	- Exchange-Traded Fund
MSCI	- Morgan Stanley Capital International
SPDR	- Standard & Poor’s Depositary Receipt

^(a) Rate disclosed is the seven day effective yield as of December 31, 2023.

^(b) The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund.

^(c) All or a portion of this investment is a holding of the CMHSF Fund Limited.

^(d) Held as collateral for futures.

The accompanying notes are an integral part of these consolidated financial statements.

39

CATALYST BUFFERED SHIELD FUND

SCHEDULE OF INVESTMENTS (Unaudited)

December 31, 2023

Shares									Fair Value
		EXCHANGE-TRADED FUNDS — 89.5%
		FIXED INCOME - 89.5%
	178,764	iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF(a)							$	9,166,124
	132,165	PGIM Ultra Short Bond ETF(a)								6,527,629
	104,723	Vanguard Short-Term Corporate Bond ETF								8,102,419
		TOTAL EXCHANGE-TRADED FUNDS (Cost $24,659,480)								23,796,172
Contracts(b)			Counterparty	Expiration Date	Exercise Price		Notional Value
		EQUITY OPTIONS PURCHASED - 13.5%
		CALL OPTIONS PURCHASED - 13.0%
	76	SPDR S&P 500 ETF Trust	FCS	03/15/2024	$	400	$	3,612,356	$	613,244
	160	SPDR S&P 500 ETF Trust	FCS	03/15/2024		437		7,604,960		726,720
	4	SPDR S&P 500 ETF Trust	FCS	03/15/2024		440		190,124		17,032
	25	SPDR S&P 500 ETF Trust	FCS	06/21/2024		410		1,188,275		198,575
	50	SPDR S&P 500 ETF Trust	FCS	06/21/2024		420		2,376,550		340,000
	175	SPDR S&P 500 ETF Trust	FCS	06/21/2024		440		8,317,925		875,875
	100	SPDR S&P 500 ETF Trust	FCS	09/20/2024		425		4,753,100		698,000
		TOTAL CALL OPTIONS PURCHASED (Cost - $2,207,523)								3,469,446
		PUT OPTIONS PURCHASED - 0.5%
	160	SPDR S&P 500 ETF Trust	FCS	03/15/2024	$	395	$	7,604,960	$	10,880
	80	SPDR S&P 500 ETF Trust	FCS	03/15/2024		405		3,802,480		7,040
	200	SPDR S&P 500 ETF Trust	FCS	06/21/2024		400		9,506,200		61,200
	50	SPDR S&P 500 ETF Trust	FCS	06/21/2024		405		2,376,550		16,500
	100	SPDR S&P 500 ETF Trust	FCS	09/20/2024		385		4,753,100		42,800
		TOTAL PUT OPTIONS PURCHASED (Cost - $639,883)								138,420
		TOTAL EQUITY OPTIONS PURCHASED (Cost - $2,847,406)								3,607,866
		TOTAL INVESTMENTS - 103.0% (Cost $27,506,886)							$	27,404,038
		CALL OPTIONS WRITTEN - (3.1)% (Proceeds - $570,211)								(826,400	)
		PUT OPTIONS WRITTEN - (0.9)% (Proceeds - $1,342,544)								(268,274	)
		OTHER ASSETS IN EXCESS OF LIABILITIES- 1.0%								276,380
		NET ASSETS - 100.0%							$	26,585,744
Contracts(b)			Counterparty	Expiration Date	Exercise Price		Notional Value		Fair Value
		WRITTEN EQUITY OPTIONS - (4.0)%
		CALL OPTIONS WRITTEN- (3.1)%
	40	SPDR S&P 500 ETF Trust	FCS	03/15/2024	$	460	$	1,901,240	$	101,400

The accompanying notes are an integral part of these financial statements.

40

CATALYST BUFFERED SHIELD FUND

SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

December 31, 2023

Contracts(b) (continued)			Counterparty	Expiration Date	Exercise Price		Notional Value		Fair Value
		WRITTEN EQUITY OPTIONS - (4.0)%
		CALL OPTIONS WRITTEN- (3.1)% (Continued)
	100	SPDR S&P 500 ETF Trust	FCS	03/15/2024	$	465	$	4,753,100	$	213,600
	100	SPDR S&P 500 ETF Trust	FCS	03/15/2024		485		4,753,100		81,800
	200	SPDR S&P 500 ETF Trust	FCS	06/21/2024		505		9,506,200		155,000
	50	SPDR S&P 500 ETF Trust	FCS	06/21/2024		515		2,376,550		25,000
	100	SPDR S&P 500 ETF Trust	FCS	09/20/2024		485		4,753,100		249,600
		TOTAL CALL OPTIONS WRITTEN (Proceeds - $570,211)								826,400
		PUT OPTIONS WRITTEN - (0.9)%
	76	SPDR S&P 500 ETF Trust	FCS	03/15/2024	$	400	$	3,612,356	$	5,852
	160	SPDR S&P 500 ETF Trust	FCS	03/15/2024		437		7,604,960		35,200
	4	SPDR S&P 500 ETF Trust	FCS	03/15/2024		440		190,124		972
	25	SPDR S&P 500 ETF Trust	FCS	06/21/2024		410		1,188,275		9,225
	50	SPDR S&P 500 ETF Trust	FCS	06/21/2024		420		2,376,550		21,750
	175	SPDR S&P 500 ETF Trust	FCS	06/21/2024		440		8,317,925		114,975
	100	SPDR S&P 500 ETF Trust	FCS	09/20/2024		425		4,753,100		80,300
		TOTAL PUT OPTIONS WRITTEN (Proceeds - $1,342,544)								268,274
		TOTAL EQUITY OPTIONS WRITTEN (Proceeds - $1,912,755)							$	1,094,674

ETF	- Exchange-Traded Fund
SPDR	- Standard & Poor’s Depositary Receipt
FCS	- StoneX Group, Inc.

^(a) All or a portion of this security is segregated as collateral for options written.

^(b) Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

The accompanying notes are an integral part of these financial statements.

41

CATALYST FUNDS

Statements of Assets and Liabilities (Unaudited)

December 31, 2023

	Catalyst/Millburn						Catalyst
	Dynamic Commodity			Catalyst/Warrington			Systematic Alpha
	Strategy Fund			Strategic			Fund
	(Consolidated)			Program Fund			(Consolidated)
ASSETS:
Investments in Securities at Cost	$	9,814,516		$	101,115,309		$	299,665,373
Investments in Securities at Value	$	9,967,184		$	100,879,125		$	300,688,732
Cash segregated for disgorgement of advisory fees (see Note 11)		—			914,662			—
Deposits with Broker for futures and options (a)		575,763			15,822,849			—
Cash Collateral Held at Custodian		—			—			2,725,688
Dividends and interest receivable		36,389			144,966			2,363,484
Receivable for Fund shares sold		681			140,808			2,333,227
Futures unrealized appreciation		58,252			—			—
Prepaid expenses and other assets		26,456			39,854			66,015
Total Assets		10,664,725			117,942,264			308,177,146
LIABILITIES:
Options written, at value (proceeds $0, $309,160, $0)		—			77,880			—
Investment advisory fees payable		1,396			167,971			399,012
Accrued 12b-1 fees		3,002			15,679			15,565
Payable for disgorgement of advisory fees (see Note 10)		—			914,662			—
Payable to related parties		6,059			13,719			12,934
Payable for Fund shares redeemed		75,177			141,485			782,261
Trustee fee payable		3,967			3,945			3,950
Futures unrealized depreciation		73,049			—			—
Unrealized depreciation - on swap contracts		—			—			170,605
Accrued expenses and other liabilities		8,343			48,370			14,772
Total Liabilities		170,993			1,383,711			1,399,099
Net Assets	$	10,493,732		$	116,558,553		$	306,778,047
NET ASSETS CONSIST OF:
Paid in capital	$	11,871,965		$	1,113,212,652		$	298,454,693
Accumulated earnings (deficit)		(1,378,233	)		(996,654,099	)		8,323,354
Net Assets	$	10,493,732		$	116,558,553		$	306,778,047
Class A
Net Assets	$	1,670,743		$	15,152,632		$	27,455,257
Shares of beneficial interest outstanding (b)		182,047			1,674,628			2,179,439
Net asset value per share (Net assets/shares outstanding)	$	9.18		$	9.05		$	12.60
Maximum offering price per share (c)	$	9.74		$	9.60		$	13.37
Minimum redemption price per share (d)	$	9.09		$	8.96		$	12.47
Class C
Net Assets	$	642,939		$	11,887,319		$	7,002,297
Shares of beneficial interest outstanding (b)		73,835			1,400,411			581,280
Net asset value, offering price and redemption price per share (Net assets/shares outstanding)	$	8.71		$	8.49		$	12.05
Class I
Net Assets	$	8,180,050		$	89,518,602		$	272,320,493
Shares of beneficial interest outstanding (b)		883,136			9,673,528			22,100,784
Net asset value, offering price and redemption price per share (Net assets/shares outstanding)	$	9.26		$	9.25		$	12.32

(a) See Section 1b in the notes for the breakout by counterparty.

(b) Unlimited number of shares of no par value beneficial interest authorized.

(c) There is a maximum front-end sales charge (load) of 5.75% imposed on purchases of Class A shares for each Fund.

(d) Investments in Class A shares made at or above $1 million breakpoint are not subject to an initial sales charge and may be subject to a 1% contingent deferred sales charges (“CDSC”) on shares redeemed within two years of purchase.

The accompanying notes are an integral part of these consolidated financial statements.

42

CATALYST FUNDS

Statements of Assets and Liabilities (Unaudited) (Continued)

December 31, 2023

	Catalyst/Aspect						Catalyst/Millburn
	Enhanced Multi-Asset			Catalyst			Hedge Strategy		Catalyst
	Fund			Nasdaq-100 Hedged			Fund		Buffered Shield
	(Consolidated)			Equity Fund			(Consolidated)		Fund
ASSETS:
Investments in Unaffiliated securities, at cost	$	—		$	17,568,253		$	5,311,436,130	$	27,506,886
Investments in Unaffiliated securities, at value	$	—		$	19,579,249		$	5,929,730,533	$	27,404,038
Cash		100,000			—			—		700,705
Cash Collateral Held at Custodian		—			—			121,606,250		—
Receivable for securities sold		—			—			36,685,666		1,104,300
Futures unrealized appreciation		—			70,478			40,173,547		—
Due from Manager		1,462			—			—		—
Deposits with Broker for futures and options (a)		—			1,239,612			202,464,042		7,658
Dividends and interest receivable		—			12,883			17,822,028		35,429
Receivable for Fund shares sold		14,999,980			—			8,283,205		—
Unrealized appreciation on forward currency exchange contracts		—			—			134,518,233		—
Due from Related parties (note 3)		—			—			—
Prepaid expenses and other assets		—			14,000			219,949		28,057
Total Assets		15,101,442			20,916,222			6,491,503,453		29,280,187
LIABILITIES:
Options written, at value (proceeds $0, $25,245, $0, $1,912,755)		—			11,632			—		1,094,674
Line of credit payable		—			—			—		1,234,000
Investment advisory fees payable		—			6,411			9,342,438		19,731
Accrued 12b-1 fees		—			3,113			892,006		5,525
Futures unrealized depreciation		—			96,954			78,675,490		—
Payable upon return of securities loaned (Market value of securities on loan $0, $4,363,004, $0, $0)		—			4,467,107			—		—
Payable for securities purchased		—			—			—		262,528
Payable for Fund shares redeemed		—			—			8,952,251		39,336
Unrealized depreciation on forward currency exchange contracts		—			—			175,429,829		—
Payable to related parties		322			6,653			265,533		8,013
Trustee fee payable		197			3,946			4,033		3,983
Compliance officer fees payable		89			—			—		—
Accrued expenses and other liabilities		870			20,243			841,925		26,653
Total Liabilities		1,478			4,616,059			274,403,505		2,694,443
Net Assets	$	15,099,964		$	16,300,163		$	6,217,099,948	$	26,585,744
NET ASSETS CONSIST OF:
Paid in capital	$	15,099,980		$	15,544,434		$	6,038,619,876	$	39,350,066
Accumulated earnings (deficit)		(16	)		755,729			178,480,072		(12,764,322	)
Net Assets	$	15,099,964		$	16,300,163		$	6,217,099,948	$	26,585,744
Class A
Net Assets	$	1,000		$	630,913		$	454,371,136	$	7,209,188
Shares of beneficial interest outstanding (b)		100			53,809			13,035,682		792,910
Net asset value per share (Net assets/shares outstanding)	$	10.00		$	11.73	(f)	$	34.86	$	9.09
Maximum offering price per share (c)	$	10.61			12.45		$	36.99	$	9.64
Minimum redemption price per share (d)	$	9.90		$	11.61		$	34.51	$	9.00
Class C
Net Assets	$	1,000		$	1,444,904		$	362,991,518	$	3,449,677
Shares of beneficial interest outstanding (b)		100			133,385			10,689,410		390,817
Net asset value, offering price and redemption price per share (Net assets/shares outstanding)	$	10.00		$	10.83		$	33.96	$	8.83
Class C-1 (e)
Net Assets							$	32,330,836
Shares of beneficial interest outstanding (b)								958,493
Net asset value, offering price and redemption price per share (Net assets/shares outstanding)							$	33.73
Class I
Net Assets	$	15,097,964		$	14,224,346		$	5,367,406,458	$	15,926,879
Shares of beneficial interest outstanding (b)		1,509,798			1,195,125			152,948,589		1,738,667
Net asset value, offering price and redemption price per share (Net assets/shares outstanding)	$	10.00		$	11.90		$	35.09	$	9.16

(a) See Section 1b in the notes for the breakout by counterparty.

(b) Unlimited number of shares of no par value beneficial interest authorized.

(c) There is a maximum front-end sales charge (load) of 5.75% imposed on purchases of Class A shares for each Fund.

(d) Investments in Class A shares made at or above $1 million breakpoint are not subject to an initial sales charge and may be subject to a 1% contingent deferred sales charge (“CDSC”) on shares redeemed within two years of purchase.

(e) Class C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund.

(f) Does not calculate due to rounding.

The accompanying notes are an integral part of these consolidated financial statements.

43

CATALYST FUNDS

Statements of Operations (Unaudited)

For the Six Months Ended December 31, 2023

	Catalyst/Millburn						Catalyst
	Dynamic Commodity			Catalyst/Warrington			Systematic Alpha
	Strategy Fund			Strategic Program			Fund
	(Consolidated)			Fund			(Consolidated)
Investment Income:
Dividend income	$	52,242		$	—		$	—
Interest income		137,274			2,451,341			4,646,312
Foreign tax withheld		—			—			—
Total Investment Income		189,516			2,451,341			4,646,312
Operating Expenses:
Investment advisory fees		101,120			1,057,350			1,357,687
12b-1 Fees:
Class A		2,478			19,634			21,672
Class C		3,732			64,375			24,710
Registration fees		24,037			31,964			27,104
Financial administration/Fund accounting fees		18,410			29,720			40,692
Custody fees		11,475			837			1,985
Legal fees		9,447			61,627	*		13,578
Networking fees		8,192			80,018			70,274
Audit fees		8,066			6,806			8,319
Trustees’ fees		7,802			7,796			7,792
Compliance officer fees		4,186			6,751			4,248
Printing expense		1,876			9,619			6,190
Transfer Agent fees		1,682			6,891			4,013
Legal administration/Management service fees		1,122			11,708			17,379
Insurance expense		257			2,466			90
Interest expense		—			6,085			—
Miscellaneous expense		1,227			1,211			2,517
Total Operating Expenses		205,109			1,404,858			1,608,250
Less: Fees waived/expenses reimbursed by Advisor		(84,002	)		(59,929	)		—
Plus: Expenses recaptured		—			—			40,509
Net Operating Expenses		121,107			1,344,929			1,648,759
Less: Legal Fees Reimbursed by Insurance **		—			(183,757	)		—
Net Investment Income (Loss)		68,409			1,290,169			2,997,553
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from:
Investments		(159,185	)		—			—
Options purchased		—			(9,407,875	)		—
Options written		—			10,736,903			—
Futures		(72,755	)		—			—
Swaps		—			—			6,805,185
Foreign currency transactions		(2,859	)		—			—
Net Realized Gain (Loss)		(234,799	)		1,329,028			6,805,185
Net change in unrealized appreciation (depreciation) on:
Investments		155,417			181,047			1,401,216
Options purchased		—			411,815			—
Options written		—			(263,270	)		—
Futures		(85,930	)		—			—
Foreign currency translations		31			—			—
Swaps		—			—			(5,692,704	)
Net change in unrealized appreciation (depreciation)		69,518			329,592			(4,291,488	)
Net Realized and Unrealized Gain (Loss) on Investments		(165,281	)		1,658,620			2,513,697
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(96,872	)	$	2,948,789		$	5,511,250

* Includes legal fees that are extraordinary expenses that are outside the expense limitation.

** Recovery of legal fees from the Trust’s insurance policy (See Note 10).

The accompanying notes are an integral part of these consolidated financial statements.

44

CATALYST FUNDS

Statements of Operations (Unaudited) (Continued)

For the Six Months Ended December 31, 2023

	Catalyst/Aspect						Catalyst/Millburn
	Enhanced Multi-Asset			Catalyst			Hedge Strategy			Catalyst
	Fund			Nasdaq-100 Hedged			Fund			Buffered Shield
	(Consolidated)**			Equity Fund			(Consolidated)			Fund
Investment Income:
Dividend Income	$	—		$	58,137		$	34,016,010		$	829,346
Interest Income		—			5,307			77,850,187			5,804
Securities Lending - net		—			3,593			—			—
Foreign tax withheld		—			(97	)		—			—
Total Investment Income		—			66,940			111,866,197			835,150
Operating Expenses:
Investment advisory fees		14			85,416			55,409,732			232,457
12b-1 Fees:
Class A		—			783			576,936			16,150
Class C		—			6,969			1,885,468			18,338
Class C-1*		—			—			152,107			—
Legal fees		288			7,995			14,986			8,022
Financial administration/Fund accounting fees		279			18,184			816,327			20,111
Printing expense		247			753			158,664			2,707
Trustees’ fees		197			7,796			7,807			7,798
Networking fees		123			7,410			3,277,441			21,671
Audit fees		119			7,310			17,163			7,310
Compliance officer fees		89			5,399			81,932			5,731
Transfer Agent fees		43			392			120,405			1,163
Custody fees		33			2,943			132,793			2,076
Registration fees		26			13,609			157,233			22,166
Insurance expense		4			202			106,878			654
Legal administration/Management service fees		—			1,323			613,794			3,607
Interest expense		—			11,576			779,794			3,566
Miscellaneous expense		30			8,983			54,648			1,228
Total Operating Expenses		1,492			187,043			64,364,108			374,755
Less: Fees waived/expenses reimbursed by Advisor		(1,476	)		(65,770	)		—			(108,490	)
Net Operating Expenses		16			121,273			64,364,108			266,265
Net Investment Income (Loss)		(16	)		(54,333	)		47,502,089			568,885
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from:
Investments		—			140,081			35,669,257			(716,302	)
Long Term Capital Gains from underlying investment companies		—			—			3,331,172			—
Options purchased		—			(764,754	)		—			(356,711	)
Options written		—			69,518			—			787,563
Futures		—			160,621			83,686,606			—
Foreign currency transactions		—			—			(94,242,840	)		—
Net Realized Gain (Loss)		—			(394,534	)		28,444,195			(285,450	)
Net change in unrealized appreciation (depreciation) on:
Investments		—			1,261,459			172,726,794			1,233,395
Options purchased		—			(84,862	)		—			782,929
Options written		—			13,613			—			(93,599	)
Futures		—			262,850			(138,467,363	)		—
Foreign currency translations		—			—			(48,535,604	)		—
Net change in unrealized appreciation (depreciation)		—			1,453,060			(14,276,173	)		1,922,725
Net Realized and Unrealized Gain on Investments		—			1,058,526			14,168,022			1,637,275
Net Increase (Decrease) in Net Assets Resulting From Operations	$	(16	)	$	1,004,193		$	61,670,111		$	2,206,160

* Class C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund.

** The Catalyst/Aspect Enhanced Multi-Asset Fund launched December 28, 2023.

The accompanying notes are an integral part of these consolidated financial statements.

45

CATALYST FUNDS

Statements of Changes in Net Assets

	Catalyst/Millburn Dynamic Commodity Strategy Fund						Catalyst/Warrington Strategic Program Fund
	(Consolidated)
	Six Months Ended			Year Ended			Six Months Ended			Year Ended
	December 31, 2023			June 30, 2023			December 31, 2023			June 30, 2023
	(Unaudited)						(Unaudited)
Operations:
Net investment income (loss).	$	68,409		$	67,086		$	1,290,169		$	(213,399	)
Net realized gain (loss) on investments		(234,799	)		(5,100,526	)		1,329,028			4,753,764
Net change in unrealized appreciation (depreciation) on investments		69,518			2,959,193			329,592			(474,246	)
Net increase (decrease) in net assets resulting from operations		(96,872	)		(2,074,247	)		2,948,789			4,066,119
Distributions to Shareholders from:
From Accumulated Earnings
Class A		—			(514,801	)		(106,601	)		(162,105	)
Class C		—			(250,746	)		—			(357	)
Class I		—			(2,610,544	)		(878,678	)		(1,272,740	)
Total distributions to shareholders		—			(3,376,091	)		(985,279	)		(1,435,202	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class A		719,456			920,332			738,573			3,852,031
Class C		21,373			160,494			310,250			1,849,384
Class I		812,831			7,663,846			22,309,473			78,885,921
Reinvestment of distributions
Class A		—			494,150			99,830			151,666
Class C		—			228,971			—			332
Class I		—			2,181,052			846,759			1,201,778
Cost of shares redeemed
Class A		(1,068,308	)		(1,233,613	)		(2,249,867	)		(7,279,769	)
Class C		(209,425	)		(1,043,403	)		(2,270,852	)		(4,148,554	)
Class I		(1,826,487	)		(16,283,435	)		(24,058,875	)		(82,932,616	)
Net decrease in net assets from share transactions of beneficial interest		(1,550,560	)		(6,911,606	)		(4,274,709	)		(8,419,827	)
Total Decrease in Net Assets		(1,647,432	)		(12,361,944	)		(2,311,199	)		(5,788,910	)
Net Assets:
Beginning of period		12,141,164			24,503,108			118,869,752			124,658,662
End of period	$	10,493,732		$	12,141,164		$	116,558,553		$	118,869,752
Share Activity:
Class A
Shares Sold		75,458			76,549			83,080			440,996
Shares Reinvested		—			48,637			11,055			17,413
Shares Redeemed		(112,760	)		(116,306	)		(249,907	)		(830,609	)
Net increase (decrease) in shares of Beneficial interest		(37,302	)		8,880			(155,772	)		(372,200	)
Class C
Shares Sold		2,338			14,502			36,704			226,213
Shares Reinvested		—			23,557			—			41
Shares Redeemed		(23,491	)		(99,800	)		(269,563	)		(507,361	)
Net decrease in shares of Beneficial interest		(21,153	)		(61,741	)		(232,859	)		(281,107	)
Class I
Shares Sold		86,352			675,260			2,410,130			8,810,386
Shares Reinvested		—			213,202			91,740			135,031
Shares Redeemed		(194,191	)		(1,446,051	)		(2,600,271	)		(9,245,762	)
Net decrease in shares of Beneficial interest		(107,839	)		(557,589	)		(98,401	)		(300,345	)

The accompanying notes are an integral part of these consolidated financial statements.

46

CATALYST FUNDS

Statements of Changes in Net Assets (Continued)

	Catalyst Systematic Alpha Fund
	(Consolidated)
	Six Months Ended			Year Ended
	December 31, 2023			June 30, 2023
	(Unaudited)
Operations:
Net investment income	$	2,997,553		$	329,190
Net realized gain on investments		6,805,185			651,189
Net change in unrealized appreciation (depreciation) on investments		(4,291,488	)		5,377,936
Net increase in net assets resulting from operations		5,511,250			6,358,315
Distributions to Shareholders from:
From Accumulated Earnings
Class A		(233,776	)		(28,482	)
Class C		(52,255	)		(8,885	)
Class I		(2,550,887	)		(417,241	)
Total distributions to shareholders		(2,836,918	)		(454,608	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class A		20,978,756			13,116,990
Class C		4,566,027			2,827,772
Class I		228,063,224			71,757,664
Reinvestment of distributions
Class A		229,857			28,389
Class C		51,265			8,803
Class I		2,343,991			231,443
Cost of shares redeemed
Class A		(7,193,296	)		(179,916	)
Class C		(767,974	)		(60,067	)
Class I		(36,181,050	)		(8,123,121	)
Net increase in net assets from share transactions of beneficial interest		212,090,800			79,607,957
Total Increase in Net Assets		214,765,132			85,511,664
Net Assets:
Beginning of year/period		92,012,915			6,501,251
End of year/period	$	306,778,047		$	92,012,915
Share Activity:
Class A
Shares Sold		1,683,869			1,046,808
Shares Reinvested		18,649			2,387
Shares Redeemed		(587,764	)		(16,763	)
Net increase in shares of Beneficial interest		1,114,754			1,032,432
Class C
Shares Sold		388,216			245,117
Shares Reinvested		4,371			810
Shares Redeemed		(65,610	)		(5,445	)
Net increase in shares of Beneficial interest		326,977			240,482
Class I
Shares Sold		18,906,257			6,115,591
Shares Reinvested		194,635			20,254
Shares Redeemed		(2,994,303	)		(754,270	)
Net increase in shares of Beneficial interest		16,106,589			5,381,575

The accompanying notes are an integral part of these consolidated financial statements.

47

CATALYST FUNDS

Statements of Changes in Net Assets (Continued)

	Catalyst/Aspect
	Enhanced Multi-Asset
	Fund (a)			Catalyst Nasdaq-100 Hedged Equity Fund
	Six Months Ended			Six Months Ended			Year Ended
	December 31, 2023			December 31, 2023			June 30, 2023
	(Unaudited)			(Unaudited)
Operations:
Net investment loss	$	(16	)	$	(54,333	)	$	(80,348	)
Net realized loss on investments		—			(394,534	)		(394,040	)
Net change in unrealized appreciation on investments		—			1,453,060			2,437,751
Net increase (decrease) in net assets resulting from operations		(16	)		1,004,193			1,963,363
Distributions to Shareholders from:
From Accumulated Earnings
Class A		—			—			(17,277	)
Class C		—			—			(33,526	)
Class I		—			—			(267,168	)
Total distributions to shareholders		—			—			(317,971	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class A		1,000			48,778			17,578
Class C		1,000			9,040			155,634
Class I		15,097,980			4,681,814			1,935,194
Reinvestment of distributions
Class A		—			—			11,161
Class C		—			—			31,135
Class I		—			—			229,564
Cost of shares redeemed
Class A		—			(54,844	)		(387,701	)
Class C		—			(51,788	)		(191,837	)
Class I		—			(2,496,792	)		(4,627,644	)
Net increase (decrease) in net assets from share transactions of beneficial interest		15,099,980			2,136,208			(2,826,916	)
Total Increase (Decrease) in Net Assets		15,099,964			3,140,401			(1,181,524	)
Net Assets:
Beginning of period		—			13,159,762			14,341,286
End of period	$	15,099,964		$	16,300,163		$	13,159,762
Share Activity:
Class A
Shares Sold		100			4,339			1,876
Shares Reinvested		—			—			1,225
Shares Redeemed		—			(4,851	)		(39,657	)
Net increase (decrease) in shares of Beneficial interest		100			(512	)		(36,556	)
Class C
Shares Sold		100			877			16,764
Shares Reinvested		—			—			3,672
Shares Redeemed		—			(4,943	)		(21,176	)
Net increase (decrease) in shares of Beneficial interest		100			(4,066	)		(740	)
Class I
Shares Sold		1,509,798			422,196			195,246
Shares Reinvested		—			—			24,899
Shares Redeemed		—			(226,790	)		(480,016	)
Net increase (decrease) in shares of Beneficial interest		1,509,798			195,406			(259,871	)

(a) The Catalyst/Aspect Enhanced Multi-Asset Fund launched December 28, 2023.

The accompanying notes are an integral part of these consolidated financial statements.

48

CATALYST FUNDS

Statements of Changes in Net Assets (Continued)

	Catalyst/Millburn Hedge Strategy Fund						Catalyst Buffered Shield Fund
	(Consolidated)
	Six Months Ended			Year Ended			Six Months Ended			Year Ended
	December 31, 2023			June 30, 2023			December 31, 2023			June 30, 2023
	(Unaudited)						(Unaudited)
Operations:
Net investment income	$	47,502,089		$	37,069,287		$	568,885		$	692,487
Net realized gain (loss) on investments		28,444,195			(209,449,330	)		(285,450	)		(3,137,696	)
Net change in unrealized appreciation (depreciation) on investments		(14,276,173	)		253,505,126			1,922,725			4,251,058
Net increase in net assets resulting from operations		61,670,111			81,125,083			2,206,160			1,805,849
Distributions to Shareholders from:
From Accumulated Earnings
Class A		(8,997,002	)		(30,221,295	)		(297,144	)		(92,323	)
Class C		(4,727,185	)		(24,526,606	)		(51,482	)		(471	)
Class C-1 (a)		(464,972	)		(1,131,986	)		—			—
Class I		(119,388,779	)		(340,694,554	)		(512,668	)		(256,583	)
Total distributions to shareholders		(133,577,938	)		(396,574,441	)		(861,294	)		(349,377	)
Share Transactions of Beneficial Interest:
Net proceeds from shares sold
Class A		75,157,764			213,508,262			707,097			1,724,460
Class C		28,182,211			98,129,688			104,356			204,069
Class C-1 (a)		8,191,478			27,622,821			—			—
Class I		1,112,403,191			3,581,118,084			1,280,187			5,087,564
Reinvestment of distributions
Class A		7,690,966			25,155,532			295,324			90,178
Class C		4,543,481			23,635,280			51,039			467
Class C-1 (a)		183,549			3,171			—			—
Class I		87,888,237			254,015,633			472,804			238,703
Cost of shares redeemed
Class A		(67,392,538	)		(107,211,660	)		(7,700,732	)		(9,392,292	)
Class C		(31,251,019	)		(73,416,844	)		(920,741	)		(610,582	)
Class C-1 (a)		(3,724,058	)		(3,620,055	)		—			—
Class I		(990,833,462	)		(1,675,698,057	)		(10,042,789	)		(33,064,231	)
Net increase (decrease) in net assets from share transactions of beneficial interest		231,039,800			2,363,241,855			(15,753,455	)		(35,721,664	)
Total Increase (Decrease) in Net Assets		159,131,973			2,047,792,497			(14,408,589	)		(34,265,192	)
Net Assets:
Beginning of period		6,057,967,975			4,010,175,478			40,994,333			75,259,525
End of period	$	6,217,099,948		$	6,057,967,975		$	26,585,744		$	40,994,333
Share Activity:
Class A
Shares Sold		2,062,879			5,845,859			80,476			204,894
Shares Reinvested		213,934			724,734			33,183			10,748
Shares Redeemed		(1,861,917	)		(3,019,897	)		(853,780	)		(1,122,438	)
Net increase (decrease) in shares of Beneficial interest		414,896			3,550,696			(740,121	)		(906,796	)
Class C
Shares Sold		799,418			2,750,317			12,330			24,583
Shares Reinvested		129,666			698,030			5,907			57
Shares Redeemed		(887,754	)		(2,106,925	)		(109,178	)		(75,104	)
Net increase (decrease) in shares of Beneficial interest		41,330			1,341,422			(90,941	)		(50,464	)
Class C-1 (a)
Shares Sold		232,798			786,467
Shares Reinvested		5,274			94
Shares Redeemed		(106,861	)		(108,539	)
Net increase in shares of Beneficial interest		131,211			678,022
Class I
Shares Sold		30,455,890			97,210,851			145,177			597,108
Shares Reinvested		2,428,522			7,270,052			52,768			28,249
Shares Redeemed		(27,228,404	)		(46,698,513	)		(1,112,884	)		(3,874,651	)
Net increase (decrease) in shares of Beneficial interest		5,656,008			57,782,390			(914,939	)		(3,249,294	)

(a) Class C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund.

The accompanying notes are an integral part of these consolidated financial statements.

49

CATALYST FUNDS

Catalyst/Millburn Dynamic Commodity Strategy Fund

Financial Highlights (Consolidated)

For a Share Outstanding Throughout Each Year/Period

	Class A
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	9.28		$	12.76		$	9.56		$	10.89		$	10.95		$	10.75
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A,E)		0.05			0.04			(0.11	)		(0.20	)		(0.09	)		(0.05	)
Net realized and unrealized gain (loss) on investments		(0.15	)		(1.31	)		3.31			(1.13	)		0.03			0.29
Total from investment operations		(0.10	)		(1.27	)		3.20			(1.33	)		(0.06	)		0.24
LESS DISTRIBUTIONS:
From net investment income		—			(2.15	)		—			—			—			(0.04	)
From net realized gains on investments		—			(0.06	)		—			—			—			—
Total distributions		—			(2.21	)		—			—			—			(0.04	)
Net asset value, end of year/period	$	9.18		$	9.28		$	12.76		$	9.56		$	10.89		$	10.95
Total return (B)		(1.08	)% (F)		(11.43	)%		33.47	%		(12.21	)%		(0.55	)% (c)		2.20	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	1,671		$	2,035		$	2,685		$	3,404		$	5,319		$	10,932
Ratios to average net assets
Expenses, before waiver and reimbursement (D)		3.70	% (G)		3.11	%		3.33	%		2.72	%		2.47	%		2.40	%
Expenses, net waiver and reimbursement (D)		2.24	% (G)		2.24	%		2.24	%		2.27	%		2.27	%		2.26	%
Net investment loss, before waiver and reimbursement (D,E)		(0.43	)% (G)		(0.54	)%		(2.12	)%		(2.41	)%		(1.03	)%		(0.55	)%
Net investment income (loss), net waiver and reimbursement (D,E)		1.02	% (G)		0.33	%		(1.04	)%		(1.96	)%		(0.83	)%		(0.41	)%
Portfolio turnover rate		158	% (F)		58	%		123	%		145	%		0	%		0	%
	Class C
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	8.84		$	12.26		$	9.26		$	10.62		$	10.76		$	10.61
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A,E)		0.01			(0.06	)		(0.19	)		(0.27	)		(0.18	)		(0.12	)
Net realized and unrealized gain (loss) on investments		(0.14	)		(1.23	)		3.19			(1.09	)		0.04			0.27
Total from investment operations		(0.13	)		(1.29	)		3.00			(1.36	)		(0.14	)		0.15
LESS DISTRIBUTIONS:
From net investment income		—			(2.07	)		—			—			—			—
From net realized gains on investments		—			(0.06	)		—			—			—			—
Total distributions		—			(2.13	)		—			—			—			—
Net asset value, end of year/period	$	8.71		$	8.84		$	12.26		$	9.26		$	10.62		$	10.76
Total return (B)		(1.47	)% (F)		(12.10	)%		32.40	%		(12.81	)%		(1.30	)% (C)		1.41	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	643		$	839		$	1,921		$	1,519		$	6,860		$	7,322
Ratios to average net assets
Expenses, before waiver and reimbursement (D)		4.45	% (G)		3.86	%		4.08	%		3.47	%		3.22	%		3.15	%
Expenses, net waiver and reimbursement (D)		2.99	% (G)		2.99	%		2.99	%		3.02	%		3.02	%		3.01	%
Net investment loss, before waiver and reimbursement (D,E)		(1.18	)% (G)		(1.42	)%		(2.82	)%		(3.15	)%		(1.83	)%		(1.30	)%
Net investment income (loss), net waiver and reimbursement (D,E)		0.28	% (G)		(0.55	)%		(1.73	)%		(2.70	)%		(1.63	)%		(1.16	)%
Portfolio turnover rate		158	% (F)		58	%		123	%		145	%		0	%		0	%

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

(B) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) 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.

(D) Does not include expenses of the underlying investment companies in which the Fund invests.

(E) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(F) Not annualized.

(G) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

50

CATALYST FUNDS

Catalyst/Millburn Dynamic Commodity Strategy Fund (Continued)

Financial Highlights (Consolidated)

For a Share Outstanding Throughout Each Year/Period

	Class I
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	9.35		$	12.85		$	9.61		$	10.91		$	10.94		$	10.79
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A,E)		0.06			0.05			(0.08	)		(0.18	)		(0.07	)		(0.02	)
Net realized and unrealized gain (loss) on investments		(0.15	)		(1.31	)		3.32			(1.12	)		0.04			0.28
Total from investment operations		(0.09	)		(1.26	)		3.24			(1.30	)		(0.03	)		0.26
LESS DISTRIBUTIONS:
From net investment income		—			(2.18	)		—			—			—			(0.11	)
From net realized gains on investments		—			(0.06	)		—			—			—			—
Total distributions		—			(2.24	)		—			—			—			(0.11	)
Net asset value, end of year/period	$	9.26		$	9.35		$	12.85		$	9.61		$	10.91		$	10.94
Total return (B)		(0.96	)% (F)		(11.28	)%		33.71	%		(11.92	)%		(0.27	)% (C)		2.40	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	8,180		$	9,267		$	19,897		$	7,750		$	30,369		$	31,882
Ratios to average net assets
Expenses, before waiver and reimbursement (D)		3.45	% (G)		2.86	%		3.08	%		2.47	%		2.22	%		2.15	%
Expenses, net waiver and reimbursement (D)		1.99	% (G)		1.99	%		1.99	%		2.02	%		2.02	%		2.01	%
Net investment loss, before waiver and reimbursement (D,E)		(0.16	)% (G)		(0.38	)%		(1.76	)%		(2.17	)%		(0.83	)%		(0.30	)%
Net investment income (loss), net waiver and reimbursement (D,E)		1.30	% (G)		0.49	%		(0.67	)%		(1.72	)%		(0.63	)%		(0.16	)%
Portfolio turnover rate		158	% (F)		58	%		123	%		145	%		0	%		0	%

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

(B) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values 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.

(D) Does not include expenses of the underlying investment companies in which the Fund invests.

(E) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(F) Not annualized.

(G) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

51

CATALYST FUNDS

Catalyst/Warrington Strategic Program Fund

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class A
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	8.90		$	8.72		$	8.02		$	7.61		$	7.86		$	8.07
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		0.08			(0.03	)		(0.20	)		(0.15	)		(0.10	)		(0.09	)
Net realized and unrealized gain (loss) on investments		0.13			0.28			0.90			0.56			(0.15	)		(0.12	)
Total from investment operations		0.21			0.25			0.70			0.41			(0.25	)		(0.21	)
LESS DISTRIBUTIONS:
From net investment income		(0.06	)		(0.07	)		—			—			—			—
Total distributions		(0.06	)		(0.07	)		—			—			—			—
Net asset value, end of year/period	$	9.05		$	8.90		$	8.72		$	8.02		$	7.61		$	7.86
Total return (B)		2.40	% (K)		2.93	% (J)		8.73	% (C)		5.39	% (C)		(3.18	)% (C)		(2.60	)% (C)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	15,153		$	16,291		$	19,212		$	17,587		$	29,378		$	82,099
Ratios to average net assets (including dividend and interest expense)
Expenses, before waiver and reimbursement (D,E)		2.44	% (L)		2.65	%		2.49	%		2.43	%		2.59	%		2.33	%
Expenses, net waiver and reimbursement (D,E)		2.35	% (L)		2.60	%		2.45	%		2.02	% (H)		2.59	%		2.33	%
Net investment loss, before waiver and reimbursement (D,G)		1.59	% (L)		(0.35	)%		(2.42	)%		(2.40	)%		(1.30	)%		(1.15	)%
Net investment loss, net waiver and reimbursement (D,G)		1.69	% (L)		(0.30	)%		(2.38	)%		(1.98	)% (H)		(1.30	)%		(1.15	)%
Portfolio turnover rate		0	% (K)		0	%		0	%		0	%		0	%		0	%
	Class C
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	8.32		$	8.14		$	7.54		$	7.21		$	7.51		$	7.76
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		0.04			(0.09	)		(0.24	)		(0.20	)		(0.15	)		(0.14	)
Net realized and unrealized gain (loss) on investments		0.13			0.27			0.84			0.53			(0.15	)		(0.11	)
Total from investment operations		0.17			0.18			0.60			0.33			(0.30	)		(0.25	)
LESS DISTRIBUTIONS:
From net investment income		—			(0.00	) (I)		—			—			—			—
Total distributions		—			(0.00	)		—			—			—			—
Net asset value, end of year/period	$	8.49		$	8.32		$	8.14		$	7.54		$	7.21		$	7.51
Total return (B)		2.04	% (K)		2.21	% (J)		7.96	% (C)		4.58	% (C)		(3.99	)% (C)		(3.22	)% (C)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	11,887		$	13,583		$	15,588		$	20,305		$	30,499		$	65,411
Ratios to average net assets (including dividend and interest expense)
Expenses, before waiver and reimbursement (D,F)		3.19	% (L)		3.40	%		3.24	%		3.19	%		3.36	%		3.08	%
Expenses, net waiver and reimbursement (D,F)		3.10	% (L)		3.35	%		3.20	%		2.77	% (H)		3.36	%		3.08	%
Net investment loss, before waiver and reimbursement (D,G)		0.84	% (L)		(1.10	)%		(3.16	)%		(3.16	)%		(2.13	)%		(1.89	)%
Net investment loss, net waiver and reimbursement (D,G)		0.94	% (L)		(1.05	)%		(3.12	)%		(2.74	)% (H)		(2.13	)%		(1.89	)%
Portfolio turnover rate		0	% (K)		0	%		0	%		0	%		0	%		0	%

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

(B) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) 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.

(D) Does not include expenses of the underlying investment companies in which the Fund invests.

(E) Ratio to average net assets (excluding dividend and interest expense).

Expenses, before waiver and reimbursement (D)	2.43	% (L)	2.64	%	2.49	%	2.43	%	2.59	%	2.27	%
Expenses, net waiver and reimbursement (D)	2.33	% (L)	2.59	%	2.45	%	2.02	% (H)	2.59	%	2.27	%

(F) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (D)	3.18	% (L)	3.39	%	3.24	%	3.19	%	3.36	%	3.02	%
Expenses, net waiver and reimbursement (D)	3.08	% (L)	3.34	%	3.20	%	2.77	% (H)	3.36	%	3.02	%

(G) Recognition of net investment loss is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(H) Manager has voluntarily waived a portion of expenses. This waiver will not be recaptured by the manager.

(I) Amount is less than $0.005.

(J) Fund performance was materially impacted by a nonrecurring litigation settlement of $1.96 million booked to the Fund on June 19, 2023. The impact was $0.1482/share, or 1.65% of the Fund’s NAV.

(K) Not annualized.

(L) Annualized.

The accompanying notes are an integral part of these financial statements.

52

CATALYST FUNDS

Catalyst/Warrington Strategic Program Fund (Continued)

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class I
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	9.11		$	8.92		$	8.18		$	7.74		$	7.98		$	8.17
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		0.09			0.00	(I)		(0.18	)		(0.13	)		(0.08	)		(0.07	)
Net realized and unrealized gain (loss) on investments		0.14			0.28			0.92			0.57			(0.16	)		(0.12	)
Total from investment operations		0.23			0.28			0.74			0.44			(0.24	)		(0.19	)
LESS DISTRIBUTIONS:
From net investment income		(0.09	)		(0.09	)		—			—			—			—
Total distributions		(0.09	)		(0.09	)		—			—			—			—
Net asset value, end of year/period	$	9.25		$	9.11		$	8.92		$	8.18		$	7.74		$	7.98
Total return (B)		2.50	% (J)		3.21	% (H)		9.05	% (C)		5.68	% (C)		(3.01	)% (C)		(2.33	)% (C)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	89,519		$	88,996		$	89,859		$	61,014		$	84,334		$	282,645
Ratios to average net assets(including dividend and interest expense)
Expenses, before waiver and reimbursement (D,E)		2.19	% (K)		2.40	%		2.24	%		2.16	%		2.31	%		2.08	%
Expenses, net waiver and reimbursement (D,E)		2.10	% (K)		2.35	%		2.20	%		1.75	% (G)		2.31	%		2.08	%
Net investment loss, before waiver and reimbursement (D,F)		1.88	% (K)		(0.05	)%		(2.17	)%		(2.13	)%		(1.00	)%		(0.91	)%
Net investment loss, net waiver and reimbursement (D,F)		1.98	% (K)		(0.00	)%		(2.13	)%		(1.71	)% (G)		(1.00	)%		(0.91	)%
Portfolio turnover rate		0	% (J)		0	%		0	%		0	%		0	%		0	%

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

(B) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) 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.

(D) Does not include expenses of the underlying investment companies in which the Fund invests.

(E) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (D)	2.18	% (K)	2.39	%	2.24	%	2.16	%	2.31	%	2.02	%
Expenses, net waiver and reimbursement (D)	2.08	% (K)	2.34	%	2.20	%	1.75	% (G)	2.31	%	2.02	%

(F) Recognition of net investment loss is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(G) Manager has voluntarily waived a portion of expenses. This waiver will not be recaptured by the manager.

(H) Fund performance was materially impacted by a nonrecurring litigation settlement of $1.96 million booked to the Fund on June 19, 2023. The impact was $0.1482/share, or 1.65% of the Fund’s NAV.

(I) Amount less than $.005

(J) Not annualized.

(K) Annualized.

The accompanying notes are an integral part of these financial statements.

53

CATALYST FUNDS

Catalyst Systematic Alpha Fund (Consolidated)

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class A
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	12.83		$	10.06		$	10.86		$	9.56		$	9.18		$	8.93
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		0.19			0.25			(0.17	)		0.04			0.17			0.15
Net realized and unrealized gain (loss) on investments		(0.26	)		3.03			(0.05	)		3.16			0.35			0.10	(B)
Total from investment operations		(0.07	)		3.28			(0.22	)		3.20			0.52			0.25
LESS DISTRIBUTIONS:
From net investment income		(0.16	)		(0.51	)		(0.58	)		(1.90	)		(0.14	)		(0.00	) (C)
Total distributions		(0.16	)		(0.51	)		(0.58	)		(1.90	)		(0.14	)		(0.00	)
Net asset value, end of year/period	$	12.60		$	12.83		$	10.06		$	10.86		$	9.56		$	9.18
Total return (D)		(0.54	)% (J)		33.65	%		(2.53	)% (E)		37.12	% (E)		5.58	% (E)		2.82	% (E)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	27,458		$	13,659		$	324		$	164		$	216		$	140
Ratios to average net assets(including dividend and interest expense)
Expenses, before waiver and reimbursement (F,H)		1.96	% (K)		2.83	%		4.63	%		5.77	%		5.25	%		5.10	%
Expenses, net waiver and reimbursement (F,H)		2.02	% (K)		2.02	%		2.06	%		2.03	%		2.04	%		2.02	%
Net investment income (loss), before waiver and reimbursement (H,I)		3.13	% (K)		1.25	%		(4.14	)%		(3.44	)%		(1.47	)%		(1.24	)%
Net investment income (loss), net waiver and reimbursement (H,I)		3.12	% (K)		2.06	%		(1.53	)%		0.35	%		1.74	%		1.67	%
Portfolio turnover rate		0	% (J)		43	%		1335	%		121	%		75	%		120	%
	Class C
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	12.28		$	9.63		$	10.41		$	9.23		$	8.85		$	8.72
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		0.14			0.14			(0.25	)		(0.04	)		0.08			0.07
Net realized and unrealized gain (loss) on investments		(0.25	)		2.93			(0.05	)		3.04			0.35			0.09	(B)
Total from investment operations		(0.11	)		3.07			(0.30	)		3.00			0.43			0.16
LESS DISTRIBUTIONS:
From net investment income		(0.12	)		(0.42	)		(0.48	)		(1.82	)		(0.05	)		(0.03	)
Total distributions		(0.12	)		(0.42	)		(0.48	)		(1.82	)		(0.05	)		(0.03	)
Net asset value, end of year/period	$	12.05		$	12.28		$	9.63		$	10.41		$	9.23		$	8.85
Total return (D)		(0.90	)% (J)		32.72	%		(3.32	)% (E)		35.99	% (E)		4.84	% (E)		1.94	% (E)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	7,003		$	3,122		$	133		$	184		$	188		$	269
Ratios to average net assets(including dividend and interest expense)
Expenses, before waiver and reimbursement (G,H)		2.71	% (K)		3.58	%		5.38	%		6.53	%		6.00	%		5.85	%
Expenses, net waiver and reimbursement (G,H)		2.77	% (K)		2.77	%		2.81	%		2.78	%		2.79	%		2.77	%
Net investment income (loss), before waiver and reimbursement (H,I)		2.40	% (K)		0.46	%		(5.13	)%		(4.16	)%		(2.32	)%		(2.36	)%
Net investment income (loss), net waiver and reimbursement (H,I)		2.38	% (K)		1.27	%		(2.35	)%		(0.39	)%		0.89	%		0.81	%
Portfolio turnover rate		0	% (J)		43	%		1335	%		121	%		75	%		120	%

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

(B) As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for the year ended June 30, 2019, primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio.

(C) Represents less than $0.01 per share.

(D) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(E) 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.

(F) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (H)	1.96	% (K)	2.83	%	4.59	%	5.76	%	5.23	%	5.10	%
Expenses, net waiver and reimbursement (H)	2.02	% (K)	2.02	%	2.02	%	2.02	%	2.02	%	2.02	%

(G) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (H)	2.71	% (K)	3.58	%	5.34	%	6.52	%	5.98	%	5.85	%
Expenses, net waiver and reimbursement (H)	2.77	% (K)	2.77	%	2.77	%	2.77	%	2.77	%	2.77	%

(H) Does not include expenses of the underlying investment companies in which the Fund invests.

(I) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(J) Not annualized.

(K) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

54

CATALYST FUNDS

Catalyst Systematic Alpha Fund (Consolidated) (Continued)

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class I
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	12.55		$	9.87		$	10.67		$	9.43		$	9.05		$	8.91
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		0.21			0.25			(0.14	)		0.06			0.19			0.15
Net realized and unrealized gain (loss) on investments		(0.27	)		2.99			(0.06	)		3.12			0.35			0.10	(B)
Total from investment operations		(0.06	)		3.24			(0.20	)		3.18			0.54			0.25
LESS DISTRIBUTIONS:
From net investment income		(0.17	)		(0.56	)		(0.60	)		(1.94	)		(0.16	)		(0.11	)
From net realized gains on investments		—			—			—			—			—			—
Total distributions		(0.17	)		(0.56	)		(0.60	)		(1.94	)		(0.16	)		(0.11	)
Net asset value, end of year/period	$	12.32		$	12.55		$	9.87		$	10.67		$	9.43		$	9.05
Total return (C)		(0.42	)% (H)		33.95	%		(2.42	)% (D)		37.47	% (D)		5.88	% (D)		2.97	% (D)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	272,347		$	75,232		$	6,044		$	2,505		$	2,519		$	2,206
Ratios to average net assets(including dividend and interest expense)
Expenses, before waiver and reimbursement (E,F)		1.71	% (I)		2.58	%		4.38	%		5.52	%		5.00	%		4.85	%
Expenses, net waiver and reimbursement(E,F)		1.77	% (I)		1.77	%		1.81	%		1.78	%		1.79	%		1.77	%
Net investment income (loss), before waiver and reimbursement (F,G)		3.39	% (I)		1.40	%		(3.84	)%		(3.10	)%		(1.22	)%		(1.29	)%
Net investment income (loss), net waiver and reimbursement (F,G)		3.37	% (I)		2.21	%		(1.27	)%		0.63	%		1.99	%		1.79	%
Portfolio turnover rate		0	% (H)		43	%		1335	%		121	%		75	%		120	%

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

(B) As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for the year ended June 30, 2019, primarily due to timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio.

(D) Represents less than $0.01 per share.

(C) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(D) 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.

(E) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (F)	1.71	% (I)	2.58	%	4.34	%	5.51	%	4.98	%	4.85	%
Expenses, net waiver and reimbursement (F)	1.77	% (I)	1.77	%	1.77	%	1.77	%	1.77	%	1.77	%

(F) Does not include expenses of the underlying investment companies in which the Fund invests.

(G) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(H) Not annualized.

(I) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

55

CATALYST FUNDS

Catalyst/Aspect Enhanced Multi-Asset Fund

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class A
	For the
	Period Ended
	December 31, 2023		(A)
Net asset value, beginning of period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (B)		(0.00	) (C)
Net realized and unrealized gain (loss) on investments		—
Total from investment operations		(0.00	) (C)
Net asset value, end of year/period	$	10.00
Total return (D)		0.00	% (E)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	1
Ratios to average net assets
Expenses, before waiver and reimbursement		181.80	% (F)
Expenses, net waiver and reimbursement		2.24	% (F)
Net investment income (loss), before waiver and reimbursement		(181.80	)% (F)
Net investment income (loss) net waiver and reimbursement		(2.24	)% (F)
Portfolio turnover rate		0	% (E)
	Class C
	For the
	Period Ended
	December 31, 2023		(A)
Net asset value, beginning of period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (B)		(0.00	) (C)
Net realized and unrealized gain (loss) on investments		—
Total from investment operations		(0.00	) (C)
Net asset value, end of year/period	$	10.00
Total return (D)		0.00	% (E)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (in 000’s)	$	1
Ratios to average net assets
Expenses, before waiver and reimbursement		182.55	% (F)
Expenses, net waiver and reimbursement		2.99	% (F)
Net investment income (loss), before waiver and reimbursement		(182.55	)% (F)
Net investment income (loss) net waiver and reimbursement		(2.99	)% (F)
Portfolio turnover rate		0	% (E)

(A) The Catalyst/Aspect Enhanced Multi-Asset Fund commenced operations December 28, 2023.

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

(C) Amount is less than $0.005.

(D) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(E) Not annualized.

(F) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

56

CATALYST FUNDS

Catalyst/Aspect Enhanced Multi-Asset Fund (Continued)

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class I
	For the
	Period Ended
	December 31, 2023		(A)
Net asset value, beginning of period	$	10.00
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment Income (loss) (B)		(0.00	) (C)
Net realized and unrealized gain (loss) on investments		—
Total from investment operations		(0.00	) (C)
Net asset value, end of year/period	$	10.00
Total return (D)		0.00	% (E)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	15,098
Ratios to average net assets
Expenses, before waiver and reimbursement		182.05	% (F)
Expenses, net waiver and reimbursement		1.99	% (F)
Net investment income (loss), before waiver and reimbursement		(182.05	)% (F)
Net investment income (loss) net waiver and reimbursement		(1.99	)% (F)
Portfolio turnover rate		0	% (E)

(A) The Catalyst/Aspect Enhanced Multi-Asset Fund commenced operations December 28, 2023.

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

(C) Amount is less than $0.005.

(D) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends.

(E) Not annualized.

(F) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

57

CATALYST FUNDS

Catalyst Nasdaq-100 Hedged Equity Fund

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class A
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	11.01		$	9.60		$	11.75		$	10.12		$	10.74		$	10.11
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		(0.05	)		(0.07	)		(0.14	)		(0.09	)		0.07			0.08
Net realized and unrealized gain (loss) on investments		0.77			1.71			(1.97	)		1.77			(0.10	)		0.58
Total from investment operations		0.72			1.64			(2.11	)		1.68			(0.03	)		0.66
LESS DISTRIBUTIONS:
From net investment income		—			—			—			—			(0.12	)		(0.03	)
From net realized gains on investments		—			(0.23	)		(0.04	)		(0.01	)		(0.47	)		—
From return of capital		—			—			—			(0.04	)		—			—
Total distributions		—			(0.23	)		(0.04	)		(0.05	)		(0.59	)		(0.03	)
Net asset value, end of year/period	$	11.73		$	11.01		$	9.60		$	11.75		$	10.12		$	10.74
Total return (C)		6.54	% (H)		17.60	%		(18.03	)%		16.68	%		(0.63	)%		6.54	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	631		$	598		$	873		$	1,522		$	1,815		$	2,417
Ratios to average net assets (including dividend and interest expense)
Expenses, before waiver and reimbursement (D,F)		2.87	% (I)		2.82	%		2.55	%		2.76	%		2.68	%		2.60	%
Expenses, net waiver and reimbursement (D,F)		1.91	% (I)		1.78	%		1.74	%		1.72	%		1.63	%		1.60	%
Net investment loss, before waiver and reimbursement (F,G)		(1.95	)% (I)		(1.79	)%		(1.96	)%		(1.87	)%		(0.38	)%		(0.21	)%
Net investment income (loss), net waiver and reimbursement (F,G)		(0.99	)% (I)		(0.75	)%		(1.15	)%		(0.83	)%		0.67	%		0.79	%
Portfolio turnover rate		12	% (H)		82	%		51	%		205	%		145	%		112	%
	Class C
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	10.21		$	8.99		$	11.08		$	9.62		$	10.25		$	9.71
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		(0.09	)		(0.14	)		(0.21	)		(0.17	)		(0.01	)		0.00	(B)
Net realized and unrealized gain (loss) on investments		0.71			1.59			(1.84	)		1.68			(0.10	)		0.55
Total from investment operations		0.62			1.45			(2.05	)		1.51			(0.11	)		0.55
LESS DISTRIBUTIONS:
From net investment income		—			—			—			—			(0.05	)		(0.01	)
From net realized gains on investments		—			(0.23	)		(0.04	)		(0.01	)		(0.47	)		—
From return of capital		—			—			—			(0.04	)		—			—
Total distributions		—			(0.23	)		(0.04	)		(0.05	)		(0.52	)		(0.01	)
Net asset value, end of year/period	$	10.83		$	10.21		$	8.99		$	11.08		$	9.62		$	10.25
Total return (C)		6.07	% (H)		16.66	%		(18.58	)%		15.78	%		(1.36	)%		5.64	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	1,445		$	1,403		$	1,242		$	1,945		$	1,321		$	1,179
Ratios to average net assets(including dividend and interest expense)
Expenses, before waiver and reimbursement (E,F)		3.62	% (I)		3.57	%		3.30	%		3.51	%		3.43	%		3.35	%
Expenses, net waiver and reimbursement (E,F)		2.66	% (I)		2.53	%		2.49	%		2.47	%		2.38	%		2.35	%
Net investment loss, before waiver and reimbursement (F,G)		(2.69	)% (I)		(2.55	)%		(2.71	)%		(2.68	)%		(1.17	)%		(0.97	)%
Net investment income (loss), net waiver and reimbursement (F,G)		(1.73	)% (I)		(1.51	)%		(1.89	)%		(1.64	)%		(0.12	)%		0.03	%
Portfolio turnover rate		12	% (H)		82	%		51	%		205	%		145	%		112	%

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

(B) Represents an amount less than $0.01 per share.

(C) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(D) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (F)	2.70	% (I)	2.78	%	2.55	%	2.74	%	2.58	%	2.52	%
Expenses, net waiver and reimbursement (F)	1.74	% (I)	1.74	%	1.74	%	1.70	%	1.53	%	1.52	%

(E) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (F)	3.45	% (I)	3.53	%	3.30	%	3.49	%	3.33	%	3.27	%
Expenses, net waiver and reimbursement (F)	2.49	% (I)	2.49	%	2.49	%	2.45	%	2.28	%	2.27	%

(F) Does not include expenses of the underlying investment companies in which the Fund invests.

(G) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(H) Not annualized.

(I) Annualized.

The accompanying notes are an integral part of these financial statements.

58

CATALYST FUNDS

Catalyst Nasdaq-100 Hedged Equity Fund (Continued)

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class I
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	11.16		$	9.71		$	11.84		$	10.20		$	10.81		$	10.18
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		(0.05	)		(0.06	)		(0.11	)		(0.08	)		0.09			0.11
Net realized and unrealized gain (loss) on investments		0.79			1.74			(1.98	)		1.79			(0.09	)		0.57
Total from investment operations		0.74			1.68			(2.09	)		1.71			0.00			0.68
LESS DISTRIBUTIONS:
From net investment income		—			—			—			(0.02	)		(0.14	)		(0.05	)
From net realized gains on investments		—			(0.23	)		(0.04	)		(0.01	)		(0.47	)		—
From return of capital		—			—			—			(0.04	)		—			—
Total distributions		—			(0.23	)		(0.04	)		(0.07	)		(0.61	)		(0.05	)
Net asset value, end of year/period	$	11.90		$	11.16		$	9.71		$	11.84		$	10.20		$	10.81
Total return (B)		6.63	% (F)		17.81	%		(17.72	)%		16.91	%		(0.29	)%		6.73	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	14,224		$	11,158		$	12,227		$	11,146		$	7,043		$	8,613
Ratios to average net assets(including dividend and interest expense)
Expenses, before waiver and reimbursement (C,D)		2.62	% (G)		2.57	%		2.30	%		2.51	%		2.43	%		2.35	%
Expenses, net waiver and reimbursement (C,D)		1.66	% (G)		1.53	%		1.49	%		1.47	%		1.38	%		1.35	%
Net investment income (loss), before waiver and reimbursement (D,E)		(1.63	)% (G)		(1.55	)%		(1.68	)%		(1.69	)%		(0.15	)%		0.04	%
Net investment Income (loss), net waiver and reimbursement (D,E)		(0.67	)% (G)		(0.51	)%		(0.86	)%		(0.65	)%		0.90	%		1.04	%
Portfolio turnover rate		12	% (F)		82	%		51	%		205	%		145	%		112	%

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

(B) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (D)	2.45	% (G)	2.53	%	2.30	%	2.49	%	2.33	%	2.27	%
Expenses, net waiver and reimbursement (D)	1.49	% (G)	1.49	%	1.49	%	1.45	%	1.28	%	1.27	%

(D) Does not include expenses of the underlying investment companies in which the Fund invests.

(E) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(F) Not annualized.

(G) Annualized.

The accompanying notes are an integral part of these financial statements.

59

CATALYST FUNDS

Catalyst/Millburn Hedge Strategy Fund

Financial Highlights (Consolidated)

For a Share Outstanding Throughout Each Year/Period

	Class A
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of period	$	35.18		$	36.99		$	36.25		$	27.63		$	32.07		$	31.14
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment Income (loss) (A)		0.24			0.18			(0.45	)		(0.46	)		(0.14	)		(0.04	)
Net realized and unrealized gain (loss) on investments		0.15			0.72			1.19			10.29			(2.70	)		1.89
Total from investment operations		0.39			0.90			0.74			9.83			(2.84	)		1.85
LESS DISTRIBUTIONS:
From net investment income		(0.56	)		(1.42	)		—			(1.21	)		(1.60	)		(0.45	)
From return of capital		—			—			—			(0.00	) (G)		—			—
From net realized gains on investments		(0.15	)		(1.29	)		—			—			—			(0.47	)
Total distributions		(0.71	)		(2.71	)		—			(1.21	)		(1.60	)		(0.92	)
Net asset value, end of year/period	$	34.86		$	35.18		$	36.99		$	36.25		$	27.63		$	32.07
Total return (B)		1.03	% (H)		2.55	%		2.04	%		36.44	%		(9.48	)%		6.13	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	454,371		$	443,988		$	335,527		$	306,389		$	316,112		$	424,968
Ratios to average net assets (including interest expense)
Expenses, before waiver and reimbursement (C,E)		2.18	% (I)		2.17	%		2.20	%		2.22	%		2.19	%		2.19	%
Expenses, net waiver and reimbursement (C,E)		2.18	% (I)		2.17	%		2.20	%		2.22	%		2.19	%		2.18	%
Net investment income (loss), before waiver and reimbursement (C,D)		1.34	% (I)		0.51	%		(1.25	)%		(1.47	)%		(0.47	)%		(0.15	)%
Net investment income (loss), net waiver and reimbursement (C,D)		1.34	% (I)		0.51	%		(1.25	)%		(1.47	)%		(0.47	)%		(0.14	)%
Portfolio turnover rate		47	% (H)		30	%		9	%		13	%		54	%		19	%
	Class C
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	34.17		$	36.01		$	35.55		$	27.07		$	31.46		$	30.61
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment loss (A)		0.10			(0.10	)		(0.71	)		(0.68	)		(0.36	)		(0.27	)
Net realized and unrealized gain (loss) on investments		0.14			0.71			1.17			10.08			(2.65	)		1.86
Total from investment operations		0.24			0.61			0.46			9.40			(3.01	)		1.59
LESS DISTRIBUTIONS:
From net investment income		(0.30	)		(1.16	)		—			(0.92	)		(1.38	)		(0.27	)
From return of capital		—			—			—			(0.00	) (G)		—			—
From net realized gains on investments		(0.15	)		(1.29	)		—			—			—			(0.47	)
Total distributions		(0.45	)		(2.45	)		—			(0.92	)		(1.38	)		(0.74	)
Net asset value, end of year/period	$	33.96		$	34.17		$	36.01		$	35.55		$	27.07		$	31.46
Total return (B)		0.65	% (H)		1.77	%		1.29	%		35.42	%		(10.15	)%		5.33	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	362,992		$	363,845		$	335,127		$	334,331		$	326,297		$	408,511
Ratios to average net assets (including interest expense)
Expenses, before waiver and reimbursement (C,F)		2.93	% (I)		2.92	%		2.95	%		2.97	%		2.94	%		2.94	%
Expenses, net waiver and reimbursement (C,F)		2.93	% (I)		2.92	%		2.95	%		2.97	%		2.94	%		2.93	%
Net investment loss, before waiver and reimbursement (C,D)		0.57	% (I)		(0.28	)%		(2.00	)%		(2.21	)%		(1.22	)%		(0.90	)%
Net investment loss, net waiver and reimbursement (C,D)		0.57	% (I)		(0.28	)%		(2.00	)%		(2.21	)%		(1.22	)%		(0.89	)%
Portfolio turnover rate		47	% (H)		30	%		9	%		13	%		54	%		19	%

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

(B) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower in 2019.

(C) Does not include expenses of the underlying investment companies in which the Fund invests.

(D) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(E) Ratios to average net assets (excluding interest expense)

Expenses, before waiver and reimbursement (C)	2.17	% (I)	2.17	%	2.18	%
Expenses, net waiver and reimbursement (C)	2.17	% (I)	2.17	%	2.18	%

(F) Ratios to average net assets (excluding interest expense)

Expenses, before waiver and reimbursement (C)	2.92	% (I)	2.92	%	2.93	%
Expenses, net waiver and reimbursement (C)	2.92	% (I)	2.91	%	2.93	%

(G) Amount is less than $0.005.

(H) Not annualized.

(I) Annualized.

The accompanying notes are an integral part of these consolidated financial statements.

60

CATALYST FUNDS

Catalyst/Millburn Hedge Strategy Fund (Continued)

Financial Highlights (Consolidated)

For a Share Outstanding Throughout Each Year/Period

	Class C-1
	For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Period Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021 (A)
	(Unaudited)
Net asset value, beginning of year/period	$	34.00		$	36.01		$	35.55		$	27.37
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment Income (loss) (B)		0.11			—	(H)		(0.63	)		(0.20	)
Net realized and unrealized gain on investments		0.12			0.62			1.09			9.30
Total from investment operations		0.23			0.62			0.46			9.10
LESS DISTRIBUTIONS:
From net investment income		(0.35	)		(1.34	)		—			(0.92	)
From return of capital		—			—			—			(0.00	) (H)
From net realized gains on investments		(0.15	)		(1.29	)		—			—
Total distributions		(0.50	)		(2.63	)		—			(0.92	)
Net asset value, end of year/period	$	33.73		$	34.00		$	36.01		$	35.55
Total return (C)		0.63	% (D)		1.79	%		1.29	%		33.93	% (D)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	32,331		$	28,127		$	5,375		$	882
Ratios to average net assets (Including interest expense)
Expenses, before waiver and reimbursement (E,I)		2.93	% (F)		2.92	%		2.95	%		2.95	% (F)
Expenses, net waiver and reimbursement (E,I)		2.93	% (F)		2.92	%		2.95	%		2.95	% (F)
Net investment income (loss), before waiver and reimbursement (E,G)		0.62	% (F)		(0.01	)%		(1.78	)%		(0.83	)% (F)
Net investment income (loss), net waiver and reimbursement (E,G)		0.62	% (F)		(0.01	)%		(1.78	)%		(0.83	)% (F)
Portfolio turnover rate		47	% (D)		30	%		9	%		13	% (D)
	Class I
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	35.45		$	37.25		$	36.41		$	27.78		$	32.23		$	31.29
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (B)		0.29			0.29			(0.35	)		(0.38	)		(0.07	)		0.04
Net realized and unrealized gain (loss) on investments		0.14			0.70			1.19			10.33			(2.70	)		1.90
Total from investment operations		0.43			0.99			0.84			9.95			(2.77	)		1.94
LESS DISTRIBUTIONS:
From net investment income		(0.64	)		(1.50	)		—			(1.32	)		(1.68	)		(0.53	)
From return of capital		—			—			—			(0.00	) (H)		—			—
From net realized gains on investments		(0.15	)		(1.29	)		—			—			—			(0.47	)
Total distributions		(0.79	)		(2.79	)		—			(1.32	)		(1.68	)		(1.00	)
Net asset value, end of year/period	$	35.09		$	35.45		$	37.25		$	36.41		$	27.78		$	32.23
Total return (C)		1.15	% (D)		2.77	%		2.31	%		36.78	%		(9.25	)%		6.42	%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	5,367,406		$	5,222,008		$	3,334,146		$	2,377,768		$	2,476,317		$	4,096,347
Ratios to average net assets (including interest expense)
Expenses, before waiver and reimbursement (E,J)		1.93	% (F)		1.92	%		1.95	%		1.97	%		1.94	%		1.94	%
Expenses, net waiver and reimbursement (E,J)		1.93	% (F)		1.92	%		1.95	%		1.97	%		1.94	%		1.93	%
Net investment income (loss), before waiver and reimbursement (E,G)		1.58	% (F)		0.79	%		(0.95	)%		(1.21	)%		(0.22	)%		0.11	%
Net investment income (loss), net waiver and reimbursement (E,G)		1.58	% (F)		0.79	%		(0.95	)%		(1.21	)%		(0.22	)%		0.12	%
Portfolio turnover rate	��	47	% (D)		30	%		9	%		13	%		54	%		19	%

(A) The Catalyst/Millburn Hedge Strategy Fund Class C-1 shares commenced operations on October 30, 2020.

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

(C) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(D) Not annualized.

(E) Does not include expenses of the underlying investment companies in which the Fund invests.

(F) Annualized.

(G) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(H) Amount is less than $0.005.

(I) Ratios to average net assets (excluding interest expense)

Expenses, before waiver and reimbursement (E)	2.92	% (F)	2.91	%	2.93	%
Expenses, net waiver and reimbursement (E)	2.92	% (F)	2.91	%	2.93	%

(J) Ratios to average net assets (excluding interest expense)

Expenses, before waiver and reimbursement (E)	1.92	% (F)	1.92	%	1.93	%
Expenses, net waiver and reimbursement (E)	1.92	% (F)	1.92	%	1.93	%

The accompanying notes are an integral part of these consolidated financial statements.

61

CATALYST FUNDS

Catalyst Buffered Shield Fund

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class A
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	8.77		$	8.44		$	11.24		$	9.64		$	9.87		$	10.30
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		0.13			0.12			(0.02	)		0.01			0.08			0.09
Net realized and unrealized gain (loss) on investments		0.40			0.27			(1.06	)		1.78			0.28			0.34
Total from investment operations		0.53			0.39			(1.08	)		1.79			0.36			0.43
LESS DISTRIBUTIONS:
From net investment income		(0.21	)		(0.06	)		—			(0.04	)		(0.09	)		(0.09	)
From net realized gains on investments		—			—			(1.72	)		(0.15	)		(0.50	)		(0.77	)
Total distributions		(0.21	)		(0.06	)		(1.72	)		(0.19	)		(0.59	)		(0.86	)
Net asset value, end of year/period	$	9.09		$	8.77		$	8.44		$	11.24		$	9.64		$	9.87
Total return (B)		6.07	% (I)		4.60	%		(11.85	)%		18.71	%		3.51	%		5.01	% (C)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	7,209		$	13,444		$	20,599		$	23,714		$	17,787		$	16,053
Ratios to average net assets (including dividend and interest expense)
Expenses, before waiver and reimbursement (D,F)		2.08	% (J)		2.05	%		1.81	%		1.83	%		2.03	%		2.27	%
Expenses, net waiver and reimbursement (D,F)		1.50	% (J)		1.55	%		1.48	%		1.48	%		1.54	%		1.55	%
Ratios of net Investment income (loss) (including dividend and interest expense)
Net investment income (loss), before waiver and reimbursement (F,G)		2.41	% (J)		0.89	%		(0.50	)%		(0.27	)%		0.28	%		0.19	%
Net investment income (loss), net waiver and reimbursement (F,G)		3.00	% (J)		1.39	%		(0.17	)%		0.08	%		0.77	%		0.91	%
Portfolio turnover rate		0	% (I)		111	%		77	%		32	%		138	%		137	%
	Class C
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	8.48		$	8.17		$	11.01		$	9.48		$	9.74		$	10.21
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (loss) (A)		0.10			0.05			(0.09	)		(0.07	)		0.00	(H)		0.01
Net realized and unrealized gain (loss) on investments		0.38			0.26			(1.03	)		1.75			0.28			0.34
Total from investment operations		0.48			0.31			(1.12	)		1.68			0.28			0.35
LESS DISTRIBUTIONS:
From net investment income		(0.13	)		(0.00	) (H)		—			—			(0.04	)		(0.05	)
From net realized gains on investments		—			—			(1.72	)		(0.15	)		(0.50	)		(0.77	)
Total distributions		(0.13	)		(0.00	) (H)		(1.72	)		(0.15	)		(0.54	)		(0.82	)
Net asset value, end of year/period	$	8.83		$	8.48		$	8.17		$	11.01		$	9.48		$	9.74
Total return (B)		5.72	% (I)		3.81	%		(12.51	)% (C)		17.86	% (C)		2.67	%		4.23	% (C)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	3,450		$	4,084		$	4,348		$	4,720		$	3,337		$	1,530
Ratios to average net assets (including dividend and interest expense)
Expenses, before waiver and reimbursement (E,F)		2.83	% (J)		2.80	%		2.56	%		2.58	%		2.78	%		3.02	%
Expenses, net waiver and reimbursement (E,F)		2.25	% (J)		2.30	%		2.23	%		2.23	%		2.29	%		2.30	%
Ratios of net Investment income (loss) (including dividend and interest expense)
Net investment income (loss), before waiver and reimbursement (F,G)		1.69	% (J)		0.16	%		(1.25	)%		(1.02	)%		(0.52	)%		(0.61	)%
Net investment income (loss), net waiver and reimbursement (F,G)		2.27	% (J)		0.66	%		(0.92	)%		(0.67	)%		(0.03	)%		0.11	%
Portfolio turnover rate		0	% (I)		111	%		77	%		32	%		138	%		137	%

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

(B) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

(C) Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values 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.

(D) Ratios to average net assets (excluding dividend and interest expense) (Class A)

Expenses, before waiver and reimbursement	2.06	% (J)	1.98	%	1.81	%	1.83	%	1.97	%	2.19	%
Expenses, net waiver and reimbursement	1.48	% (J)	1.48	%	1.48	%	1.48	%	1.48	%	1.47	%

(E) Ratios to average net assets (excluding dividend and interest expense) (Class C)

Expenses, before waiver and reimbursement	2.81	% (J)	2.73	%	2.56	%	2.58	%	2.72	%	2.94	%
Expenses, net waiver and reimbursement	2.23	% (J)	2.23	%	2.23	%	2.23	%	2.23	%	2.22	%

(F) Does not include expenses of the underlying investment companies in which the Fund invests.

(G) Recognition of net investment (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(H) Less than 0.01 per share.

(I) Not annualized.

(J) Annualized.

The accompanying notes are an integral part of these financial statements.

62

CATALYST FUNDS

Catalyst Buffered Shield Fund (Continued)

Financial Highlights

For a Share Outstanding Throughout Each Year/Period

	Class I
	For the			For the			For the			For the			For the			For the
	Six Months Ended			Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	December 31, 2023			June 30, 2023			June 30, 2022			June 30, 2021			June 30, 2020			June 30, 2019
	(Unaudited)
Net asset value, beginning of year/period	$	8.84		$	8.52		$	11.32		$	9.70		$	9.93		$	10.36
INCOME (LOSS) FROM INVESTMENT OPERATIONS:
Net investment income (A)		0.14			0.13			0.01			0.03			0.09			0.12
Net realized and unrealized gain (loss) on investments		0.41			0.28			(1.08	)		1.80			0.29			0.34
Total from investment operations		0.55			0.41			(1.07	)		1.83			0.38			0.46
LESS DISTRIBUTIONS:
From net investment income		(0.23	)		(0.09	)		(0.01	)		(0.06	)		(0.11	)		(0.12	)
From net realized gains on investments		—			—			(1.72	)		(0.15	)		(0.50	)		(0.77	)
Total distributions		(0.23	)		(0.09	)		(1.73	)		(0.21	)		(0.61	)		(0.89	)
Net asset value, end of year/period	$	9.16		$	8.84		$	8.52		$	11.32		$	9.70		$	9.93
Total return (B)		6.29	% (G)		4.83	%		(11.70	)% (C)		19.07	% (C)		3.74	%		5.27	% (C)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year/period (in 000’s)	$	15,927		$	23,466		$	50,313		$	60,463		$	32,703		$	13,629
Ratios to average net assets(including dividend and interest expense)
Expenses, before waiver and reimbursement (D,E)		1.83	% (H)		1.80	%		1.56	%		1.58	%		1.78	%		2.02	%
Expenses, net waiver and reimbursement (D,E)		1.25	% (H)		1.30	%		1.23	%		1.23	%		1.29	%		1.30	%
Ratios of net Investment income (loss) (including dividend and interest expense)
Net investment income (loss), before waiver and reimbursement (E,F)		2.67	% (H)		1.09	%		(0.26	)%		(0.04	)%		0.46	%		0.44	%
Net investment Income, net waiver and reimbursement (E,F)		3.25	% (H)		1.59	%		0.07	%		0.31	%		0.95	%		1.16	%
Portfolio turnover rate		0	% (G)		111	%		77	%		32	%		138	%		137	%

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

(B) Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividend. Had the manager not waived its fees and reimbursed expenses, total return would have been lower.

^(C) 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.

(D) Ratios to average net assets (excluding dividend and interest expense)

Expenses, before waiver and reimbursement (E)	1.81	% (H)	1.73	%	1.56	%	1.58	%	1.72	%	1.94	%
Expenses, net waiver and reimbursement (E)	1.23	% (H)	1.23	%	1.23	%	1.23	%	1.23	%	1.22	%

(E) Does not include expenses of the underlying investment companies in which the Fund invests.

(F) Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

(G) Not annualized.

(H) Annualized.

The accompanying notes are an integral part of these financial statements.

63

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
December 31, 2023	SEMI-ANNUAL REPORT

(1) ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES

Mutual Fund Series Trust (the “Trust”), was organized as an Ohio business trust on February 27, 2006. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended, (“1940 Act”). The Trust currently consists of thirty-six series. Catalyst/Aspect Enhanced Multi-Asset Fund commenced operations on December 28, 2023. These financial statements include the following seven series set forth below (each a “Fund” and collectively, the “Funds”). The investment objectives of each Fund are set forth below. The Funds’ investment advisor is Catalyst Capital Advisors, LLC (the “Advisor” or “CCA”).

Fund	Sub-Advisor	Primary Objective
Catalyst/Millburn Dynamic Commodity Strategy	Millburn Ridgefield Corp.	Long term capital appreciation.
(“Dynamic Commodity” )
Catalyst/Warrington Strategic Program	Warrington Asset	Long term capital appreciation
(“Warrington” )	Management, LLC
Catalyst Systematic Alpha		Long term capital appreciation
(“Systematic Alpha” )
Catalyst/Aspect Enhanced Multi-Asset	Aspect Capital Limited	Long term capital appreciation
(“Enhanced Multi-Asset” )
Catalyst Nasdaq-100 Hedged Equity Fund	Equity Armor Investments, LLC	Long term capital appreciation
(“Hedged Equity” )
Catalyst/Millburn Hedge Strategy	Millburn Ridgefield Corp.	Long-term capital appreciation.
(“Millburn Hedge Strategy” )
Catalyst Buffered Shield	Exceed Advisory LLC	Long-term capital appreciation
(“Buffered Shield” )

Enhanced Multi-Asset is a non-diversified series of the Trust. All other Funds are diversified series of the Trust. The Millburn Hedge Strategy and Buffered Shield Funds are “fund of funds”, in that it generally invest in other investment companies.

Currently, each Fund offers Class A, Class C and Class I shares and Millburn Hedge Strategy also offers Class C-1 shares. Each class represents an interest in the same assets of the applicable Fund, and the 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 following is a summary of significant accounting policies consistently followed by the Funds which are in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services – Investment Companies” and Accounting Standards Update (“ASU”) 2013-08.

a) Securities 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 last bid price on the day of valuation. Debt securities including Bank Loans (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) pursuant to Rule 2a-5 under the 1940 Act 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. The Funds may invest in portfolios of open-end (the “open-end funds”) or closed-end investment companies. Open-end funds are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the boards of directors of the open-end funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost, provided each such valuation represents fair value. Options are valued at their closing price on the exchange they are traded on. When no closing price is available, options are valued at their mean price. Futures, which are traded on an exchange, are valued at the settlement price determined by the exchange. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from the swap counterparty issuing the swap. Foreign currency and forward currency exchange contracts are valued daily at the London Stock Exchange close each day.

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In some circumstances, instead of valuing securities in the usual manner, the Funds may value securities at “fair value” as determined in good faith by the Advisor as valuation designee, pursuant to the Rule 2a-5 procedures (the “Procedures”) approved by the Board. The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security. Fair value may also be used by the Board if extraordinary events occur after the close of the relevant world market but prior to the NYSE close.

Each Fund utilizes various methods to measure the fair value of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

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

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

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2023, for each Fund’s assets and liabilities measured at fair value.

Dynamic Commodity
Assets (a)	Level 1			Level 2		Level 3		Total
Common Stocks	$	5,550,919		$	—	$	—	$	5,550,919
U.S. Government & Agencies		—			2,069,474		—		2,069,474
Short-Term Investment		2,346,791			—		—		2,346,791
Total Assets	$	7,897,710		$	2,069,474	$	—	$	9,967,184
Derivatives
Assets
Futures Contracts(b)	$	58,252		$	—	$	—	$	58,252
Liabilities
Future Contracts(b)		(73,049	)		—		—		(73,049	)
Total Derivatives	$	(14,797	)	$	—	$	—	$	(14,797	)

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December 31, 2023	SEMI-ANNUAL REPORT

Warrington
Assets (a)	Level 1			Level 2			Level 3		Total
Short-Term Investments	$	35,995,409		$	64,798,751		$	—	$	100,794,160
Put Options Purchased		84,965			—			—		84,965
Total Assets	$	36,080,374		$	64,798,751		$	—	$	100,879,125
Derivatives(a)
Liabilities
Put Options Written	$	(77,880	)	$	—		$	—	$	(77,880	)
Total Derivatives	$	(77,880	)	$	—		$	—	$	(77,880	)
Systematic Alpha
Assets(a)	Level 1			Level 2			Level 3		Total
Convertible Bonds	$	—		$	667,013		$	—	$	667,013
Corporate Bonds		—			209,106,258			—		209,106,258
Short-Term Investments		21,264,676			69,650,785			—		90,915,461
Total Assets	$	21,264,676		$	279,424,056		$	—	$	300,688,732
Derivative
Liabilities
Total Return Swap(b)		—		$	(170,605	)	$	—		(170,605	)
Total Liabilities	$	—		$	(170,605	)	$	—	$	(170,605	)
Hedged Equity
Assets(a)	Level 1			Level 2			Level 3		Total
Common Stocks	$	12,350,522		$	—		$	—	$	12,350,522
Exchange-Traded Fund		2,315,426			—			—		2,315,426
Money Market Fund		380,193			—			—		380,193
Future Options Purchased		66,001			—			—		66,001
Total	$	15,112,142		$	—		$	—	$	15,112,142
Collateral for Securities Loaned (c)										4,467,107
Total Assets										19,579,249
Derivatives (a)
Assets
Futures Contracts(b)	$	70,478		$	—		$	—	$	70,478
Liabilities
Futures Contracts(b)	$	(96,954	)	$	—		$	—	$	(96,954	)
Future Options Written		(11,632	)		—			—		(11,632	)
Total Derivatives	$	(38,108	)	$	—		$	—	$	(38,108	)

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December 31, 2023	SEMI-ANNUAL REPORT

Millburn Hedge Strategy
Assets(a)	Level 1			Level 2			Level 3		Total
Exchange-Traded Funds	$	3,203,026,239		$	—		$	—	$	3,203,026,239
U.S. Government & Agencies		—			2,110,943,506			—		2,110,943,506
Short-Term Investment		615,760,788			—			—		615,760,788
Total Assets	$	3,818,787,027		$	2,110,943,506		$	—	$	5,929,730,533
Derivatives
Assets
Futures Contracts (b)	$	40,173,547		$	—		$	—	$	40,173,547
Forward Foreign Currency Contracts (b)		—			134,518,233			—		134,518,233
Liabilities
Futures Contracts (b)	$	(78,675,490	)	$	—		$	—	$	(78,675,490	)
Forward Foreign Currency Contracts (b)		—			(175,429,829	)		—		(175,429,829	)
Total Derivatives	$	(38,501,943	)	$	(40,911,596	)	$	—	$	(79,413,539	)
Buffered Shield
Assets(a)	Level 1			Level 2			Level 3		Total
Exchange-Traded Funds	$	23,796,172		$	—		$	—	$	23,796,172
Call Options Purchased		2,742,726			726,720			—		3,469,446
Put Options Purchased		138,420			—			—		138,420
Total Assets	$	26,677,318		$	726,720		$	—	$	27,404,038
Derivatives
Liabilities (a)
Call Options Written	$	(826,400	)	$	—		$	—	$	(826,400	)
Put Options Written		(268,274	)		—			—		(268,274	)
Total Liabilities	$	(1,094,674	)	$	—		$	—	$	(1,094,674	)

The Funds did not hold any Level 3 securities during the year.

^(a) Refer to the Schedule of Investments for security details.

^(b) Amounts shown for swaps, futures and forwards are unrealized appreciation/depreciation.

^(c) In accordance with Subtopic 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy. The fair value amount presented in this table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities.

b) Accounting for Options – The Funds are subject to equity price risks in the normal course of pursuing their investment objective and may purchase or sell options to help hedge against risk. When the Funds write a call or put option, an amount equal to the premium received is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Funds enter into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the purchase cost of the underlying security is reduced by the premium originally received. As writer of an option, the Funds have no control over whether the option will be exercised and, as a result, retain the market risk of an unfavorable change in the price of the security underlying the written option.

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December 31, 2023	SEMI-ANNUAL REPORT

Certain Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in a Fund’s portfolio. If such a decline occurs, the put options will permit a Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by a Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to a Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to a Fund, the benefits realized by a Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Funds since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default. Initial margin deposits required upon entering into options contracts are satisfied by the deposits of cash as collateral for the account of the broker (the Funds’ agent in acquiring the options). For the six months ended Decemmber 31, 2023, Warrington, Hedged Equity and Buffered Shield invested in options.

Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, a Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by a Fund as unrealized gains and losses. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, a Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. For the six months ended December 31, 2023, Dynamic Commodity, Warrington, Hedged Equity and Millburn Hedge Strategy invested in futures.

Swap Agreements – Systematic Alpha has entered into various swap transactions for investment purposes. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.

The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Funds’ maximum risk of loss from counterparty credit risk is the unrealized appreciation to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.

Forward Currency Contracts – A Fund may enter into forward foreign currency exchange contracts as an investment strategy consistent with that Fund’s investment objective. As foreign securities are purchased, a Fund generally enters into forward foreign currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency transactions in the Statements of Operations.

Foreign Currency – All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities and income and expenses are translated

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December 31, 2023	SEMI-ANNUAL REPORT

at the rate of exchange quoted on the respective date that such transactions are recorded. The Funds do not isolate the portion of the results of operations for realized gain and losses resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.

Consolidation of Subsidiaries – CHCSF Fund Limited (Dynamic Commodity-CFC), CSACS Fund Limited (Systematic – CFC), CMHSF Fund Limited (Millburn-CFC) the (“CFCs”) The Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and the Consolidated Financial Highlights of the Funds include the accounts of Dynamic Commodity, Systematic Alpha, and Millburn Hedge Strategy, which include the accounts of Dynamic Commodity-CFC, Systematic-CFC, and Millburn-CFC respectively, which all are wholly-owned and controlled foreign subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation.

Each Fund may invest up to 25% of its total assets in a controlled foreign corporation (“CFC”), which acts as an investment vehicle in order to affect certain investments consistent with the Funds investment objectives and policies.

A summary of each Fund’s investment in its respective CFC is as follows:

	Inception Date of	CFC Net Assets as of	% of Net Assets as of
	CFC	December 31, 2023	December 31, 2023
Dynamic Commodity – CFC	6/25/2015	$ 1,636,285	15.59%
Systematic – CFC	12/19/2017	72,254,131	23.55%
Millburn Hedge Strategy - CFC	11/2/2015	1,018,740,340	16.39%

For tax purposes, the CFCs are exempted Cayman investment companies. The CFCs have received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the CFCs are a controlled foreign corporation which generates and is allocated no income which is considered effectively connected with U.S. trade of business and as such is not subject to U.S. income tax. However, as a wholly-owned controlled foreign corporation, the CFCs net income and capital gain, to the extent of its earnings and profits, will be included each year in the respective Fund’s investment company taxable income.

In accordance with its investment objectives and through its exposure to the aforementioned managed futures programs, the Funds may have increased or decreased exposure to one or more of the following risk factors defined below:

Market Risk – Overall market risks may also affect the value of the Funds. The market values of securities or other investments owned by the Funds will go up or down, sometimes rapidly or unpredictably. Factors such as economic growth and market conditions, interest rate levels, exchange rates and political events affect the securities markets. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments. Unexpected local, regional or global events and their aftermath, such as war; acts of terrorism; financial, political or social disruptions; natural, environmental or man-made disasters; climate change and climate-related events; the spread of infectious illnesses or other public health issues; recessions and depressions; or other tragedies, catastrophes and events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to a Fund’s net asset value, and may impair market liquidity, thereby increasing liquidity risk. Such events can cause investor fear and panic, which can adversely affect the economies of many companies, sectors, nations, regions and the market in general, in ways that cannot necessarily be foreseen. The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. In times of severe market disruptions you could lose your entire investment.

Derivatives Risk – The use of derivative instruments, such as forwards, futures, options and swaps, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. These risks include (i) the risk that the counterparty to a derivative transaction may not fulfill its contractual obligations; (ii) risk of mispricing or improper valuation; and (iii) the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Derivative prices are highly volatile and may fluctuate substantially during a short period of time. Such prices are influenced by numerous factors that affect the markets, including, but not limited to: changing supply and demand relationships; government programs and policies; national and international political and economic events, changes in interest rates, inflation and deflation and changes in supply and demand

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December 31, 2023	SEMI-ANNUAL REPORT

relationships. Trading derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities.

Commodity Risk – Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.

Counterparty Risk – Counterparty risk is the risk that a counterparty to a financial instrument held by the Fund or by a special purpose or structured vehicle invested in by the Fund may become insolvent or otherwise fail to perform its obligations, and the Fund may obtain no or limited recovery of its investment, and any recovery may be significantly delayed.

Credit Risk – Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.

Foreign Exchange Rate Risk – Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.

Interest Rate Risk – Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.

Volatility Risk – Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.

Derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities at December 31, 2023, were as follows:

			Location of derivatives on Statements	Fair value of asset/liability
Fund	Derivative	Risk Type	of Assets and Liabilities	derivatives
Dynamic Commodity
	Futures	Commodity	Futures unrealized appreciation	$	58,252
	Futures	Commodity	Futures unrealized depreciation	$	(73,049	)
			Totals	$	(14,797	)
Warrington
	Put options purchased	Equity	Investments in securities, at value	$	84,965
	Put options written	Equity	Options written, at value		(77,880	)
			Totals	$	7,085
Systematic Alpha
	Swap Contracts	Commodity/Interest *	Unrealized depreciation on swaps	$	(170,605	)
			Totals	$	(170,605	)

* The risk types relates to the positions in the underlying index, which are included within the Schedule of Investments.

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			Location of derivatives on Statements of	Fair value of asset/liability
Fund	Derivative	Risk Type	Assets and Liabilities	derivatives
Hedged Equity
	Futures Contracts	Equity	Futures unrealized appreciation	$	70,478
	Futures Contracts	Equity	Futures unrealized depreciation		(96,954	)
			Totals	$	(26,476	)
	Put Options Purchased	Equity	Investments in securities, at value	$	66,001
	Call Options Written	Equity	Options written, at value	$	(7,425	)
	Put Options Written	Equity	Options written, at value		(4,207	)
			Totals	$	54,369
Millburn Hedge Strategy
	Futures Contracts	Commodity	Futures unrealized appreciation	$	7,822,236
	Futures Contracts	Currency	Futures unrealized appreciation		1,155,829
	Futures Contracts	Equity	Futures unrealized appreciation		11,960,408
	Futures Contracts	Interest Rate	Futures unrealized appreciation		19,235,074
			Totals	$	40,173,547
	Futures Contracts	Commodity	Futures unrealized depreciation	$	(41,266,160	)
	Futures Contracts	Currency	Futures unrealized depreciation		(1,810,632	)
	Futures Contracts	Equity	Futures unrealized depreciation		(1,752,176	)
	Futures Contracts	Interest Rate	Futures unrealized depreciation		(33,846,522	)
			Totals	$	(78,675,490	)
	Foreign Forward Currency Contract	Currency	Unrealized appreciation on
			forward currency exchange contracts	$	134,518,233
	Foreign Forward Currency Contract	Currency	Unrealized depreciation on
			forward currency exchange contracts		(175,429,829	)
			Totals	$	(40,911,596	)
Buffered Shield
	Call options purchased	Equity	Investments in securities, at value	$	3,469,446
	Put options purchased	Equity	Investments in securities, at value		138,420
	Call options written	Equity	Options written, at value		(826,400	)
	Put options written	Equity	Options written, at value		(268,274	)
			Totals	$	2,513,192

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December 31, 2023	SEMI-ANNUAL REPORT

The effect of derivative instruments on the Statements of Operations for the six months ended December 31, 2023, were as follows:

				Realized and unrealized
				gain (loss) on
Fund	Derivative	Risk Type	Location of gain (loss) on derivatives	derivatives
Dynamic Commodity
	Futures	Commodity	Net realized loss on futures	$	(72,755	)
	Futures	Commodity	Net change in unrealized depreciation on futures		(85,930	)
			Totals	$	(158,685	)
Warrington
	Options purchased	Equity	Net realized loss from options purchased	$	(9,407,875	)
	Options written	Equity	Net realized gain from options written		10,736,903
	Options purchased	Equity	Net change in unrealized appreciation on options purchased		411,815
	Options written	Equity	Net change in unrealized depreciation on options written		(263,270	)
			Totals	$	1,477,573
Systematic Alpha
	Swap Contracts	Commodity	Net realized gain from swaps	$	6,805,185
	Swap Contracts	Commodity	Net change in unrealized depreciation on swaps		(5,692,704	)
			Totals	$	1,112,481
Hedged Equity
	Options purchased	Equity	Net realized loss from options purchased	$	(764,754	)
	Options written	Equity	Net realized gain from options written		69,518
	Futures	Equity	Net realized gain from futures		160,621
	Options purchased	Equity	Net change in unrealized depreciation on options purchased		(84,862	)
	Options written	Equity	Net change in unrealized appreciation on options written		13,613
	Futures	Equity	Net change in unrealized appreciation on futures		262,850
			Totals	$	(343,014	)
Millburn Hedge Strategy
	Futures	Commodity	Net realized gain from futures	$	123,728,332
		Currency	Net realized loss from futures		(1,758,245	)
		Equity	Net realized loss on futures		(70,074,939	)
		Interest Rate	Net realized gain from futures		31,791,458
			Totals	$	83,686,606
	Forward Contracts	Currency	Net realized loss on foreign currency transactions	$	(94,242,840	)
	Futures	Commodity	Net change in unrealized depreciation on futures		(42,578,538	)
		Currency	Net change in unrealized depreciation on futures		(5,607,081	)
		Equity	Net change in unrealized depreciation on futures		(4,346,994	)
		Interest Rate	Net change in unrealized depreciation on futures		(85,934,750	)
			Totals	$	(138,467,363	)
	Forward Contracts	Currency	Net change in unrealized depreciation on foreign currency translations	$	(48,535,604	)
Buffered Shield
	Options purchased	Equity	Net realized loss from options purchased	$	(356,711	)
	Options written	Equity	Net realized gain from options written		787,563
	Options purchased	Equity	Net change in unrealized appreciation on options purchased		782,929
	Options written	Equity	Net change in unrealized depreciation on options written		(93,599	)
			Totals	$	1,120,182

72

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

The notional value of derivative instruments outstanding as of December 31, 2023, as disclosed in the Schedules 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 the Funds.

The following table presents the Funds’ assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of December 31, 2023:

											Financial		Cash
		Gross Amounts of			Derivatives available for						Instruments		Collateral
Dynamic Commodity	Counterparty	Recognized Assets			Offset			Net Amounts of Assets			Pledged		Received (2)			Net Amount
Description of Asset:
Futures Contracts	Goldman Sachs	$	58,252		$	(58,252	)	$	—			—	$	—		$	—
Total		$	58,252		$	(58,252	)	$	—			—	$	—		$	—
											Financial		Cash
		Gross Amounts of			Derivatives available for						Instruments		Collateral
	Counterparty	Recognized Liabilities			Offset			Net Amounts of Liabilities			Pledged		Pledged (2)			Net Amount
Description of Liability:
Futures Contracts	Goldman Sachs	$	(73,049	)	$	58,252		$	(14,797	)		—	$	14,797		$	—
Total		$	(73,049	)	$	58,252		$	(14,797	)		—	$	14,797		$	—
											Financial		Cash
		Gross Amounts of			Derivatives available for						Instruments		Collateral
Warrington	Counterparty	Recognized Assets			Offset			Net Amounts of Assets			Pledged		Received (2)			Net Amount
Description of Asset:
Options Purchased Contracts	ADM	$	67,715		$	(67,715	)	$	—		$	—	$	—		$	—
Options Purchased Contracts	StoneX		17,250			(17,250	)		—			—		—			—
Total		$	84,965		$	(84,965	)	$	—		$	—	$	—		$	—
											Financial		Cash
		Gross Amounts of			Derivatives available for						Instruments		Collateral
Description of Liability:	Counterparty	Recognized Liabilities			Offset			Net Amounts of Liabilities			Pledged		Pledged (2)			Net Amount
Options Written Contracts	ADM	$	(61,380	)	$	67,715		$	6,335		$	—	$	(6,335	)	$	—
Options Written Contracts	StoneX		(16,500	)		17,250			750			—		(750	)		—
Total		$	(77,880	)	$	84,965		$	7,085		$	—	$	(7,085	)	$	—
Systematic Alpha
											Financial		Cash
		Gross Amounts of			Derivatives available for						Instruments		Collateral
Description of Liability:	Counterparty	Recognized Liabilities			Offset			Net Amounts of Liabilities			Pledged		Received (2)			Net Amount
Total Return Swap	BNP Paribas	$	(170,605	)(1)	$	—		$	(170,605	)	$	—	$	—		$	(170,605	)
Total		$	(170,605	)	$	—		$	(170,605	)	$	—	$	—		$	(170,605	)

73

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

Hedged Equity
		Gross Amounts of			Derivatives available						Financial		Cash Collateral
Description of Asset:	Counterparty	Recognized Assets			for Offset			Net Amounts of Assets			Instruments		Received (2)		Net Amount
Futures Contracts	Wedbush	$	70,478		$	(70,478	)	$	—		$	—	$	—	$	—
Future Options	Wedbush		66,001			(11,632	)		54,369			—		—		54,369
Total		$	136,479		$	(82,110	)	$	54,369		$	—	$	—	$	54,369
		Gross Amounts of									Financial
		Recognized			Derivatives available						Instruments		Cash Collateral
Description of Liability:	Counterparty	Liabilities			for Offset			Net Amounts of Liabilities			Pledged		Pledged (2)		Net Amount
Futures Contracts	Wedbush	$	(96,954	)	$	70,478		$	(26,476	)	$	—	$	26,476	$	—
Future Options	Wedbush		(11,632	)		11,632		$	—			—		—	$	—
Total		$	(108,586	)	$	82,110		$	(26,476	)	$	—	$	26,476		—
Millburn Hedge Strategy
											Financial
		Gross Amounts of			Derivatives available						Instruments		Cash Collateral
Description of Asset:	Counterparty	Recognized Assets			for Offset			Net Amounts of Assets			Pledged		Received		Net Amount
Futures Contracts	Bank of America Merrill Lynch	$	4,330,324		$	(20,817,323	)	$	(16,486,999	)	$	—	$	—	$	(16,486,999	)
Futures Contracts	Deutsche Bank		6,973,763			(11,524,448	)		(4,550,685	)		—		—		(4,550,685	)
Futures Contracts	Goldman Sachs		28,869,460			(46,333,719	)		(17,464,259	)		—		—		(17,464,259	)
Forward Contracts	Bank of America Merrill Lynch		72,073,332			(97,798,028	)		(25,724,696	)		—		—		(25,724,696	)
Forward Contracts	Deutsche Bank		62,444,901			(77,461,233	)		(15,016,332	)		—		—		(15,016,332	)
Total		$	174,691,780		$	(253,934,751	)	$	(79,242,971	)	$	—	$	—	$	(79,242,971	)
		Gross Amounts of									Financial
		Recognized			Derivatives available						Instruments		Cash Collateral
Description of Liability:	Counterparty	Liabilities			for Offset			Net Amounts of Liabilities			Pledged		Pledged (2)		Net Amount
Futures Contracts	Bank of America Merrill Lynch	$	(20,817,323	)	$	20,817,323		$	—		$	—	$	—	$	—
Futures Contracts	Deutsche Bank		(11,524,448	)		11,524,448			—			—		—		—
Futures Contracts	Goldman Sachs		(46,333,719	)		46,333,719			—			—		—		—
Forward Contracts	Bank of America Merrill Lynch		(97,798,028	)		97,798,028			—			—		—		—
Forward Contracts	Deutsche Bank		(77,461,233	)		77,461,233			—			—		—		—
Total		$	(253,934,751	)	$	253,934,751		$	—		$	—	$	—	$	—
Buffered Shield
		Gross Amounts of									Financial
		Recognized			Derivatives available						Instruments		Cash Collateral
Description of Asset:	Counterparty	Liabilities			for Offset			Net Amounts of Liabilities			Pledged		Received (2)		Net Amount
Options Purchased Contracts	StoneX	$	3,607,866		$	(1,094,674	)	$	2,513,192		$	—	$	—	$	2,513,192
Total		$	3,607,866		$	(1,094,674	)	$	2,513,192		$	—	$	—	$	2,513,192
		Gross Amounts of									Financial
		Recognized			Derivatives available						Instruments		Cash Collateral
Description of Liability:	Counterparty	Liabilities			for Offset			Net Amounts of Liabilities			Pledged		Pledged (2)		Net Amount
Options Written Contracts	StoneX	$	(1,094,674	)	$	1,094,674		$	—		$	—	$	—	$	—
Total		$	(1,094,674	)	$	1,094,674		$	—		$	—	$	—	$	—

⁽¹⁾ Value as presented in the Schedule of Investments.

⁽²⁾ Excess collateral is not shown on this table.

c) Deposits with Broker for futures and options

Fund	Broker	Deposit with Broker
Dynamic Commodity	Goldman Sachs	$	575,763
Warrington	ADM		13,867,598
	StoneX		1,951,371
	Rosenthal Collins Group		880
Hedged Equity	Wedbush		1,239,612
Millburn Hedge Strategy	Bank of America Merrill Lynch		37,687,213
	Deutsche Bank		45,225,262
	Goldman Sachs		119,551,567
Buffered Shield	StoneX		7,658

d) Investment Companies – Hedged Equity, Millburn Hedge Strategy and Buffered Shield concentrate their investments in exchange traded funds (“ETFs”) and, therefore, are more susceptible to ETF risk. Some Funds may invest in other investment companies, including closed-end funds and ETFs. ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like

74

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

common stock and represents a fixed portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

Underlying funds in which the Funds invest are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in the underlying funds and may be higher than other mutual funds that invest directly in stocks and bonds. Each of the underlying funds is subject to its own specific risks, but the advisor and/or sub-advisor expect the principal investments risks of such underlying funds will be similar to the risks of investing in the Funds.

e) Federal Income Tax – The Funds have qualified and/or intend to continue to qualify as regulated investment companies and to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income or excise tax provisions are required.

As of and during the period ended December 31, 2023, the Funds did not have a liability for any unrecognized tax expense. The Funds recognize interest and penalties, if any, related to unrecognized tax expense as income tax expense in the Statements of Operations. As of December 31, 2023, the Funds did not incur any interest or penalties. As required, the Funds’ officers have analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years (tax years or periods ended 2021-2023 for the Funds) or expected to be taken in 2024 and has concluded that no provision for income tax is required in these financial statements. The tax filings are open for examination by applicable taxing authorities, including the Internal Revenue Service. No examinations of the Funds’ filings are presently in progress.

f) Security Transactions and Investment Income – Investment and shareholder transactions are recorded on the trade date. The Funds determine the gain or loss realized from the investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date or as soon as information is available to the Funds and interest income is recognized on an accrual basis. Discounts and premiums on debt securities are amortized over their respective lives using the effective interest method except certain callable debt securities that are held at premium and will be amortized to the earliest call date. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Distributions received from a Fund’s investments in MLPs generally are comprised of income and return of capital. The Funds record these distributions as investment income and subsequently adjusts these distributions within the components of net assets based upon their tax treatment when the information becomes available.

g) Multiple Class Allocations – Income, non-class specific expenses and realized/unrealized gains or losses are allocated to each class based on relative net assets. Distribution fees are charged to each respective share class in accordance with the distribution plan.

h) Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific 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.

i) Distribution to Shareholders – Distributions to shareholders, which are determined in accordance with income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. The following table summarizes each Fund’s intended dividend and capital gain declaration policy:

Fund	Income Dividends	Capital Gains
Dynamic Commodity	Annually	Annually
Warrington	Annually	Annually
Systematic Alpha	Monthly	Annually
Enhanced Multi-Asset	Annually	Annually
Hedged Equity	Annually	Annually
Millburn Hedge Strategy	Annually	Annually
Buffered Shield	Annually	Annually

75

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

j) Use of Estimates – The preparation of financial statements in conformity with GAAP 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 revenues and expenses during the reporting period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.

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

l) Redemption Fees and Sales Charges (loads) – A wire transfer fee of $15 may be charged to defray custodial charges for redemptions paid by wire transfer. A maximum sales charge of 5.75% is imposed on Class A shares of the Funds. Investments in Class A shares made at or above the $1 million breakpoint are not subject to an initial sales charge and may be subject to a 1% contingent deferred sales charge (“CDSC”) on shares redeemed within two years of purchase (excluding shares purchased with reinvested dividends and/or distributions). A CDSC of 1.00% is imposed on Class C-1 shares for certain redemption transactions within one year following such investments. The respective shareholders pay such CDSC charges, which are not an expense of the Funds. For the six months ended December 31, 2023, there were no CDSC fees paid by the shareholders of Dynamic Commodity, Warrington, Systematic Alpha, Enhanced Multi-Asset, Hedged Equity, and Buffered Shield.

m) Forward Exchange Contracts – Millburn Hedge Strategy has entered into a foreign exchange contract agreement with Bank of America Merrill Lynch and Deutsche Bank as a part of its investment strategy. When executing forward contracts, the Fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forwards contracts, the Fund would incur a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The Fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the Fund would incur a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The Fund realizes a gain if the value of the contract increases between those dates. The Fund is exposed to foreign currency risk as a result of changes in value of the underlying financial instruments. The Fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract.

Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from the changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, forward exchange contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at fiscal period end, resulting from changes in exchange rates.

n) Cash – The Funds consider their investments in an FDIC insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution.

o) Distributions from REITS – Distribution from REITs are initially recorded as dividend income and, to the extent such represent a return of capital or capital gain for tax purposes, are reclassified when such information becomes available.

76

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

(2) INVESTMENT TRANSACTIONS

For the six months ended December 31, 2023, aggregate purchases and proceeds from sales of investment securities (excluding short-term investments) for the Funds were as follows:

	Purchases		Sales Proceeds
	(excluding U.S.		(excluding U.S.		Purchases of		Sales Proceeds of
	Government		Government		U.S. Government		U.S. Government
Fund	Securities)		Securities)		Securities		Securities
Dynamic Commodity	$	6,578,585	$	7,626,361	$	—	$	—
Warrington		—		—		—		—
Systematic Alpha		149,229,303		—		—		—
Enhanced Multi-Asset		—		—		—		—
Hedged Equity		4,172,507		1,438,766		—		—
Millburn Hedge Strategy		1,558,008,082		1,438,324,239		1,194,982,463		1,910,742,995
Buffered Shield		—		15,117,391		—		—

(3) INVESTMENT ADVISORY AGREEMENT AND OTHER RELATED PARTY TRANSACTIONS

CCA acts as investment advisor for the Funds pursuant to the terms of a investment advisory agreement with the Trust, on behalf of the Funds (the “Investment Advisory Agreement”). Under the terms of the Investment Advisory Agreement, the Advisor manages the investment operations of the Funds in accordance with each Fund’s respective investment policies and restrictions. Each investment sub-advisor is responsible for the day-to-day management of its Fund’s portfolios. The Advisor provides the Funds with investment advice and supervision and furnishes an investment program for the Funds. For its investment advisory services, the Funds pay to the Advisor, as of the last day of each month, an annualized fee as shown in the below table, such fees to be computed daily based upon daily average net assets of the Funds. The Funds’ sub-advisors are paid by the Advisor, except the Dynamic Commodity and Millburn Hedge Strategy Funds, each pay its sub-advisor on behalf of the Advisor.

The Advisor and the Trust, with respect to the Funds have entered into Expense Limitation Agreements (the “Expense Limitation”) under which the Advisor has contractually agreed to waive fees and/or reimburse expenses to the extent necessary to maintain total annual operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; underlying fund expenses; and extraordinary expenses such as regulatory and litigation expenses) do not exceed the limitation shown in the table below, and is based on the Funds’ average daily net assets.

For the six months ended December 31, 2023, the Advisor waived management fees. The Advisor may recapture a portion of the waived amounts. The Advisor may seek reimbursement only for fees waived or expenses reimbursed by a Fund within the three years following the date the waiver and/or reimbursement was incurred, if the Fund is able to make the repayment without exceeding the limitation in effect at that time of the waiver or at the time of the reimbursement, no later than the dates as stated below:

							Investment
	Investment						Advisory Waived/
	Advisory	Expense Limitation					Expenses
Fund	Fee	Cl A	Cl C	CL I	C-1	Expires	Reimbursed
Dynamic Commodity	1.75%	2.24%	2.99%	1.99%	N/A	10/31/2024	$	84,002
Warrington	1.75%	2.24%	2.99%	1.99%	N/A	10/31/2024		59,929
Systematic Alpha	1.50%	2.02%	2.77%	1.77%	N/A	10/31/2024		—
Enhanced Multi-Asset	1.75%	2.24%	2.99%	1.99%	N/A	10/31/2025		1,476
Nasdaq-100	1.25%	1.74%	2.49%	1.49%	N/A	10/31/2024		65,770
Millburn Hedge Strategy	1.75%	N/A	N/A	N/A	N/A	N/A		—
Buffered Shield	1.25%	1.48%	2.23%	1.23%	N/A	10/31/2024		108,490

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

	Recapture Expires
	June 30,
Fund	2024		2025		2026
Dynamic Commodity	$	127,495	$	174,001	$	151,605
Warrington		—		44,482		68,573
Systematic Alpha		107,610		134,001		122,949
Enhanced Multi-Asset		N/A		N/A		N/A
Nasdaq-100		131,835		123,326		134,268
Millburn Hedge Strategy		N/A		N/A		N/A
Buffered Shield		244,502		304,113		241,278

A Trustee is also the controlling member of MFund Services, LLC (“MFund”) and the Advisor, and is not paid any fees directly by the Trust for serving in such capacities.

Trustees who are not “interested persons” as that term is defined in the 1940 Act, are paid a quarterly retainer and receive compensation for each special Board meeting and Risk and Compliance Committee meeting attended. The fees paid to the Independent Trustees for their attendance at a meeting will be shared equally by the Funds of the Trust in which the meeting relates. The Lead Independent Trustee of the Trust, and the Chairmen of the Trust’s Audit Committee and Risk and Compliance Committee receive an additional quarterly retainer. The “interested persons” of the Trust receive no compensation from the Funds. The Trust reimburses each Trustee and Officer for his or her travel and other expenses related to attendance at such meetings.

The Board has adopted the Trust’s Master Distribution and Shareholder Servicing Plan (the “Plan”) pursuant to rule 12b-1 under the 1940 Act. Each class of shares, excluding Class I shares, allows the Funds to pay distribution and shareholder servicing expenses of up to 0.50% per annum for the Class A shares and up to 1.00% for the Class C and C-1 shares based on average daily net assets of each class. The Class A shares are currently paying 0.25% per annum of 12b-1 fees and Class C and C-1 shares are currently paying 1.00% per annum of 12b-1 fees. The fee may be used for a variety of purposes, including compensating dealers and other financial service organizations for eligible services provided by those parties to the Funds and their shareholders and to reimburse Northern Lights Distributors, LLC. (the “Distributor”) and Advisor for distribution related expenses. Brokers may receive a 1.00% commission from the Distributor for the sale of Class C and C-1 shares. Catalyst Mutual Funds Distributors, LLC, acts as a wholesale marketing and distribution agent for the Funds. As compensation for these services, Catalyst Mutual Funds Distributors is entitled to reimbursement, through the Funds’ Rule 12b-1 Plan, of expenses attributable to sales of Fund shares including marketing materials, broker commission financing costs, and wholesaling fees.

Pursuant to the Management Services Agreement between the Trust and MFund, MFund, an affiliate of the Advisor, MFund provides the Funds with various management and legal administrative services (the “Management Services Agreement”). For these services, the Funds pay MFund an annual asset-based fee in accordance with the following schedule applied at the Fund family level (i.e., all the Funds in the Trust advised by the Advisor): 0.10% of net assets up to $50 million; 0.07% of net assets from $50 million to $100 million; 0.05% of net assets from $100 million to $250 million; 0.04% of net assets from $250 million to $500 million; 0.03% of net assets from $500 million to $1 billion; 0.02% of net assets from $1 billion to $5 billion; and 0.01% of assets from $5 billion and above. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties under the Management Services Agreement. The amounts due to MFund for the Management Services Agreement are listed in the Statements of Assets and Liabilities under “Payable to related parties” and the amounts accrued for the year are shown in the Statements of Operations under “Legal administration/Management service fees.”

Pursuant to the Compliance Services Agreement (the “Compliance Services Agreement”), MFund an affiliate of the Manager, provides chief compliance officer services to the Funds. For these services, the Funds pay MFund $1,200 per month for the first fund in the fund family and $400 each additional fund; $400 for each adviser and sub-adviser; and .0025% of the assets of each Fund. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties under the Compliance Services Agreement. The amounts due to MFund for chief compliance officer services are listed in the Statements of Assets and Liabilities under “Compliance Officer fees payable” and the amounts accrued for the year are shown in the Statements of Operations under “Compliance Officer fees.”

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CATALYST FUNDS
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December 31, 2023	SEMI-ANNUAL REPORT

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

Ultimus Fund Solutions, LLC (“UFS”) – an affiliate of the Distributor, provides administrative, fund accounting, and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund: (i) basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses. Officers of the Trust are also employees of UFS, are not paid any fees directly by the Trust for serving in such capacity.

Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of the Distributor and UFS, 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.

For the six months ended December 31, 2023 the 12b-1 expenses incurred by the Funds were as follows:

	12b-1 Fees
Fund	Class A		Class C		Class C-1
Dynamic Commodity	$	2,478	$	3,732		N/A
Warrington		19,634		64,375		N/A
Systematic Alpha		21,672		24,710		N/A
Enhanced Multi-Asset		—		—		N/A
Nasdaq-100		783		6,969		N/A
Millburn Hedge Strategy		576,936		1,885,468		152,107
Buffered Shield		16,150		18,338		N/A

(4) AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

			Gross		Gross			Net Unrealized
	Tax		Unrealized		Unrealized			Appreciation/
	Cost		Appreciation		Depreciation			(Depreciation)
Dynamic Commodity	$	10,655,068	$	574,201	$	(1,276,882	)	$	(702,681	)
Warrington		99,999,039		252,186		627,900			880,086
Systematic Alpha		299,666,373		390,511,011		(389,488,652	)		1,022,359
Enhanced Multi-Asset		—		—		—			—
Nasdaq-100		17,819,917		2,418,491		(697,267	)		1,721,224
Millburn Hedge Strategy		5,313,697,370		800,669,855		(184,636,692	)		616,033,163
Buffered Shield		25,604,023		2,346,754		(1,641,413	)		705,341

(5) DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

The tax character of distributions paid for the years ended June 30, 2023 and June 30, 2022 was as follows:

For year ended	Ordinary		Long-Term
6/30/2023	Income		Capital Gains		Total
Dynamic Commodity	$	3,376,091	$	—	$	3,376,091
Warrington		1,435,202		—		1,435,202
Systematic Alpha		454,608		—		454,608
Income and Multi Strategy		367,637		—		367,637
Hedged Equity		236,207		81,764		317,971
Millburn Hedge Strategy		293,293,273		103,281,168		396,574,441
Buffered Shield		349,377		—		349,377

79

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

For year ended	Ordinary		Long-Term
6/30/2022	Income		Capital Gains		Total
Dynamic Commodity	$	—	$	—	$	—
Warrington		—		—		—
Systematic Alpha		263,151		—		263,151
Income and Multi Strategy		201,688		—		201,688
Hedged Equity		—		49,228		49,228
Millburn Hedge Strategy		—		—		—
Buffered Shield		14,399,757		56,665		14,456,422

As of June 30, 2023, the components of accumulated earnings/(deficit) on a tax basis were as follows:

	Undistributed		Undistributed		Post October Loss			Capital Loss			Other			Unrealized			Total
	Ordinary		Long-Term		and			Carry			Book/Tax			Appreciation/			Accumulated
	Income		Capital Gains		Late Year Loss			Forwards			Differences			(Depreciation)			Earnings/(Deficits)
Dynamic Commodity	$	—	$	—	$	(458,288	)	$	—		$	—		$	(823,073	)	$	(1,281,361	)
Warrington		—		—		—			(998,445,608	)		—			(172,001	)		(998,617,609	)
Systematic Alpha		736,293		—		—			(230,513	)		—			5,143,242			5,649,022
Income and Multi Strategy		—		—		(324,239	)		(165,933	)		—			(378,146	)		(868,318	)
Hedged Equity		—		—		(487,646	)		(318,308	)		—			557,490			(248,464	)
Millburn Hedge Strategy		—		—		(256,586,956	)		—			—			506,974,855			250,387,899
Buffered Shield		263,947		—		—			(11,129,364	)		(2,026,387	)		(1,217,384	)		(14,109,188	)

The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gains (losses) from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on non-equity options, future contracts and forward foreign currency contracts, deemed dividend distributions, foreign tax passthrough basis adjustments and tax adjustments for partnerships. The unrealized appreciation (depreciation) in the table above may include unrealized foreign currency gains (losses). In addition, the amount listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles.

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

	Late Year
	Losses
Dynamic Commodity	$	13,620
Warrington		—
Systematic Alpha		—
Income and Multi Strategy		—
Hedged Equity		42,383
Millburn Hedge Strategy		8,221,894
Buffered Shield		—

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 following Funds incurred and elected to defer such capital losses as follows:

	Post October
	Losses
Dynamic Commodity	$	444,668
Warrington		—
Systematic Alpha		—
Income and Multi Strategy		324,239
Hedged Equity		445,263
Millburn Hedge Strategy		248,365,062
Buffered Shield		—

80

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

At June 30, 2023, the Funds below had capital loss carry forwards for federal income tax purposes available to offset future capital gains as well as capital loss carryforwards utilized as follows:

	Short-Term		Long-Term
	Non-Expiring		Non-Expiring		Total		CLCF Utilized
Dynamic Commodity	$	—	$	—	$	—	$	—
Warrington		397,123,408		601,322,200		998,445,608		4,451,519
Systematic Alpha		230,513		—		230,513		—
Income and Multi Strategy		165,933		—		165,933		10,093
Hedged Equity		273,403		44,905		318,308		—
Millburn Hedge Strategy		—		—		—		103,660,051
Buffered Shield		7,692,539		3,436,825		11,129,364		—

During the fiscal period ended June 30, 2023, certain of the Funds utilized tax equalization which is the use of earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. Permanent book and tax differences, primarily attributable to the book/tax basis treatment of net operating losses, non-deductible expenses, accumulated losses from the Funds’ wholly owned subsidiaries, equalization credits and distributions in excess resulted in reclassifications for the Funds for the fiscal year ended June 30, 2023 as follows:

	Paid In			Accumulated
	Capital			Earnings (Deficit)
Dynamic Commodity	$	(2,764,063	)	$	2,764,063
Warrington	$	(538,255	)	$	538,255
Systematic Alpha	$	12,037		$	(12,037	)
Income and Multi Strategy	$	(33,346	)	$	33,346
Hedged Equity	$	(38,152	)	$	38,152
Millburn Hedge Strategy	$	(348,703,211	)	$	348,703,211
Buffered Shield		—			—

(6) LINE OF CREDIT

Currently, the Funds have a $150,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to the Funds. Accordingly, it is possible that the Funds may wish to borrow money for a temporary or emergency purpose but may not be able to do so. During the six months ended December 31, 2023, Dynamic Commodity, Warrington, Enhanced Multi-Asset and Millburn Hedge Strategy did not access the line of credit. The Funds accessed the line of credit, based only on the days borrowed, as follows:

	Average Amount									Outstanding
	Borrowings		Number of Days		Interest		Average			Borrowings
	Outstanding		Outstanding		Expense (1)		Interest Rate			12/31/2023
Dynamic Commodity	$	—	$	—	$	—		—		$	—
Warrington		—		—		—		—			—
Systematic Alpha		—		—		—		—			—
Enhanced Multi-Asset		—		—		—		—			—
Hedged Equity		317,312		97		7,259		8.49	%		—
Millburn Hedge Strategy		—		—		—		—			—
Buffered Shield		390,187		21		1,926		8.47	%		—

⁽¹⁾ Includes only Interest Expense for the six months ended December 31, 2023 and may not tie back to the Statements of Operations, which also may include overdrafts, line of credit fees, and broker interests.

(7) UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES

Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses.

81

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

The performance of Buffered Shield will be directly affected by the performance of the iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF and Vanguard Short-Term Corporate Bond ETF. The performance of Warrington will be directly affected by the performance of the First American Treasury Obligations Fund, Class X. The financial statements of the iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF, Vanguard Short-Term Corporate Bond ETF and First American Treasury Obligations Fund, Class X, including the Schedule of Investments, can be found at the SEC’s website www.sec.gov and should be read in conjunction with the Fund’s financial statements. As of December 31, 2023, the percentage of Buffered Shield’s net assets invested in iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF and Vanguard Short-Term Corporate Bond ETF were 34.5%, 24.6% and 30.5%, respectively. The percentage of Warrington’s net assets invested in First American Treasury Obligations Fund, Class X were 30.9%.

(8) SECURITIES LENDING

The Funds have entered into a Securities Lending Agreement (“Agreement”) with US Bank NA. Each participating Fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current market value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held on loan, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the Fund’s collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).

Securities lending income, if any, is disclosed in the Funds’ Statements of Operations and is net of fees retained by the counterparty. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market. The remaining contractual maturity of all securities lending transactions are overnight and continuous.

The following table presents financial instruments that are subject to enforceable netting arrangements as of December 31, 2023:

					Percentage of Total
Fund	Market Value of Loaned Securities		Market Value of Collateral (1)		Investment Income
Hedged Equity	$	4,363,004	$	4,467,107		5.37	%

(1) The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged.

* Securities collateralized below 102% or 105% for foreign securities. The Trust’s securities lending policies and procedures require that the borrow er: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% or 105% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% or 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102% or 105%.

The below table shows the collateral held by each Fund at the period ended December 31, 2023.

Gross Amounts Not Offset in the

Statement of Assets & Liabilities

Gross Amounts

Net Amounts of

Gross Amounts

Offset in the

Liabilities Presented in

of Recognized

Statement of Assets &

the Statement of Assets

Financial

Cash Collateral

Description

Counterparty

Liabilities

Liabilities

& Liabilities

Instruments

Pledged

Net Amount

Hedged Equity

Liabilities

Securities Loaned

US Bank

$

(4,467,107

)

$

—

$

(4,467,107

)

$

4,467,107

$

—

$

—

82

CATALYST FUNDS
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2023	SEMI-ANNUAL REPORT

(9) BENEFICIAL OWNERSHIP

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of December 31, 2023, the companies that held more than 25% of the voting securities of the Funds, and may be deemed to control each respective Fund, are as follows:

	Dynamic						Systematic			Enhanced			Hedged			Buffered
Owner (1)	Commodity			Warrington			Alpha			Multi-Asset			Equity			Shield
Charles Schwab		—			—			35	%		—			58	%		39	%
National Financial Services LLC		—			37	%		—			—			—			—
Aspect Capital Limited		—			—			—			99	%		—			—
LPL Financial		50	%		—			27	%		—			—			—

(1) These owners are comprised of multiple investors and accounts.

(10) LITIGATION

On January 27, 2020, CCA and its chief executive officer (collectively, “Catalyst”) reached a settlement with the SEC to resolve allegations in connection with its investigation of risk disclosures related to Catalyst Hedged Futures Strategy Fund (the “Fund”) and Catalyst’s management of the Fund.

Under the terms of the SEC’s cease-and-desist order (“SEC Order”), pursuant to which Catalyst neither admitted nor denied any of the allegations contained therein, CCA agreed to pay a total of $8,908,481 as a rebate of advisory fees and prejudgment interest plus $1.3 million in civil monetary penalties, and its chief executive officer agreed to pay $300,000 in civil monetary penalties.

Pursuant to the terms of the SEC Order, an account was established for the pro-rata distribution of the $10,508,481 in disgorgement of advisory fees, prejudgment interest and civil monetary penalties to the Fund’s shareholders between December 1, 2016 and February 28, 2017 based on each shareholder’s pro rata advisory fees paid during the period. The calculation of these disbursements and the amount paid to each affected shareholder will be submitted to, reviewed and approved by the SEC staff in accordance with the SEC Order. The foregoing is a summary of the SEC Order. A copy of the SEC Order and the distribution plan are available at https://www.sec.gov/litigation/admin/2020/ia-5436.pdf.

Accordingly, CCA Deposited $10,508,481 in an escrow account in the Fund’s name to be distributed to the affected shareholders. As of December 31, 2023, the remaining pro-rata distribution is shown in the Fund’s Statement of Assets and Liabilities as an offsetting Asset and Liability. The amount is held in cash in a segregated account and the CCA does not use this balance for trading activities, nor receives additional management fees.

(11) REGULATORY UPDATES

On January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will not appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

(12) SUBSEQUENT EVENTS

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.

83

CATALYST FUNDS

SUPPLEMENTAL INFORMATION (Unaudited)

December 31, 2023

Approval of the Advisory Agreement between the Trust and Catalyst Capital Advisors, LLC; and the Sub-Advisory Agreement between Catalyst and Aspect Capital Limited with respect to Catalyst/Aspect Enhanced Multi-Asset Fund.

At a meeting held on August 14 and 29, 2023, the Board of Trustees (the “Board”) of Mutual Fund Series 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, each an “Independent Trustee” and collectively the “Independent Trustees”) discussed and considered the proposed advisory agreement (the “Advisory Agreement”) between the Trust and Catalyst Capital Advisors, LLC (“Catalyst”); and considered the proposed Sub-Advisory Agreement (the “Sub-Advisory Agreement”) between Catalyst and Aspect Capital Limited (“Aspect”) with respect to Catalyst/Aspect Enhanced Multi-Asset Fund (“Enhanced MA”).

The Board examined Catalyst’s responses to a series of questions regarding, among other things, its advisory services to be provided to Enhanced MA, comparative fee and expense information, and profitability from managing Enhanced MA. The Board also examined Aspect’s responses to the same questions. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and the Sub-Advisory Agreement, and the weight to be given to each factor considered.

The conclusions reached by the Board 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 approval of the Advisory Agreement and the Sub-Advisory Agreement.

Advisory Agreement

Nature, Extent and Quality of Services. The Board considered its significant experience with Catalyst as advisor to other series of the Trust, and its strong working relationship with Catalyst and its personnel. It noted that Catalyst would monitor the sub-advisor, review the portfolio on a regular basis, provide derivative risk advisory services, and actively work with the Trust’s chief compliance officer to monitor for regulatory compliance. The Board discussed Catalyst’s risk management team and the effectiveness of the compliance program. After discussion, the Board concluded that Catalyst had the potential to provide high quality services to Enhanced MA and its shareholders.

Performance. The Board noted that the sub-advisor would be primarily responsible for the day-to-day management of the Enhanced MA portfolio. The Board noted that Catalyst had demonstrated the ability to successfully oversee and manage sub-advisors. The Board acknowledged that Catalyst had successfully run funds with similar complex strategies and shown its ability to ensure compliance with regulatory requirements and performance consistent with the product objective. The Board discussed that it was confident that Catalyst would provide value to shareholders as advisor to Enhanced MA.

Fees and Expenses. The Board noted that the 1.75% advisory fee for Enhanced MA was within the range of fees of its peer group. They discussed the average and range of fees in three relevant Morningstar categories and noted that the highest fee in the Systemic Trend category was a unified fee which created an outlier in the data. The Board acknowledged that when including the impact of the expense limitation agreement, the net estimated expense ratio was 1.99% which was well within the range of the peer group

84

CATALYST FUNDS

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

December 31, 2023

net expenses. The Board discussed the allocation of fees and responsibilities between Catalyst and Aspect as the sub-advisor and agreed that the allocation was appropriate given Aspect’s responsibilities. The Board concluded that the proposed advisory fee for Enhanced MA was not unreasonable.

Profitability. The Board reviewed a profitability analysis provided by Catalyst and noted that it anticipated realizing a reasonable profit in connection with its relationship with Enhanced MA during the first two years of the Advisory Agreement. The Board discussed that the profitability analysis reflected Catalyst’s agreement that the sub-advisor receive a higher percent of fees on the capital it was investing in the Fund. The Board considered that the projected level of profit appeared to be within industry averages. After discussion, the Board agreed that the projected profits were modest and not excessive.

Economies of Scale. The Board considered whether there would be economies of scale with respect to the management of Enhanced MA and discussed potential breakpoints. The Board also considered the comments from the Catalyst representative that it was too early to determine breakpoints because breakeven levels continued to increase based on initial and ongoing operating costs but that it could be revisited in the future. The Board acknowledged rising operating costs and noted that even without a breakpoint, the fees were within the peer group. The Board noted material economies were not anticipated to be reached during the initial period of the Advisory Agreement and agreed that the matter of economies of scale would be revisited at the time of the Advisory Agreement’s renewal if Enhanced MA’s size materially increased.

Conclusion. Having requested and received such information from Catalyst as the Board believed to be reasonably necessary to evaluate the terms of the Advisory Agreement, and as assisted by the advice of counsel, the Board concluded that the fee structure for Enhanced MA was reasonable, and that approval of the Advisory Agreement was in the best interests of Enhanced MA and its future shareholders.

Sub-Advisory Agreement

Nature, Extent and Quality of Services. The Board observed that the key personnel from Aspect had extensive experience in the industry. The Board commented on the importance of the Chief Risk Officer, who had been at Aspect since 2005 and had a strong background in risk management. The Board discussed that Aspect would be responsible for the implementation of Enhanced MA’s investment strategy including research, the determination of investment decisions, risk management, and execution of transactions for Enhanced MA. The Board remarked that Aspect would utilize a four-part quantitative and systematic approach in the investment process that was intended to dynamically control risk in each component of the portfolio to improve the overall risk-adjusted returns. The Board agreed that Aspect had the experience and resources necessary to provide quality services to Enhanced MA.

Performance. The Board reviewed the performance information presented by Aspect from a blended product designed to be used as a proxy for the proposed fund. The Board considered the 20.22% 1-year, 27.32% 3-year, 20.13% 5-year, and 17.19% 10-year returns were strong on an absolute basis. The Board discussed that the historical returns for the S&P 500 for those time periods were 19.59%, 14.60%, 12.31%, and 12.86% respectively. The Board noted that the performance information was hypothetical because Aspect did not manage a blended product that included the 60/40 component that will be included in Enhanced MA. The Board concluded that Aspect has the potential to provide favorable returns to future shareholders.

85

CATALYST FUNDS

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

December 31, 2023

Fees and Expenses. The Board noted that Aspect would receive 50% of the 1.75% net asset advisory fee for Enhanced MA but would receive a higher percentage on the $25 million it was investing in Enhanced MA as initial capital. The Board discussed the allocation of fees between the advisor and Aspect relative to their respective duties and agreed that the allocation was appropriate. The Board noted that Aspect reported no other clients with a comparable strategy. After further discussion, the Board concluded that the sub-advisory fee to be charged with respect to Enhanced MA was not unreasonable and the sub-advisory fee, in relation to the total advisory fee, was not unreasonable.

Profitability. The Board reviewed a profitability analysis provided by Aspect and noted that it anticipated realizing a profit in connection with its relationship with Enhanced MA during the first and second year of the Sub-Advisory Agreement. The Board discussed the level of profit anticipated by Aspect and noted it would not have specific incremental costs related to management of the Fund and presented all the revenue as profit in the 15(c) questionnaire. The Board discussed that it believed the projected fees paid were reasonable given the complexity and level of work in running Enhanced MA. After further discussion, the Board agreed that the projected profits were not excessive.

Economies of Scale. The Board considered whether there would be economies of scale with respect to the management of Aspect. The Board agreed that this was primarily an advisor level issue and had been considered with respect to the overall advisory agreement, taking into consideration the impact of the sub-advisory expense. The Board noted that it would look to negotiate breakpoints in the future. If circumstances changed.

Conclusion. Having requested and received such information from Aspect as the Board believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement, and as assisted by the advice of counsel, the Board concluded that the fee structure was reasonable, and that approval of the Sub-Advisory Agreement was in the best interests of the future shareholders of Enhanced MA.

86

CATALYST FUNDS

INFORMATION ABOUT YOUR FUNDS’ EXPENSES (Unaudited)

As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees; and other Fund expenses. The example below 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 below illustrates an investment of $1,000 invested at the beginning of the period (07/01/23) and held for the entire period through 12/31/23.

Actual Expenses

The “Actual” columns in the table below provide information about actual account values and actual expenses. You may use the information in these sections, 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 in the first row under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The “Hypothetical” columns in the table provide information about the 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 Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the 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 exchange fees. Therefore, the second section of 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. For more information on transactional costs, please refer to the Funds’ prospectus.

									Hypothetical
					Actual				(5% return before expenses)
			Beginning
	Fund’s Annualized		Account Value		Ending Account		Expenses Paid		Ending Account		Expenses Paid
	Expense Ratio **		07/01/23		Value 12/31/23		During Period *		Value 12/31/23		During Period *
Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class A	2.24%		$	1,000.00	$	989.20	$	11.20	$	1,013.88	$	11.34
Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class C	2.99%			1,000.00		988.30		14.94		1,010.10		15.11
Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class I	1.99%			1,000.00		990.40		9.96		1,015.13		10.08
Catalyst/Warrington Strategic Program Fund - Class A	2.34%			1,000.00		1,024.00		11.91		1,013.37		11.84
Catalyst/Warrington Strategic Program Fund - Class C	3.09%			1,000.00		1,020.40		15.69		1,009.60		15.61
Catalyst/Warrington Strategic Program Fund - Class I	2.10%			1,000.00		1,025.00		10.69		1,014.58		10.63
Catalyst Systematic Alpha Fund - Class A	2.02%			1,000.00		994.60		10.13		1,014.98		10.23
Catalyst Systematic Alpha Fund - Class C	2.77%			1,000.00		991.00		13.86		1,011.21		14.00
Catalyst Systematic Alpha Fund - Class I	1.77%			1,000.00		995.80		8.88		1,016.24		8.97
Catalyst/Aspect Enhanced Multi-Asset Fund - Class A***	2.24%			1,000.00		1,000.00		0.18		1,000.23		0.18
Catalyst/Aspect Enhanced Multi-Asset Fund - Class C***	2.99%			1,000.00		1,000.00		0.25		1,000.16		0.25
Catalyst/Aspect Enhanced Multi-Asset Fund - Class I***	1.99%			1,000.00		1,000.00		0.16		1,000.25		0.16
Catalyst Nasdaq-100 Hedged Equity Fund - Class A	1.74%			1,000.00		1,065.40		9.03		1,016.39		8.82
Catalyst Nasdaq-100 Hedged Equity Fund - Class C	2.49%			1,000.00		1,060.70		12.90		1,012.62		12.60
Catalyst Nasdaq-100 Hedged Equity Fund - Class I	1.49%			1,000.00		1,066.30		7.74		1,017.65		7.56
Catalyst Millburn Hedge Strategy Fund - Class A	2.18%			1,000.00		1,010.30		11.02		1,014.18		11.04
Catalyst Millburn Hedge Strategy Fund - Class C	2.93%			1,000.00		1,006.50		14.78		1,010.41		14.81
Catalyst Millburn Hedge Strategy Fund - Class C-1	2.93%			1,000.00		1,011.50		14.81		1,010.41		14.81
Catalyst Millburn Hedge Strategy Fund - Class I	1.93%			1,000.00		1,011.50		9.76		1,015.43		9.78
Catalyst Buffered Shield Fund - Class A	1.48%			1,000.00		1,060.70		7.67		1,017.70		7.51
Catalyst Buffered Shield Fund - Class C	2.23%			1,000.00		1,057.20		11.53		1,013.93		11.29
Catalyst Buffered Shield Fund - Class I	1.23%	��		1,000.00		1,062.90		6.38		1,018.95		6.24

* Expenses are equal to the Funds’ annualized expense ratios multiplied by the average account value over the period, multiplied by 184/366 to reflect the one-half year period.

** Annualized expense ratio does not include interest expenses or dividend expenses.

*** Commenced operations on December 28,2023, actual expenses are calculated from commencement date through December 31, 2023 (3) divided by the number of days in the fiscal year (366).

For more information on Fund expenses, please refer to the Funds’ prospectus, which can be obtained from your investment representative or by calling 1-866-447-4228. Please read it carefully before you invest or send money.

87

PRIVACY NOTICE

Mutual Fund Series Trust

Rev. August 2021

FACTS WHAT DOES MUTUAL FUND SERIES 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 Mutual Fund Series Trust chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information:	Does Mutual Fund Series 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 our affiliates to market to you	NO	We don’t share
For non-affiliates to market to you	NO	We don’t share

88

PRIVACY NOTICE

Mutual Fund Series Trust

What we do:
How does Mutual Fund Series 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 Mutual Fund Series 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 non-affiliates 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 non-financial companies. ●     Mutual Fund Series Trust does not share with affiliates.
Non-affiliates	Companies not related by common ownership or control. They can be financial and non-financial companies. ●     Mutual Fund Series Trust doesn’t share with non-affiliates so they can market to you.
Joint marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. ●     Mutual Fund Series Trust doesn’t jointly market.

QUESTIONS? CALL	Alpha Centric	844-223-8637
	Catalyst	866-447-4228
	Day Hagan	877-329-4246
	Empiric	888-839-7424
	Eventide	877-771-3836
	JAG	855-552-4596

89

MUTUAL FUND SERIES TRUST

4221 North 203^rd Street, Suite 100

Elkhorn, NE 68022

INVESTMENT ADVISER

Catalyst Capital Advisors, LLC

53 Palmeras Street, Suite 601

San Juan, PR 00901

ADMINISTRATOR

Ultimus Fund Solutions, LLC

225 Pictoria Drive, Suite 450

Cincinnati, OH 45246

TRANSFER AGENT

Ultimus Fund Solutions, LLC

225 Pictoria Drive, Suite 450

Cincinnati, OH 45246

INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

Cohen & Company, Ltd.

1835 Market Street

Suite 310

Philadelphia, PA 19103

LEGAL COUNSEL

Thompson Hine LLP

41 South High Street

Suite 1700

Columbus, OH 43215

CUSTODIAN BANK

U.S. Bank

1555 N. Rivercenter Drive.

Suite 302

Milwaukee, WI 53212

90

Reference is made to the Prospectus and the Statement of Additional Information for more detailed descriptions of the Investment Advisory Agreement, Management Services Agreements and Distribution and/or Service (12b-1) Plans, tax aspects of the Funds and the calculations of the net asset values of shares of the Funds.

The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-PORT may be obtained by calling 1-800-SEC-0330.

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-866-447-4228; and on the Commission’s website at http://www.sec.gov.

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-866-447-4228; and on the Commission’s website at http://www.sec.gov.

CatalystHedge-SA23

ITEM 2. CODE OF ETHICS.

Not applicable for semi-annual reports.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable for semi-annual reports.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable for semi-annual reports.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable for semi-annual reports.

ITEM 6. SCHEDULE OF INVESTMENT

See Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable Fund is an open-end management investment company.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES

Not applicable Fund is an open-end management investment company.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable Fund is an open-end management investment company.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Not applicable at this time.

ITEM 11. CONTROLS AND PROCEDURES.

(a) The Registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act, are effective, as of a date within 90 days of the filing date of this report, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.

(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report 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

(1) Code of Ethics for Principal Executive and Senior Financial Officers is attached hereto.

(2) Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 are filed herewith.

(3) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 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.

Mutual Fund Series Trust

By Michael Schoonover	/s/ Michael Schoonover   __________
President
Date:  March 5, 2024

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 person on behalf of the Registrant and in the capacities and on the date indicated.

By Michael Schoonover	/s/ Michael Schoonover  ___________
President
Date: March 5, 2024

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 person on behalf of the Registrant and in the capacities and on the date indicated.

By Erik Naviloff	/s/ Erik Naviloff_____________
Treasurer
Date: March 5, 2024