N-CSRS 1 astorncsrs.htm N-CSRS

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

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-21720

 

Northern Lights Fund Trust

(Exact name of registrant as specified in charter)

 

225 Pictoria Drive, Suite 450, Cincinnati, OH 45246

(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company

1209 Orange Street, Wilmington, DE 19801

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2616

 

Date of fiscal year end: 7/31

 

Date of reporting period: 1/31/21

 

Item 1. Reports to Stockholders.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Astor Dynamic Allocation Fund

Class A: ASTLX     Class C: ASTZX     Class I: ASTIX

Astor Sector Allocation Fund

Class A: ASPGX     Class C: CSPGX     Class I: STARX

Astor Macro Alternative Fund

Class I: GBLMX

 

 

Semi-Annual Report

January 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1-877-738-0333

 

Distributed by Northern Lights Distributors, LLC

Member FINRA

 

 

ASTOR DYNAMIC ALLOCATION FUND

PORTFOLIO REVIEW (Unaudited)

January 31, 2021

 

 

Average Annual Total Return through January 31, 2021,* as compared to its benchmarks:

 

  Six Month One Year Five Year Ten Year Inception (1) Inception (2) Inception (3)
Astor Dynamic Allocation Fund - Class A Shares 7.92% 1.86% 7.38% N/A 5.54% N/A N/A
Astor Dynamic Allocation Fund - Class A Shares With Load 2.80% (2.98)% 6.35% N/A 4.99% N/A N/A
Astor Dynamic Allocation Fund - Class C Shares 7.51% 1.16% 6.58% N/A N/A 3.80% N/A
Astor Dynamic Allocation Fund - Class I Shares 8.01% 2.14% 7.65% 4.61% N/A N/A 4.83%
S&P 500 Total Return Index ** 14.47% 17.25% 16.16% 13.50% 14.97% 13.67% 13.71%
Bloomberg Barclays Capital U.S. Aggregate Bond Index *** (0.91)% 4.72% 4.00% 3.75% 3.38% 3.87% 3.92%

 

*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual operating expenses, including underlying funds, are 1.74%, 2.49%, and 1.49% for Class A, Class C, and Class I respectively, per the most recent prospectus. After fee waivers and/or reimbursements, the Fund’s net operating expense, including underlying funds, is 1.61%, 2.36%, and 1.36% for Class A, Class C, and Class I shares, respectively. Pursuant to a written contract (the “Waiver Agreement”), the advisor has agreed, at least until November 30, 2021, to waive a portion of its advisory fee and has agreed to reimburse the Fund for other expenses to the extent necessary so that the total expenses incurred by the Fund (excluding any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers, other than the advisor)) do not exceed 1.40%, 2.15%, and 1.15% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge of 4.75% of the purchase price. Performance figures for periods greater than one year are annualized. For performance information current to the most recent month-end, please call 1-877-738-0333.

 

**The S&P 500 Total Return Index is an unmanaged composite of 500 large capitalization companies. This index is widely used by professional investors as a performance benchmark for large-cap stocks. You cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

 

***The Bloomberg Barclays Capital U.S. Aggregate Bond Index is a market capitalization-weighted index, meaning the securities in the index are weighted according to the market size of each bond type. Most U.S. traded investment grade bonds are represented. Municipal bonds and Treasury Inflation-Protected Securities are excluded, due to tax treatment issues. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, corporate bonds, and a small amount of foreign bonds traded in U.S. You cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

 

(1)Class A inception date is November 30, 2011.

 

(2)Class C inception date is March 12, 2010.

 

(3)Class I and inception date is October 19, 2009.

  

The Fund’s holdings by asset class, as of January 31, 2021 are as follows:
     
Asset Classes  % of Net Assets 
Exchange Traded Funds - Equity   64.7%
Short-Term Investments   27.7%
Exchange Traded Funds - Debt   23.8%
Exchange Traded Funds - Commodity   10.4%
Liabilities in Excess of Other Assets   (26.6)%
Total   100.0%

 

Please refer to the Schedule of Investments in this semi-annual report for a detailed analysis of the Fund’s holdings.

1

 

ASTOR SECTOR ALLOCATION FUND

PORTFOLIO REVIEW (Unaudited)

January 31, 2021

 

 

Average Annual Total Return through January 31, 2021,* as compared to its benchmarks:

 

Six Months One Year Three Year Five Year Inception (1) Inception (2)
Astor Sector Allocation Fund - Class A Shares 11.14% 7.39% 3.69% 9.16% 8.41% N/A
Astor Sector Allocation Fund - Class A Shares With Load 5.87% 2.27% 2.03% 8.11% 7.83% N/A
Astor Sector Allocation Fund - Class C Shares 10.73% 6.65% 2.91% 8.34% 7.60% N/A
Astor Sector Allocation Fund - Class I Shares 11.23% 7.67% 3.94% 9.43% N/A 6.06%
S&P 500 Total Return Index ** 14.47% 17.25% 11.70% 16.16% 14.97% 12.80%

 

*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual operating expenses, including underlying funds, are 2.24%, 2.99%, and 1.99% for Class A, Class C, and Class I respectively, per the most recent prospectus. After fee waivers and/or reimbursements, the Fund’s net operating expenses, including underlying funds, are 1.70%, 2.45%, and 1.45% for Class A, Class C and Class I shares, respectively. Pursuant to a written contract (the “Waiver Agreement”), the advisor has agreed, at least until November 30, 2021, to waive a portion of its advisory fee and has agreed to reimburse the Fund for other expenses to the extent necessary so that the total expenses incurred by the Fund (excluding any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers, other than the advisor)) do not exceed 1.40%, 2.15% and 1.15%, for Class A, Class C, Class I shares, respectively. Class A shares are subject to a maximum sales charge of 4.75% of the purchase price. For performance information current to the most recent month-end, please call 1-877-738-0333.

 

**The S&P 500 Total Return Index is an unmanaged composite of 500 large capitalization companies. This index is widely used by professional investors as a performance benchmark for large-cap stocks. You cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

 

(1)Class A and C inception date is November 30, 2011.

 

(2)Class I inception date is January 6, 2014.

  

The Fund’s holdings by asset class, as of January 31, 2021, are as follows: 
     
Asset Classes  % of Net Assets 
Exchange Traded Funds - Equity   98.6%
Short-Term Investments   5.7%
Liabilities in Excess of Other Assets   (4.3)%
Total   100.0%

 

Please refer to the Schedule of Investments in this semi-annual report for a detailed analysis of the Fund’s holdings.

2

 

ASTOR MACRO ALTERNATIVE FUND

PORTFOLIO REVIEW (Unaudited)

January 31, 2021

 

 

Average Annual Total Return through January 31, 2021,* as compared to its benchmarks:

 

  Six Months One Year Three Year Five Year Inception (1)
Astor Macro Alternative Fund - Class I Shares 3.84% 8.38% 8.45% 8.61% 7.49%
S&P 500 Total Return Index ** 14.47% 17.25% 11.70% 16.16% 12.71%

 

*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual operating expense, including underlying funds, is 3.77% for Class I shares per the most recent prospectus. After fee waivers and/or reimbursements, the Fund’s net operating expense, including underlying funds, is 1.93% for Class I shares. Pursuant to a written contract (the “Waiver Agreement”), the advisor has agreed, at least until November 30, 2021, to waive a portion of its advisory fee and has agreed to reimburse the Funds for other expenses to the extent necessary so that the total expenses incurred by the Fund (excluding any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers, other than the advisor)) do not exceed 1.75%. Performance figures for periods greater than one year are annualized. For performance information current to the most recent month-end, please call 1-877-738-0333.

 

**The S&P 500 Total Return Index is an unmanaged composite of 500 large capitalization companies. This index is widely used by professional investors as a performance benchmark for large-cap stocks. You cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

 

(1)Class I inception date is June 22, 2015.

  

The Fund’s holdings by asset class, as of January 31, 2021, are as follows:
     
Asset Classes  % of Net Assets 
Exchange Traded Funds - Equity   67.1%
Exchange Traded Funds - Debt   19.4%
Exchange Traded Funds - Commodity   4.4%
Short-Term Investment   3.5%
Other Assets in Excess of Liabilities   5.6%
Total   100.0%

 

Please refer to the Schedule of Investments in this semi-annual report for a detailed analysis of the Fund’s holdings.

3

 

Astor Dynamic Allocation Fund

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2021

 

Shares      Fair Value 
     EXCHANGE TRADED FUNDS - 98.9%     
     COMMODITY FUND - 10.4%     
 490,202   Aberdeen Standard Physical Gold Shares ETF *  $8,676,575 
 50,235   SPDR Gold Shares *   8,671,063 
         17,347,638 
     DEBT FUNDS - 23.8%     
 168,217   First Trust Low Duration Opportunities ETF ^   8,663,176 
 37,629   iShares iBoxx $ Investment Grade Corporate Bond ETF   5,102,492 
 158,010   iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF   8,709,511 
 283,679   SPDR Bloomberg Barclays Investment Grade Floating Rate ETF ^   8,697,598 
 104,663   Vanguard Short-Term Bond ETF ^   8,671,330 
         39,844,107 
     EQUITY FUNDS - 64.7%     
 197,276   Invesco S&P 500 Equal Weight ETF ^   24,955,414 
 86,216   Invesco S&P 500 Equal Weight Technology ETF ^   21,554,862 
 51,963   iShares Core MSCI Emerging Markets ETF   3,316,798 
 150,543   iShares MSCI USA Min Vol Factor ETF   9,940,354 
 113,413   SPDR Portfolio Emerging Markets ETF   4,910,783 
 366,258   SPDR Portfolio S&P 1500 Composite Stock Market ETF ^   16,763,629 
 424,669   SPDR Portfolio S&P 500 ETF ^   18,494,335 
 197,646   Wisdomtree Emerging Markets EX-State-Owned Enterprises Fund ^   8,144,992 
         108,081,167 
     TOTAL EXCHANGE TRADED FUNDS (Cost $153,621,158)   165,272,912 
           
     SHORT-TERM INVESTMENTS - 27.7%     
     INVESTMENT PURCHASED AS SECURITIES LENDING COLLATERAL - 26.5%     
 44,222,679   Morgan Stanley Liquidity Treasury Fund, Institutional Class, 0.01% +(a)   44,222,679 
           
     MONEY MARKET FUND - 1.2%     
 2,037,586   BlackRock Liquidity Funds T-Fund Portfolio, Institutional Class, 0.03% +   2,037,586 
           
     TOTAL SHORT-TERM INVESTMENT (Cost $46,260,265)   46,260,265 
           
     TOTAL INVESTMENTS - 126.6% (Cost $199,881,423)  $211,533,177 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (26.6)% (a)   (44,445,922)
     TOTAL NET ASSETS - 100.0%  $167,087,255 

 

 

ETF - Exchange Traded Fund

 

*Non-Income producing security.

 

^Security, or a portion of the security, is out on loan at January 31, 2021. Total Loaned securities had a value of $42,458,379 at January 31, 2021.

 

+Money market fund; interest rate reflects seven-day effective yield on January 31, 2021.

 

(a)The loaned securities were secured with short-term investment cash collateral of $44,222,679.

 

See accompanying notes to financial statements.

4

 

Astor Sector Allocation Fund

SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2021

 

Shares      Fair Value 
     EXCHANGE TRADED FUNDS - 98.6%     
     EQUITY FUNDS - 98.6%     
 32,536   Consumer Discretionary Select Sector SPDR Fund  $5,271,157 
 50,809   Consumer Staples Select Sector SPDR Fund   3,256,349 
 139,193   Financial Select Sector SPDR Fund   4,029,637 
 24,645   First Trust Technology AlphaDEX Fund ^   2,747,425 
 46,086   Health Care Select Sector SPDR Fund   5,301,273 
 17,748   Invesco S&P 500 Equal Weight Technology ETF   4,437,177 
 40,673   Vanguard Communication Services ETF ^   4,879,540 
     TOTAL EXCHANGE TRADED FUNDS (Cost $26,856,326)   29,922,558 
           
     SHORT-TERM INVESTMENTS - 5.7%     
     INVESTMENT PURCHASED AS SECURITIES LENDING COLLATERAL - 4.0%     
 1,230,635   Morgan Stanley Liquidity Treasury Fund, Institutional Class, 0.01% +(a)   1,230,635 
           
     MONEY MARKET FUND - 1.7%     
 507,819   BlackRock Liquidity Funds T-Fund Portfolio, Institutional Class, 0.03% +   507,819 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $1,738,454)   1,738,454 
           
     TOTAL INVESTMENTS - 104.3% (Cost $28,594,780)  $31,661,012 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (4.3)%   (1,330,742)
     TOTAL NET ASSETS - 100.0%  $30,330,270 

 

 

ETF - Exchange Traded Fund

 

^Security, or a portion of the security, is out on loan at January 31, 2021. Total Loaned securities had a value of $1,182,942 at January 31, 2021.

 

+Money market fund; interest rate reflects seven-day effective yield on January 31, 2021.

 

(a)The loaned securities were secured with short-term investment cash collateral of $1,230,635.

 

See accompanying notes to financial statements.

5

 

Astor Macro Alternative Fund

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited)

January 31, 2021

 

Shares      Fair Value 
     EXCHANGE TRADED FUNDS - 90.9%     
     COMMODITY FUND - 4.4%     
 7,978   SPDR Gold Shares *  $1,377,082 
           
     DEBT FUNDS - 19.4%     
 28,673   iShares 20+ Year Treasury Bond ETF   4,358,296 
 13,981   iShares Core U.S. Aggregate Bond ETF   1,640,111 
         5,998,407 
     EQUITY FUNDS - 67.1%     
 32,853   Invesco QQQ Trust Series 1   10,334,240 
 9,600   Invesco S&P 500 Equal Weight ETF   1,214,400 
 23,393   Invesco S&P 500 Pure Growth ETF   3,784,285 
 8,143   iShares MSCI Brazil ETF   278,409 
 8,486   iShares MSCI Chile ETF   253,986 
 3,123   iShares MSCI China ETF   273,325 
 6,769   iShares MSCI India ETF   264,939 
 11,287   iShares MSCI Indonesia ETF   253,393 
 10,178   iShares MSCI Malaysia ETF   275,315 
 6,677   iShares MSCI Mexico ETF   268,349 
 2,968   iShares MSCI Philippines ETF   88,862 
 14,849   iShares MSCI Poland ETF   278,716 
 7,449   iShares MSCI Russia ETF   270,399 
 6,275   iShares MSCI South Africa ETF   275,661 
 4,906   iShares MSCI Taiwan ETF   271,498 
 3,587   iShares MSCI Thailand ETF   275,984 
 10,111   iShares MSCI Turkey ETF   269,559 
 594   iShares Russell 2000 ETF   122,102 
 4,608   SPDR S&P 500 ETF Trust   1,705,282 
         20,758,704 
     TOTAL EXCHANGE TRADED FUNDS (Cost $26,216,411)   28,134,193 
           
     SHORT-TERM INVESTMENTS - 3.5%     
 1,080,243   BlackRock Liquidity Funds T-Fund Portfolio, Institutional Class 0.03% +   1,080,243 
     TOTAL SHORT-TERM INVESTMENTS (Cost $1,080,243)     
           
     TOTAL INVESTMENTS - 94.4% (Cost $27,296,654)  $29,214,436 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 5.6%   1,726,824 
     TOTAL NET ASSETS - 100.0%  $30,941,260 

 

 

ETF - Exchange Traded Fund

 

*Non-Income producing security.

 

+Money market fund; interest rate reflects seven-day effective yield on January 31, 2021.

 

See accompanying notes to financial statements.

6

 

Astor Macro Alternative Fund

CONSOLIDATED SCHEDULE OF INVESTMENTS (Unaudited) (Continued)

January 31, 2021

 

FUTURES CONTRACTS ^

 

          Underlying Face Amount at     
Long Contracts   Description  Counterparty  Value **   Unrealized Gain (Loss) 
 57   Australian Dollar Future March 2021  Interactive Broker  $4,355,655   $84,095 
 7   Copper Future March 2021  Interactive Broker   622,300    (4,759)
 29   Euro FX Future March 2021  Interactive Broker   4,401,838    (1,419)
 20   Japanese Yen Future March 2021  Interactive Broker   2,387,750    (21,487)
 5   Soybean Future March 2021  Interactive Broker   342,500    (10,612)
 9   World Sugar #11 February 2021  Interactive Broker   159,566    (5,242)
     Net Unrealized Gain from Open Long Futures Contracts   $40,576 
            
           Underlying Face Amount at      
Short Contracts   Description  Counterparty   Value **    Unrealized Gain (Loss) 
 11   Brent Crude Future March 2021  Interactive Broker  $602,910   $2,970 
 5   British Pound Future March 2021  Interactive Broker   428,281    (4,469)
 34   Canadian 10 Year Future March 2021  Interactive Broker   3,928,717    27,746 
 3   Coffee Future March 2021  Interactive Broker   138,319    (7,762)
 4   Euro-Bund Future March 2021  Interactive Broker   861,365    2,097 
 22   Long Gilt Future March 2021  Interactive Broker   4,050,311    (1,213)
 24   Natural Gas Future February 2021  Interactive Broker   615,360    33,840 
 29   US 10 Year Future March 2021  Interactive Broker   3,973,899    22,898 
     Net Unrealized Gain from Open Short Futures Contracts   $76,107 

 

^Each futures contract is a holding of AMA Fund Limited CFC (“AMA”) which commenced operations on June 22, 2015 and is a wholly owned subsidiary of the Astor Macro Alternative Fund.

 

**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 AMA are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of AMA’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 AMA.

 

See accompanying notes to financial statements.

7

 

The Astor Funds
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
January 31, 2021

 

           Astor Macro 
   Astor Dynamic   Astor Sector   Alternative Fund 
   Allocation Fund   Allocation Fund   (Consolidated) 
ASSETS               
Investment securities (including securities on loan):               
At cost  $199,881,423   $28,594,780   $27,296,654 
At value  $211,533,177   $31,661,012   $29,214,436 
Deposits for futures contracts   —    —    1,536,255 
Net unrealized appreciation on futures contracts   —    —    116,683 
Dividends and interest receivable   24    5    15 
Receivable for Fund shares sold   217,083    347    119,940 
Prepaid expenses and other assets   41,302    30,056    13,200 
TOTAL ASSETS   211,791,586    31,691,420    31,000,529 
                
LIABILITIES               
Collateral on securities loaned (see Note 2)   44,222,679    1,230,635    — 
Distribution (12b-1) fees payable   31,390    11,333    — 
Investment advisory fees payable   105,970    9,863    23,828 
Payable to related parties   86,566    40,569    13,977 
Payable for Fund shares redeemed   238,093    49,952    10,224 
Payable for foreign exchange   —    —    318 
Accrued expenses and other liabilities   19,633    18,798    10,922 
TOTAL LIABILITIES   44,704,331    1,361,150    59,269 
NET ASSETS  $167,087,255   $30,330,270   $30,941,260 
                
Net Assets Consist Of:               
Paid in capital ($0 par value, unlimited shares authorized)  $146,999,571   $25,530,987   $29,428,353 
Accumulated earnings   20,087,684    4,799,283    1,512,907 
NET ASSETS  $167,087,255   $30,330,270   $30,941,260 
                

See accompanying notes to financial statements.

8

 

The Astor Funds
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)(Continued)
January 31, 2021

 

           Astor Macro 
   Astor Dynamic   Astor Sector   Alternative Fund 
   Allocation Fund   Allocation Fund   (Consolidated) 
Net Asset Value Per Share:               
Class A Shares:               
Net Assets  $12,076,540   $7,889,037   $— 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   873,900    505,780    — 
Net asset value (Net Assets ÷ Shares Outstanding), and redemption price per share  $13.82   $15.60   $— 
Maximum offering price per share (4.75% sales charge)  $14.51   $16.38   $— 
                
Class C Shares:               
Net Assets  $31,935,056   $12,755,529   $— 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   2,430,898    882,980    — 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share  $13.14   $14.45   $— 
                
Class I Shares:               
Net Assets  $123,075,659   $9,685,704   $30,941,260 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   8,877,428    611,332    2,598,680 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share  $13.86   $15.84   $11.91 
                

See accompanying notes to financial statements.

9

 

The Astor Funds
STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended January 31, 2021

 

           Astor Macro 
   Astor Dynamic   Astor Sector   Alternative Fund 
   Allocation Fund   Allocation Fund   (Consolidated) 
INVESTMENT INCOME               
Dividends  $1,431,401   $250,358   $133,199 
Interest   402    69    — 
Securities lending income - net   94,807    20,752    — 
TOTAL INVESTMENT INCOME   1,526,610    271,179    133,199 
                
EXPENSES               
Investment advisory fees   906,484    148,573    166,861 
Distribution (12b-1) fees, Class A shares   17,062    9,975    — 
Distribution (12b-1) fees, Class C shares   164,102    65,243    — 
Administrative services fees   99,149    29,988    24,477 
Third party administrative servicing fees   50,612    11,946    6,047 
Transfer agent fees   71,371    18,069    7,528 
Registration fees   46,000    34,040    13,800 
Accounting services fees   30,151    18,654    10,091 
Printing expenses   23,215    6,234    2,053 
Compliance officer fees   12,588    5,435    2,122 
Custodian fees   12,654    2,931    4,795 
Legal fees   9,561    5,681    15,499 
Trustees fees and expenses   7,368    7,458    7,440 
Audit fees   8,045    8,066    10,838 
Custody overdraft fees   5,937    —    — 
Miscellaneous expense   3,876    2,333    1,902 
Insurance expense   2,760    552    184 
TOTAL EXPENSES   1,470,935    375,178    273,637 
                
Less: Fees waived and/or expenses reimbursed by the advisor   (188,484)   (118,818)   (69,961)
                
NET EXPENSES   1,282,451    256,360    203,676 
NET INVESTMENT INCOME (LOSS)   244,159    14,819    (70,477)
                
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS               
Net realized gain from security transactions   12,498,899    2,198,851    346,840 
Net realized loss from futures transactions   —    —    (652,596)
Net realized gain from foreign currency transactions   —    —    9,345 
Net change in unrealized appreciation on investments   1,186,962    1,022,479    1,359,647 
Net change in unrealized appreciation on futures contracts   —    —    23,860 
Net change in unrealized depreciation on foreign currency transactions   —    —    (10,696)
NET REALIZED AND UNREALIZED GAIN FROM INVESTMENTS   13,685,861    3,221,330    1,076,400 
                
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS  $13,930,020   $3,236,149   $1,005,923 
                

See accompanying notes to financial statements.

10

 

The Astor Funds
STATEMENTS OF CHANGES IN NET ASSETS

 

   Astor Dynamic Allocation Fund 
   For the     
   Six Months Ended   For the 
   January 31, 2021   Year Ended 
   (Unaudited)   July 31, 2020 
FROM OPERATIONS          
Net investment income  $244,159   $1,638,712 
Net realized gain (loss) from security transactions   12,498,899    (2,469,525)
Net change in unrealized appreciation (depreciation) on investments   1,186,962    (4,809,547)
Net increase (decrease) in net assets resulting from operations   13,930,020    (5,640,360)
           
DISTRIBUTIONS TO SHAREHOLDERS          
Total distributions paid          
Class A   (56,040)   (346,330)
Class C   (101,264)   (668,492)
Class I   (668,629)   (4,518,221)
Return of capital          
Class A   —    (28,778)
Class C   —    (62,296)
Class I   —    (341,873)
Total distributions to shareholders   (825,933)   (5,965,990)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class A   296,237    2,749,000 
Class C   722,681    10,893,962 
Class I   10,455,558    100,678,299 
Distributions reinvested          
Class A   47,136    324,475 
Class C   91,321    658,880 
Class I   533,915    4,032,867 
Cost of shares redeemed          
Class A   (3,347,481)   (5,513,273)
Class C   (4,420,677)   (7,417,973)
Class I   (78,691,857)   (92,158,780)
Net increase (decrease) in net assets from shares of beneficial interest   (74,313,167)   14,247,457 
           
TOTAL INCREASE (DECREASE) IN NET ASSETS   (61,209,080)   2,641,107 
           
NET ASSETS          
Beginning of Period   228,296,335    225,655,228 
End of Period  $167,087,255   $228,296,335 
           

See accompanying notes to financial statements.

11

 

The Astor Funds
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Astor Dynamic Allocation Fund 
   For the     
   Six Months Ended   For the 
   January 31, 2021   Year Ended 
   (Unaudited)   July 31, 2020 
SHARE ACTIVITY          
Class A:          
Shares Sold   22,154    203,949 
Shares Reinvested   3,436    23,862 
Shares Redeemed   (247,393)   (418,747)
Net decrease in shares of beneficial interest outstanding   (221,803)   (190,936)
           
Class C:          
Shares Sold   56,894    863,568 
Shares Reinvested   6,998    50,416 
Shares Redeemed   (347,962)   (601,245)
Net increase (decrease) in shares of beneficial interest outstanding   (284,070)   312,739 
           
Class I:          
Shares Sold   791,876    7,760,788 
Shares Reinvested   39,137    296,654 
Shares Redeemed   (5,981,342)   (7,199,974)
Net increase (decrease) in shares of beneficial interest outstanding   (5,150,329)   857,468 
           

See accompanying notes to financial statements.

12

 

The Astor Funds
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Astor Sector Allocation Fund 
   For the     
   Six Months Ended   For the 
   January 31, 2021   Year Ended 
   (Unaudited)   July 31, 2020 
FROM OPERATIONS          
Net investment income  $14,819   $102,522 
Net realized gain (loss) from security transactions   2,198,851    (476,487)
Net change in unrealized appreciation (depreciation) on investments   1,022,479    (94,367)
Net increase (decrease) in net assets resulting from operations   3,236,149    (468,332)
           
DISTRIBUTIONS TO SHAREHOLDERS          
Total distributions paid          
Class A   (24,844)   (974,349)
Class C   (20,234)   (1,826,640)
Class I   (41,157)   (1,704,721)
From distributions to shareholders   (86,235)   (4,505,710)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class A   95,815    228,387 
Class C   3,260    96,388 
Class I   105,293    2,336,051 
Distributions reinvested          
Class A   23,546    936,139 
Class C   18,030    1,730,236 
Class I   38,456    1,657,093 
Cost of shares redeemed          
Class A   (1,180,568)   (2,901,503)
Class C   (2,071,482)   (6,462,645)
Class I   (2,225,444)   (10,947,535)
Net decrease in net assets from shares of beneficial interest   (5,193,094)   (13,327,389)
           
TOTAL DECREASE IN NET ASSETS   (2,043,180)   (18,301,431)
           
NET ASSETS          
Beginning of Period   32,373,450    50,674,881 
End of Period  $30,330,270   $32,373,450 
           

See accompanying notes to financial statements.

13

 

The Astor Funds
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Astor Sector Allocation Fund 
   For the     
   Six Months Ended   For the 
   January 31, 2021   Year Ended 
   (Unaudited)   July 31, 2020 
SHARE ACTIVITY          
Class A:          
Shares Sold   6,490    15,727 
Shares Reinvested   1,534    63,899 
Shares Redeemed   (81,014)   (202,997)
Net decrease in shares of beneficial interest outstanding   (72,990)   (123,371)
           
Class C:          
Shares Sold   232    7,597 
Shares Reinvested   1,243    126,665 
Shares Redeemed   (152,738)   (480,448)
Net decrease in shares of beneficial interest outstanding   (151,263)   (346,186)
           
Class I:          
Shares Sold   7,173    151,312 
Shares Reinvested   2,507    111,433 
Shares Redeemed   (147,597)   (751,659)
Net decrease in shares of beneficial interest outstanding   (137,917)   (488,914)
           

See accompanying notes to financial statements.

14

 

The Astor Funds
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

 

   Astor Macro Alternative Fund 
   For the     
   Six Months Ended   For the 
   January 31, 2021   Year Ended 
   (Unaudited)   July 31, 2020 
FROM OPERATIONS          
Net investment loss  $(70,477)  $(39,550)
Net realized gain (loss) from security transactions, futures transactions and foreign currency transactions   (296,411)   633,948 
Net change in unrealized appreciation investments, futures contracts and foreign currency transactions   1,372,811    233,539 
Net increase in net assets resulting from operations   1,005,923    827,937 
           
DISTRIBUTIONS TO SHAREHOLDERS          
Total distributions paid          
Class I   (528,074)   (704,041)
From distributions to shareholders   (528,074)   (704,041)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class I   18,002,169    7,914,083 
Distributions reinvested          
Class I   478,975    486,246 
Cost of shares redeemed          
Class I   (1,563,753)   (1,683,720)
Net increase in net assets from shares of beneficial interest   16,917,391    6,716,609 
           
TOTAL INCREASE IN NET ASSETS   17,395,240    6,840,505 
           
NET ASSETS          
Beginning of Period   13,546,020    6,705,515 
End of Period  $30,941,260   $13,546,020 
           
SHARE ACTIVITY          
           
Class I:          
Shares Sold   1,531,835    698,038 
Shares Reinvested   39,815    44,610 
Shares Redeemed   (131,691)   (147,720)
Net increase in shares of beneficial interest outstanding   1,439,959    594,928 
           

See accompanying notes to financial statements.

15

 

The Astor Funds
FINANCIAL HIGHLIGHTS

 

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

 

   Astor Dynamic Allocation Fund Class A 
   Six Months Ended                     
   January 31,   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   2021   July 31,   July 31,   July 31,   July 31,   July 31, 
   (Unaudited)   2020   2019   2018   2017   2016 
                         
Net asset value, beginning of period  $12.86   $13.44   $13.83   $13.02   $12.20   $12.02 
Activity from investment operations:                              
Net investment income (1)   0.01    0.08    0.10    0.07    0.09    0.07 
Net realized and unrealized gain (loss) on investments   1.00    (0.33)   (0.00) (6)   1.47    0.88    0.21 
Total from investment operations   1.01    (0.25)   0.10    1.54    0.97    0.28 
Less distributions from:                              
Net investment income   (0.03)   (0.09)   (0.12)   (0.11)   (0.12)   (0.10)
Net realized gains   (0.02)   (0.22)   (0.37)   (0.62)   (0.03)   (0.00) (6)
Return of capital   —    (0.02)   —    —    —    — 
Total distributions   (0.05)   (0.33)   (0.49)   (0.73)   (0.15)   (0.10)
Net asset value, end of period  $13.82   $12.86   $13.44   $13.83   $13.02   $12.20 
Total return (2)   7.92% (7)   (2.02)%   1.25%   12.07%   7.99%   2.39%
Net assets, at end of period (000s)  $12,077   $14,089   $17,290   $16,333   $11,372   $11,418 
Ratio of gross expenses to average net assets (3)(4)   1.60% (8)   1.53%   1.50%   1.59%   1.68%   1.71%
Ratio of net expenses to average net assets (4)   1.40% (8)   1.40%   1.40%   1.40%   1.44%   1.50%
Ratio of net investment income to average net assets (5)   0.21% (8)   0.63%   0.76%   0.49%   0.74%   0.62%
Portfolio Turnover Rate   66% (7)   116%   79%   52%   78%   55%

 

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

 

(2)Total returns shown exclude the effect of applicable sales charges.

 

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

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

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

 

(6)Amount represents less than $0.01 per share.

 

(7)Not annualized.

 

(8)Annualized.

 

See accompanying notes to financial statements.

16

 

The Astor Funds
FINANCIAL HIGHLIGHTS

 

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

 

   Astor Dynamic Allocation Fund Class C 
   Six Months Ended                     
   January 31,   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   2021   July 31,   July 31,   July 31,   July 31,   July 31, 
   (Unaudited)   2020   2019   2018   2017   2016 
                         
Net asset value, beginning of period  $12.26   $12.87   $13.30   $12.60   $11.83   $11.69 
Activity from investment operations:                              
Net investment loss (1)   (0.03)   (0.02)   (0.00) (6)   (0.04)   (0.00) (6)   (0.01)
Net realized and unrealized gain (loss) on investments   0.95    (0.32)   (0.00) (6)   1.42    0.85    0.19 
Total from investment operations   0.92    (0.34)   (0.00) (6)   1.38    0.85    0.18 
Less distributions from:                              
Net Investment Income   (0.02)   (0.03)   (0.06)   (0.06)   (0.05)   (0.04)
Net realized gains   (0.02)   (0.22)   (0.37)   (0.62)   (0.03)   (0.00) (6)
Return of capital   —    (0.02)   —    —    —    — 
Total distributions   (0.04)   (0.27)   (0.43)   (0.68)   (0.08)   (0.04)
Net asset value, end of period  $13.14   $12.26   $12.87   $13.30   $12.60   $11.83 
Total return (2)   7.51% (7)   (2.74)%   0.51%   11.19%   7.21%   1.60%
Net assets, at end of period (000s)  $31,935   $33,278   $30,916   $26,293   $20,587   $20,339 
Ratio of gross expenses to average net assets (3)(4)   2.35% (8)   2.28%   2.25%   2.34%   2.43%   2.46%
Ratio of net expenses to average net assets (4)   2.15% (8)   2.15%   2.15%   2.15%   2.19%   2.25%
Ratio of net investment income (loss) to average net assets (5)   (0.55)% (8)   (0.14)%   0.02%   (0.28)%   (0.03)%   (0.13)%
Portfolio Turnover Rate   66% (7)   116%   79%   52%   78%   55%

 

 

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

 

(2)Total returns shown exclude the effect of applicable sales charges and redemption fees.

 

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

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

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

 

(6)Amount represents less than $0.01 per share.

 

(7)Not annualized.

 

(8)Annualized.

 

See accompanying notes to financial statements.

17

 

The Astor Funds
FINANCIAL HIGHLIGHTS

 

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

 

   Astor Dynamic Allocation Fund Class I 
   Six Months Ended                     
   January 31,   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   2021   July 31,   July 31,   July 31,   July 31,   July 31, 
   (Unaudited)   2020   2019   2018   2017   2016 
                         
Net asset value, beginning of period  $12.90   $13.47   $13.86   $13.04   $12.21   $12.03 
Activity from investment operations:                              
Net investment income (1)   0.03    0.11    0.14    0.10    0.12    0.10 
Net realized and unrealized gain (loss) on investments   1.00    (0.33)   (0.01)   1.47    0.88    0.21 
Total from investment operations   1.03    (0.22)   0.13    1.57    1.00    0.31 
Less distributions from:                              
Net investment income   (0.05)   (0.10)   (0.15)   (0.13)   (0.14)   (0.13)
Net realized gains   (0.02)   (0.22)   (0.37)   (0.62)   (0.03)   (0.00) (6)
Return of capital   —    (0.03)   —    —    —    — 
Total distributions   (0.07)   (0.35)   (0.52)   (0.75)   (0.17)   (0.13)
Net asset value, end of period  $13.86   $12.90   $13.47   $13.86   $13.04   $12.21 
Total return (2)   8.01% (7)   (1.74)%   1.47%   12.31%   8.32%   2.62%
Net assets, at end of period (000s)  $123,076   $180,929   $177,450   $157,874   $101,006   $81,800 
Ratio of gross expenses to average net assets (3)(4)   1.35% (8)   1.28%   1.25%   1.34%   1.43%   1.46%
Ratio of net expenses to average net assets (4)   1.15% (8)   1.15%   1.15%   1.15%   1.19%   1.25%
Ratio of net investment income to average net assets (5)   0.44% (8)   0.86%   1.03%   0.70%   0.97%   0.88%
Portfolio Turnover Rate   66% (7)   116%   79%   52%   78%   55%

 

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

 

(2)Total returns shown exclude the effect of applicable sales charges and redemption fees.

 

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

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

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

 

(6)Amount represents less than $0.01 per share.

 

(7)Not annualized.

 

(8)Annualized.

 

See accompanying notes to financial statements.

18

 

The Astor Funds
FINANCIAL HIGHLIGHTS

 

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

 

   Astor Sector Allocation Fund Class A 
   Six Months Ended                     
   January 31,   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   2021   July 31,   July 31,   July 31,   July 31,   July 31, 
   (Unaudited)   2020   2019   2018   2017   2016 
                         
Net asset value, beginning of period  $14.08   $15.57   $18.31   $16.28   $14.64   $15.41 
Activity from investment operations:                              
Net investment income (loss) (1)   0.03    0.06    0.07    0.03    0.01    (0.06)
Net realized and unrealized gain (loss) on investments   1.54    (0.04)   (0.48)   2.11    1.63    (0.63)
Total from investment operations   1.57    0.02    (0.41)   2.14    1.64    (0.69)
Less distributions from:                              
Net investment income   (0.05)   (0.02)   (0.04)   —    —    — 
Net realized gains   —    (1.49)   (2.29)   (0.11)   —    (0.08)
Total distributions   (0.05)   (1.51)   (2.33)   (0.11)   —    (0.08)
Net asset value, end of period  $15.60   $14.08   $15.57   $18.31   $16.28   $14.64 
Total return (2)   11.14% (6)   (0.23)%   0.66%   13.19%   11.20%   (4.48)%
Net assets, at end of period (000s)  $7,889   $8,148   $10,934   $15,077   $17,588   $30,447 
Ratio of gross expenses to average net assets (3)(4)   2.16% (7)   1.94%   1.66%   1.69%   1.68%   1.65%
Ratio of net expenses to average net assets (4)   1.40% (7)   1.40%   1.40%   1.40%   1.44%   1.50%
Ratio of net investment income (loss) to average net assets (5)   0.33% (7)   0.43%   0.44%   0.15%   0.07%   (0.40)%
Portfolio Turnover Rate   111% (6)   119%   138%   66%   82%   68%

 

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

 

(2)Total returns shown exclude the effect of applicable sales charges.

 

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

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

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

 

(6)Not annualized.

 

(7)Annualized.

 

See accompanying notes to financial statements.

19

 

The Astor Funds
FINANCIAL HIGHLIGHTS

 

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

 

   Astor Sector Allocation Fund Class C 
   Six Months Ended                     
   January 31,   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   2021   July 31,   July 31,   July 31,   July 31,   July 31, 
   (Unaudited)   2020   2019   2018   2017   2016 
                         
Net asset value, beginning of period  $13.07   $14.64   $17.46   $15.64   $14.18   $15.04 
Activity from investment operations:                              
Net investment loss (1)   (0.03)   (0.04)   (0.05)   (0.10)   (0.10)   (0.15)
Net realized and unrealized gain (loss) on investments   1.43    (0.04)   (0.48)   2.03    1.56    (0.63)
Total from investment operations   1.40    (0.08)   (0.53)   1.93    1.46    (0.78)
Less distributions from:                              
Net investment income   (0.02)   —    (0.00) (6)   —    —    — 
Net realized gains   —    (1.49)   (2.29)   (0.11)   —    (0.08)
Total distributions   (0.02)   (1.49)   (2.29)   (0.11)   —    (0.08)
Net asset value, end of period  $14.45   $13.07   $14.64   $17.46   $15.64   $14.18 
Total return (2)   10.73% (7)   (0.97)%   (0.09)%   12.38%   10.30%   (5.19)%
Net assets, at end of period (000s)  $12,756   $13,515   $20,213   $28,201   $31,799   $46,216 
Ratio of gross expenses to average net assets (3)(4)   2.91% (8)   2.69%   2.41%   2.44%   2.43%   2.40%
Ratio of net expenses to average net assets (4)   2.15% (8)   2.15%   2.15%   2.15%   2.19%   2.25%
Ratio of net investment loss to average net assets (5)   (0.42)% (8)   (0.30)%   (0.32)%   (0.61)%   (0.68)%   (1.12)%
Portfolio Turnover Rate   111% (7)   119%   138%   66%   82%   68%

 

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

 

(2)Total returns shown exclude the effect of applicable sales charges.

 

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

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

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

 

(6)Amount represents less than $0.01 per share.

 

(7)Not annualized.

 

(8)Annualized.

 

See accompanying notes to financial statements.

20

 

The Astor Funds
FINANCIAL HIGHLIGHTS

 

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

 

   Astor Sector Allocation Fund Class I 
   Six Months Ended                     
   January 31,   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   2021   July 31,   July 31,   July 31,   July 31,   July 31, 
   (Unaudited)   2020   2019   2018   2017   2016 
                         
Net asset value, beginning of period  $14.30   $15.77   $18.48   $16.40   $14.72   $15.46 
Activity from investment operations:                              
Net investment income (loss) (1)   0.04    0.11    0.11    0.07    0.05    (0.02)
Net realized and unrealized gain (loss) on investments   1.56    (0.05)   (0.47)   2.13    1.63    (0.64)
Total from investment operations   1.60    0.06    (0.36)   2.20    1.68    (0.66)
Less distributions from:                              
Net investment income   (0.06)   (0.04)   (0.06)   (0.01)   —    — 
Net realized gains   —    (1.49)   (2.29)   (0.11)   —    (0.08)
Total distributions   (0.06)   (1.53)   (2.35)   (0.12)   —    (0.08)
Net asset value, end of period  $15.84   $14.30   $15.77   $18.48   $16.40   $14.72 
Total return (2)   11.23% (6)   0.03%   0.97%   13.47%   11.41%   (4.27)%
Net assets, at end of period (000s)  $9,686   $10,711   $19,528   $32,230   $30,526   $36,856 
Ratio of gross expenses to average net assets (3)(4)   1.91% (7)   1.69%   1.41%   1.44%   1.43%   1.40%
Ratio of net expenses to average net assets (4)   1.15% (7)   1.15%   1.15%   1.15%   1.19%   1.25%
Ratio of net investment income (loss)to average net assets (5)   0.57% (7)   0.74%   0.68%   0.40%   0.31%   (0.13)%
Portfolio Turnover Rate   111% (6)   119%   138%   66%   82%   68%

 

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

 

(2)Total returns shown exclude the effect of applicable sales charges.

 

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

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

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

 

See accompanying notes to financial statements.

21

 

The Astor Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Astor Macro Alternative Fund Class I 
   Six Months                     
   January 31,   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   2020   July 31,   July 31,   July 31,   July 31,   July 31, 
   (Unaudited)   2020   2019   2018   2017   2016 
                         
Net asset value, beginning of period  $11.69   $11.89   $11.07   $10.34   $10.59   $9.96 
Activity from investment operations:                              
Net investment income (loss) (1)   (0.03)   (0.06)   (0.05)   (0.04)   0.04    0.01 
Net realized and unrealized gain (loss) on investments   0.48    1.14    1.25    1.10    (0.01)   0.64 
Total from investment operations   0.45    1.20    1.20    1.06    0.03    0.65 
Less distributions from:                              
Net investment income   (0.11)   (0.64)   (0.11)   (0.04)   (0.18)   (0.02)
Net realized gains   (0.12)   (0.64)   (0.27)   (0.29)   (0.10)   — 
Total distributions   (0.23)   (1.28)   (0.38)   (0.33)   (0.28)   (0.02)
Net asset value, end of period  $11.91   $11.69   $11.89   $11.07   $10.34   $10.59 
Total return (2)   3.84% (6)   9.93%   11.54%   10.38%   0.35%   6.56%
Net assets, at end of period (000s)  $30,941   $13,546   $6,706   $7,206   $2,013   $2,054 
Ratio of gross expenses to average net assets (3)(4)   2.35% (7)   3.59%   3.53%   5.67%   9.17%   10.43%
Ratio of net expenses to average net assets (4)   1.75% (7)   1.75%   1.75%   1.75%   1.78%   1.99%
Ratio of net investment income (loss) to average net assets (5)   (0.61)% (7)   (0.52)%   (0.24)%   (0.40)%   0.42%   0.12%
Portfolio Turnover Rate   77% (6)   302%   190%   194%   114%   117%

 

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

 

(2)Total returns shown exclude the effect of applicable sales charges.

 

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

 

(4)Does not include the expenses of other investment companies in which the Fund invests.

 

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

 

(6)Not annualized.

 

(7)Annualized.

 

See accompanying notes to financial statements.

22

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited)
January 31, 2021

 

1.ORGANIZATION

 

The Astor Dynamic Allocation Fund, the Astor Sector Allocation Fund, and Astor Macro Alternative Fund (each a “Fund” or collectively the “Funds”) are each a diversified series of shares of beneficial interest of Northern Lights Fund Trust (the “Trust”), a statutory trust organized under the laws of the State of Delaware on January 19, 2005, and registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Astor Dynamic Allocation Fund seeks total return through a combination of capital appreciation and income. The Astor Sector Allocation Fund seeks capital appreciation. The Astor Macro Alternative Fund seeks to provide positive returns over a market cycle regardless of market conditions or general market direction. The Astor Dynamic Allocation Fund commenced operations on October 19, 2009. The Astor Sector Allocation Fund commenced operations on November 30, 2011. The Astor Macro Alternative Fund commenced operations on June 22, 2015.

 

The Astor Dynamic Allocation Fund currently offers Class A, Class C, and Class I shares. Class C and Class I shares are offered at net asset value. Class A shares are offered at net asset value plus a maximum sales charge of 4.75%. The Astor Sector Allocation Fund currently offer Class A, Class C, and Class I shares. Class C and Class I shares are offered at net asset value and Class A shares are offered at net asset value plus a maximum sales charge of 4.75%. The Astor Macro Alternative Fund currently offers Class I shares offered at net asset value. Class A and Class C are not offered for sale at this time. Each class represents an interest in the same assets of the respective Fund and classes of a Fund are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares of a Fund have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. Each Fund’s income, expenses (other than class specific distribution fees), and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class.

 

The consolidated financial statements of the Astor Macro Alternative Fund include the Astor Macro Alternative Fund and its wholly owned subsidiary AMA Fund Limited (“AMA”). AMA commenced operations on June 22, 2015 and is incorporated in the Cayman Islands as an exempted company with limited liability.

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements. The policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the year then ended. Actual results could differ from those estimates. 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 Topic 946 “Financial Services Investment Companies” including Accounting Standards Update (“ASU”) 2013-08.

23

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

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. In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. A Fund may fair value a particular bond if the advisor does not believe that the round lot value provided by the independent pricing service reflects fair value of the Fund’s holding. Short-term debt obligations with remaining maturities in excess of sixty days are valued at current market prices by an independent pricing service approved by the Board. Short-term debt obligations having sixty days or less remaining until maturity, at time of purchase, may be valued at amortized cost.

 

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

 

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

24

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

Valuation of Fund of Funds – The Funds may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). 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 to the methods established by the board of directors of the Underlying Funds.

 

Futures Contracts – The Astor Macro Alternative Fund may purchase or sell futures contracts to gain exposure to, or hedge against, changes in the value of equities, interest rates, foreign currencies, or commodities. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, the Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If the Fund was unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. The Fund segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. Risks may exceed amounts recognized in the consolidated statement of assets and liabilities. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

Valuation of Underlying Funds – Open-end investment companies are valued at their respective net asset values as reported by such investment companies. 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. Each Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis.

 

GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs 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

25

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

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 January 31, 2021, for the Funds’ assets and liabilities measured at fair value:

 

Astor Dynamic Allocation Fund 
                 
Assets *  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $165,272,912   $—   $—   $165,272,912 
Investment Purchased As Securities Lending Collateral   44,222,679    —    —    44,222,679 
Money Market Fund   2,037,586    —    —    2,037,586 
Total  $211,533,177   $—   $—   $211,533,177 
                     
Astor Sector Allocation Fund 
                 
Assets *  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $29,922,558   $—   $—   $29,922,558 
Investment Purchased As Securities Lending Collateral   1,230,635    —    —    1,230,635 
Money Market Fund   507,819    —    —    507,819 
Total  $31,661,012   $—   $—   $31,661,012 
                     
Astor Macro Alternative Fund 
                 
Assets **  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $28,134,193   $—   $—   $28,134,193 
Open futures contracts ***   116,683    —    —    116,683 
Short-Term Investment   1,080,243    —    —    1,080,243 
Total  $29,331,119   $—   $—   $29,331,119 

 

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

 

*Refer to the Schedule of Investments for classification by asset class.

 

**Refer to the Consolidated Schedule of Investments for classification by asset class.

 

***Includes cumulative net unrealized appreciation on futures contracts open at January 31, 2021.

 

Consolidation of Subsidiaries – The consolidated financial statements of the Astor Macro Alternative Fund include AMA, a wholly-owned and controlled foreign corporation (“CFC”).

 

The Astor Macro Alternative Fund may invest up to 25% of its total assets in a CFC, which acts as an investment vehicle in order to effect certain investments consistent with the Astor Macro Alternative Fund’s investment objectives and policies. The Astor Macro Alternative Fund consolidates the results of subsidiaries in which the Astor Macro Alternative Fund holds a controlling economic interest. Controlling economic interest is generally deemed to exist with investment interests comprising greater than 50% of the net asset value of the subsidiary. However, the Astor Macro Alternative Fund may also consider qualitative aspects of control in determining if a controlling economic interest exists. These qualitative control considerations include the nature and organizational structure of the investment, as well as the Astor Macro Alternative Fund’s ability to control the circumstances

26

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

leading to majority ownership. All significant inter-company accounts and transactions have been eliminated in consolidation.

 

A summary of the net assets of AMA is as follows:

 

       % of Astor Macro Alternative
Inception Date of  AMA Net Assets at   Fund’s Net Assets at
AMA:  January 31, 2021   January 31, 2021
6/22/2015  $1,652,621   5.34%

 

The results from operations of AMA were as follows:

 

Net investment loss  $(2,323)
Net realized gain   (643,252)
Net increase in unrealized appreciation   13,164 
Net decrease in net assets resulting from operations  $(632,411)

 

For tax purposes, AMA is an exempted Cayman Islands investment company. AMA has 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, AMA is a CFC which generates and is allocated no income which is considered effectively connected with U.S. trade or business and as such is not subject to U.S. income tax. However, as a wholly-owned CFC, AMA’s net income and capital gain, to the extent of its earnings and profits, will be included each year in the Astor Macro Alternative Fund’s investment company taxable income.

 

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

 

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.

 

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.

 

Currency 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.

 

Fixed-Income Risk – When the Fund invests in fixed-income ETFs that invest in fixed-income securities, the value of your investment in the Fund will fluctuate with changes in interest rates. Typically, a rise in interest rates causes a decline in the value of the fixed-income securities owned by the Fund. In general, the market price of debt securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. Other risk factors impacting fixed-income securities include credit risk, maturity risk, market risk, extension or prepayment risk, illiquid security risks, investment-grade securities risk. These risks could affect the value of a particular investment by the Funds possibly causing the Fund’s share price and total return to be reduced and fluctuate more than other types of investments.

27

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

ETF Risk – Exchange-Traded Funds (“ETFs”) are subject to investment advisory fees and other expenses, which will be indirectly paid by the Fund. As a result, your cost of investing in the Fund will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in stocks and bonds. ETFs are listed on national stock exchanges and are traded like stocks listed on an exchange. ETF shares may trade at a discount or a premium in market price if there is a limited market in such shares. ETFs are also subject to brokerage and other trading costs, which could result in greater expenses to the Fund. ETFs may employ leverage, which magnifies the changes in the value of the ETFs. Finally, because the value of ETF shares depends on the demand in the market, the advisor may not be able to liquidate the Fund’s holdings at the most optimal time, adversely affecting performance. If the Fund invests a significant portion of its assets in ETFs offered by one ETF sponsor, the Fund could be exposed to additional risks and losses if the sponsor’s ETFs fall out of favor in the marketplace and trading volumes cause the ETF’s market prices to decline.

 

You will indirectly bear fees and expenses charged by the ETFs in addition to the Fund’s direct fees and expenses.

 

Additional risks of investing in ETFs are described below:

 

(a)       Strategy Risk. Each ETF is subject to specific risks, depending on the nature of the ETF. These risks could include liquidity risk, sector risk as well as risks associated with fixed-income securities.

 

(b)       Net Asset Value and Market Price Risk. The market value of the ETF shares may differ from their net asset value. This difference in price may be due to the fact that the supply and demand in the market for ETF shares at any point in time is not always identical to the supply and demand in the market for the underlying basket of securities. Accordingly, there may be times when an ETF share trades at a premium or discount to its net asset value.

 

(c)       Tracking Risk. Investment in the Fund should be made with the understanding that the ETFs in which the Fund invests will not be able to replicate exactly the performance of the indices they track because the total return generated by the securities will be reduced by transaction costs incurred in adjusting the actual balance of the securities. In addition, the ETFs in which the Fund invests will incur expenses not incurred by their applicable indices. Certain securities comprising the indices tracked by the ETFs may, from time to time, temporarily be unavailable, which may further impede the ability to track the applicable indices.

 

(d)       Market Risk. The net asset value of the Fund will fluctuate based on changes in the value of the individual securities in which the Fund invests. The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund’s portfolio may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years may result in market volatility and may have long term effects on both the U.S. and global financial markets. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your Fund investment.

 

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

28

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

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

 

Expenses – 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.

 

Federal Income Taxes – Each Fund complies with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Therefore, no provision for federal income tax is required. The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years July 31, 2018 – July 31, 2020, or expected to be taken in the Funds’ July 31, 2021 tax returns. The Funds identified their major tax jurisdictions as U.S. federal, Ohio and foreign jurisdictions where the Funds make significant investments; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

 

The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the Statements of Operations. During the year, the Funds did not incur any interest or penalties.

 

Exchange Traded Funds - The Funds may invest in ETFs. ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, 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.

 

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

 

The following is a summary of the location of derivative investments on the Astor Macro Alternative Fund’s Consolidated Statement of Assets and Liabilities as of January 31, 2021.

 

Contract Type/Primary Risk Exposure  Balance Sheet Location  Unrealized Appreciation (Depreciation) 
Commodity Risk  Net unrealized appreciation on futures contracts  $8,435 
Foreign Exchange Rate Risk  Net unrealized appreciation on futures contracts   56,720 
Interest Risk  Net unrealized appreciation on futures contracts   51,528 
Total     $116,683 

29

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

The following is a summary of the location of derivative investments on the Astor Macro Alternative Fund’s Consolidated Statement of Operations for the six months ended January 31, 2021:

 

         Realized and Unrealized Gain 
      Location of Gain (Loss) on  (Loss) on Derivatives recognized 
Derivative Investment Type  Primary Risk Exposure  Derivatives recognized in income  in income 
Futures Contracts  Commodity Risk  Net realized loss from futures transactions  $(745,263)
   Equity Risk  Net realized loss from futures transactions   (291,769)
   Foreign Exchange Rate Risk  Net realized gain from futures transactions   417,940 
   Interest Risk  Net realized loss from futures transactions   (33,504)
Total        $(652,596)
Futures Contracts  Commodity Risk  Net change in unrealized appreciation on futures contracts  $30,872 
   Foreign Exchange Rate Risk  Net change in unrealized depreciation on futures contracts   (43,530)
   Interest Risk  Net change in unrealized appreciation on futures contracts   36,518 
Total        $23,860 

 

The amounts of realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed in the Consolidated Statement of Operations serve as indicators of the volume of derivative activity for the Astor Macro Alternative Fund.

 

Offsetting of Financial Assets and Derivative Assets

 

The Astor Macro Alternative Fund’s policy is to recognize a net asset or liability equal to the unrealized gain (loss) on futures contracts. The following table shows additional information regarding the offsetting of assets and liabilities at January 31, 2021 for the Astor Macro Alternative Fund.

 

Astor Macro Alternative Fund
               Gross Amounts Not Offset in the     
               Consolidated Statement of Assets &     
Assets:              Liabilities     
       Gross Amounts Offset   Net Amounts of Assets             
   Gross Amounts   in the Consolidated   Presented in the             
   of Recognized   Statement of Assets &   Consolidated Statement   Financial   Cash Collateral     
Description  Assets   Liabilities   of Assets & Liabilities   Instruments   Pledged   Net Amount 
Futures Contracts  $173,646   $(56,963)  $116,683   $—   $—   $116,683 
Total  $173,646   $(56,963)  $116,683   $—   $—   $116,683 
                               
Liabilities:                        
           Net Amounts of             
       Gross Amounts Offset   Liabilities Presented in             
   Gross Amounts   in the Consolidated   the Consolidated             
   of Recognized   Statement of Assets &   Statement of Assets &   Financial   Cash Collateral     
Description  Liabilities   Liabilities   Liabilities   Instruments   Received   Net Amount 
Futures Contracts  $56,963   $(56,963)  $—   $—   $—   $— 
Total  $56,963   $(56,963)  $—   $—   $—   $— 

30

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

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 Funds expect the risk of loss due to these warranties and indemnities to be remote.

 

Security Loans – The Astor Dynamic Allocation Fund and the Astor Sector Allocation Fund have entered into a securities lending arrangement with BNP Paribas (the “Borrower”). Under the terms of the agreement, the Funds are authorized to loan securities to the Borrower. In exchange, the Funds receive cash collateral in the amount of at least 102% of the value of the securities loaned. The cash collateral is invested in short-term instruments as noted in the Funds’ Schedule of Investments. 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.

 

Gain or loss in the fair value of securities loaned that may occur during the term of the loan will be for the account of each Fund. Each Fund has the right under the securities lending agreement to recover the securities from the Borrower on demand. If the fair value of the collateral falls below 102% plus accrued interest of the loaned securities, the lender’s agent shall request additional collateral from the Borrower to bring the collateralization back to 102%. Under the terms of the securities lending agreement, each Fund is indemnified for such losses by the security lending agreement. Should the Borrower fail financially, the Funds have the right to repurchase the securities using the collateral in the open market.

 

The following table is a summary of the Funds’ securities loaned and related collateral which are subject to a netting agreement as of January 31, 2021:

 

               Gross Amounts Not Offset in the     
               Statement of Assets & Liabilities     
           Net Amounts of             
       Gross Amounts   Assets             
       Offset in the   Presented in             
   Gross Amounts   Statement of   the Statement   Financial         
   of Recognized   Assets &   of Assets &   Instruments   Cash Collateral   Net Amount of 
Assets:  Assets   Liabilities   Liabilities   Pledged   Received   Assets 
Astor Dynamic Allocation Fund 
Description:                              
Securities Loaned  $42,458,379   $—   $42,458,379   $—   $42,458,379   $— 
Total  $42,458,379   $—   $42,458,379   $—   $42,458,379   $— 
                               
Astor Sector Allocation Fund 
Description:                              
Securities Loaned  $1,182,942   $—   $1,182,942   $—   $1,182,942   $— 
Total  $1,182,942   $—   $1,182,942   $—   $1,182,942   $— 

31

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

The following table breaks out the holdings received as collateral as of January 31, 2021:

 

Overnight and Continuous     
Astor Dynamic Allocation Fund     
Morgan Stanley Liquidity Treasury Fund  $44,222,679 
      
Astor Sector Allocation Fund     
Morgan Stanley Liquidity Treasury Fund  $1,230,635 

 

3.INVESTMENT TRANSACTIONS

 

For the six months ended January 31, 2021, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and U.S. government securities, amounted to $122,423,684 and $196,952,724, respectively, for Astor Dynamic Allocation Fund, $33,484,220 and $37,891,776, respectively, for Astor Sector Allocation Fund, and $32,652,769 and $16,644,766, respectively, for the Astor Macro Alternative Fund.

 

4.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Astor Investment Management, LLC (the “Advisor”) is the Funds’ investment advisor. Pursuant to an investment advisory agreement with the Trust, on behalf of the Funds (the “Advisory Agreement”), the Advisor, under the supervision of the Board, oversees the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Advisor receives a management fee, computed and accrued daily and paid monthly, at an annual rate of 0.95% for the Astor Dynamic Allocation Fund and Astor Sector Allocation Fund’s average daily net assets and 1.45% of the Astor Macro Alternative Fund’s average daily net assets. The Advisor earned $906,484, $148,573 and $166,861 in management fees for the six months ended January 31, 2021 from the Astor Dynamic Allocation Fund, Astor Sector Allocation Fund and Astor Macro Alternative Fund, respectively.

 

Pursuant to a written contract (the “Waiver Agreement”), the Advisor has agreed, at least until November 30, 2021, to waive a portion of its advisory fee and has agreed to reimburse the Funds for other expenses to the extent necessary so that the total expenses incurred by the Funds (excluding any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers, other than the Advisor) do not exceed 1.40%, 2.15% and 1.15% per annum of the Astor Dynamic Allocation Fund’s average daily net assets for Class A, Class C, and Class I shares respectively, 1.40%, 2.15%, and 1.15% per annum of the Astor Sector Allocation Fund’s average daily net assets for Class A, Class C, and Class I shares, respectively, and 1.75% per annum of the Astor Macro Alternative Fund’s average daily net assets for Class I.

 

If the Advisor waives any fee or reimburses any expense pursuant to the Waiver Agreement, and any Fund’s operating expenses are subsequently lower than their respective expense limitation, the Advisor shall be entitled to reimbursement by the Fund(s). These fee waivers and expense reimbursements are subject to possible recoupment from the Fund(s) in future years (within the three years from the date when the amount is waived or reimbursed) if such recoupment can be achieved within the lesser of the foregoing expense limits or the then-current expense limits. The Board may terminate this expense reimbursement arrangement at any time.

32

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

During the six months ended January 31, 2021, the Advisor waived fees reimbursed expenses of $188,484, $118,818, and $69,961 for the Astor Dynamic Allocation Fund, Astor Sector Allocation Fund, and the Astor Macro Alternative Fund, respectively, pursuant to the Waiver Agreement. As of July 31, 2020, the Advisor has waived/reimbursed expenses that may be recovered no later than July 31 of the year indicated below:

 

Fund  2021   2022   2023   Total 
Astor Dynamic Allocation Fund  $297,345   $231,807   $300,499   $829,651 
Astor Sector Allocation Fund   223,468    160,642    223,426    607,536 
Astor Macro Alternative Fund   163,395    128,651    137,175    429,221 

 

The Trust has adopted, on behalf of the Funds, the Trust’s Master Distribution and Shareholder Servicing Plans (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act with respect to Class A and Class C shares of each Fund. The Plans provide that a monthly service and/or distribution fee is calculated by the Funds at an annual rate of 0.25% of the average daily net assets attributable to such Class A shares and 1.00% of the average daily net assets attributable to Class C shares and is paid to Northern Lights Distributors, LLC (the “Distributor” or “NLD”), to provide compensation for ongoing distribution-related activities or services and/or maintenance of the Funds’ shareholder accounts, not otherwise required to be provided by the Advisor. The Plans are compensation plans, which means that compensation is provided regardless of 12b-1 expenses incurred. The Astor Dynamic Allocation Fund and Astor Sector Allocation Fund incurred $181,164 and $75,218 in 12b-1 fees for the six months ended January 31, 2021, respectively.

 

The Distributor acts as each Fund’s principal underwriter in a continuous public offering of the Funds’ Class A, Class C, and Class I shares. For the six months ended January 31, 2021, $7,338, and $3,165 were paid to the underwriter for the Astor Dynamic Allocation Fund and Astor Sector Allocation Fund, respectively. Of these amounts, $1,090 and $493 were retained by the Astor Dynamic Allocation Fund and Astor Sector Allocation Fund, respectively. There were no such fees paid by the Astor Macro Alternative Fund during the period. The Advisor incurs and pays for these fees for the benefit of the Funds.

 

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

 

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

 

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

 

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

33

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

5.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The below table represents aggregate cost for federal tax purposes, for the Funds as of January 31, 2021 and differs from market value by net unrealized appreciation/depreciation which consisted of:

 

       Gross Unrealized   Gross Unrealized   Total Unrealized 
Fund  Aggregate Cost   Appreciation   Depreciation   Appreciation 
Astor Dynamic Allocation Fund  $199,876,377   $11,687,901   $(31,101)  $11,656,800 
Astor Sector Allocation Fund   28,957,800    3,441,549    (738,337)   2,703,212 
Astor Macro Alternative Fund   27,416,921    2,442,685    (528,486)   1,914,199 

 

The tax character of distributions paid during the fiscal years ended July 31, 2020 and July 31, 2019 was as follows:

 

For fiscal year ended  Ordinary   Long-Term   Return of   Total 
July 31, 2020  Income   Capital Gain   Capital   Distribution 
Astor Dynamic Allocation Fund  $1,637,455   $3,895,588   $432,947   $5,965,990 
Astor Sector Allocation Fund   52,118    4,453,592    —    4,505,710 
Astor Macro Alternative Fund   521,945    183,340    —    705,285 
                     
For fiscal year ended  Ordinary   Long-Term   Return of   Total 
July 31, 2019  Income   $Capital Gain   Capital   Distribution 
Astor Dynamic Allocation Fund  $1,991,034   $6,815,885   $—   $8,806,919 
Astor Sector Allocation Fund   270,937    8,486,976    —    8,757,913 
Astor Macro Alternative Fund   232,277    34,017    —    266,294 

 

The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $1,244 for fiscal year ended July 31, 2020 for the Astor Macro Alternative Fund.

 

As of July 31, 2020, 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) 
Astor Dynamic Allocation Fund  $—   $—   $(3,486,240)  $—   $—   $10,469,838   $6,983,598 
Astor Sector Allocation Fund   82,103    —    —    (113,467)   —    1,680,733    1,649,369 
Astor Macro Alternative Fund   286,942    207,046    —    —    —    541,070    1,035,058 

 

The unrealized appreciation (depreciation) for Astor Macro Alternative Fund in the table above includes unrealized foreign currency gains of $ 10,378.

 

The differences between book basis and tax basis undistributed net investment income/(loss), accumulated net realized gains, and unrealized appreciation from security transactions are primarily attributable to adjustments for grantor trusts and the tax deferral of losses on wash sales.

34

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

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

 

   Post October 
Portfolio  Losses 
Astor Dynamic Allocation Fund  $3,486,240 
Astor Sector Allocation Fund   — 
Astor Macro Alternative Fund   — 

 

At July 31, 2020, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

   Non-Expiring         
               CLCF 
Portfolio  Short-Term   Long-Term   Total   Utilized 
Astor Dynamic Allocation Fund  $—   $—   $—   $— 
Astor Sector Allocation Fund   113,467    —    113,467    — 
Astor Macro Alternative Fund   —    —    —    — 

 

6.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 January 31, 2021, Wells Fargo Clearing Services held 29.50% of the voting securities of the Astor Dynamic Allocation Fund and may be deemed to control the Fund, respectively. As of January 31, 2021, Charles Schwab & Co., Inc. held 26.27%, National Financial Services LLC held 31.46% and Pershing LLC held 25.52% of the voting securities of the Astor Macro Alternative Fund and may be deemed to control the Fund, respectively.

 

7.UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES

 

The Astor Macro Alternative Fund currently seeks to achieve its investment objectives by investing a portion of its assets in the Invesco QQQ Trust Series 1 (the “Security”). The Astor Macro Alternative Fund may redeem its investments from this Security at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so.

 

The performance of the Astor Macro Alternative Fund will be directly affected by the performance of the Security. The annual report of the Security, along with the report of the independent registered public accounting firm is included in the Security’s most recent annual report filed on Form N-CSR available at www.sec.gov. As of January 31, 2021, the percentage of the Astor Macro Alternative Fund’s net assets invested in the Invesco QQQ Trust Series 1 was 33.40%.

 

8.MARKET AND GEOPOLITICAL RISK

 

The increasing interconnectivity between global economies and financial markets increases the likelihood that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial market. Securities in the Fund may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years, such as terrorist attacks around the world, natural disasters, social and political

35

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Unaudited) (Continued)
January 31, 2021

 

discord or debt crises and downgrades, among others, may result in market volatility and may have long term effects on both the U.S. and global financial markets. It is difficult to predict when similar events affecting the U.S. or global financial markets may occur, the effects that such events may have and the duration of those effects. Any such event(s) could have a significant adverse impact on the value and risk profile of the Fund. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your investment. Therefore, the Fund 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. Changes in market conditions and interest rates can have the same impact on all types of securities and instruments. In times of severe market disruptions, you could lose your entire investment.

 

Please refer to the Fund’s prospectus and statement of additional information for a full listing of risks associated with the Fund’s investment strategies.

 

9.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.

36

 

The Astor Funds
Expense Examples (Unaudited)
January 31, 2021

 

Example

 

As a shareholder of a Fund you will incur two types of costs: (1) transaction costs, including sales loads and redemption fees; and (2) ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period as indicated below.

 

Actual Expenses

 

The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period. The “Actual Ending Account Value” shown is derived from each Fund’s actual return, and the “Actual Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. To estimate the expenses you paid on your account during this 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 column under the heading entitled “Actual Expenses Paid During Period.”

 

Hypothetical Examples for Comparison Purposes

 

The columns under the heading entitled “Hypothetical” provide information about hypothetical account value and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical Expenses Paid During Period) 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.

 

            Hypothetical
      Actual   (5% return before expenses)
  Fund’s Beginning Ending Expenses   Ending Expenses
  Annualized Account Value Account Value Paid During   Account Value Paid During
  Expense Ratio 8/1/20 1/31/21 Period(a)   1/31/21 Period
               
Astor Dynamic Allocation Fund – Class A 1.40% $1,000.00 $1,079.20 $   7.34   $1,018.15 $   7.12
Astor Dynamic Allocation Fund – Class C 2.15% $1,000.00 $1,075.10 $ 11.25   $1,014.37 $ 10.92
Astor Dynamic Allocation Fund – Class I 1.15% $1,000.00 $1,080.10 $   6.03   $1,019.41 $   5.85
Astor Sector Allocation Fund – Class A 1.40% $1,000.00 $1,111.40 $   7.45   $1,018.15 $   7.12
Astor Sector Allocation Fund – Class C 2.15% $1,000.00 $1,107.30 $ 11.42   $1,014.37 $ 10.92
Astor Sector Allocation Fund – Class I 1.15% $1,000.00 $1,112.30 $   6.12   $1,019.41 $   5.85
Astor Macro Alternative Fund – Class I 1.75% $1,000.00 $1,038.40 $   8.99   $1,016.38 $   8.89

 

(a)Actual Expenses Paid During Period are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184 days and divided by 365.

37

 

PRIVACY NOTICE

 

Northern Lights Fund Trust

 

Rev. February 2014

 

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

 

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

 

What?

The types of personal information we collect and share depends on the product or service that you have with us. This information can include:

 

●         Social Security number and wire transfer instructions

 

●         account transactions and transaction history

 

●         investment experience and purchase history

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

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

 

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

 

QUESTIONS?   Call 1-402-493-4603

38

 

PRIVACY NOTICE

 

Northern Lights Fund Trust

 

Page 2  

 

What we do:

 

How does Northern Lights Fund Trust protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.

 

How does Northern Lights Fund Trust collect my personal information?

We collect your personal information, for example, when you

●     open an account or deposit money

 

●     direct us to buy securities or direct us to sell your securities

 

●     seek advice about your investments

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

 

Why can’t I limit all sharing?

Federal law gives you the right to limit only:

●     sharing for affiliates’ everyday business purposes – information about your creditworthiness.

 

●     affiliates from using your information to market to you.

 

●     sharing for nonaffiliates to market to you.

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

●     Northern Lights Fund Trust does not share with our affiliates.

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

●     Northern Lights Fund Trust does not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

●     Northern Lights Fund Trust doesn’t jointly market.

39

 

The Astor Funds
SUPPLEMENTAL INFORMATION (Unaudited)
January 31, 2021

 

LIQUIDITY RISK MANAGEMENT PROGRAM

 

The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act. The program is reasonably designed to assess and manage the Funds’ liquidity risk, taking into consideration, among other factors, the Funds’ investment strategies and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.

 

During the six months ended January 31, 2021, the Board and the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Funds’ investments and they determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Board and Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented.

40

 

PROXY VOTING POLICY

 

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling 1-877-738-0333 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO HOLDINGS

 

The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available at the SEC’s website at www.sec.gov.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 
 
 
ADVISOR
Astor Investment Management, LLC
111 South Wacker Dr. Suite 3950
Chicago, IL 60606
 
ADMINISTRATOR
Gemini Fund Services, LLC
4221 North 203rd Street, Suite 100
Elkhorn, NE 68022
 
 
AF-SAR21

 

Item 2. Code of Ethics. Not applicable.

 

Item 3. Audit Committee Financial Expert. (a) The registrant’s Board of Trustees has determined that Mark Taylor is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Taylor is independent for purposes of this Item.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

Item 11. Controls and Procedures.

 

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

 

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

 

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

 

Not applicable Fund is an open-end management investment company

 

Item 13. Exhibits.

 

(a)(1) Not applicable.

 

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

 

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

 

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

 

 

SIGNATURES

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

 

(Registrant) Northern Lights Fund Trust

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

 

Date 4/9/21

 

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

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

 

Date 4/9/21

 

 

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Principal Financial Officer/Treasurer

 

Date 4/9/21