N-CSRS 1 altegris_ncsrs.htm N-CSRS Blu Giant, LLC

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)

 

17605 Wright Street Omaha, NE 68130

(Address of principal executive offices) (Zip code)

 

James Ash, Gemini Fund Services, LLC.

80 Arkay Drive, Suite 110 Hauppauge, NY 11788

(Name and address of agent for service)

 

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

 

Date of fiscal year end: 6/30

 

Date of reporting period: 12/31/16

 

Item 1. Reports to Stockholders.

(COVER PAGE)

 

 
Altegris Futures Evolution Strategy Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2016

 

The Fund’s performance figures* for the periods ended December 31, 2016, compared to its benchmark:

 

         Annualized
               Since Inception  Since Inception
   Six Months  One Year  Three Years  Five Years  February 16, 2012  October 31, 2011
Altegris Futures Evolution Strategy Fund - Class A  (5.64)%  (1.47)%  8.56%  4.52%  N/A  4.62%
Altegris Futures Evolution Strategy Fund - Class A with load **  (11.05)%  (7.17)%  6.44%  3.28%  N/A  3.43%
Altegris Futures Evolution Strategy Fund - Class C  (6.00)%  (2.09)%  7.76%  N/A  3.82%  N/A
Altegris Futures Evolution Strategy Fund - Class I  (5.52)%  (1.18)%  8.84%  4.79%  N/A  4.89%
Altegris Futures Evolution Strategy Fund - Class N  (5.63)%  (1.37)%  8.56%  4.52%  N/A  4.62%
Bank of America Merrill Lynch 3-Month Treasury Bill Index ***  0.18%  0.33%  0.14%  0.12%  0.12%  0.12%
S&P 500 Total Return Index ^  7.82%  11.96%  8.87%  14.66%  13.21%  14.33%
SG Trend Index +  (7.08)%  (5.32)%  4.27%  2.35%  2.09%  2.57%

 

*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 ratios, before any fee waivers, are 1.97%, 2.72%, 1.72%, and 1.97% for Class A, Class C, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 28, 2016. Class A shares are subject to a sales charge imposed on purchase of 5.75% and Class A and Class C Shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call 1-877-772-5838.

 

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

 

***Bank of America Merrill Lynch 3-Month Treasury Bill Index: Is an unmanaged index that measures the returns of three-month Treasury Bills. Investors cannot invest directly in an index.

 

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

 

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

 

Holdings by Type of Investment  % of Net Assets 
Bonds & Notes     
Mortgage Backed Securities   30.6%
Asset Backed Securities   15.3%
Treasury Securities   8.4%
Banks   3.8%
U.S. Government Agency   1.6%
Oil & Gas   1.4%
Foreign Government   1.1%
Municipal   1.0%
Electric   0.9%
Telecommunications   0.8%
Other   8.5%
Short-Term Investments   13.9%
Structured Note   5.4%
Unaffiliated Trading Companies   2.8%
Other, Cash & Cash Equivalents   4.5%
    100.0%

 

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

1

 

Altegris Macro Strategy Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2016

 

The Fund’s performance figures* for the periods ended December 31, 2016 compared to its benchmark:

 

         Annualized
               Since Inception  Since Inception
   Six Months  One Year  Three Year  Five Year  October 20, 2011  June 1, 2011
Altegris Macro Strategy Fund - Class A  2.10%  3.74%  0.70%  (3.20)%  N/A  (3.04)%
Altegris Macro Strategy Fund - Class A with load **  (3.82)%  (2.24)%  (1.26)%  (4.33)%  N/A  (4.07)%
Altegris Macro Strategy Fund - Class C  1.74%  2.96%  (0.02)%  (3.90)%  (3.87)%  N/A
Altegris Macro Strategy Fund - Class I  2.17%  3.93%  0.96%  (2.97)%  N/A  (2.81)%
Altegris Macro Strategy Fund - Class N  2.04%  3.68%  0.72%  (3.21)%  N/A  (3.05)%
Bank of America Merrill Lynch 3-Month Treasury Bill Index ***  0.18%  0.33%  0.14%  0.12%  0.12%  0.11%
Barclay Global Macro Index ****  2.44%  1.66%  2.62%  3.04%  2.81%  2.04%
S&P 500 Total Return Index ^  7.82%  11.96%  8.87%  14.66%  14.92%  12.40%
SG CTA Index +  (6.17)%  (2.26)%  4.18%  2.04%  1.73%  1.40%

 

*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 ratios, gross of fee waivers or expense reimbursements, are 2.50%, 3.25%, 2.23%, and 2.51% for Class A, Class C, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 28, 2016. Class A shares are subject to a maximum sales charge on purchases of 5.75% and Class A and C shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call 1-888-524-9441.

 

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

 

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

 

****Barclays Global Macro Index tracks the performance of approximately 132 Global Macro programs, by ending month values, net of fees, as reported to Barclay Hedge.

 

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

 

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

 

Holdings by type of investment  % of Net Assets 
Exchange Traded Funds   45.5%
Discount Agency Notes   15.1%
U.S. Treasury Bills   12.9%
Commercial Paper   7.9%
Structured Note   6.4%
Certificates of Deposit   2.9%
Unaffiliated Trading Companies   2.3%
Other, Assets Less Liabilities   7.0%
    100.0%

 

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

2

 

Altegris Managed Futures Strategy Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2016

 

The Fund’s performance figures* for the periods ended December 31, 2016, compared to its benchmarks:

 

         Annualized
               Since Inception  Since Inception  Since Inception
   Six Months ***  One Year  Three Year  Five Year  August 26, 2010  February 1, 2011  March 13, 2013
Altegris Managed Futures Strategy Fund - Class A  (5.13)%  2.36%  3.21%  0.32%  (0.08)%  N/A  N/A
Altegris Managed Futures Strategy Fund - Class A with load **  (10.56)%  (3.52)%  1.19%  (0.87)%  (1.01)%  N/A  N/A
Altegris Managed Futures Strategy Fund - Class C  (5.46)%  1.70%  2.42%  (0.44)%  N/A  (1.73)%  N/A
Altegris Managed Futures Strategy Fund - Class I  (5.05)%  2.58%  3.46%  0.56%  0.16%  N/A  N/A
Altegris Managed Futures Strategy Fund - Class O  (5.11)%  2.51%  3.21%  N/A  N/A  N/A  1.08%
Bank of America Merill Lynch 3 Month T- Bill Index ***  0.18%  0.33%  0.14%  0.12%  0.12%  0.12%  0.13%
MSCI World Index ****  6.81%  7.51%  3.80%  10.41%  10.20%  6.98%  7.60%
SG CTA Index +  (6.17)%  (2.26)%  4.18%  2.04%  1.66%  0.96%  2.74%

 

*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. Per the fee table in the Fund’s October 28, 2016 prospectus, the total annual operating expense are 1.98%, 2.73%, 1.73%, and 1.97% for the Fund’s Class A, Class C, Class I, and Class O shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.75%, while Class A and Class C shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call 1-877-772-5838.

 

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

 

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

 

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

 

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

 

Holdings by type of investment  % of Net Assets 
Discount Agency Notes   43.8%
Commercial Paper   21.4%
Certificates of Deposit   8.9%
U.S. Treasuries   8.4%
Structured Note   5.8%
Unaffiliated Trading Companies   3.6%
Other, Cash & Cash Equivalents   8.1%
    100.0%

 

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

3

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
December 31, 2016

 

Shares            Value 
     UNAFFILIATED TRADING COMPANIES - 2.8%           
 56,311   ISAM Systematic Program Class ISAM (a,b) *        $5,895,123 
 64,131   Winton Diversified Trading Program Class WNTN (a,b) *         10,437,780 
     TOTAL UNAFFILIATED TRADING COMPANIES (Cost - $15,736,980)         16,332,903 
                 
Principal Amount               
($)         Maturity     
     STRUCTURED NOTE - 5.4%           
$164,500   Barclays Bank PLC Linked Note (a,b) * (Cost $25,235,352)     1/28/2017   31,746,760 
        Yield        
     BONDS & NOTES - 73.4%           
     ADVERTISING - 0.0% ^           
 155,000   Omnicom Group, Inc.  3.6000  4/15/2026   153,399 
                 
     AEROSPACE / DEFENSE - 0.1%           
 88,000   Boeing Co.  6.8750  3/15/2039   124,326 
 145,000   Lockheed Martin Corp.  4.7000  5/15/2046   157,720 
 30,000   TransDigm, Inc.  6.0000  7/15/2022   31,200 
 400,000   United Technologies Corp. (f)  1.5000  11/1/2019   397,054 
               710,300 
     AGRICULTURE - 0.1%           
 386,000   Philip Morris International, Inc.  5.6500  5/16/2018   406,841 
 250,000   Reynolds American, Inc.  3.2500  6/12/2020   256,166 
 145,000   Reynolds American, Inc.  4.0000  6/12/2022   151,659 
               814,666 
     APPAREL - 0.0% ^           
 10,000   Levi Strauss & Co.  5.0000  5/1/2025   10,000 
                 
     AUTO MANUFACTURERS - 0.4%           
 165,000   American Honda Finance Corp.  1.2000  7/12/2019   162,067 
 340,000   American Honda Finance Corp.  1.7000  2/22/2019   338,607 
 395,000   Daimler Finance North America LLC (c)  2.2500  3/2/2020   393,184 
 120,000   Ford Motor Co.  7.4500  7/16/2031   150,605 
 115,000   General Motors Financial Co., Inc.  2.4000  5/9/2019   114,695 
 75,000   General Motors Financial Co., Inc.  3.2000  7/13/2020   75,226 
 50,000   General Motors Financial Co., Inc.  3.2000  7/6/2021   49,583 
 700,000   Kia Motors Corp. (c)  2.6250  4/21/2021   693,418 
 35,000   Toyota Motor Credit Corp.  1.5500  7/13/2018   34,991 
 230,000   Toyota Motor Credit Corp.  1.7000  2/19/2019   229,273 
               2,241,649 
      AUTO PARTS & EQUIPMENT - 0.0% ^           
 15,000   Allison Transmission, Inc. (c)  5.0000  10/1/2024   15,150 
 25,000   American Axle & Manufacturing, Inc.  6.6250  10/15/2022   25,780 
 15,000   Dana Holding Corp.  5.5000  12/15/2024   15,300 
 42,000   Delphi Automotive PLC  4.2500  1/15/2026   43,484 
 106,000   Delphi Corp.  4.1500  3/15/2024   109,257 
 30,000   Goodyear Tire & Rubber Co.  5.1250  11/15/2023   30,900 
               239,871 
     AUTOMOBILE ABS - 0.6%           
 1,000,000   Flagship Credit Auto Trust 2016-4 (c)  2.4100  10/15/2021   988,598 
 1,000,000   OneMain Direct Auto Receivables Trust 2016-1 (c)  2.7600  5/15/2021   999,085 
 700,000   Westlake Automobile Receivables Trust 2016-2 (c)  2.3000  11/15/2019   702,619 
 1,000,000   Westlake Automobile Receivables Trust 2016-2 (c)  2.4600  1/18/2022   992,246 
               3,682,548 
     BANKS - 3.8%           
 200,000   Agromercantil Senior Trust (c)  6.2500  4/10/2019   205,108 
 500,000   Agromercantil Senior Trust  6.2500  4/10/2019   512,770 
 125,000   Australia & New Zealand Banking Group Ltd. (c)  4.8750  1/12/2021   135,261 
 300,000   Banco Davivienda SA  2.9500  1/29/2018   301,410 
 800,000   Banco de Costa Rica  5.2500  8/12/2018   806,960 
 600,000   Banco GNB Sudameris SA  3.8750  5/2/2018   597,000 
 1,200,000   Banco Nacional de Comercio Exterior SNC  3.8000  8/11/2026   1,123,500 
 600,000   Banco Nacional de Costa Rica  4.8750  11/1/2018   604,920 
 400,000   Banco Nacional de Costa Rica (c)  5.8750  4/25/2021   403,500 
 200,000   Banco Nacional de Costa Rica  5.8750  4/25/2021   202,500 
 150,000   Banco Regional SAECA  8.1250  1/24/2019   158,437 
 1,000,000   Banco Santander Mexico SA (d)  5.9500  1/30/2024   1,017,500 

 

See accompanying notes to consolidated financial statements.

4

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     BANKS - 3.8% (Continued)           
$550,000   Bancolombia SA  6.1250  7/26/2020  $584,375 
 585,000   Bank of America Corp.  2.0000  1/11/2018   586,346 
 110,000   Bank of America Corp.  2.5030  10/21/2022   106,384 
 365,000   Bank of Montreal  1.5000  7/18/2019   360,219 
 140,000   Bank of Montreal  1.9000  8/27/2021   135,663 
 145,000   Bank of Montreal  2.1000  12/12/2019   144,999 
 100,000   BB&T Corp.  2.0500  5/10/2021   98,145 
 385,000   BB&T Corp.  2.2500  2/1/2019   387,999 
 125,000   BB&T Corp.  2.4500  1/15/2020   125,980 
 1,000,000   BBVA Bancomer SA (d)  6.0080  5/17/2022   1,000,000 
 220,000   Capital One Financial Corp.  2.4500  4/24/2019   221,393 
 485,000   Citigroup, Inc.  2.0500  12/7/2018   484,946 
 225,000   Citigroup, Inc.  2.7000  3/30/2021   224,485 
 800,000   Corp. Financiera de Desarrollo SA  3.2500  7/15/2019   810,000 
 250,000   CorpGroup Banking SA  6.7500  3/15/2023   237,532 
 700,000   DBS Bank Ltd. (d)  3.6250  9/21/2022   706,117 
 200,000   DBS Group Holdings Ltd. (d)  3.6000  Perpetual   192,604 
 300,000   Global Bank Corp.  4.5000  10/20/2021   292,110 
 200,000   Global Bank Corp. (c)  5.1250  10/30/2019   204,000 
 400,000   Global Bank Corp.  5.1250  10/30/2019   408,000 
 200,000   Goldman Sachs Group, Inc.  2.3000  12/13/2019   199,773 
 140,000   Goldman Sachs Group, Inc.  2.3500  11/15/2021   136,018 
 180,000   Goldman Sachs Group, Inc.  2.9000  7/19/2018   182,486 
 300,000   Grupo Aval Ltd.  4.7500  9/26/2022   295,950 
 300,000   Grupo Elektra SAB DE CV  7.2500  8/6/2018   300,900 
 300,000   Itau CorpBanca  3.8750  9/22/2019   309,185 
 400,000   JPMorgan Chase & Co.  2.2500  1/23/2020   399,058 
 155,000   JPMorgan Chase & Co.  2.9720  1/15/2023   154,481 
 145,000   JPMorgan Chase & Co.  4.2500  10/1/2027   148,977 
 600,000   Malayan Banking Bhd (d)  3.2500  9/20/2022   602,499 
 485,000   Morgan Stanley  2.4500  2/1/2019   488,330 
 30,000   Morgan Stanley  2.5000  4/21/2021   29,674 
 85,000   Morgan Stanley  2.6250  11/17/2021   83,977 
 80,000   Morgan Stanley  3.1250  7/27/2026   76,430 
 70,000   Morgan Stanley  3.8750  1/27/2026   70,707 
 543,000   MUFG Americas Holdings Corp.  1.6250  2/9/2018   541,094 
 10,000   MUFG Americas Holdings Corp.  2.2500  2/10/2020   9,893 
 900,000   Oversea-Chinese Banking, Corp, Ltd. (d)  4.0000  10/15/2024   924,106 
 145,000   PNC Funding Corp.  3.3000  3/8/2022   149,065 
 240,000   PNC Funding Corp.  4.3750  8/11/2020   255,567 
 420,000   Royal Bank of Canada  2.0000  12/10/2018   421,154 
 60,000   Royal Bank of Canada  2.5000  1/19/2021   60,147 
 65,000   State Street Corp.  2.6500  5/19/2026   61,648 
 85,000   State Street Corp.  3.5500  8/18/2025   87,019 
 110,000   Sumitomo Mitsui Financial Group, Inc.  2.0580  7/14/2021   106,391 
 105,000   Sumitomo Mitsui Financial Group, Inc.  2.9340  3/9/2021   105,550 
 380,000   Toronto-Dominion Bank  1.7500  7/23/2018   380,595 
 230,000   Toronto-Dominion Bank  1.8000  7/13/2021   222,725 
 200,000   United Overseas Bank Ltd. (d)  3.5000  9/16/2026   197,810 
 800,000   United Overseas Bank Ltd. (d)  3.7500  9/19/2024   815,000 
 380,000   Wells Fargo & Co.  1.5000  1/16/2018   379,545 
 165,000   Wells Fargo & Co.  3.0000  4/22/2026   157,448 
 95,000   Wells Fargo & Co.  3.0000  10/23/2026   90,478 
 60,000   Wells Fargo & Co.  3.5500  9/29/2025   59,901 
 195,000   Westpac Banking Corp.  1.6000  8/19/2019   192,677 
 165,000   Westpac Banking Corp.  1.9500  11/23/2018   165,271 
 15,000   Westpac Banking Corp.  2.0000  8/19/2021   14,561 
 125,000   Westpac Banking Corp.  2.6000  11/23/2020   125,505 
               22,381,758 
     BEVERAGES - 0.3%           
 150,000   Ajecorp BV  6.5000  5/14/2022   76,500 
 335,000   Anheuser-Bush InBev Finance, Inc.  1.9000  2/1/2019   335,481 
 70,000   Anheuser-Bush InBev Finance, Inc.  4.9000  2/1/2046   75,661 
 300,000   Central American Bottling Corp.  6.7500  2/9/2022   306,000 
 110,000   Coca-Cola Co.  1.5500  9/1/2021   106,888 

 

See accompanying notes to consolidated financial statements.

5

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     BEVERAGES - 0.3% (Continued)           
$40,000   Coca-Cola Co.  1.8750  10/27/2020  $39,660 
 185,000   Molson Coors Brewing Co.  1.4500  7/15/2019   182,271 
 310,000   PepsiCo, Inc.  2.1500  10/14/2020   310,549 
 160,000   PepsiCo, Inc.  3.4500  10/6/2046   145,758 
               1,578,768 
     BIOTECHNOLOGY - 0.1%           
 413,000   Celgene Corp.  2.1250  8/15/2018   414,659 
 75,000   Celgene Corp.  3.8750  8/15/2025   76,073 
               490,732 
     BUILDING MATERIALS - 0.1%           
 8,000   Builders FirstSource, Inc. (c)  5.6250  9/1/2024   8,040 
 200,000   Cemex SAB de CV (d)  5.6300  10/15/2018   208,750 
 600,000   Grupo Cementos de Chihuahua SAB de CV  8.1250  2/8/2020   622,500 
               839,290 
     CHEMICALS - 0.1%           
 15,000   Ashland, LLC  4.7500  8/15/2022   15,562 
 200,000   Grupo Idesa SA de CV  7.8750  12/18/2020   181,000 
 600,000   Grupo Idesa SA de CV  7.8750  12/18/2020   543,000 
 30,000   Potash Corp. of Saskatchewan, Inc.  4.0000  12/15/2026   30,190 
 15,000   PQ Corp. (c)  6.7500  11/15/2022   16,050 
               785,802 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 30.6%           
     U.S. GOVERNMENT AGENCY - 6.3%           
 402,786   Fannie Mae REMICS 2005-2 S  5.8439  2/25/2035   81,641 
 3,191,244   Fannie Mae REMICS 2005-104 NI (d)  5.9439  3/25/2035   281,782 
 749,301   Fannie Mae REMICS 2006-99 AS (d)  5.8239  10/25/2036   155,041 
 413,530   Fannie Mae REMICS 2006-119 PS (d)  5.9439  12/25/2036   64,915 
 761,636   Fannie Mae REMICS 2006-126 CS  5.9439  1/25/2037   151,164 
 489,925   Fannie Mae REMICS 2009-41 ZA (d)  4.5000  6/25/2039   514,593 
 431,769   Fannie Mae REMICS 2009-98 DZ  4.5000  12/25/2039   451,789 
 422   Fannie Mae REMICS 2010-57 DP  4.0000  8/25/2039   421 
 566,924   Fannie Mae REMICS 2010-76 ZK (d)  4.5000  7/25/2040   600,606 
 416,972   Fannie Mae REMICS 2010-115 SE  5.2439  10/25/2040   82,095 
 262,061   Fannie Mae REMICS 2010-134 CS (d)  5.9239  12/25/2025   32,599 
 262,061   Fannie Mae REMICS 2010-134 SE (d)  5.8939  12/25/2025   33,017 
 386,273   Fannie Mae REMICS 2010-142 SC (d)  5.8439  12/25/2040   80,743 
 289,990   Fannie Mae REMICS 2011-18 UZ (d)  4.0000  3/25/2041   304,997 
 490,914   Fannie Mae REMICS FNR 2011-74 KL  5.0000  6/25/2040   525,778 
 918,858   Fannie Mae REMICS 2011-93 ES  5.7439  9/25/2041   167,118 
 515,482   Fannie Mae REMICS 2011-111 EZ (d)  5.0000  11/25/2041   557,892 
 1,495,147   Fannie Mae REMICS 2012-3 DS  5.1939  2/25/2042   226,036 
 1,208,868   Fannie Mae REMICS FNR 2012-15 PZ  4.0000  3/25/2042   1,254,246 
 4,501,972   Fannie Mae REMICS FNR 2012-20 SA  5.6939  3/25/2042   829,435 
 1,727,253   Fannie Mae REMICS 2012-103 ZP (d)  3.0000  9/25/2042   1,665,047 
 1,361,869   Fannie Mae REMICS 2013-74 YS  4.8658  7/25/2043   1,149,740 
 608821   Fannie Mae REMICS 2013-122 DS (d)  4.4927  7/25/2043   540,781 
 1,436,526   Fannie Mae REMICS 2014-73 PS (d)  5.4439  11/25/2044   277,834 
 2,266,537   Fannie Mae REMICS 2015-95 AP (d)  3.0000  8/25/2042   2,297,204 
 2,000,000   Fannie Mae REMICS 2016-73 DZ (d)  3.0000  10/25/2046   1,789,468 
 993,131   Fannie Mae REMICS FNR 2016-81 PA  3.0000  2/25/2044   991,912 
 386,012   Freddie Mac REMICS 2663 ZP (d)  5.0000  8/15/2033   420,417 
 159,449   Freddie Mac REMICS 2909 Z (d)  5.0000  12/15/2034   174,436 
 313,617   Freddie Mac REMICS 3257 SI (d)  5.6161  12/15/2036   56,940 
 1,230,298   Freddie Mac REMICS 3404 SA  5.2961  1/15/2038   196,841 
 1,120,997   Freddie Mac REMICS 3753 SB  5.2961  11/15/2040   206,701 
 318,455   Freddie Mac REMICS 3770 SP  5.7961  11/15/2040   36,865 
 999,145   Freddie Mac REMICS 3792 SE (d)  8.4522  1/15/2041   1,057,181 
 97,226   Freddie Mac REMICS 3818 JA (d)  4.5000  1/15/2040   99,404 
 663,489   Freddie Mac REMICS 3926 FS (d)  5.8761  9/15/2041   164,467 
 587,184   Freddie Mac REMICS 3957 DZ (d)  3.5000  11/15/2041   596,237 
 388,279   Freddie Mac REMICS 3957 HZ  4.0000  11/15/2041   397,232 
 1,355,670   Freddie Mac REMICS 3984 DS  5.2461  1/15/2042   216,278 
 1,212,897   Freddie Mac REMICS 3998 AZ (d)  4.0000  2/15/2042   1,266,461 
 5,170,535   Freddie Mac REMICS 4077 TS  5.2961  5/15/2041   814,082 
 3,171,090   Freddie Mac REMICS 4089 SH (d)  5.2961  8/15/2042   543,382 

 

See accompanying notes to consolidated financial statements.

6

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 30.6% (Continued)           
     U.S. GOVERNMENT AGENCY - 6.3% (Continued)           
$701,985   Freddie Mac REMICS 4229 MS (d)  6.4682  7/15/2043  $698,728 
 3,893,783   Freddie Mac REMICS 4255 GS (d)  5.4461  9/15/2043   674,753 
 946,397   Freddie Mac REMICS 4291 MS (d)  5.1961  1/15/2054   157,985 
 3,066,688   Freddie Mac REMICS 4314 MS (d)  5.3961  7/15/2043   476,400 
 1,448,779   Freddie Mac REMICS 4391 MA (d)  3.0000  7/15/2040   1,477,777 
 2,254,438   Freddie Mac REMICS 4407 PS  4.8961  6/15/2044   352,803 
 5,383,103   Freddie Mac REMICS 4440 ZD  2.5000  2/15/2045   4,635,992 
 2,767,487   Government National Mortgage Association 2010-35 DS (d)  4.9410  3/20/2040   452,156 
 4,308,498   Government National Mortgage Association 2010-121 SE (d)  5.2610  9/20/2040   697,142 
 2,626,419   Government National Mortgage Association 2011-69 SC (d)  4.6410  5/20/2041   401,028 
 2,555,477   Government National Mortgage Association 2013-102 BS (d)  5.4110  3/20/2043   413,421 
 2,204,555   Government National Mortgage Association 2013-119 TZ (d)  3.0000  8/20/2043   2,068,689 
 262,628   Government National Mortgage Association 2013-120 GS (d)  4.5132  8/20/2043   241,106 
 544,570   Government National Mortgage Association 2013-148 DS (d)  4.9727  10/16/2043   80,830 
 2,421,034   Government National Mortgage Association 2013-186 SG  5.5427  2/16/2043   353,091 
 1,560,458   Government National Mortgage Association 2013-188 MS (d)  4.8427  12/16/2043   266,239 
 2,989,473   Government National Mortgage Association 2014-5 SA  4.8110  1/20/2044   478,378 
 3,343,272   Government National Mortgage Association 2014-58 SG (d)  4.8927  4/16/2044   553,109 
 2,977,998   Government National Mortgage Association 2014-76 SA  4.8610  1/20/2040   423,006 
 1,199,283   Government National Mortgage Association 2014-95 CS (d)  5.5427  6/16/2044   224,686 
 2,656,018   Government National Mortgage Association 2014-145 CS (d)  4.8927  5/16/2044   437,059 
 1,692,168   Government National Mortgage Association 2014-156 PS (d)  5.5110  10/20/2044   286,931 
               37,206,127 
     WHOLE LOAN COLLATERAL - 15.5%           
 505,000   Adjustable Rate Mortgage Trust 2005-2 6M2 (d)  1.7361  6/25/2035   462,370 
 1,248,263   Alternative Loan Trust 2006-14CB A8  6.0000  6/25/2036   1,018,005 
 3,116,315   Alternative Loan Trust 2006-41CB 1A4  5.7500  1/25/2037   2,516,621 
 2,090,253   Alternative Loan Trust 2006-41CB 1A9  6.0000  1/25/2037   1,727,346 
 2,177,316   Alternative Loan Trust 2006-41CB 2A15  5.7500  1/25/2037   1,755,834 
 3,110,197   Alternative Loan Trust 2007-22 2A16  6.5000  9/25/2037   2,229,501 
 3,131,047   Alternative Loan Trust 2007-J1 2A8  6.0000  3/25/2037   2,091,693 
 711,358   Alternative Loan Trust 2007-J2 2A1  6.0000  7/25/2037   683,569 
 4,500,000   Bank of America Funding 2005-B 3M1 Trust (d)  1.1890  4/20/2035   3,685,808 
 310,843   Bank of America Funding 2006-3A1 Trust  5.7500  3/25/2036   290,844 
 1,628,463   Bank of America Funding 2007-1 Trust TA3B (f)  5.9426  1/25/2037   1,378,653 
 665,541   Bank of America Mortgage 2007-1 Trust 2A17  6.0000  1/25/2037   581,420 
 2,351,928   BCAP LLC 2010-RR6 Trust 1716 (c,d)  6.0000  7/26/2036   1,776,881 
 4,265,283   BCAP LLC 2012-RR1 Trust 3A4 (c,d)  5.6086  10/26/2035   3,719,720 
 197,061   Bear Stearns Asset Backed Securities I Trust 2004-AC2 2A  5.0000  5/25/2034   195,644 
 684,999   CHL Mortgage Pass-Through Trust 2004-HYB9 1A1 (d)  3.1563  2/20/2035   686,577 
 678,033   CHL Mortgage Pass-Through Trust 2007-5 A51 (d)  5.7500  5/25/2037   617,929 
 3,036,076   CHL Mortgage Pass-Through Trust 2007-8 1A24  6.0000  1/25/2038   2,527,523 
 688,172   CHL Mortgage Pass-Through Trust 2007-12 A9  5.7500  8/25/2037   602,527 
 2,784,352   CHL Mortgage Pass-Through Trust 2007-HYB1 2A1 (d)  2.9007  3/25/2037   2,372,564 
 76,815   Citicorp Mortgage Securities Trust Series 2007-2 3A1  5.5000  2/25/2037   76,433 
 1,806,484   Citigroup Mortgage Loan Trust 2011-12 1A2 (c,d)  3.3116  4/25/2036   1,367,504 
 243,622   CitiMortgage Alternative Loan Trust Series 2007-A1 2A1  5.5000  1/25/2022   244,855 
 226,029   Credit Suisse First Boston Mortgage Securities Corp. 1A3  5.2500  9/25/2035   201,988 
 1,250,381   Credit Suisse First Boston Mortgage Securities Corp. 5A12  5.5000  10/25/2035   1,074,364 
 1,789,739   CSMC 2015-RPL3 Trust A1 (c,f)  3.7500  12/25/2056   1,759,055 
 411,992   CSMC Mortgage-Backed Trust 2006-7 1A3  5.0000  8/25/2036   345,073 
 437,566   CSMC Mortgage-Backed Trust 2006-9 2A1  5.5000  11/25/2036   400,056 
 538,128   CSMC Mortgage-Backed Trust 2007-1 5A14  6.0000  2/25/2037   460,691 
 537,898   CSMC Series 2010-4R 3A17 (c,d)  6.0000  6/26/2037   504,705 
 1,000,000   CSMC Series 2011-5R 6A9 (c,d)  3.1491  11/27/2037   941,309 
 1,000,000   CSMC Series 2011-12R 3A5 (c,d)  2.5925  7/27/2036   828,213 
 458,309   CSMC Trust 2013-3R 1A1 (c,d)  1.7142  4/27/2035   427,880 
 294,215   First Horizon Alternative Mortgage Securities Trust 2005-AA4 1A1 (d)  3.0448  5/25/2035   241,146 
 1,660,265   First Horizon Alternative Mortgage Securities Trust 2005-FA4 1A6  5.5000  6/25/2035   1,493,178 
 3,345,302   First Horizon Alternative Mortgage Securities Trust 2006-AA7 A1 (d)  3.0152  1/25/2037   2,814,338 
 111,121   GSR Mortgage Loan Trust 2004-2F 14A1  5.5000  9/25/2019   112,330 
 524,197   GSR Mortgage Loan Trust 2005-AR7 3A1 (d)  3.2405  11/25/2035   494,053 
 1,227,802   GSR Mortgage Loan Trust 2006-AR1 3A1 (d)  3.5455  1/25/2036   1,107,358 
 727,233   GSR Mortgage Loan Trust 2007-1F 2A2  5.5000  1/25/2037   684,712 

 

See accompanying notes to consolidated financial statements.

7

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     WHOLE LOAN COLLATERAL - 15.5% (Continued)           
$485,562   HomeBanc Mortgage Trust 2005-3 A1 (d)  0.9961  7/25/2035  $474,337 
 2,795,739   HSI Asset Loan Obligation Trust 2007-AR1 (d)  3.2011  1/25/2037   2,294,794 
 1,124,211   Impac Secured Assets Trust 2006-5 1A1C (d)  1.0261  2/25/2037   846,225 
 1,963,253   IndyMac IMSC Mortgage Loan Trust 2007-F2 1A4  6.0000  7/25/2037   1,752,375 
 67,578   JP Morgan Mortgage Trust 2007-S1 1A1  5.0000  3/25/2022   66,951 
 1,181,191   JP Morgan Mortgage Trust 2007-S2 1A11  6.0000  6/25/2037   970,834 
 3,282,234   JP Morgan Mortgage Trust 2007-S2 1A15  6.7500  6/25/2037   2,844,554 
 1,383,507   Lehman Mortgage Trust 2005-1 2A4  5.5000  11/25/2035   1,285,810 
 585,449   Lehman Mortgage Trust 2006-1 1A3  5.5000  2/25/2036   477,470 
 550,056   Lehman Mortgage Trust 2006-2 2A3  5.7500  4/25/2036   554,293 
 510,819   MASTR Adjustable Rate Mortgages Trust 2006-2 2A1 (d)  3.2023  4/25/2036   469,672 
 838,916   Merrill Lynch Mortgage Investors Trust Series 2006-AF2  6.2500  10/25/2036   684,737 
 2,446,189   Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 1A (d)  3.0264  11/25/2035   2,380,689 
 17,629   Morgan Stanley Mortgage Loan Trust 2004-1 1A1  5.0000  11/25/2018   18,034 
 1,067,715   Morgan Stanley Mortgage Loan Trust 2005-9AR 2A (d)  3.1668  12/25/2035   905,302 
 238,312   Morgan Stanley Mortgage Loan Trust 2006-7 3A (d)  5.1456  6/25/2036   196,002 
 1,406,536   Morgan Stanley Mortgage Loan Trust 2007-12 3A4  6.2500  8/25/2037   1,233,187 
 832,448   Morgan Stanley Reremic Trust 2A (c,d)  0.8220  2/26/2037   806,266 
 1,576,730   Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2007-1 11A1A (f)  5.9950  3/25/2047   1,151,528 
 66,619   Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-5 2AN (d)  5.6750  12/25/2035   67,025 
 340,696   PHH Alternative Mortgage Trust Series 2007-2 3A1  6.0000  5/25/2037   300,025 
 424,124   RALI Series 2006-QA1 1A21 Trust (d)  4.1369  1/25/2036   337,074 
 378,349   RALI Series 2006-QS10 Trust A9  6.5000  8/25/2036   328,470 
 685,680   RALI Series 2006-QS12 2A3 Trust  6.0000  9/25/2036   604,277 
 2,321,150   RALI Series 2007-QH5 AI1 Trust (d)  0.9661  6/25/2037   1,726,621 
 521,055   RALI Series 2007-QS6 A6 Trust  6.2500  4/25/2037   446,969 
 1,092,879   Residential Asset Securitization Trust 2004-A9  5.7500  12/25/2034   1,105,678 
 491,752   Residential Asset Securitization Trust 2006-A2 A3  6.0000  1/25/2046   382,070 
 326,177   Residential Asset Securitization Trust 2006-A6 2A11  6.0000  7/25/2036   279,928 
 572,057   Residential Asset Securitization Trust 2006-A11 1A4  6.2500  10/25/2036   510,437 
 704,046   Residential Asset Securitization Trust 2007-A1 A8  6.0000  3/25/2037   468,529 
 520,269   Residential Asset Securitization Trust 2007-A3 1A1 (d)  1.2061  4/25/2037   262,899 
 67,861   Residential Asset Securitization Trust 2007-A3 1A2 (d)  40.5865  4/25/2037   134,343 
 2,589,468   Residential Asset Securitization Trust 2007-A8 1A1  6.0000  8/25/2037   2,168,500 
 24,589   RFMSI Series 2003-S16 Trust A1  4.7500  9/25/2018   24,615 
 1,812,350   RFMSI Series 2006-S3 Trust A7  6.0000  12/25/2036   1,729,394 
 269,398   RFMSI Series 2006-S7 Trust 2A6  5.5000  3/25/2036   240,686 
 463,609   RFMSI Series 2006-S7 Trust A3  6.2500  8/25/2036   418,524 
 183,211   RFMSI Series 2006-S7 Trust A7  6.2500  8/25/2036   165,397 
 815,811   RFMSI Series 2007-S1 A5 Trust  6.0000  1/25/2037   735,071 
 292,908   RFMSI Series 2007-S2 A4 Trust  6.0000  2/25/2037   273,794 
 767,962   RFMSI Series 2007-S6 Trust 1A11  6.0000  6/25/2037   698,918 
 1,653,121   Sequoia Mortgage Trust 2013-1 2A1 (d)  1.8550  2/25/2043   1,522,238 
 2,934,889   Sequoia Mortgage Trust 2016-3 A11 (c)  3.0000  11/25/2046   2,943,831 
 56,434   Structured Asset Securities Corp Mortgage Pass-through Certificates 2004-11XS 2A2 (f)  5.4000  6/25/2034   68,100 
 981,626   WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust 2A1 (d)  2.9640  12/25/2035   894,327 
 1,219,856   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust 2A8  6.0000  11/25/2035   1,150,219 
 1,744,971   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust 1A2  6.0000  4/25/2037   1,465,379 
 14,701   Wedgewood Real Estate Trust 2016-1 A1 (c,d)  3.4500  7/15/2046   14,703 
 882,008   Wells Fargo Alternative Loan 2007-PA3 Trust 1A4  5.7500  7/25/2037   781,672 
 585,111   Wells Fargo Alternative Loan 2007-PA3 Trust 3A1  6.2500  7/25/2037   529,099 
 461,823   Wells Fargo Mortgage Backed Securities 2006-2 Trust 3A1  5.7500  3/25/2036   466,055 
 1,407,365   Wells Fargo Mortgage Backed Securities 2007-3 Trust 1A5  6.0000  7/25/2037   1,386,933 
 140,999   Wells Fargo Mortgage Backed Securities 2007-7 Trust A6  6.0000  9/25/2037   141,968 
 298,037   Wells Fargo Mortgage Backed Securities 2007-10 Trust 1A4  6.0000  4/25/2037   297,609 
 275,243   Wells Fargo Mortgage Backed Securities 2007-13 Trust A38  6.0000  6/25/2037   269,479 
 51,539   WESTW 2006-1X A1  1.1018  4/25/2022   51,327 
               91,305,513 
     COMMERCIAL MBS - 8.8%           
 360,000   A10 Term Asset Financing 2016-1 LLC A1 (c)  2.4200  3/15/2035   359,891 
 474,000   Banc of America Commercial Mortgage Trust 2007-2 AM  5.6481  4/10/2049   475,357 
 466,000   Banc of America Re-REMIC Trust 2010-UBER3 A4B2 (c)  5.7569  5/15/2046   470,820 
 685,000   Bear Stearns Commercial Mortgage Securities Trust 2007-PWR16 AM (d)  5.7110  6/11/2040   693,964 
 194,000   Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18 AM (d)  6.0840  6/11/2050   200,111 
 265,000   CD 2007-CD4 Commercial Mortgage Trust AMFX (d)  5.3010  12/11/2049   265,266 

 

See accompanying notes to consolidated financial statements.

8

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     COMMERCIAL MBS - 8.8% (Continued)           
$541,000   CD 2007-CD4 Commercial Mortgage Trust AM (c,d)  5.3660  12/11/2049  $541,524 
 349,000   CD 2007-CD5 Mortgage Trust AJA (d)  5.3010  11/15/2044   358,347 
 500,000   CDGJ Commercial Mortgage Trust 2014-BXCH B (c,d)  2.3890  12/15/2027   500,628 
 114,000   CFCRE Commercial Mortgage Trust 2016-C7 A3  3.8385  12/10/2054   117,419 
 699,000   CGCMT 2010-RR2 Trust JA4B (c,d)  6.0680  2/19/2051   713,840 
 595,468   CGGS Commercial Mortgage Trust 2016-RND AFL (c,d)  2.3540  2/15/2033   600,537 
 645,348   Citigroup Commercial Mortgage Trust 2007-C6 A1A  5.7112  12/10/2049   650,965 
 610,000   Citigroup Commercial Mortgage Trust 2007-C6 AMFX (c,d)  5.7112  12/10/2049   619,182 
 620,000   Citigroup Commercial Mortgage Trust 2008-C7 AM (d)  6.1359  12/10/2049   637,649 
 933,384   Citigroup Commercial Mortgage Trust 2012-GC8 XA (c,d)  2.1329  9/10/2045   59,099 
 8,942,913   Citigroup Commercial Mortgage Trust 2014-GC21 XA (d)  1.2755  5/10/2047   604,535 
 4,608,633   Citigroup Commercial Mortgage Trust 2014-GC25 XA (d)  1.0626  10/10/2047   286,761 
 120,600   Citigroup Commercial Mortgage Trust 2015-GC27 D (c,d)  4.4289  2/10/2048   94,806 
 1,044,767   Citigroup Commercial Mortgage Trust 2015-GC35 XA (d)  0.9026  11/10/2048   56,233 
 4,680,467   Citigroup Commercial Mortgage Trust 2016-P3 XA (d)  1.7156  4/15/2049   508,849 
 108,000   Citigroup Commercial Mortgage Trust 2016-P4 A4  2.9020  7/10/2049   104,497 
 745,361   Citigroup Commercial Mortgage Trust 2016-P4 XA (d)  2.0165  7/10/2049   99,182 
 1,085,575   Citigroup Commercial Mortgage Trust 2016-P5 XA  1.5650  10/10/2049   111,510 
 90,000   Citigroup Commercial Mortgage Trust 2016-P6 A5  3.7200  12/10/2049   92,694 
 116,000   Citigroup Commercial Mortgage Trust 2016-SMPL D (c)  3.5200  9/10/2031   112,130 
 255,457   Colony Mortgage Capital Series 2015-FL3 Ltd. (c,d)  2.5845  9/5/2032   256,910 
 901,734   COMM 2012-LC4 Mortgage XA Trust (c,d)  2.2794  12/10/2044   71,793 
 9,730,030   COMM 2013-CCRE12 Mortgage Trust XA (d)  1.3572  10/10/2046   601,323 
 100,000   COMM 2014-CCRE20 Mortgage Trust 2014-CR20 C (d)  4.5059  11/10/2047   98,354 
 563,625   COMM 2014-UBS4 E Mortgage Trust (c)  3.7500  8/10/2047   335,527 
 644,150   COMM 2014-UBS4 F Mortgage Trust (c)  3.7500  8/10/2047   365,737 
 1,207,795   COMM 2014-UBS4 G Mortgage Trust (c)  3.7500  8/10/2047   356,541 
 5,000   COMM 2014-UBS4 V Mortgage Trust (c,d)  —  8/10/2047   — 
 994,709   COMM 2016-DC2 XA Mortgage Trust (d)  1.0775  2/10/2049   68,651 
 53,000   COMM 2016-DC2 C Mortgage Trust (d)  4.6428  2/10/2049   49,869 
 982,497   Commercial Mortgage Pass Through Certificates 2012-CR3 XA (d)  2.0761  10/15/2045   74,750 
 88,000   Commercial Mortgage Pass Through Certificates 2016-CR28 C  2.0761  10/15/2045   84,705 
 276,494   Commercial Mortgage Trust 2006-GG7 AM (d)  5.7581  7/10/2038   276,410 
 513,648   Commercial Mortgage Trust 2007-GG9 AM  5.4750  3/10/2039   513,464 
 67,545   Commercial Mortgage Trust 2007-GG9 AMFX  5.4750  3/10/2039   67,503 
 500,585   Countrywide Commercial Mortgage Trust 2007-MF1 A (c,d)  6.0948  11/12/2043   506,155 
 250,000   Credit Suisse Commercial Mortgage Trust Series 2007-C2 AM (d)  5.6150  1/15/2049   252,091 
 650,000   Credit Suisse Commercial Mortgage Trust Series 2007-C4 AM (d)  5.9346  9/15/2039   661,358 
 451,423   Credit Suisse Commercial Mortgage Trust Series 2007-C5 A4 (d)  5.6950  9/15/2040   457,874 
 472,900   Credit Suisse Commercial Mortgage Trust Series 2008-C1 AM (c)  6.0620  2/15/2041   484,327 
 1,977,905   CSAIL 2015-C1 Commercial Mortgage Trust XA (d)  0.9583  4/15/2050   109,354 
 684,000   CSMC Series 2009-RR2 IQB (c,d)  5.6946  4/16/2049   686,032 
 140,000   CSMC Trust 2015-SAND D (c,d)  3.5539  8/15/2030   139,308 
 89,000   Fannie Mae-Aces A2  2.7020  2/25/2026   87,537 
 10,606,585   FHLMC Multifamily Structured Pass Through Certificates A2 (d)  1.3114  3/25/2023   702,160 
 87,000   FHLMC Multifamily Structured Pass Through Certificates A2  2.9950  12/25/2025   87,772 
 67,000   FHLMC Multifamily Structured Pass Through Certificates X1 (d)  3.3340  8/25/2025   69,417 
 53,000   FREMF 2016-K54 Mortgage Trust B (c,d)  4.0510  2/25/2026   51,578 
 664,800   GE Commercial Mortgage Corp. Series 2007-C1 Trust AM (d)  5.6060  12/10/2049   664,134 
 773,000   GS Mortgage Securities Corp. Trust 2016-ICE2 A (c,d)  2.6339  2/15/2033   779,783 
 551,667   GS Mortgage Securities Trust 2007-GG10 A4 (d)  5.7929  8/10/2045   555,102 
 8,268,315   GS Mortgage Securities Trust 2015-GC28 XA (d)  1.1555  2/10/2048   492,624 
 1,391,019   GS Mortgage Securities Trust 2015-GS1 XA (d)  0.8362  11/10/2048   78,187 
 515   GS Mortgage Securities Trust 2016-GS3 XA (d)  1.2842  10/10/2049   46 
 153,306   JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 X (d)  0.3514  5/15/2045   28 
 482,239   JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 AM  5.3720  5/15/2047   482,080 
 750,000   JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 AM (d)  6.0551  2/15/2051   758,137 
 1,000,000   JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18 AM (d)  5.4660  6/12/2047   1,006,250 
 575,000   JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 AM (d)  5.9554  2/12/2051   588,840 
 815,400   JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10 AM (d)  5.4640  1/15/2049   808,355 
 752,000   JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11 AM (d)  5.7531  6/15/2049   758,325 
 1,400,000   JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP12 AM (d)  6.0392  2/15/2051   1,432,266 
 556,489   JP Morgan Chase Commercial Mortgage Securities Trust 2008-C2 A4  6.0680  2/12/2051   566,717 
 813,702   JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 XA(d)  1.6628  5/15/2045   51,821 
 2,157,256   JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 XA (d)  2.0047  10/15/2045   144,766 

 

See accompanying notes to consolidated financial statements.

9

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     COMMERCIAL MBS - 8.8% (Continued)           
$666,535   JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA (d)  1.6597  6/15/2045  $38,707 
 108,300   JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY A (c)  3.4289  6/10/2027   110,770 
 600,000   JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH A (c,d)  1.9039  8/15/2027   600,695 
 422,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-ASH B (c)  2.8539  10/15/2034   422,000 
 238,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-ASH C (c)  3.5389  10/15/2034   238,000 
 34,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 B (d)  3.4595  8/15/2049   33,403 
 26,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 C (d)  3.7956  8/15/2049   24,813 
 393,320   JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 XA (d)  1.8664  8/15/2049   52,372 
 119,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI E (c)  4.0090  10/5/2031   117,082 
 175,000   JP Morgan Commercial Mortgage-Backed Securities Trust 2009-RR2 GEB (c)  5.5430  12/13/2049   174,847 
 1,825,286   JPMBB Commercial Mortgage Securities Trust 2014-C21 XA (d)  1.0941  8/15/2047   109,217 
 9,884,921   JPMBB Commercial Mortgage Securities Trust 2014-C25 XA (d)  0.9976  11/15/2047   525,972 
 937,563   JPMBB Commercial Mortgage Securities Trust 2014-C26 XA  1.1715  1/15/2048   52,134 
 115,000   JPMBB Commercial Mortgage Securities Trust 2014-C26 C (d)  4.4259  1/15/2048   112,196 
 1,202,676   JPMBB Commercial Mortgage Securities Trust 2015-C27 XA  1.3732  2/15/2048   83,367 
 127,500   JPMBB Commercial Mortgage Securities Trust 2015-C27 D (c,d)  3.8446  2/15/2048   95,703 
 105,000   JPMBB Commercial Mortgage Securities Trust 2015-C32 C (d)  4.6682  11/15/2048   96,083 
 87,000   JPMBB Commercial Mortgage Securities Trust 2015-C33 C (d)  4.6184  12/15/2048   86,246 
 86,000   JPMBB Commercial Mortgage Securities Trust 2016-C1 C (d)  4.9049  3/15/2049   85,940 
 968,000   JPMCC Re-REMIC Trust 2014-FRR1 A707 (c)  4.3470  1/27/2047   948,248 
 685,000   LB Commercial Mortgage Trust 2007-C3 AM (d)  5.9179  7/15/2044   694,523 
 102,700   LB Commercial Mortgage Trust 2007-C3 AMFL (c,d)  5.9179  7/15/2044   104,209 
 155,006   LB-UBS Commercial Mortgage Trust 2006-C7 XCL (c,d)  0.7292  11/15/2038   643 
 129,172   LB-UBS Commercial Mortgage Trust 2006-C7 XW (c,d)  0.7292  11/15/2038   536 
 695,000   LB-UBS Commercial Mortgage Trust 2007-C1 AJ  5.4840  2/15/2040   695,608 
 465,000   LB-UBS Commercial Mortgage Trust 2007-C1 AM  5.4550  2/15/2040   465,345 
 422,000   LB-UBS Commercial Mortgage Trust 2007-C2 AM (d)  5.4930  2/15/2040   425,497 
 624,332   LB-UBS Commercial Mortgage Trust 2007-C7 A3 (d)  5.8660  9/15/2045   639,750 
 640,000   LB-UBS Commercial Mortgage Trust 2007-C7 AJ (d)  6.2452  9/15/2045   645,311 
 535,000   LMREC 2015-CRE1, Inc. A (c,d)  2.2740  2/22/2032   537,116 
 43,728   Merrill Lynch Mortgage Trust 2006-C1 AJ (d)  5.5901  5/12/2039   43,695 
 752,000   Merrill Lynch Mortgage Trust 2007-C1 AM (d)  5.8260  6/12/2050   729,489 
 425,409   ML-CFC Commercial Mortgage Trust 2007-5 AM  5.4190  8/12/2048   425,291 
 526,081   ML-CFC Commercial Mortgage Trust 2007-7 A4 (d)  5.7329  6/12/2050   529,439 
 519,702   ML-CFC Commercial Mortgage Trust 2007-9 A4  5.7000  9/12/2049   530,066 
 881,067   Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 XA (c,d)  1.7180  8/15/2045   47,327 
 125,000   Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 C  4.0000  12/15/2047   113,805 
 125,000   Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 C  4.4855  10/15/2047   124,432 
 72,000   Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 C (d)  4.5286  10/15/2048   71,639 
 105,000   Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 D (c)  3.0600  10/15/2048   72,431 
 91,000   Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 C (d)  4.7533  5/15/2049   90,981 
 94,000   Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 A4  3.7200  12/15/2049   96,296 
 237,245   Morgan Stanley Capital I, Inc. XLF J (c,d)  1.1339  7/15/2019   235,032 
 100,000   Morgan Stanley Capital I Trust 2007-HQ11 AJ (d)  5.5080  2/12/2044   99,670 
 1,033,878   Morgan Stanley Capital I Trust 2007-HQ11 AM (d)  5.4780  2/12/2044   1,033,101 
 898,000   Morgan Stanley Capital I Trust 2007-IQ13 AM  5.4060  3/15/2044   897,218 
 1,348,200   Morgan Stanley Capital I Trust 2007-IQ16 AM (d)  6.0526  12/12/2049   1,388,559 
 450,000   Morgan Stanley Capital I Trust 2007-IQ16 AMA (d)  6.0486  12/12/2049   461,617 
 415,193   Morgan Stanley Capital I Trust 2011-C1 XA (c,d)  0.4616  9/15/2047   6,007 
 610,000   Morgan Stanley Capital I Trust 2015-XLF1 D (c,d)  3.6947  8/14/2031   608,248 
 76,000   Morgan Stanley Capital I Trust 2015-XLF1 AFSC (c,d)  3.7039  8/15/2026   76,000 
 994,868   Morgan Stanley Capital I Trust 2016-UB11 XA (d)  1.6827  8/15/2049   104,938 
 500,000   Morgan Stanley Re-REMIC Trust 2009-GG10 A4B (c,d)  5.7929  8/12/2045   502,816 
 112,000   MSCG Trust 2016-SNR C (c)  5.2050  11/15/2034   111,366 
 768,234   SG Commercial Mortgage Securities Trust 2016-C5 XA (d)  2.0324  10/10/2048   97,012 
 994,974   UBS-Barclays Commercial Mortgage Trust 2012-C3 XA (c,d)  2.0429  8/10/2049   77,276 
 1,965,289   Velocity Commercial Capital Loan Trust 2016-2 AFX  2.9969  10/25/2046   1,965,289 
 698,000   Wachovia Bank Commercial Mortgage Trust Series 2006-C26 AM (d)  6.0739  6/15/2045   698,058 
 660,778   Wachovia Bank Commercial Mortgage Trust Series 2006-C28 AJ  5.6320  10/15/2048   659,940 
 125,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C30 AJ (d)  5.4130  12/15/2043   126,149 
 700,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C30 AM  5.3830  12/15/2043   700,158 
 300,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C30 AMFL (c,d)  0.9073  12/15/2043   298,452 
 350,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C31 AM (d)  5.5910  4/15/2047   352,214 
 650,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C32 AMFX (c)  5.7030  6/15/2049   656,522 
 270,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C33 AJ (d)  5.9692  2/15/2051   270,710 

 

See accompanying notes to consolidated financial statements.

10

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     COMMERCIAL MBS - 8.8% (Continued)           
$835,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C33 AM (d)  5.9692  2/15/2051  $845,013 
 524,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C34 AM (d)  5.8180  5/15/2046   536,217 
 140,000   Wells Fargo Commercial Mortgage Trust 2014-LC16 D (c)  3.9380  8/15/2050   110,293 
 6,538,043   Wells Fargo Commercial Mortgage Trust 2015-C26 XA (d)  1.3072  2/15/2048   488,456 
 1,239,718   Wells Fargo Commercial Mortgage Trust 2015-C31 XA (d)  1.1122  11/15/2048   87,093 
 75,000   Wells Fargo Commercial Mortgage Trust 2015-C31 C (d)  4.6114  11/15/2048   73,689 
 1,051,975   Wells Fargo Commercial Mortgage Trust 2015-LC20 XA (d)  1.3959  4/15/2050   79,434 
 60,000   Wells Fargo Commercial Mortgage Trust 2015-LC22 C (d)  4.5402  9/15/2058   58,723 
 100,000   Wells Fargo Commercial Mortgage Trust 2015-NXS3 C (d)  4.4887  9/15/2057   90,880 
 61,000   Wells Fargo Commercial Mortgage Trust 2016-C32 C (d)  4.7210  1/15/2059   56,131 
 89,000   Wells Fargo Commercial Mortgage Trust 2016-C34 C (d)  5.0297  6/15/2049   88,172 
 997,544   Wells Fargo Commercial Mortgage Trust 2016-LC24 XA (d)  1.7472  10/15/2049   115,975 
 1,059,283   Wells Fargo Commercial Mortgage Trust 2016-NXS6 XA  1.6632  11/15/2049   111,696 
 811,874   WFRBS Commercial Mortgage Trust 2012-C8 XA (c,d)  1.9889  8/15/2045   59,484 
 968,497   WFRBS Commercial Mortgage Trust 2012-C9 XA (c,d)  2.0994  11/15/2045   74,063 
 975,011   WFRBS Commercial Mortgage Trust 2014-C21 XA (d)  1.1572  8/15/2047   58,138 
 5,557,787   WFRBS Commercial Mortgage Trust 2014-C24 XA (d)  0.9692  11/15/2047   291,480 
               51,762,270 
     COMMERCIAL SERVICES - 0.4%           
 1,100,000   Adani Ports & Special Economic Zone Ltd.  3.5000  7/29/2020   1,094,512 
 957,971   ENA Norte Trust  4.9500  4/25/2023   991,500 
 20,000   Live Nation Entertainment, Inc. (c)  4.8750  11/1/2024   20,050 
 30,000   Prime Security Services Borrower LLC / Prime Finance, Inc. (c)  9.2500  5/15/2023   32,663 
 65,000   S&P Global, Inc.  4.4000  2/15/2026   68,761 
 10,000   ServiceMaster Co. LLC/The (c)  5.1250  11/15/2024   10,150 
 15,000   Team Health, Inc. (c)  7.2500  12/15/2023   17,062 
               2,234,698 
     COMPUTERS - 0.1%           
 170,000   Apple, Inc.  1.7000  2/22/2019   170,322 
 20,000   Diamond 1 Finance Corp./ Diamond 2 Finance Corp. (c)  7.1250  6/15/2024   22,204 
 483,000   Hewlett-Packard Enterprise Co. (c)  2.8500  10/5/2018   487,671 
 135,000   Hewlett-Packard Enterprise Co. (c)  3.6000  10/15/2020   137,337 
 5,000   Western Digital Corp. (c)  7.3750  4/1/2023   5,500 
               823,034 
     COSMETICS / PERSONAL CARE - 0.0% ^           
 20,000   Revlon Consumer Products Corp.  5.7500  2/15/2021   20,100 
 5,000   Revlon Consumer Products Corp. (c)  6.2500  8/1/2024   4,912 
               25,012 
     DIVERSIFIED FINANCIAL SERVICES - 0.6%           
 150,000   Air Lease Corp.  3.7500  2/1/2022   154,507 
 150,000   Ally Financial, Inc.  4.1250  3/30/2020   151,500 
 340,000   American Express Credit Corp.  1.8000  7/31/2018   340,437 
 105,000   American Express Credit Corp.  2.2500  8/15/2019   105,584 
 240,000   American Express Credit Corp.  2.2500  5/5/2021   237,140 
 150,000   Bantrab Senior Trust  9.0000  11/14/2020   130,155 
 864,239   Guanay Finance Ltd.  6.0000  12/15/2020   872,881 
 328,557   Interoceanica IV Finance Ltd. **  —  11/30/2018   319,522 
 120,000   National Rural Utilities Cooperative Finance Corp.  2.0000  1/27/2020   119,133 
 345,000   National Rural Utilities Cooperative Finance Corp.  2.3000  11/15/2019   347,437 
 10,000   Nationstar Mortgage LLC / Nationstar Capital Corp.  6.5000  7/1/2021   10,125 
 306,616   Peru Enhanced Pass-Through Finance Ltd. **  —  5/31/2018   298,804 
 385,000   Synchrony Financial  3.0000  8/15/2019   389,989 
               3,477,214 
     ELECTRIC - 0.9%           
 200,000   AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It (c)  7.9500  5/11/2026   206,250 
 200,000   AES El Salvador Trust II  6.7500  3/28/2023   184,500 
 175,000   Berkshire Hathaway Energy Co.  6.5000  9/15/2037   227,794 
 10,000   Calpine Corp.  5.7500  1/15/2025   9,650 
 400,000   Colbun SA  6.0000  1/21/2020   431,512 
 200,000   Comision Federal de Electricidad  4.7500  2/23/2027   192,000 
 800,000   Comision Federal de Electricidad  4.8750  5/26/2021   822,000 
 395,000   Duke Energy Corp.  1.6250  8/15/2017   395,638 
 50,000   Duke Energy Corp.  3.7500  9/1/2046   45,010 
 105,000   Duke Energy Progress LLC  4.1500  12/1/2044   104,319 
 200,000   Empresa de Energia de Bogota SA ESP  6.1250  11/10/2021   206,000 

 

See accompanying notes to consolidated financial statements.

11

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     ELECTRIC - 0.9% (Continued)           
$200,000   Empresa Electrica Guacolda SA  4.5600  4/30/2025  $182,095 
 100,000   Empresas Publicas de Medellin ESP  7.6250  7/29/2019   111,750 
 90,000   Exelon Corp.  3.4000  4/15/2026   88,306 
 155,000   Fortis, Inc. (c)  2.1000  10/4/2021   149,810 
 200,000   Inkia Energy Ltd.  8.3750  4/4/2021   207,000 
 450,000   Israel Electric Corp. Ltd. (d)  2.6334  1/17/2018   447,854 
 200,000   Israel Electric Corp. Ltd. (c)  5.0000  11/12/2024   208,114 
 400,000   Israel Electric Corp. Ltd.  5.6250  6/21/2018   416,160 
 20,000   NRG Energy, Inc. (c)  7.2500  5/15/2026   19,900 
 85,000   Southern Co.  1.8500  7/1/2019   84,737 
 530,000   Southern Co.  2.4500  9/1/2018   535,443 
               5,275,842 
     ENERGY - 0.0% ^           
 380,000   SANDRIDGE ENERGY         — 
                 
     ENGINEERING & CONSTRUCTION - 0.1%           
 200,000   Aeropuertos Internacional de Tocumen SA  5.7500  10/9/2023   208,500 
 200,000   Aeropuertos Dominicanos Siglo XXI SA  9.7500  11/13/2019   208,000 
 300,000   OAS Financial Ltd.* (c,g)  8.8750  Perpetual   14,700 
               431,200 
     ENTERTAINMENT - 0.0% ^           
 10,000   AMC Entertainment Holdings, Inc. (c)  5.8750  11/15/2026   10,225 
 10,000   GLP Capital LP / GLP Financing II, Inc.  5.3750  4/15/2026   10,429 
 20,000   Pinnacle Entertainment, Inc. (c)  5.6250  5/1/2024   20,050 
 10,000   Scientific Games International, Inc. (c)  7.0000  1/1/2022   10,725 
 25,000   WMG Acquisition Corp. (c)  6.7500  4/15/2022   26,312 
               77,741 
     ENVIRONMENTAL CONTROL - 0.0% ^           
 100,000   Waste Management, Inc.  4.1000  3/1/2045   98,967 
                 
     FOOD - 0.5%           
 20,000   Albertsons Cos LLC / Safeway, Inc./New Albertson’s, Inc./ Albertson’s LLC (c)  5.7500  3/15/2025   19,800 
 500,000   Cosan Overseas Ltd.  8.2500  Perpetual   498,500 
 390,000   General Mills, Inc.  2.2000  10/21/2019   391,898 
 15,000   JBS USA LLC / JBS USA Finance, Inc. (c)  5.7500  6/15/2025   15,187 
 95,000   Kraft Heinz Foods Co.  1.6000  6/30/2017   95,076 
 460,000   Kraft Heinz Foods Co.  2.0000  7/2/2018   460,103 
 210,000   Kroger Co.  3.4000  4/15/2022   214,066 
 360,000   Kroger Co.  6.1500  1/15/2020   398,529 
 200,000   Pesquera Exalmar SAA (c)  7.3750  1/31/2020   148,500 
 200,000   Pesquera Exalmar SAA  7.3750  1/31/2020   148,500 
 30,000   Pilgrim’s Pride Corp. (c)  5.7500  3/15/2025   29,925 
 10,000   TreeHouse Foods, Inc. (c)  6.0000  2/15/2024   10,500 
 295,000   Tyson Foods, Inc.  3.9500  8/15/2024   300,544 
 200,000   Want Want China Finance Ltd. (c)  1.8750  5/14/2018   198,361 
               2,929,489 
     FOREIGN GOVERNMENT - 1.1%           
 200,000   Colombia Government International Bond  4.5000  1/28/2026   206,000 
 200,000   Costa Rica Government International Bond  9.9950  8/1/2020   235,456 
 100,000   Dominican Republic International Bond  6.8500  1/27/2045   94,472 
 400,000   Dominican Republic International Bond  7.5000  5/6/2021   434,136 
 98,368   Dominican Republic International Bond  9.0400  1/23/2018   101,722 
 800,000   Export-Import Bank of India  3.1250  7/20/2021   794,974 
 500,000   Hungary Government International Bond  4.0000  3/25/2019   517,500 
 200,000   Hungary Government International Bond  6.2500  1/29/2020   218,750 
 600,000   Instituto Costarricense de Electricidad  6.9500  11/10/2021   624,900 
 400,000   Mexico Government International Bond  3.5000  1/21/2021   406,400 
 256,000   Mexico Government International Bond  4.0000  10/2/2023   256,614 
 50,000   Mexico Government International Bond  4.7500  3/8/2044   45,465 
 500,000   Nacional Financiera SNC  3.3750  11/5/2020   500,625 
 200,000   Panama Government International Bond  3.8750  3/17/2028   195,500 
 300,000   Perusahaan Penerbit SBSN Indonesia III  6.1250  3/15/2019   322,890 
 1,200,000   Qatar Government International Bond  2.3750  6/2/2021   1,173,809 
 500,000   Republic of Poland Government International Bond  5.1250  4/21/2021   545,465 
               6,674,678 

 

See accompanying notes to consolidated financial statements.

12

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     FOREST PRODUCTS & PAPER - 0.4%           
$125,000   Celulosa Arauco y Constitucion SA  5.0000  1/21/2021  $131,406 
 1,000,000   Celulosa Arauco y Constitucion SA  7.2500  7/29/2019   1,105,881 
 310,000   Georgia-Pacific LLC (c)  3.6000  3/1/2025   313,540 
 80,000   International Paper Co.  3.0000  2/15/2027   75,475 
 600,000   Inversiones CMPC SA  4.7500  1/19/2018   610,305 
               2,236,607 
     GAS - 0.0% ^           
 100,000   National Gas Co. of Trinidad & Tobago Ltd.  6.0500  1/15/2036   101,000 
 10,000   NGL Energy Partners LP / NGL Energy Finance Corp. (c)  7.5000  11/1/2023   10,325 
               111,325 
     HAND / MACHINE TOOLS - 0.0% ^           
 30,000   Milacron LLC/Mcron Finance Corp. (c)  7.7500  2/15/2021   30,825 
                 
     HEALTHCARE - PRODUCTS - 0.2%           
 325,000   Covidien International Finance SA  6.0000  10/15/2017   336,577 
 5,000   DJO Finco, Inc. / DJO Finance LLC / DJO Finance Corp. (c)  8.1250  6/15/2021   4,337 
 185,000   Thermo Fisher Scientific, Inc.  2.1500  12/14/2018   185,849 
 220,000   Thermo Fisher Scientific, Inc.  3.3000  2/15/2022   223,514 
 505,000   Zimmer Biomet Holdings, Inc.  1.4500  4/1/2017   505,122 
 15,000   Zimmer Biomet Holdings, Inc.  2.7000  4/1/2020   15,001 
               1,270,400 
     HEALTHCARE - SERVICES - 0.3%           
 20,000   Acadia Healthcare Co., Inc.  5.6250  2/15/2023   20,000 
 235,000   Aetna, Inc.  1.9000  6/7/2019   234,461 
 30,000   Air Medical Group Holdings, Inc. (c)  6.3750  5/15/2023   28,950 
 20,000   Anthem, Inc.  1.8750  1/15/2018   20,009 
 557,000   Anthem, Inc.  2.3000  7/15/2018   560,641 
 20,000   Centene Corp.  4.7500  1/15/2025   19,525 
 5,000   Centene Corp.  5.6250  2/15/2021   5,257 
 25,000   Envision Healthcare Corp. (c)  6.2500  12/1/2024   26,375 
 10,000   HCA, Inc.  5.8750  2/15/2026   10,300 
 505,000   Laboratory Corp. of America Holdings  2.5000  11/1/2018   509,451 
 110,000   Laboratory Corp. of America Holdings  4.7000  2/1/2045   108,652 
 10,000   LifePoint Health, Inc. (c)  5.3750  5/1/2024   9,795 
 30,000   MPH Acquisition Holdings LLC (c)  7.1250  6/1/2024   31,578 
 10,000   RegionalCare Hospital Partners Holdings, Inc. (c)  8.2500  5/1/2023   9,975 
 30,000   Select Medical Corp.  6.3750  6/1/2021   30,000 
 30,000   Tenet Healthcare Corp.  6.7500  6/15/2023   26,475 
 145,000   UnitedHealth Group, Inc.  4.2000  1/15/2047   146,667 
               1,798,111 
     HOLDING COMPANIES - DIVERSIFIED - 0.1%           
 650,000   Hutchison Whampoa International 12 Ltd. (d)  6.0000  Perpetual   656,500 
                 
     HOME EQUITY ABS - 0.7%           
 420,510   Bayview Financial Acquisition Trust 2007-A 1A5 (f)  6.1010  5/28/2037   422,015 
 3,286,059   GSAA Home Equity Trust 2006-18 AF6 (f)  5.6816  11/25/2036   1,628,943 
 249,321   GSAA Home Equity Trust 2007-10 A1A  6.0000  11/25/2037   209,623 
 170,061   Morgan Stanley ABS Capital I, Inc. Trust 2005-WMC3 M3 (d)  1.4611  3/25/2035   169,319 
 2,209,779   Nomura Home Equity Loan Trust Series 2007-1 2A2 (d)  0.8361  2/25/2037   1,799,973 
               4,229,873 
     HOUSEHOLD PRODUCTS / WARES - 0.0% ^           
 10,000   Kronos Acquisition Holdings, Inc. (c)  9.0000  8/15/2023   9,975 
 20,000   Spectrum Brands, Inc. (c)  5.7500  7/15/2025   20,750 
 10,000   Spectrum Brands, Inc.  5.7500  7/15/2025   10,375 
               41,100 
     HOUSEWARES - 0.1%           
 405,000   Newell Brands, Inc.  2.6000  3/29/2019   409,444 
 35,000   Newell Brands, Inc.  3.1500  4/1/2021   35,619 
               445,063 
     INSURANCE - 0.2%           
 145,000   Berkshire Hathaway Finance Corp.  1.7000  3/15/2019   143,239 
 320,000   Berkshire Hathaway Finance Corp.  1.3000  8/15/2019   319,716 
 215,000   Liberty Mutual Group, Inc. (c)  6.5000  5/1/2042   254,911 
 320,000   TIAA Asset Management Finance Co. LLC (c)  2.9500  11/1/2019   325,524 
               1,043,390 

 

See accompanying notes to consolidated financial statements.

13

 

Altegris Futures Evolution Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     INTERNET - 0.1%           
$380,000   Amazon.com, Inc.  2.6000  12/5/2019  $387,486 
 50,000   Amazon.com, Inc.  3.8000  12/5/2024   52,541 
 400,000   Tencent Holdings Ltd.  2.8750  2/11/2020   401,590 
               841,617 
     INVESTMENT COMPANIES - 0.1%           
 700,000   GrupoSura Finance SA  5.7000  5/18/2021   742,000 
                 
     IRON / STEEL - 0.0% ^           
 20,000   Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. (c)  6.3750  5/1/2022   19,950 
                 
     LEISURE TIME - 0.0% ^           
 20,000   NCL Corp. Ltd. (c)  4.7500  12/15/2021   19,988 
 20,000   Sabre GLBL, Inc. (c)  5.2500  11/15/2023   20,537 
 30,000   Viking Cruises Ltd. (c)  8.5000  10/15/2022   31,125 
               71,650 
     LODGING - 0.0% ^           
 20,000   Hilton Domestic Operating Co., Inc. (c)  4.2500  9/1/2024   19,400 
 20,000   Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp. (c)  6.7500  11/15/2021   20,250 
 15,000   MGM Resorts International  4.6250  9/1/2026   14,437 
 20,000   Station Casinos LLC  7.5000  3/1/2021   20,950 
               75,037 
     MACHINERY - CONSTRUCTION & MINING - 0.1%           
 400,000   Caterpillar Financial Services Corp.  1.7000  6/16/2018   400,353 
 25,000   Terex Corp.  6.0000  5/15/2021   25,562 
               425,915 
     MACHINERY - DIVERSIFIED - 0.1%           
 355,000   John Deere Capital Corp.  1.6000  7/13/2018   354,884 
 55,000   John Deere Capital Corp.  1.9500  1/8/2019   55,232 
               410,116 
     MEDIA - 0.2%           
 5,000   CCO Holdings, LLC / CCO Holdings Capital Corp. (c)  5.1250  5/1/2023   5,150 
 15,000   CCO Holdings, LLC / CCO Holdings Capital Corp.  5.2500  9/30/2022   15,525 
 15,000   Cengage Learning, Inc. (c)  9.5000  6/15/2024   13,312 
 30,000   Cequel Communications Holdings I LLC / Cequel Capital Corp. (c)  6.3750  9/15/2020   30,900 
 130,000   Comcast Corp.  4.4000  8/15/2035   135,998 
 225,000   Comcast Corp.  5.8750  2/15/2018   235,913 
 165,000   Comcast Corp.  6.5000  1/15/2017   165,232 
 10,000   CSC Holdings LLC  5.2500  6/1/2024   9,775 
 10,000   CSC Holdings LLC (c)  5.5000  4/15/2027   10,125 
 200,000   Globo Comunicacao e Participacoes S.A. (f)  5.3070  5/11/2022   200,000 
 10,000   Gray Television, Inc. (c)  5.1250  10/15/2024   9,675 
 15,000   Gray Television, Inc. (c)  5.8750  7/15/2026   14,887 
 15,000   Nexstar Escrow Corp. (c)  5.6250  8/1/2024   14,887 
 30,000   Sinclair Television Group, Inc. (c)  5.6250  8/1/2024   30,675 
 30,000   Sirius XM Radio, Inc. (c)  5.3750  7/15/2026   29,325 
 31,000   TEGNA, Inc. (c)  4.8750  9/15/2021   31,542 
 400,000   TV Azteca SAB de CV  7.6250  9/18/2020   316,000 
               1,268,921 
     METAL FABRICATE/HARDWARE - 0.0% ^           
 10,000   Grinding Media, Inc. / MC Grinding Media Canada, Inc. (c)  7.3750  12/15/2023   10,506 
 5,000   Novelis Corp. (c)  5.8750  9/30/2026   5,050 
 15,000   Novelis Corp. (c)  6.2500  8/15/2024   15,900 
               31,456 
     MINING - 0.0% ^           
 20,000   Lundin Mining Corp. (c)  7.5000  11/1/2020   21,275 
                 
     MISCELLANEOUS MANUFACTURING - 0.0% ^           
 25,000   Gates Global LLC / Gates Global Co. (c)  6.0000  7/15/2022   24,450 
                 
     MULTI - NATIONAL - 0.2%           
 900,000   Banco Latinoamericano de Comercio Exterior SA  3.2500  5/7/2020   905,400 
                 
     MUNICIPAL - 1.0%           
 160,000   City of Houston TX Combined Utility System Revenue  5.0000  11/15/2035   184,186 
 5,400,000   Commonwealth of Puerto Rico  8.0000  7/1/2035   3,631,500 

 

See accompanying notes to consolidated financial statements.

14

 

Altegris Futures Evolution Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     MUNICIPAL - 1.0% (Continued)           
$95,000   Los Angeles County Metropolitan Transportation Authority  5.0000  6/1/2033  $111,659 
 110,000   Massachusetts School Building Authority  5.0000  11/15/2034   128,963 
 70,000   North Texas Municipal Water District Water System Revenue  5.0000  9/1/2035   80,832 
 1,405,000   Puerto Rico Commonwealth Government Employees Retirement System  6.2000  7/1/2040   558,487 
 2,500,000   Puerto Rico Commonwealth Government Employees Retirement System  6.3000  7/1/2043   993,750 
 70,000   State of California  5.0000  8/1/2033   80,023 
               5,769,400 
     OFFICE / BUSINESS EQUIPMENT - 0.1%           
 500,000   Xerox Corp.  2.9500  3/15/2017   501,517 
                 
     OIL & GAS - 1.4%           
 80,000   Apache Corp.  4.7500  4/15/2043   82,402 
 300,000   Bharat Petroleum Corp Ltd.  4.6250  10/25/2022   313,794 
 330,000   BP Capital Markets PLC  1.6740  2/13/2018   330,333 
 30,000   BP Capital Markets PLC  1.6760  5/3/2019   29,788 
 55,000   BP Capital Markets PLC  3.0170  1/16/2027   53,079 
 85,000   BP Capital Markets PLC  3.7230  11/28/2028   86,367 
 315,000   Chevron Corp.  1.5610  5/16/2019   313,706 
 95,000   Chevron Corp.  1.7900  11/16/2018   95,361 
 600,000   CNOOC Finance 2015 Australia Pty Ltd.  2.6250  5/5/2020   597,587 
 300,000   Delek & Avner Tamar Bond Ltd. (c)  3.8390  12/30/2018   304,875 
 800,000   Delek & Avner Tamar Bond Ltd. (c)  4.4350  12/30/2020   814,000 
 10,000   Energy XXI Gulf Coast, Inc. (g)  7.5000  12/15/2021   1,350 
 20,000   Energy XXI Gulf Coast, Inc. (g)  9.2500  12/15/2017   2,820 
 254,000   Energy XXI Gulf Coast, Inc. (c,g)  11.0000  3/15/2020   133,350 
 75,000   EOG Resources, Inc.  4.1500  1/15/2026   78,487 
 25,000   EPL Oil & Gas, Inc. (g)  8.2500  2/15/2018   4,562 
 10,000   Extraction Oil & Gas Holdings LLC / Extraction Finance Corp. (c)  7.8750  7/15/2021   10,700 
 800,000   Indian Oil Corp Ltd.  5.6250  8/2/2021   869,083 
 40,000   Memorial Production Partners LP / Memorial Production Finance Corp.  6.8750  8/1/2022   19,000 
 5,000   Noble Holding International Ltd.  7.7500  1/15/2024   4,703 
 35,000   Occidental Petroleum Corp.  3.4000  4/15/2026   35,264 
 1,000,000   ONGC Videsh Ltd.  3.2500  7/15/2019   1,013,100 
 4,949   Pacific Exploration and Production Corp.  3.4000  4/15/2026   216,737 
 5,000   PDC Energy, Inc. (c)  6.1250  9/15/2024   5,112 
 50,000   Petroleos Mexicanos (d)  2.9017  7/18/2018   50,325 
 75,000   Petroleos Mexicanos (c)  6.7500  9/21/2047   70,860 
 800,000   Petronas Global Sukuk Ltd.  2.7070  3/18/2020   798,758 
 5,000   Phillips 66  4.8750  11/15/2044   5,280 
 75,000   Phillips 66  5.8750  5/1/2042   88,804 
 250,000   Reliance Holding USA, Inc.  4.5000  10/19/2020   263,694 
 250,000   Reliance Holding USA, Inc.  5.4000  2/14/2022   270,275 
 10,000   Sanchez Energy Corp.  6.1250  1/15/2023   9,500 
 3,641   SandRidge Energy, Inc. (g)  —  6/1/2020   85,746 
 85,844   SandRidge Energy, Inc. (g)  —  10/4/2020   106,929 
 390,000   Shell International Finance BV  1.3750  5/10/2019   386,482 
 800,000   Sinopec Group Overseas Development 2015 Ltd.  2.5000  4/28/2020   794,697 
               8,346,910 
     OIL & GAS SERVICES - 0.0% ^           
 65,000   Schlumberger Holdings Corp. (c)  2.3500  12/21/2018   65,536 
                 
     OTHER ABS - 15.3%           
 1,973,340   Ajax Mortgage Loan Trust 2016-C (c)  4.0000  10/25/2057   1,977,526 
 500,000   ALM VII R Ltd. (c)  4.7746  10/15/2028   492,500 
 750,000   Anchorage Capital CLO 4 Ltd. 2014-4A A1A (c,d)  2.3404  7/28/2026   750,028 
 500,000   Anchorage Capital CLO 5 Ltd. 2014-5A A (c,d)  2.4800  10/15/2026   503,190 
 1,000,000   Annisa CLO Ltd. 2016-2 2016-2A B (c)  2.8860  7/20/2028   997,145 
 1,000,000   Apidos CLO XIV 2013-14A A (c)  2.1732  4/15/2025   1,000,121 
 1,365,000   Apidos CLO XVI 2013-16A A1 (c,d)  2.3276  1/19/2025   1,367,030 
 250,000   Apidos CLO XVIII 2014-18A C (c,d)  4.5318  7/22/2026   245,782 
 250,000   Apidos CLO XVIII 2014-18A D (c,d)  6.0818  7/22/2026   233,063 
 625,000   Arbor Realty Collateralized Loan Obligation 2015-FL2 Ltd. (c,d)  5.7039  9/15/2025   624,814 
 421,594   Ares IIR/IVR CLO Ltd. 2007-3RA A2 (c,d)  1.1000  4/16/2021   421,359 
 551,237   Ares XXX CLO Ltd. 2014-30A A2 (c,d)  1.7312  4/20/2023   549,911 
 212,893   AVANT Loans Funding Trust 2016-B 2016-B A (c)  3.9200  8/15/2019   213,673 

 

See accompanying notes to consolidated financial statements.

15

 

Altegris Futures Evolution Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     OTHER ABS - 15.3% (Continued)           
$250,000   Babson CLO Ltd. 2013-IA A (c,d)  1.9812  4/20/2025  $249,861 
 2,505,848   Bayview Opportunity Master Fund IIIb RPL Trust 2016-4 A (c,f)  3.4748  7/28/2018   2,492,541 
 3,349,680   BCAPB LLC Trust 2007-AB1 2007-AB1 A5 (f)  5.0860  3/25/2037   2,354,158 
 250,000   Birchwood Park CLO Ltd. 2014-1A C2 (c,d)  4.0300  7/15/2026   250,524 
 48,501   Blue Elephant Loan Trust 2015-1 A (c)  3.1200  12/15/2022   48,484 
 700,000   Blue Elephant Loan Trust 2015-1 B (c)  5.5600  12/15/2022   698,019 
 427,180   BlueMountain CLO 2012-1A Ltd. A (c,d)  2.2012  7/20/2023   427,607 
 500,000   BlueMountain CLO 2013-1 Ltd. CR (c)  4.3057  1/20/2029   500,000 
 1,000,000   BlueMountain CLO Ltd. 2014-3A A1 (c,d)  2.3600  10/15/2026   1,000,319 
 3,500,000   BlueMountain CLO Ltd. 2015-3A Ltd. A1 (c,d)  2.3612  10/20/2027   3,502,878 
 2,000,000   BlueMountain CLO II Ltd. C (c)  1.7307  7/15/2018   1,989,611 
 75,199   Bluemountain CLO III Ltd. 2007-SA A1B (c,d)  1.2432  3/17/2021   75,162 
 662,849   Callidus Debt Partners CLO Fund VI Ltd. 6A A1T (c,d)  1.1418  10/23/2021   658,485 
 2,367,119   Carlyle Global Market Strategies CLO 2012-2 Ltd. (c,d)  2.1812  7/20/2023   2,371,368 
 1,000,000   Carlyle Global Market Strategies CLO 2015-1 Ltd. (c,d)  2.4112  4/20/2027   1,002,189 
 546,506   Carlyle High Yield Partners X Ltd. 2007-10A A1 (c,d)  1.0926  4/19/2022   546,538 
 693,390   Carlyle High Yield Partners X Ltd. 2007-10A A2A (c,d)  1.1026  4/19/2022   693,383 
 1,000,000   Catarmaran CLO Ltd. 2015-1A A (c,d)  2.4318  4/22/2027   1,000,308 
 500,000   CENT CLO 19 Ltd. 2013-19A A1A (c,d)  2.2173  10/29/2025   500,302 
 2,000,000   CIM TRUST  12.3161  7/26/2055   1,769,599 
 2,000,000   CIM TRUST  13.1225  2/27/2056   1,780,844 
 2,000,000   CIM TRUST  12.1740  2/27/2056   1,780,986 
 90,334   Citi Held For Asset Issuance 2015-PM1 (c)  1.8500  12/15/2021   90,289 
 1,967,732   Citicorp Residential Mortgage Trust Series 2007-2 (f)  5.3979  6/25/2037   2,022,838 
 168,958   Citigroup Mortgage Loan Trust 2007-WFHE2 (d)  0.9361  3/25/2037   168,548 
 104,425   Consumer Credit Origination Loan Trust 2015-1 A (c)  2.8200  3/15/2021   105,122 
 2,000,000   Consumer Credit Origination Loan Trust 2015-1 B (c)  5.2100  3/15/2021   2,003,611 
 850,557   Consumer Installment Loan Trust Series 2016-LD1 A (c)  3.9600  7/15/2022   853,869 
 34,839   Countrywide Asset-Backed Certificates 2005-15 1AF6 (d)  4.1906  4/25/2036   35,371 
 250,000   Dorchester Park CLO Ltd. 2015-1A C (c,d)  4.0812  1/20/2027   250,084 
 250,000   Dorchester Park CLO Ltd. 2015-1A D (c,d)  4.4312  1/20/2027   245,300 
 1,500,000   Eagle I Ltd. 2014-1A A1 (c)  2.5700  12/15/2039   1,487,971 
 514,528   Eaton Vance CDO VIII Ltd. 2006-8A A (c,d)  1.1557  8/15/2022   512,947 
 1,000,000   Eaton Vance CDO VIII Ltd. 2006-8A B (c,d)  1.5557  8/15/2022   991,875 
 250,000   Emerson Park CLO Ltd. 2013-1A C1 (c,d)  3.6300  7/15/2025   250,397 
 250,000   Flatiron CLO Ltd. 2014-1A C (c,d)  4.1800  7/17/2026   228,124 
 2,650,000   Galaxy XVIII CLO Ltd. 2014-18A A (c,d)  2.3500  10/15/2026   2,651,458 
 250,000   Halcyon Loan Advisors Funding 2013-2 Ltd. 2013-2A C (c,d)  3.5859  8/1/2025   246,773 
 250,000   Halcyon Loan Advisors Funding 2013-2 Ltd. 2013-2A D (c,d)  4.6859  8/1/2025   221,159 
 300,000   Halcyon Loan Advisors Funding 2014-1 Ltd. 2014-1A A1 (c,d)  2.4117  4/18/2026   299,091 
 2,000,000   Jamestown CLO IV Ltd. 2014-4A A1A  2.5232  7/15/2026   1,999,800 
 1,000,000   Jamestown CLO IX Ltd. 2016-9A A1B (c,d)  2.3200  10/20/2028   1,000,193 
 2,000,000   Labrador Aviation Finance Ltd. 2016-1A (c)  5.6820  1/15/2042   1,999,927 
 250,000   LCM XII LP 12A A (c,d)  4.5776  10/19/2022   250,373 
 250,000   LCM XV LP 15A C (c,d)  4.0301  8/25/2024   250,214 
 750,000   LCM XVI LP 16A A (c,d)  2.3800  7/15/2026   750,395 
 250,000   Madison Park Funding XI Ltd. (c,d)  4.3818  10/23/2025   248,751 
 250,000   Madison Park Funding XIII Ltd. 2014-13 A D (c,d)  4.2276  1/19/2025   247,396 
 1,000,000   Magnetite XII Ltd. 2015-12A A (c,d)  2.2557  4/15/2027   1,000,000 
 195,377   Mountain View CLO II Ltd. 2006-2A A1 (c,d)  1.1239  1/12/2021   195,230 
 1,986,831   Nationstar HECM Loan Trust 2016-2 2016-2A A (c)  2.2394  6/25/2026   1,988,663 
 250,000   NewMark Capital Funding 2013-1A A2 Ltd. (c,d)  2.0542  6/2/2025   249,658 
 402,322   OneMain Financial Issuance Trust 2014-1 (c)  2.4300  6/18/2024   402,342 
 1,000,000   OneMain Financial Issuance Trust 2015-1 2015-1A A (c)  3.1900  3/18/2026   1,007,097 
 1,000,000   Oportun Funding IV LLC (c)  3.2800  11/8/2021   997,357 
 196,949   Pacific Bay CDO Ltd. 2003-1A A2 (c,d)  2.4938  11/4/2038   192,380 
 1,000,000   Palmer Square CLO 2014-1 Ltd. (c)  2.3287  1/17/2027   1,000,000 
 997,656   Progress Residential 2016-SFR1 Trust 2016-SFR1 A (c,d)  2.2683  9/17/2033   1,006,356 
 296,739   RAMP Series 2006-RS4 A3 Trust (d)  0.9411  7/25/2036   294,356 
 770,945   Sierra Timeshare 2016-2 Receivables Funding LLC 2016-2A A (c)  2.3300  7/20/2033   757,221 
 1,830,450   Sierra Timeshare 2016-3 Receivables Funding LLC (c)  2.4300  10/20/2033   1,795,204 
 1,000,000   Silverado CLO 2006-II Ltd. 2006-2A A1J (c,d)  1.3732  10/16/2020   1,000,649 
 930,761   Sofi Consumer Loan Program 2016-3 LLC (c)  3.0500  12/26/2025   927,538 
 500,000   Sound Harbor Loan Fund 2014-1 Ltd. 2014-1A A1 (c,d)  2.5390  10/30/2026   500,590 
 2,353,200   SpringCastle America Funding LLC 2014-AA A (c)  3.0500  4/25/2029   2,364,966 

 

See accompanying notes to consolidated financial statements.

16

 

Altegris Futures Evolution Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     OTHER ABS - 15.3% (Continued)           
$1,000,000   Springleaf Funding Trust 2016-A (c)  2.9000  11/15/2029  $997,766 
 3,876,678   Symphony CLO VIII LP 2012-8A AR (c,d)  1.9761  1/9/2023   3,873,217 
 750,000   Symphony CLO XI Ltd. 2013-11A A (c,d)  2.1800  1/17/2025   751,884 
 250,000   Symphony CLO XI Ltd. 2013-11A C (c,d)  4.0300  1/17/2025   250,061 
 3,125,000   Venture VII CDO Ltd. 2006-7A A1B (c,d)  1.2112  1/20/2022   3,054,687 
 1,000,000   Venture XVI CLO Ltd. 2014-16A A1L (c,d)  2.3800  4/15/2026   1,001,706 
 1,000,000   Venture XVII CLO Ltd. 2014-17A A (c,d)  2.3600  7/15/2026   1,000,498 
 250,000   Venture XVII CLO Ltd. 2014-17A B2 (c,d)  2.9800  7/15/2026   250,209 
 1,000,000   Venture XXIII CLO Ltd 2016-23A A (c,d)  2.5276  7/19/2028   1,003,555 
 1,000,000   Vibrant Clo V Ltd. (c)  2.5462  1/20/2029   1,000,000 
 1,904,562   VOLT XLVIII LLC 2016-NPL8 A1 (c,f)  3.5000  7/25/2046   1,898,058 
 1,201,403   VOLT XXII LLC 2015-NPL4 A1 (c,f)  3.5000  2/25/2055   1,202,324 
 2,357,837   VOLT XXX LLC 2015-NPL1 A1 (c,f)  3.6250  10/25/2057   2,358,052 
 729,102   Wasatch Ltd. 06-1A Cl A1B (c,d)  1.1421  11/14/2022   715,513 
 500,000   Washington Mill CLO Ltd. 2014-1A A1 (c,d)  2.3812  4/20/2026   500,247 
 50,656   Westwood CDO II Ltd. 2007-2A A1 (c,d)  1.1018  4/25/2022   50,642 
 250,000   Zais CLO 2 Ltd.2014-2A A1A (c,d)  2.3818  7/25/2026   249,885 
               90,319,095 
     PACKAGING & CONTAINERS - 0.0% ^           
 20,000   Berry Plastics Corp.  5.5000  5/15/2022   20,800 
 20,000   Plastipak Holdings, Inc. (c)  6.5000  10/1/2021   20,900 
               41,700 
     PHARMACEUTICALS - 0.8%           
 485,000   AbbVie, Inc.  1.8000  5/14/2018   485,364 
 154,000   AbbVie, Inc.  4.7000  5/14/2045   151,094 
 161,000   Actavis Funding SCS  2.3500  3/12/2018   161,931 
 390,000   AstraZeneca PLC  1.7500  11/16/2018   390,697 
 75,000   AstraZeneca PLC  2.3750  11/16/2020   74,745 
 610,000   Cardinal Health, Inc.  1.9500  6/15/2018   611,326 
 115,000   Eli Lilly & Co.  3.7000  3/1/2045   109,091 
 25,000   Endo Finance LLC / Endo Finco, Inc. (c)  5.3750  1/15/2023   21,187 
 415,000   Express Scripts Holding Co.  2.2500  6/15/2019   414,953 
 30,000   Express Scripts Holding Co.  3.4000  3/1/2027   28,107 
 80,000   Express Scripts Holding Co.  4.5000  2/25/2026   82,358 
 20,000   inVentiv Group Holdings, Inc./inVentiv Health, Inc./inVentiv Health Clinical, Inc. (c)  7.5000  10/1/2024   20,948 
 422,000   McKesson Corp.  1.2920  3/10/2017   422,102 
 460,000   Mylan NV (c)  2.5000  6/7/2019   457,510 
 160,000   Mylan NV (c)  3.1500  6/15/2021   157,022 
 265,000   Shire Acquisitions Investments Ireland DAC  1.9000  9/23/2019   261,640 
 195,000   Shire Acquisitions Investments Ireland DAC  2.8750  9/23/2023   185,337 
 167,000   Teva Pharmaceutical Finance Co. BV  2.9500  12/18/2022   160,921 
 185,000   Teva Pharmaceutical Finance Co. BV  1.7000  7/19/2019   181,768 
 55,000   Teva Pharmaceutical Finance Co. BV  2.8000  7/21/2023   52,063 
 15,000   Vizient, Inc. (c)  10.3750  3/1/2024   16,987 
               4,447,151 
     PIPELINES - 0.3%           
 15,000   Energy Transfer Equity LP  5.5000  6/1/2027   14,625 
 155,000   Energy Transfer Partners LP  4.7500  1/15/2026   160,246 
 350,000   Kinder Morgan Energy Partners LP  6.0000  2/1/2017   351,060 
 145,000   Kinder Morgan Energy Partners LP  6.9500  1/15/2038   168,196 
 25,000   Kinder Morgan, Inc.  3.0500  12/1/2019   25,359 
 128,160   Ras Laffan Liquefied Natural Gas Co. Ltd. II  5.2980  9/30/2020   134,568 
 10,000   Targa Resources Partners LP / Targa Resources Partners Finance Corp. (c)  5.3750  2/1/2027   9,900 
 300,000   Transportadora de Gas Internacional SA ESP (c)  5.7000  3/20/2022   309,000 
 500,000   Transportadora de Gas Internacional SA ESP  5.7000  3/20/2022   515,000 
 20,000   Williams Partners LP / ACMP Finance Corp.  4.8750  3/15/2024   20,196 
               1,708,150 
     REITS - 0.2%           
 160,000   Boston Properties LP  4.1250  5/15/2021   169,047 
 318,000   Boston Properties LP  5.8750  10/15/2019   346,763 
 20,000   ESH Hospitality, Inc.  5.8750  1/15/2026   21,050 
 30,000   Equinix, Inc. (c)  5.2500  5/1/2025   29,850 
 5,000   MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (c)  5.6250  5/1/2024   5,237 
 280,000   Simon Property Group LP  2.1500  9/15/2017   281,202 
 115,000   Simon Property Group LP  2.2000  2/1/2019   115,935 

 

See accompanying notes to consolidated financial statements.

17

 

Altegris Futures Evolution Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     REITS - 0.2% (Continued)           
$145,000   Simon Property Group LP  3.3000  1/15/2026  $144,284 
 15,000   Simon Property Group LP  5.6500  2/1/2020   16,409 
               1,129,777 
     RETAIL - 0.1%           
 15,000   Asbury Automotive Group, Inc.  6.0000  12/15/2024   15,337 
 436,000   CVS Health Corp.  1.9000  7/20/2018   437,676 
 110,000   CVS Health Corp.  2.8750  6/1/2026   104,848 
 5,000   Dollar Tree, Inc.  5.7500  3/1/2023   5,294 
 100,000   Home Depot, Inc.  3.0000  4/1/2026   99,808 
 55,000   Home Depot, Inc.  3.3500  9/15/2025   56,406 
 25,000   PetSmart, Inc. (c)  7.1250  3/15/2023   25,500 
 20,000   Rite Aid Corp. (c)  6.1250  4/1/2023   21,500 
 25,000   Sally Holdings LLC / Sally Capital, Inc.  5.7500  6/1/2022   25,969 
               792,338 
     SEMICONDUCTORS - 0.0% ^           
 155,000   Analog Devices, Inc.  2.5000  12/5/2021   153,578 
 70,000   Intel Corp.  4.1000  5/19/2046   69,382 
 4,000   Microsemi Corp. (c)  9.1250  4/15/2023   4,660 
 20,000   NXP BV / NXP Funding LLC (c)  4.1250  6/1/2021   20,650 
               248,270 
     SOFTWARE - 0.2%           
 15,000   Camelot Finance SA (c)  7.8750  10/15/2024   15,525 
 105,000   Fidelity National Information Services, Inc.  3.6250  10/15/2020   108,703 
 15,000   First Data Corp. (c)  5.7500  1/15/2024   15,478 
 15,000   First Data Corp. (c)  7.0000  12/1/2023   15,975 
 20,000   Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho (c)  10.0000  11/30/2024   21,250 
 20,000   Infor US, Inc.  6.5000  5/15/2022   20,850 
 160,000   Microsoft Corp.  1.1000  8/8/2019   157,848 
 135,000   Microsoft Corp.  4.4500  11/3/2045   143,832 
 20,000   Open Text Corp. (c)  5.8750  6/1/2026   21,100 
 175,000   Oracle Corp.  1.9000  9/15/2021   171,009 
 220,000   Oracle Corp.  2.2500  10/8/2019   222,668 
 195,000   Oracle Corp.  2.3750  1/15/2019   197,610 
 165,000   Oracle Corp.  4.1250  5/15/2045   159,911 
 20,000   Quintiles IMS, Inc. (c)  4.8750  5/15/2023   20,300 
 15,000   Solera LLC / Solera Finance, Inc. (c)  10.5000  3/1/2024   16,875 
 30,000   Sophia LP / Sophia Finance, Inc. (c)  9.0000  9/30/2023   31,875 
               1,340,809 
     STUDENT LOAN ABS - 0.3%           
 974,346   Access Group, Inc. 2007-A B (d)  1.4801  2/25/2037   854,415 
 12,000   Earnest Student Loan Program 2016-D LLC (c)  —  1/25/2041   1,039,350 
               1,893,765 
     TECHNOLOGY - 0.1%           
 500,000   AXIATA SPV2 BHD  3.4660  11/19/2020   502,959 
                 
     TELECOMMUNICATIONS - 0.8%           
 635,000   British Telecommunications PLC  5.9500  1/15/2018   661,798 
 25,000   Cincinnati Bell, Inc. (c)  7.0000  7/15/2024   26,437 
 400,000   Cisco Systems, Inc.  1.4000  9/20/2019   395,638 
 160,000   Cisco Systems, Inc.  1.8500  9/20/2021   156,155 
 30,000   CommScope, Inc. (c)  5.0000  6/15/2021   30,900 
 200,000   Digicel Group Ltd.  7.1250  4/1/2022   155,148 
 600,000   Digicel Ltd.  7.0000  2/15/2020   564,984 
 15,000   Embarq Corp.  7.9950  6/1/2036   14,063 
 20,000   Intelsat Jackson Holdings SA  5.5000  8/1/2023   13,476 
 10,000   Intelsat Jackson Holdings SA (c)  8.0000  2/15/2024   10,275 
 30,000   Level 3 Communications, Inc.  5.7500  12/1/2022   30,825 
 800,000   Ooredoo Tamweel Ltd.  3.0390  12/3/2018   810,800 
 541,000   Orange SA  2.7500  2/6/2019   548,160 
 400,000   Telefonica Celular del Paraguay S.A.  6.7500  12/13/2022   407,000 
 15,000   Telesat Canada / Telesat LLC (c)  8.8750  11/15/2024   15,638 
 540,000   Verizon Communications, Inc.  2.6250  2/21/2020   545,181 
 315,000   Verizon Communications, Inc.  4.4000  11/1/2034   310,901 
               4,697,379 

 

See accompanying notes to consolidated financial statements.

18

 

Altegris Futures Evolution Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

December 31, 2016

 

Principal Amount              
($)      Yield  Maturity  Value 
     TRANSPORTATION - 0.1%           
$150,000   Burlington Northern Santa Fe LLC  4.5500  9/1/2044  $159,487 
 165,000   CSX Corp.  3.8000  11/1/2046   152,968 
 150,000   FedEx Corp.  4.7500  11/15/2045   155,351 
 10,000   Kenan Advantage Group, Inc./The  7.8750  7/31/2023   10,100 
               477,906 
     U.S. GOVERNMENT AGENCY OBLIGATIONS - 1.6%           
 216,941   Fannie Mae Pool AL4292 (e)  4.5000  4/1/2026   230,673 
 749,776   Fannie Mae Pool AS4281 (e)  3.0000  1/1/2035   759,903 
 1,269,340   Fannie Mae Pool AS4360 (e)  3.0000  1/1/2035   1,286,487 
 837,358   Fannie Mae Pool AS4645 (e)  3.0000  3/1/2045   832,764 
 953,178   Fannie Mae Pool AS7661 (e)  3.0000  8/1/2046   940,886 
 77,541   Fannie Mae Pool MA1050 (e)  4.5000  3/1/2042   81,110 
 1,575,299   Fannie Mae Pool MA2737 (e)  3.0000  9/1/2046   1,568,468 
 1,134,446   Freddie Mac Gold Pool G08622 (e)  3.0000  1/1/2045   1,127,711 
 1,376,247   Freddie Mac Gold Pool G08721 (e)  3.0000  9/1/2046   1,368,008 
 343,220   Freddie Mac Gold Pool FG Q13637 (e)  3.0000  11/1/2042   343,080 
 345,356   Freddie Mac Gold Pool FG Q13638 (e)  3.0000  11/1/2042   345,215 
 269,629   Freddie Mac Gold Pool N70081 (e)  5.5000  7/1/2038   298,625 
               9,182,930 
     TREASURY SECURITIES - 8.4%           
 1,729,449   United States Treasury Inflation Indexed Bond  1.0000  2/15/2046   1,771,823 
 782,196   United States Treasury Inflation Indexed Note  0.1250  4/15/2021   802,343 
 1,177,977   United States Treasury Inflation Indexed Note  0.1250  7/15/2026   1,148,742 
 1,674,520   United States Treasury Inflation Indexed Note  0.1250  7/15/2024   1,674,717 
 1,074,746   United States Treasury Inflation Indexed Note  0.6250  1/15/2024   1,132,990 
 805,000   United States Treasury Bond  2.7500  11/15/2042   760,316 
 650,000   United States Treasury Note  0.5000  1/31/2017   650,074 
 1,160,000   United States Treasury Note  0.6250  5/31/2017   1,160,090 
 3,800,000   United States Treasury Note  0.7500  1/31/2018   3,800,667 
 3,350,000   United States Treasury Note  0.7500  2/28/2018   3,342,148 
 3,550,000   United States Treasury Note  0.8750  11/30/2017   3,554,450 
 1,920,000   United States Treasury Note  1.0000  9/15/2017   1,922,999 
 2,400,000   United States Treasury Note  1.0000  2/15/2018   2,400,845 
 3,800,000   United States Treasury Note  1.0000  3/15/2018   3,801,782 
 3,800,000   United States Treasury Note  1.0000  12/31/2017   3,802,968 
 180,000   United States Treasury Note  1.0000  5/15/2018   179,937 
 50,000   United States Treasury Note  1.5000  2/28/2023   48,090 
 1,600,000   United States Treasury Note  1.5000  3/31/2023   1,537,374 
 3,300,000   United States Treasury Note  1.6250  6/30/2020   3,301,548 
 1,670,000   United States Treasury Note  1.7500  3/31/2022   1,647,756 
 80,000   United States Treasury Note  1.7500  12/31/2020   79,975 
 3,020,000   United States Treasury Note  2.0000  11/30/2020   3,051,263 
 50,000   United States Treasury Note  2.0000  8/15/2025   48,434 
 2,700,000   United States Treasury Note  2.1250  1/31/2021   2,735,964 
 1,860,000   United States Treasury Note  2.1250  5/15/2025   1,823,380 
 3,180,000   United States Treasury Note  2.2500  3/31/2021   3,237,513 
               49,418,188 
                 
     TOTAL BONDS & NOTES (Cost - $440,080,390)         433,835,329 
                 
     SHORT-TERM INVESTMENTS - 13.9%           
     U.S. TREASURY BILLS - 13.9%           
 11,000,000   United States Treasury Bill+ (a)  0.3100  1/5/2017   10,999,486 
 6,000,000   United States Treasury Bill+ (a)  0.4300  2/2/2017   5,997,307 
 6,000,000   United States Treasury Bill+ (a)  0.4700  4/27/2017   5,989,444 
 43,000,000   United States Treasury Bill+ (a)  0.5100  7/20/2017   42,876,222 
 16,500,000   United States Treasury Bill+ (a)  —  10/12/2017   16,410,836 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $82,273,295)         82,273,295 
                 
     TOTAL INVESTMENTS - 95.5% (Cost - $563,326,017) (h)        $564,188,287 
     OTHER ASSETS LESS LIABILITIES - 4.5%         26,806,273 
     TOTAL NET ASSETS - 100.0%        $590,994,560 

 

See accompanying notes to consolidated financial statements.

19

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

MBS - Mortgage Backed Security

 

ABS - Asset Backed Security

 

REIT - Real Estate Investment Trust

 

REMICS - Real Estate Mortgage Investment Conduits

 

*Non-Income bearing.

 

^Represents a percentage less than 0.05%

 

**Zero coupon security. Payment received at maturity. Rate shown represents rate at date of purchase.

 

+Held as collateral for the swap contract.

 

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

 

(b)The value of these securities have been determined in good faith under the policies of the Board of Trustees at December 31, 2016.

 

(c)Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At December 31, 2016, these securities amounted to $122,468,074 or 20.72% of net assets.

 

(d)Variable rate security; the rate shown represents the rate at December 31, 2016.

 

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

 

(f)Step-Up Bond; the interest rate shown is the rate in effect as of December 31, 2016.

 

(g)Security in default.

 

(h)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $591,071,319 and differs from market value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $12,616,692 
Unrealized Depreciation:   (39,499,724)
Net Unrealized Depreciation:  $(26,883,032)

 

TOTAL RETURN SWAP CONTRACT (a)                 
   Notional      Termination     Unrealized 
Reference Entity  Amount   Interest Rate  Date  Counterparty  Depreciation 
Barclays Bank PLC SWAP  $73,376,929   LIBOR + 1.20%  11/9/2017  Barclays Bank, Plc  $(5,277,365)

 

See accompanying notes to consolidated financial statements.

20

 

Altegris Macro Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)

December 31, 2016

 

Shares            Value 
     INVESTMENTS - 93.0%           
     EXCHANGE TRADED FUNDS - 45.5%           
     DEBT FUNDS - 30.4%           
 17,968   iShares iBoxx $ High Yield Corporate Bond ETF        $1,555,130 
 57,188   iShares iBoxx $ Investment Grade Corporate Bond ETF     6,701,290 
 2,225   iShares TIPS Bond ETF         251,803 
               8,508,223 
     EQUITY FUNDS - 15.1%           
 7,359   Consumer Discretionary Select Sector SPDR Fund      599,023 
 31,738   Consumer Staples Select Sector SPDR Fund         1,641,172 
 1,338   Energy Select Sector SPDR Fund         100,778 
 6,255   Financial Select Sector SPDR Fund         145,429 
 4,673   Health Care Select Sector SPDR Fund         322,157 
 12,385   Industrial Select Sector SPDR Fund         770,595 
 8,899   Materials Select Sector SPDR Fund         442,280 
 1,993   Real Estate Select Sector SPDR Fund         61,277 
 2,585   Utilities Select Sector SPDR Fund         125,553 
               4,208,264 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $12,720,084)   12,716,487 
                 
     UNAFFILIATED TRADING COMPANIES ^ - 2.4%     
 444   Denali Global Discretionary Program - Class Denali* (a,b)   60,756 
 1,732   QMS Diversified Global Macro - Class QMS* (a,b)   264,889 
 1,457   Three Rock Global Macro Program - Class Three Rock* (a,b)   211,251 
 1,494   Willowbridge Praxis Futures Program - Class Willowbridge* (a,b)   123,401 
     TOTAL UNAFFILIATEDTRADING COMPANIES (Cost - $676,113)   660,297 
                 
Principal               
Amount ($)         Maturity     
     STRUCTURED NOTE - 6.4%           
$14,000   Barclays Bank PLC Linked Note (a) * ^           
     (Cost - $1,400,000)     1/28/2017   1,782,785 
        Yield (c)        
     SHORT-TERM INVESTMENTS - 38.7%           
     CERTIFICATES OF DEPOSIT - 2.9%           
 200,000   Banco Del Estado De Chile  0.6700  1/6/2017   200,000 
 140,000   The Chiba Bank, Ltd.  0.7100  1/5/2017   140,000 
 215,000   Sumitomo Mitsui Trust Bank, Ltd.  0.6700  1/11/2017   215,000 
 250,000   Toronto Dominion Holdings, Inc.  0.5700  1/3/2017   250,000 
               805,000 
     COMMERCIAL PAPER - 7.9%           
 250,000   Apple, Inc.  0.6211  1/3/2017   249,991 
 140,000   DCAT, LLC  0.9727  1/11/2017   139,962 
 215,000   Exxon Mobil Corp.  0.4706  1/6/2017   214,986 
 250,000   GE Capital Treasury Services LLC  0.6010  1/3/2017   249,992 
 250,000   MetLife Short Term Funding LLC  0.6312  1/13/2017   249,948 
 144,000   National Rural Utilities Cooperative Finance Corp.  0.6613  1/13/2017   143,968 
 200,000   PACCAR Financial Corp.  0.5509  1/4/2017   199,991 
 250,000   Victory Receivables Corp.  0.8019  1/19/2017   249,900 
 250,000   Wal-Mart Stores, Inc.  0.5408  1/11/2017   249,962 
 250,000   Working Capital Management Co. LP  0.8220  1/17/2017   249,909 
               2,198,609 
     DISCOUNT AGENCY NOTE - 15.1%           
 500,000   Federal Home Loan Banks  0.3340  1/25/2017   499,880 
 250,000   Federal Home Loan Banks  0.4670  2/14/2017   249,852 

 

See accompanying notes to consolidated financial statements.

21

 

Altegris Macro Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

December 31, 2016

 

Principal              
Amount ($)      Yield (c)  Maturity  Value 
     DISCOUNT AGENCY NOTE - 15.1% (Continued)           
$250,000   Federal Home Loan Banks  0.4670  2/15/2017  $249,873 
 250,000   Federal Home Loan Banks  0.5020  3/24/2017   249,749 
 500,000   Federal Home Loan Banks  0.5370  5/3/2017   499,119 
 2,478,000   Federal Home Loan Mortgage Corp.  0.0000  1/3/2017   2,477,938 
               4,226,411 
                 
     U.S. TREASURY BILLS - 12.8%           
 1,000,000   US Treasury Bill (a) **  0.5100  3/30/2017   998,766 
 1,100,000   US Treasury Bill (a) **  0.5225  7/20/2017   1,096,807 
 1,500,000   US Treasury Bill (a) **  0.5400  4/27/2017   1,497,390 
               3,592,963 
                 
     TOTAL SHORT-TERM INVESTMENTS - (Cost - $10,822,983)   10,822,983 
                 
     TOTAL INVESTMENTS - 93.0% (Cost - $25,619,180) (d)        $25,982,552 
     OTHER ASSETS LESS LIABILITIES - 7.0%         1,959,348 
     TOTAL NET ASSETS - 100.0%        $27,941,900 

 

ETF Exchange Traded Fund

 

^Global Macro Strategies Ltd.

 

*Non-Income producing.

 

**Held as collateral for the swap contract.

 

(a)All or a portion of these investments are a holding of the AGMS Fund Limited.

 

(b)The value of these securities have been determined in good faith under the policies of the Board of Trustees at December 31, 2016.

 

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

 

(d)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $27,627,406 and differs from market value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $445,688 
Unrealized Depreciation:   (2,090,542)
Net Unrealized Depreciation:  $(1,644,854)

 

    LONG FUTURES CONTRACTS          
          Notional Value at  Unrealized 
Contracts   Issue  Expiration  December 31, 2016  Appreciation/ (Depreciation) 
 6   Cattle Feeded Future (a)  January-17  $                391,350  $7,526 
 5   Copper Future (a)  March-17  313,188   (4,642)
 2   Gasoline RBOB (a)  February-17  140,356   (1,265)
 6   Lean Hogs (a)  February-17  158,760   5,935 
 3   Live Cattle (a)  February-17  139,260   (539)
 4   Natural Gas Future (a)  February-17  148,960   (933)
 4   NY Harbor ULSD Futures (a)  February-17  290,338   581 
 30   Russell Mini Future  March-17  2,035,350   (44,003)
 33   S&P 500 E-mini Future  March-17  3,689,813   (10,157)
 8   Soybean Future (a)  March-17  401,600   (4,867)
 30   US 10 Year Note Future  March-17  3,728,438   10,648 
 7   US 5YR Note (CBT) Future  March-17  823,648   1,430 
 6   US Long Bond Future  March-17  903,938   4,047 
 8   Wheat Future (CBT) (a)  March-17  163,200   1,238 
 9   World Sugar #11 (a)  March-17  196,661   6,699 
     TOTAL UNREALZED DEPRECIATION ON LONG FUTURES CONTRACTS  $(28,302)

 

See accompanying notes to consolidated financial statements.

22

 

Altegris Macro Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)

December 31, 2016

 

TOTAL RETURN SWAP CONTRACTS (a)                 
                  
Reference Entity  Notional
Amount		 Interest RateTermination
Date		Counterparty  Unrealized Depreciation 
Barclays Bank PLC SWAP  $3,106,016   LIBOR+1.20%  11/9/2017  Barclays Bank Plc.  $(36,504)

 

See accompanying notes to consolidated financial statements.

23

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
December 31, 2016

 

Shares            Value 
     INVESTMENTS - 91.9%           
     UNAFFILIATED TRADING COMPANIES - 3.6%           
 22,202   Abraham Diversified Program Class* (a,b)        $1,765,451 
 9,143   Capital Discus Program Class CFM DTP* (a,b)         699,582 
 39,769   Lynx Trading Program Class* (a,b)         1,623,530 
 5,107   Quantitative Global Program Class* (a,b)         1,129,247 
 8,452   Winton Diversified Program Class* (a,b)         2,281,624 
     TOTAL UNAFFILIATED TRADING COMPANIES (Cost - $7,112,508)   7,499,434 
           
Principal               
Amount ($)         Maturity     
     STRUCTURED NOTE - 5.8%           
$64,000   Barclays Bank PLC Linked Note (a)*     1/28/2017   12,178,374 
     TOTAL STRUCTURED NOTE (Cost - $6,400,000)           
                 
     SHORT-TERM INVESTMENTS - 82.5%           
     CERTIFICATES OF DEPOSIT - 8.9%  Yield (c)        
 4,300,000   Banco del Estado de Chile  0.6700  1/6/2017   4,300,000 
 2,770,000   The Chiba Bank, Ltd.  0.7100  1/5/2017   2,770,000 
 4,200,000   Sumitomo Mitsui Trust Bank Ltd.  0.6700  1/11/2017   4,200,000 
 7,300,000   Toronto Dominion Holdings, Inc.  0.5700  1/3/2017   7,300,000 
               18,570,000 
                 
     COMMERCIAL PAPER - 21.4%           
 4,215,000   Apple, Inc.  0.6211  1/3/2017   4,214,855 
 2,725,000   DCAT, LLC  0.9726  1/11/2017   2,724,266 
 4,390,000   Exxon Mobil Corp.  0.4706  1/6/2017   4,389,713 
 7,300,000   GE Capital Treasury Services  0.6009  1/3/2017   7,299,757 
 4,215,000   Metlife Short-term Funding  0.6312  1/13/2017   4,214,115 
 2,721,000   National Rural Utilities Cooperative Finance Corp.  0.6613  1/13/2017   2,720,401 
 4,390,000   PACCAR Financial Corp.  0.5509  1/4/2017   4,389,799 
 4,215,000   Victory Receivables Corp.  0.8019  1/19/2017   4,213,314 
 3,100,000   Victory Receivables Corp.  0.5508  1/3/2017   3,099,905 
 4,460,000   Wal-Mart Stores, Inc.  0.5408  1/11/2017   4,459,331 
 2,810,000   Working Capital Management Co. LP  0.8220  1/17/2017   2,808,976 
               44,534,432 
                 
     DISCOUNT AGENCY NOTES - 43.8%           
 23,662,000   Federal Farm Credit Banks  0.4670  1/3/2017   23,661,540 
 10,000,000   Federal Home Loan Bank  0.3340  1/25/2017   9,997,600 
 1,150,000   Federal Home Loan Bank  0.4540  2/1/2017   1,149,624 
 10,000,000   Federal Home Loan Bank  0.4670  2/14/2017   9,994,072 
 5,000,000   Federal Home Loan Bank  0.4670  2/15/2017   4,997,462 
 10,000,000   Federal Home Loan Bank  0.4980  3/10/2017   9,990,140 
 8,000,000   Federal Home Loan Bank  0.5020  3/24/2017   7,991,982 
 10,000,000   Federal Home Loan Bank  0.5370  5/3/2017   9,982,378 
 8,314,000   Federal Home Loan Mortgage Corp.  —  1/3/2017   8,313,792 
 5,000,000   Federal Home Loan Mortgage Corp.  0.4610  2/7/2017   4,997,636 
               91,076,226 

 

See accompanying notes to consolidated financial statements.

24

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2016

 

Principal              
Amount ($)      Yield (c)  Maturity  Value 
     U.S. TREASURY BILLS - 8.4%           
$3,000,000   U.S. Treasury Bills (a) **  0.4200  1/5/2017  $2,999,860 
 8,500,000   U.S. Treasury Bills (a) **  0.5050  2/2/2017   8,496,144 
 6,000,000   U.S. Treasury Bills (a) **  0.5400  4/27/2017   5,989,560 
               17,485,564 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $171,666,222)      171,666,222 
                 
     TOTAL INVESTMENTS - 91.9% (Cost - $185,178,730) (d)     $191,344,030 
     OTHER ASSETS LESS LIABILITIES - 8.1%         16,860,950 
     TOTAL NET ASSETS - 100.0%        $208,204,980 

 

*Non-Income bearing.

 

**Held as collateral for total return swap contracts.

 

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

 

(b)The value of these securities have been determined in good faith under the policies of the Board of Trustees at December 31, 2016.

 

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

 

(d)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $185,178,730 and differs from market value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $6,246,753 
Unrealized Depreciation:   (81,453)
Net Unrealized Appreciation:  $6,165,300 

 

TOTAL RETURN SWAPS CONTRACTS (a)

 

 

   Notional      Termination     Unrealized 
Reference Entity  Amount   Interest Rate  Date  Counterparty  Depreciation 
Barclays Bank PLC Swap  $23,002,111   LIBOR + 1.20%  11/19/2017  Barclays Bank Plc.  $(880,208)

 

See accompanying notes to consolidated financial statements.

25

 

Altegris Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
December 31, 2016

 

   Altegris Futures Evolution   Altegris Macro   Altegris Managed Futures 
ASSETS  Strategy Fund   Strategy Fund   Strategy Fund 
Investment securities:               
At cost  $563,326,017   $25,619,180   $185,178,730 
At value  $564,188,287   $25,982,552   $191,344,030 
Cash   30,279,742    3,688,850    11,519,615 
Segregated cash at broker   4,555,882    546,823    6,402,044 
Receivable for securities sold   78,624,269    3,397,288    22,993,405 
Receivable for Fund shares sold   1,299,391    145,477    627,905 
Interest receivable   2,619,466    53    — 
Receivable due from Advisor   —    2,323    — 
Prepaid expenses and other assets   122,025    35,740    39,830 
TOTAL ASSETS   681,689,062    33,799,106    232,926,829 
                
LIABILITIES               
Unrealized depreciation on swap contracts   5,277,365    36,504    880,208 
Unrealized depreciation on futures contracts   —    28,302    — 
Payable for investments purchased   80,053,249    5,679,388    22,894,261 
Payable for Fund shares repurchased   4,462,091    61,967    550,265 
Investment advisory fees payable   797,414    —    230,972 
Distribution (12b-1) fees payable   72,954    5,327    34,577 
Payable to related parties   2,322    5,084    55,113 
Accrued expenses and other liabilities   29,107    40,634    76,453 
TOTAL LIABILITIES   90,694,502    5,857,206    24,721,849 
NET ASSETS  $590,994,560   $27,941,900   $208,204,980 
                
Composition of Net Assets:               
Paid in capital  $625,756,860   $29,815,409   $210,238,440 
Accumulated undistributed net investment loss   (1,325,195)   (65,685)   (1,606,096)
Accumulated net realized loss from investments, futures and swaps   (29,022,010)   (2,106,390)   (5,712,456)
Net unrealized appreciation/(depreciation) of investments, futures and swaps   (4,415,095)   298,566    5,285,092 
NET ASSETS  $590,994,560   $27,941,900   $208,204,980 

 

See accompanying notes to consolidated financial statements.

26

 

Altegris Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)(Continued)
December 31, 2016

 

   Altegris Futures Evolution   Altegris Macro   Altegris Managed Futures 
   Strategy Fund   Strategy Fund   Strategy Fund 
Net Asset Value Per Share:               
Class A Shares:               
Net Assets  $74,898,005   $1,875,874   $88,576,903 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   7,776,305    267,456    10,523,198 
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share (a)(b)  $9.63   $7.01   $8.42 
Maximum offering price per share               
(net asset value plus maximum sales charge of 5.75%) (c)  $10.22   $7.44   $8.93 
                
Class C Shares:               
Net Assets  $35,223,165   $818,138   $17,124,610 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   3,681,411    119,608    2,102,510 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)(d)  $9.57   $6.84   $8.14 
                
Class I Shares:               
Net Assets  $377,645,200   $4,314,834   $101,048,099 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   39,292,631    608,586    11,857,750 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)  $9.61   $7.09   $8.52 
                
Class N Shares:               
Net Assets  $103,228,190   $20,933,054   $— 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   10,724,144    2,993,332    — 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)  $9.63   $6.99   $— 
                
Class O Shares:               
Net Assets  $—   $—   $1,455,368 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   —    —    172,916 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)  $—   $—   $8.42 

 

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

 

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

 

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

 

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

 

See accompanying notes to consolidated financial statements.

27

 

Altegris Funds
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited)
December 31, 2016

 

   Altegris Futures Evolution   Altegris Macro   Altegris Managed Futures 
   Strategy Fund   Strategy Fund   Strategy Fund 
INVESTMENT INCOME               
Dividends  $15,302   $221,389   $— 
Interest (net of foreign withholding tax of $31,043, $0, and $0, respectively)   9,618,207    31,309    403,669 
TOTAL INVESTMENT INCOME   9,633,509    252,698    403,669 
                
EXPENSES               
Advisory fees   4,696,600    250,619    1,621,535 
Distribution (12b-1) fees:               
Class A   115,955    3,051    127,830 
Class C   183,883    5,895    97,044 
Class N   129,524    27,401    — 
Class O   —    —    2,002 
Administrative services fees   248,909    15,126    75,166 
Non 12b-1 shareholder servicing fees   163,636    8,909    41,569 
Transfer agent fees   95,413    22,045    25,407 
Registration fees   54,209    34,420    31,159 
Printing and postage expenses   48,040    15,001    18,135 
Custodian fees   28,574    26,698    25,440 
Audit fees   26,691    20,339    16,160 
Accounting services fees   26,570    8,673    15,183 
Compliance officer fees   15,008    12,796    13,067 
Legal fees   12,460    16,745    21,014 
Insurance expense   7,976    1,157    3,470 
Trustees fees and expenses   7,524    7,507    7,527 
Other expenses   4,865    1,608    2,207 
TOTAL EXPENSES   5,865,837    477,990    2,143,915 
Less: Fees waived by the Advisor   (143,621)   (159,762)   (134,785)
NET EXPENSES   5,722,216    318,228    2,009,130 
                
NET INVESTMENT INCOME/(LOSS)   3,911,293    (65,530)   (1,605,461)
                
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS               
Net realized gain/(loss) from:               
Futures contracts   —    425,927    — 
Investments   (5,499,497)   35,953    (1,655,988)
Swaps   (14,475,937)   165,052    (4,056,687)
Broker commissions   —    (1,420)   — 
Net Realized Gain/(Loss)   (19,975,434)   625,512    (5,712,675)
                
Net change in unrealized appreciation/(depreciation) on:               
Futures contracts   —    (17,822)   — 
Investments   (13,050,275)   (31,162)   (2,612,296)
Swaps   (6,868,090)   (78,668)   (1,192,713)
Net Change in Unrealized Appreciation/(Depreciation)   (19,918,365)   (127,652)   (3,805,009)
                
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS   (39,893,799)   497,860    (9,517,684)
                
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $(35,982,506)  $432,330   $(11,123,145)

 

See accompanying notes to consolidated financial statements.

28

 

Altegris Funds
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

 

   Altegris Futures Evolution Strategy Fund 
   For the Six Months Ended   For the Year Ended 
   December 31, 2016   June 30, 
   (Unaudited)   2016 
           
INCREASE IN NET ASSETS FROM OPERATIONS          
Net investment income  $3,911,293   $7,477,149 
Net realized gain/(loss) on investments and swaps   (19,975,434)   19,327,747 
Net change in unrealized appreciation/(depreciation) on investments and swaps   (19,918,365)   18,829,170 
Net increase/(decrease) in net assets resulting from operations   (35,982,506)   45,634,066 
           
DISTRIBUTIONS TO SHAREHOLDERS          
From net investment income:          
Class A   (4,778,513)   (5,274,615)
Class C   (2,041,158)   (1,544,385)
Class I   (23,916,677)   (24,202,344)
Class N   (6,345,847)   (5,946,055)
Total distributions to shareholders   (37,082,195)   (36,967,399)
           
SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class A   13,689,277    59,796,257 
Class C   8,413,253    14,799,959 
Class I   153,599,662    219,300,621 
Class N   39,445,341    59,718,250 
Net asset value of shares issued in reinvestment of distributions:          
Class A   4,567,721    4,970,420 
Class C   1,952,554    1,447,938 
Class I   20,650,755    21,507,217 
Class N   4,429,129    4,115,792 
Redemption fee proceeds:          
Class A   583    4,641 
Class C   195    1,504 
Class I   10,277    19,730 
Class N   2,277    4,905 
Payments for shares redeemed:          
Class A   (33,210,959)   (24,901,541)
Class C   (4,597,902)   (3,395,959)
Class I   (103,694,511)   (238,680,297)
Class N   (26,302,252)   (33,990,984)
Net increase from shares of beneficial interest transactions   78,955,400    84,718,453 
NET INCREASE IN NET ASSETS   5,890,699    93,385,120 
NET ASSETS          
Beginning of Period   585,103,861    491,718,741 
End of Period *  $590,994,560   $585,103,861 
*Includes accumulated net investment income (loss) of:  $(1,325,195)  $31,845,707 

 

See accompanying notes to consolidated financial statements.

29

 

Altegris Funds
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Altegris Futures Evolution Strategy Fund 
   For the Six Months Ended   For the Year Ended 
   December 31, 2016   June 30, 
   (Unaudited)   2016 
SHARE ACTIVITY          
Class A:          
Shares Sold   1,309,580    5,511,354 
Shares Reinvested   464,044    472,576 
Shares Redeemed   (3,230,745)   (2,325,189)
Net increase/(decrease) in shares of beneficial interest outstanding   (1,457,121)   3,658,741 
           
Class C:          
Shares Sold   796,161    1,383,201 
Shares Reinvested   200,637    138,747 
Shares Redeemed   (453,913)   (319,185)
Net increase in shares of beneficial interest outstanding   542,885    1,202,763 
           
Class I:          
Shares Sold   14,772,002    20,298,034 
Shares Reinvested   2,105,565    2,039,688 
Shares Redeemed   (10,230,832)   (21,901,054)
Net increase in shares of beneficial interest outstanding   6,646,735    436,668 
           
Class N:          
Shares Sold   3,812,797    5,515,950 
Shares Reinvested   451,636    391,709 
Shares Redeemed   (2,565,236)   (3,180,569)
Net increase in shares of beneficial interest outstanding   1,699,197    2,727,090 

 

See accompanying notes to consolidated financial statements.

30

 

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

 

   Altegris Macro Strategy Fund 
   For the Six Months Ended   For the Year Ended 
   December 31, 2016   June 30, 
   (Unaudited)   2016 
           
INCREASE IN NET ASSETS FROM OPERATIONS          
Net investment loss  $(65,530)  $(439,654)
Net realized gain/(loss) on investments and swaps   625,512    (482,237)
Net change in unrealized appreciation/(depreciation) on investments and swaps   (127,652)   1,136,801 
Net increase in net assets resulting from operations   432,330    214,910 
           
DISTRIBUTIONS TO SHAREHOLDERS          
From net investment income:          
Class A   (33,503)   (674,973)
Class C   (845)   (276,672)
Class I   (93,697)   (3,321,186)
Class N   (400,170)   (3,906,044)
Total distributions to shareholders   (528,215)   (8,178,875)
           
SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class A   49,389    741,067 
Class C   36,235    92,818 
Class I   1,823,558    15,232,005 
Class N   4,122,516    11,538,639 
Net asset value of shares issued in reinvestment of distributions:          
Class A   31,215    635,949 
Class C   790    246,589 
Class I   65,283    2,120,466 
Class N   72,861    1,272,864 
Redemption fee proceeds:          
Class A   —    44 
Class C   79    17 
Class I   633    472 
Class N   —    232 
Payments for shares redeemed:          
Class A   (1,158,358)   (2,704,584)
Class C   (710,507)   (752,897)
Class I   (8,436,590)   (39,017,543)
Class N   (5,288,661)   (14,402,846)
Net decrease from shares of beneficial interest transactions   (9,391,557)   (24,996,708)
           
NET DECREASE IN NET ASSETS   (9,487,442)   (32,960,673)
           
NET ASSETS          
Beginning of Period   37,429,342    70,390,015 
End of Period *  $27,941,900   $37,429,342 
*Includes accumulated net investment income/(loss) of:  $(65,685)  $528,060 

 

See accompanying notes to consolidated financial statements.

31

 

Altegris Funds
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Altegris Macro Strategy Fund 
   For the Six Months Ended   For the Year Ended 
   December 31, 2016   June 30, 
   (Unaudited)   2016 
SHARE ACTIVITY          
Class A:          
Shares Sold   7,050    91,953 
Shares Reinvested   4,428    91,900 
Shares Redeemed   (166,029)   (362,896)
Net decrease in shares of beneficial interest outstanding   (154,551)   (179,043)
           
Class C:          
Shares Sold   5,406    11,929 
Shares Reinvested   115    36,804 
Shares Redeemed   (106,559)   (99,793)
Net decrease in shares of beneficial interest outstanding   (101,038)   (51,060)
           
Class I:          
Shares Sold   257,374    2,077,476 
Shares Reinvested   9,169    302,492 
Shares Redeemed   (1,216,342)   (5,084,948)
Net decrease in shares of beneficial interest outstanding   (949,799)   (2,704,980)
           
Class N:          
Shares Sold   594,355    1,567,368 
Shares Reinvested   10,364    183,940 
Shares Redeemed   (758,043)   (1,927,928)
Net decrease in shares of beneficial interest outstanding   (153,324)   (176,620)

 

See accompanying notes to consolidated financial statements.

32

 

Altegris Funds
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

 

   Altegris Managed Futures Strategy Fund 
   For the Six Months Ended   For the Year Ended 
   December 31, 2016   June 30, 
   (Unaudited)   2016 
           
INCREASE IN NET ASSETS FROM OPERATIONS          
Net investment loss  $(1,605,461)  $(3,582,125)
Net realized gain/(loss) on investments and swaps   (5,712,675)   16,328,542 
Net change in unrealized appreciation/(depreciation) on investments and swaps   (3,805,009)   7,277,777 
Net increase/(decrease) in net assets resulting from operations   (11,123,145)   20,024,194 
           
DISTRIBUTIONS TO SHAREHOLDERS          
From net investment income:          
Class A   (6,828,773)   (8,236,602)
Class C   (1,145,475)   (1,506,367)
Class I   (5,844,672)   (7,774,248)
Class O   (104,482)   (178,332)
Total distributions to shareholders   (13,923,402)   (17,695,549)
           
SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class A   16,263,765    45,068,923 
Class C   1,680,862    4,822,140 
Class I   52,561,252    82,397,817 
Class O   375,472    699,694 
Net asset value of shares issued in reinvestment of distributions:          
Class A   2,891,362    3,972,767 
Class C   950,673    1,160,095 
Class I   3,631,334    4,859,651 
Class O   100,077    175,069 
Redemption fee proceeds:          
Class A   —    558 
Class C   509    104 
Class I   877    3,585 
Class O   1,117    11 
Payments for shares redeemed:          
Class A   (24,232,820)   (32,387,625)
Class C   (3,718,977)   (3,865,907)
Class I   (51,388,088)   (92,659,385)
Class O   (528,112)   (1,197,496)
Net increase/(decrease) from shares of beneficial interest transactions   (1,410,697)   13,050,001 
           
NET INCREASE/(DECREASE) IN NET ASSETS   (26,457,244)   15,378,646 
           
NET ASSETS          
Beginning of Period   234,662,224    219,283,578 
End of Period *  $208,204,980   $234,662,224 
*Includes accumulated net investment income/(loss) of:  $(1,606,096)  $13,922,767 

 

See accompanying notes to consolidated financial statements.

33

 

Altegris Funds
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Altegris Managed Futures Strategy Fund 
   For the Six Months Ended   For the Year Ended 
   December 31, 2016   June 30, 
   (Unaudited)   2016 
SHARE ACTIVITY          
Class A:          
Shares Sold   1,750,871    4,797,768 
Shares Reinvested   341,365    442,895 
Shares Redeemed   (2,643,259)   (3,454,210)
Net increase/(decrease) in shares of beneficial interest outstanding   (551,023)   1,786,453 
           
Class C:          
Shares Sold   189,222    528,470 
Shares Reinvested   115,936    133,344 
Shares Redeemed   (421,746)   (426,397)
Net increase/(decrease) in shares of beneficial interest outstanding   (116,588)   235,417 
           
Class I:          
Shares Sold   5,890,628    8,698,509 
Shares Reinvested   423,232    535,804 
Shares Redeemed   (5,468,000)   (9,727,437)
Net increase/(decrease) in shares of beneficial interest outstanding   845,860    (493,124)
           
Class O:          
Shares Sold   39,792    74,578 
Shares Reinvested   11,815    19,539 
Shares Redeemed   (56,356)   (127,777)
Net decrease in shares of beneficial interest outstanding   (4,749)   (33,660)

 

See accompanying notes to consolidated financial statements.

34

 

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Futures Evolution Strategy Fund Class A 
   Six Months Ended   Year Ended   Period Ended   Year Ended   Year Ended   Period Ended 
   December 31, 2016   June 30,   June 30,   September 30,   September 30,   September 30, 
   (Unaudited)   2016   2015*   2014   2013   2012 (1) 
                               
Net asset value, beginning of period  $10.84   $10.68   $10.73   $9.25   $9.85   $10.00 
Income/(loss) from investment operations:                              
Net investment income/(loss) (2)   0.06    0.15    0.11    0.10    (0.01)   (0.10)
Net realized and unrealized gain/(loss) on investments   (0.66)   0.82    1.06    1.53    (0.55)   — 
Total from investment operations   (0.60)   0.97    1.17    1.63    (0.56)   (0.10)
Less distributions from:                              
Net investment income   (0.61)   (0.81)   (1.22)   (0.15)   (0.02)   (0.05)
Net realized gains   —    —    —    —    (0.02)   — 
Total distributions   (0.61)   (0.81)   (1.22)   (0.15)   (0.04)   (0.05)
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $9.63   $10.84   $10.68   $10.73   $9.25   $9.85 
Total return (4)   (5.64)% (5)   9.63%   11.02% (5)   (17.79)%   (5.68)% (6)   (1.04)% (5,6)
Net assets, at end of period (000s)  $74,898   $100,131   $59,517   $30,795   $73,686   $64,613 
Ratios including the expenses and income of AFES Fund Limited:                              
Ratio of gross expenses to average net assets (7,9)   1.99% (8)   1.97%   1.98% (8)   2.08%   2.45%   3.88% (8)
Ratio of net expenses to average net assets (10)   1.94% (8)   1.94%   1.94% (8)   1.94%   2.38%   3.72% (8)
Ratio of net investment income to average net assets (11)   1.13% (8)   1.36%   1.27% (8)   1.04%   (0.08)%   (1.13)% (8)
Portfolio Turnover Rate   33% (5)   59%   68% (5)   97%   82%   99% (5)

 

 

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

 

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

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

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

 

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AFES Fund Limited (7)   1.99% (8)   1.97%   1.98% (8)   2.08%   2.29%   2.41% (8)
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited   1.94% (8)   1.94%   1.94% (8)   1.94%   2.23%   2.25% (8)
                                 
(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited   1.07% (8)   1.32%   1.26% (8)   1.04%   0.06%   0.36% (8)

 

See accompanying notes to consolidated financial statements.

35

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

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

 

   Altegris Futures Evolution Strategy Fund Class C 
   Six Months Ended   Year Ended   Period Ended   Year Ended   Year Ended   Period Ended 
   December 31, 2016   June 30,   June 30,   September 30,   September 30,   September 30, 
   (Unaudited)   2016   2015*   2014   2013   2012 (1) 
                               
Net asset value, beginning of period  $10.78   $10.57   $10.63   $9.18   $9.83   $10.13 
Income/(loss) from investment operations:                              
Net investment income/(loss) (2)   0.02    0.07    0.04    0.03    (0.08)   (0.12)
Net realized and unrealized gain/(loss) on investments   (0.66)   0.83    1.07    1.50    (0.55)   (0.18)
Total from investment operations   (0.64)   0.90    1.11    1.53    (0.63)   (0.30)
Less distributions from:                              
Net investment income   (0.57)   (0.69)   (1.17)   (0.08)   (0.00) (3)   (0.00) (3)
Net realized gains   —    —    —    —    (0.02)   — 
Total distributions   (0.57)   (0.69)   (1.17)   (0.08)   (0.02)   0.00 (3)
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $9.57   $10.78   $10.57   $10.63   $9.18   $9.83 
Total return (4)   (6.00)% (5)   8.93%   10.46% (5)   (16.82)%   (6.42)% (6)   (2.93)% (5,6)
Net assets, at end of period (000s)  $35,223   $33,831   $20,459   $7,274   $6,932   $2,630 
Ratios including the expenses and income of AFES Fund Limited:                              
Ratio of gross expenses to average net assets (7,9)   2.74% (8)   2.72%   2.73% (8)   2.83%   3.20%   4.63% (8)
Ratio of net expenses to average net assets (10)   2.69% (8)   2.69%   2.69% (8)   2.69%   3.13%   4.47% (8)
Ratio of net investment income to average net assets (11)   0.39% (8)   0.62%   0.52% (8)   (0.29)%   (0.83)%   (1.95)% (8)
Portfolio Turnover Rate   33% (5)   59%   68% (5)   97%   82%   99% (5)

 

 

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

 

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

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

(8)Annualized for periods less than one full year.
                           
(9) Ratio of gross expenses to average net assets excluding the expenses and income of AFES Fund Limited (7)   2.74% (8)   2.72%   2.73% (8)   2.83%   3.04%   3.16% (8)
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited   2.69% (8)   2.69%   2.69% (8)   2.69%   2.98%   3.00% (8)
                                 
(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited   0.33% (8)   0.58%   0.52% (8)   (0.29)%   (0.69)%   (0.48)% (8)

 

See accompanying notes to consolidated financial statements.

36

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Futures Evolution Strategy Fund Class I 
   Six Months Ended   Year Ended   Period Ended   Year Ended   Year Ended   Period Ended 
   December 31, 2016   June 30,   June 30,   September 30,   September 30,   September 30, 
   (Unaudited)   2016   2015*   2014   2013   2012 (1) 
                               
Net asset value, beginning of period  $10.82   $10.70   $10.75   $9.27   $9.86   $10.00 
Income/(loss) from investment operations:                              
Net investment income/(loss) (2)   0.07    0.17    0.13    0.13    0.02    (0.07)
Net realized and unrealized gain/(loss) on investments   (0.66)   0.83    1.06    1.53    (0.55)   (0.01)
Total from investment operations   (0.59)   1.00    1.19    1.66    (0.53)   (0.08)
Less distributions from:                              
Net investment income   (0.62)   (0.88)   (1.24)   (0.18)   (0.04)   (0.06)
Net realized gains   —    —    —    —    (0.02)   — 
Total distributions   (0.62)   (0.88)   (1.24)   (0.18)   (0.06)   (0.06)
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $9.61   $10.82   $10.70   $10.75   $9.27   $9.86 
Total return (4)   (5.52)% (5)   9.94%   11.20% (5)   (18.07)% (6)   (5.44)% (6)   (0.77)% (5,6)
Net assets, at end of period (000s)  $377,645   $353,331   $344,564   $201,388   $162,008   $94,992 
Ratios including the expenses and income of AFES Fund Limited:                              
Ratio of gross expenses to average net assets (7,9)   1.74% (8)   1.72%   1.74% (8)   1.83%   2.20%   3.63% (8)
Ratio of net expenses to average net assets (10)   1.69% (8)   1.69%   1.69% (8)   1.69%   2.13%   3.47% (8)
Ratio of net investment income to average net assets (11)   1.39% (8)   1.57%   1.51% (8)   1.29%   (0.17)%   (0.79)% (8)
Portfolio Turnover Rate   33% (5)   59%   68% (5)   97%   82%   99% (5)

 

 

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

 

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

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

(8)Annualized for periods less than one full year.
                           
(9) Ratio of gross expenses to average net assets excluding the expenses and income of AFES Fund Limited (7)   1.74% (8)   1.72%   1.74% (8)   1.83%   2.04%   2.16% (8)
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited   1.69% (8)   1.69%   1.69% (8)   1.69%   1.98%   2.00% (8)
                                 
(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited   1.33% (8)   1.53%   1.50% (8)   1.29%   0.31%   0.68% (8)

 

See accompanying notes to consolidated financial statements.

37

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

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

 

   Altegris Futures Evolution Strategy Fund Class N 
   Six Months Ended   Year Ended   Period Ended   Year Ended   Year Ended   Period Ended 
   December 31, 2016   June 30,   June 30,   September 30,   September 30,   September 30, 
   (Unaudited)   2016   2015*   2014   2013   2012 (1) 
                               
Net asset value, beginning of period  $10.84   $10.67   $10.72   $9.25   $9.84   $10.00 
Income/(loss) from investment operations:                              
Net investment income/(loss) (2)   0.06    0.14    0.11    0.10    (0.01)   (0.11)
Net realized and unrealized gain/(loss) on investments   (0.66)   0.83    1.06    1.52    (0.54)   — 
Total from investment operations   (0.60)   0.97    1.17    1.62    (0.55)   (0.11)
Less distributions from:                              
Net investment income   (0.61)   (0.80)   (1.22)   (0.15)   (0.02)   (0.05)
Net realized gains   —    —    —    —    (0.02)   — 
Total distributions   (0.61)   (0.80)   (1.22)   (0.15)   (0.04)   (0.05)
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $9.63   $10.84   $10.67   $10.72   $9.25   $9.84 
Total return (4)   (5.63)% (5)   9.71%   11.04% (5)   (17.69)%   (5.58)% (6)   (1.15)% (5,6)
Net assets, at end of period (000s)  $103,228   $97,811   $67,179   $43,434   $56,717   $89,002 
Ratios including the expenses and income of AFES Fund Limited:                              
Ratio of gross expenses to average net assets (7,9)   1.99% (8)   1.97%   1.99% (8)   2.08%   2.45%   3.88% (8)
Ratio of net expenses to average net assets (10)   1.94% (8)   1.94%   1.94% (8)   1.94%   2.38%   3.72% (8)
Ratio of net investment income to average net assets (11)   1.14% (8)   1.33%   1.27% (8)   (1.04)%   (0.08)%   (1.22)% (8)
Portfolio Turnover Rate   33% (5)   59%   68% (5)   97%   82%   99% (5)

 

 

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

 

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

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

(8)Annualized for periods less than one full year.
                           
(9) Ratio of gross expenses to average net assets excluding the expenses and income of AFES Fund Limited (7)   1.99% (8)   1.97%   1.99% (8)   2.08%   2.29%   2.41% (8)
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited   1.94% (8)   1.94%   1.94% (8)   1.94%   2.23%   2.25% (8)
                                 
(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited   1.08% (8)   1.29%   1.26% (8)   1.04%   0.06%   0.25% (8)

 

See accompanying notes to consolidated financial statements.

38

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

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

 

   Altegris Macro Strategy Fund Class A 
   Six Months Ended   Year Ended   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2016   June 30,   June 30,   March 31,   March 31,   March 31,   March 31, 
   (Unaudited)   2016   2015*   2015   2014   2013   2012 (1) 
                                    
Net asset value, beginning of period  $6.98   $8.29   $8.91   $7.97   $8.70   $9.55   $10.00 
Income/(loss) from investment operations:                                   
Net investment loss (2)   (0.02)   (0.07)   (0.03)   (0.15)   (0.16)   (0.25)   (0.36)
Net realized and unrealized gain/(loss) on investments   0.17    0.01    (0.59)   1.09    (0.57)   (0.60)   (0.09)
Total from investment operations   0.15    (0.06)   (0.62)   0.94    (0.73)   (0.85)   (0.45)
Less distributions from:                                   
Net investment income   (0.12)   (1.25)   —    —    —    —    — 
Total distributions   (0.12)   (1.25)   —    —    —    —    — 
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $7.01   $6.98   $8.29   $8.91   $7.97   $8.70   $9.55 
Total return (4)   2.10% (5)   (0.59)%   (6.96)% (5)   (11.79)%   (8.39)%   (8.90)% (6)   (4.50)% (5,6)
Net assets, at end of period (000s)  $1,876   $2,947   $4,980   $5,050   $9,695   $44,037   $62,656 
Ratios including the expenses and income of AGMS Fund Limited:                                   
Ratio of gross expenses to average net assets (7,10)   2.90% (8,9)   2.44% (9)   2.43% (8,9)   2.17% (9)   2.08% (9)   2.92% (9)   4.75% (8)
Ratio of net expenses to average net assets (11)   1.94% (8,9)   1.94% (9)   1.94% (8,9)   1.94% (9)   1.95% (9)   2.82% (9)   4.54% (8)
Ratio of net investment loss to average net assets (12)   (0.48)% (8,9)   (0.89)% (9)   (1.26)% (8,9)   (1.85)% (9)   (1.89) (9)   (2.68)% (9)   (4.43)% (8)
Portfolio Turnover Rate   289% (5)   747%   100% (5)   349%   178%   79%   0% (5)

 

 

*For the period April 1, 2015 through June 30, 2015.

 

(1)Class A commenced operations on June 1, 2011.

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

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

 

(9)The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.
                               
(10) Ratio of gross expenses to average net assets excluding the expenses and income of AGMS Fund Limited (7)   2.90% (8,9)   2.44% (9)   2.43% (8,9)   2.17% (9)   2.08% (9)   2.04% (9)   2.16% (8)
                                      
(11) Ratio of net expenses to average net assets excluding the expenses and income of AGMS Fund Limited   1.94% (8,9)   1.94% (9)   1.94% (8,9)   1.94% (9)   1.95% (9)   1.95% (9)   1.95% (8)
                                      
(12) Ratio of net investment loss to average net assets excluding the expenses and income of AGMS Fund Limited   (0.53)% (8,9)   (0.91)% (9)   (1.27)% (8,9)   (1.85)% (9)   (1.89)% (9)   (1.83)% (9)   (1.84)% (8)

 

See accompanying notes to consolidated financial statements.

39

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Macro Strategy Fund Class C 
   Six Months Ended   Year Ended   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2016   June 30,   June 30,   March 31,   March 31,   March 31,   March 31, 
   (Unaudited)   2016   2015*   2015   2014   2013   2012 (1) 
Net asset value, beginning of period  $6.73   $8.07   $8.69   $7.83   $8.61   $9.53   $9.95 
Income/(loss) from investment operations:                                   
Net investment loss (2)   (0.04)   (0.12)   (0.04)   (0.21)   (0.22)   (0.31)   (0.22)
Net realized and unrealized gain/(loss) on investments   0.16    0.01    (0.58)   1.07    (0.56)   (0.61)   (0.20)
Total from investment operations   0.12    (0.11)   (0.62)   0.86    (0.78)   (0.92)   (0.42)
Less distributions from:                                   
Net investment income   (0.01)   (1.23)   —    —    —    —    — 
Total distributions   (0.01)   (1.23)   —    —    —    —    — 
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $6.84   $6.73   $8.07   $8.69   $7.83   $8.61   $9.53 
Total return (4)   1.74% (5)   (1.28)%   (7.13)% (5)   10.98%   (9.06)%   (9.65)% (6)   (4.22)% (5,6)
Net assets, at end of period (000s)  $818   $1,485   $2,192   $2,398   $2,902   $5,009   $2,735 
Ratios including the expenses and income of AGMS Fund Limited:                                   
Ratio of gross expenses to average net assets (6,9)   3.64% (7,8)   3.19% (8)   3.18% (7,8)   2.92% (8)   2.83% (8)   3.67% (8)   5.50% (7)
Ratio of net expenses to average net assets (10)   2.69% (7,8)   2.69% (8)   2.69% (7,8)   2.69% (8)   2.70% (8)   3.57% (8)   5.29% (7)
Ratio of net investment loss to average net assets (11)   (1.23)% (7,8)   (1.64)% (8)   (2.02)% (7,8)   (2.60)% (8)   (2.64)% (8)   (3.43)% (8)   (5.17)% (7)
Portfolio Turnover Rate   289% (5)   747%   100% (5)   349%   178%   79%   0% (5)

 

 
*For the period April 1, 2015 through June 30, 2015.

 

(1)Class C Shares commenced operations on October 20, 2011.

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

(8)The ratios of expenses to average net assets and net investment loss to average net assets do not reflect the expenses of the underlying investment companies in which the Fund invests.
                               
(9) Ratio of gross expenses to average net assets excluding the expenses and income of AGMS Fund Limited (6)   3.64% (7,8)   3.19% (8)   3.18% (7,8)   2.92% (8)   2.83% (8)   2.79% (8)   2.91% (7)
                                      
(10) Ratio of net expenses to average net assets excluding the expenses and income of AGMS Fund Limited   2.69% (7,8)   2.69% (8)   2.69% (7,8)   2.69% (8)   2.70% (8)   2.70% (8)   2.70% (7)
                                      
(11) Ratio of net investment income to average net assets excluding the expenses and income of AGMS Fund Limited   (1.28)% (7,8)   (1.66)% (8)   (2.03)% (7,8)   (2.60)% (8)   (2.64)% (8)   (2.58)% (8)   (2.59)% (7)

 

See accompanying notes to consolidated financial statements.

40

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Macro Strategy Fund - Class I 
   Six Months Ended   Year Ended   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2016   June 30,   June 30,   March 31,   March 31,   March 31,   March 31, 
   (Unaudited)   2016   2015*   2015   2014   2013   2012 (1) 
                             
Net asset value, beginning of period  $7.08   $8.37   $9.00   $8.03   $8.74   $9.57   $10.00 
Income/(loss) from investment operations:                                   
Net investment loss (2)   (0.00) (3)   (0.05)   (0.02)   (0.13)   (0.14)   (0.23)   (0.34)
Net realized and unrealized gain/(loss) on investments   0.16    0.02    (0.61)   1.10    (0.57)   (0.60)   (0.09)
Total from investment operations   0.16    (0.03)   (0.63)   0.97    (0.71)   (0.83)   (0.43)
Less distributions from:                                   
Net investment income   (0.15)   (1.26)   —    —    —    —    — 
Total distributions   (0.15)   (1.26)   —    —    —    —    — 
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $7.09   $7.08   $8.37   $9.00   $8.03   $8.74   $9.57 
Total return (4)   2.17% (5)   (0.25)%   7.00% (5)   (12.08)%   (8.12)%   (8.67)%   (4.30)% (5,6)
Net assets, at end of period (000s)  $4,315   $11,037   $35,696   $50,963   $96,003   $168,971   $167,290 
Ratios including the expenses and income of AGMS Fund Limited:                                   
Ratio of gross expenses to average net assets (7,10)   2.61% (8,9)   2.17% (9)   2.15% (8,9)   1.92% (9)   1.83% (9)   2.67% (9)   4.50% (8)
Ratio of net expenses to average net assets (11)   1.69% (8,9)   1.69% (9)   1.69% (8,9)   1.69% (9)   1.70% (9)   2.57% (9)   4.29% (8)
Ratio of net investment loss to average net assets (12)   (0.13) (8,9)   (0.69) (9)   (1.01)% (8,9)   (1.60)% (9)   (1.64)% (9)   (2.43)% (9)   (4.19)% (8)
Portfolio Turnover Rate   289% (5)   747%   100% (5)   349%   178%   79%   0% (5)

 

 
*For the period April 1, 2015 to June 30, 2015

 

(1)Class I shares commenced operations on June 1, 2011.

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

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

 

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

 

(10) Ratio of gross expenses to average net assets excluding the expenses and income of AGMS Fund Limited: (7)   2.61% (8,9)   2.17% (9)   2.15% (8,9)   1.92% (9)   1.83% (9)   1.79% (9)   1.91% (8)
                                      
(11) Ratio of net expenses to average net assets excluding the expenses and income of AGMS Fund Limited:   1.69% (8,9)   1.69% (9)   1.69% (8,9)   1.69% (9)   1.70% (9)   1.70% (9)   1.70% (8)
                                      
(12) Ratio of net investment loss to average net assets excluding the expenses and income of AGMS Fund Limited:   (0.18)% (8,9)   (0.71)% (9)   (1.02)% (8,9)   (1.60)% (9)   (1.64)% (9)   (1.58)% (9)   (1.60)% (8)

 

See accompanying notes to consolidated financial statements.

41

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Macro Strategy Fund - Class N (1) 
   Six Months Ended   Year Ended   Period Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2016   June 30,   June 30,   March 31,   March 31,   March 31,   March 31, 
   (Unaudited)   2016   2015*   2015   2014   2013   2012 (1) 
                             
Net asset value, beginning of period  $6.98   $8.28   $8.91   $7.97   $8.69   $9.55   $10.00 
Income/(loss) from investment operations:                                   
Net investment loss (2)   (0.02)   (0.07)   (0.03)   (0.15)   (0.16)   (0.25)   (0.36)
Net realized and unrealized gain/(loss) on investments   0.16    0.02    (0.60)   1.09    (0.56)   (0.61)   (0.09)
Total from investment operations   0.14    (0.05)   (0.63)   0.94    (0.72)   (0.86)   (0.45)
Less distributions from:                                   
Net investment income   (0.13)   (1.25)   —    —    —    —    — 
Total distributions   (0.13)   (1.25)   —    —    —    —    — 
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $6.99   $6.98   $8.28   $8.91   $7.97   $8.69   $9.55 
Total return (4)   2.04% (5)   (0.46)%   7.07% (5)   (11.79)%   (8.29)%   (9.01)%   (4.50)% (5)
Net assets, at end of period (000s)  $20,933   $21,961   $27,523   $26,672   $41,454   $116,830   $97,095 
Ratios including the expenses and income of AGMS Fund Limited:                                   
Ratio of gross expenses to average net assets (6,9)   2.91% (7,8)   2.45% (7)   2.42% (7,8)   2.17% (7)   2.08% (7)   2.92% (7)   4.75% (8)
Ratio of net expenses to average net assets (10)   1.94% (7,8)   1.94% (7)   1.94% (7,8)   1.94% (7)   1.95% (7)   2.82% (7)   4.54% (8)
Ratio of net investment loss to average net assets (11)   (0.43)% (7,8)   (0.88)% (7)   (1.27)% (7,8)   (1.85)% (7)   (1.89)% (7)   (2.68)% (7)   (4.44)% (8)
Portfolio Turnover Rate   289% (5)   747%   100% (5)   349%   178%   79%   0% (5)

 

 
*For the period April 1, 2015 to June 30, 2015

 

(1)Class N shares commenced operations on June 1, 2011.

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

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

 

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AGMS Fund Limited: (6)   2.91% (7,8)   2.45% (7)   2.42% (7,8)   2.17% (7)   2.08% (7)   2.04% (7)   2.16% (8)
                                      
(10) Ratio of net expenses to average net assets excluding the expenses and income of AGMS Fund Limited:   1.94% (7,8)   1.94% (7)   1.94% (7,8)   1.94% (7)   1.95% (7)   1.95% (7)   1.95% (8)
                                      
(11) Ratio of net investment loss to average net assets excluding the expenses and income of AGMS Fund Limited:   (0.48)% (7,8)   (0.90)% (7)   (1.27)% (7,8)   (1.85)% (7)   (1.89)% (7)   (1.83)% (7)   (1.86)% (8)

 

See accompanying notes to consolidated financial statements.

42

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Managed Futures Strategy Fund - Class A 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2016   June 30,   June 30,   June 30,   June 30,   June 30, 
   (Unaudited)   2016   2015   2014   2013   2012 
                         
Net asset value, beginning of period  $9.56   $9.51   $8.91   $8.98   $9.63   $9.61 
Income/(loss) from investment operations:                              
Net investment loss (1)   (0.07)   (0.16)   (0.17)   (0.16)   (0.22)   (0.43)
Net realized and unrealized gain/(loss) on investments   (0.42)   1.05    0.77    0.09    (0.43)   0.45 
Total from investment operations   (0.49)   0.89    0.60    (0.07)   (0.65)   0.02 
Less distributions from:                              
Net investment income   (0.65)   (0.84)   —    —    —    — 
Total distributions   (0.65)   (0.84)   —    —    —    — 
Redemption fees collected (2)   0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $8.42   $9.56   $9.51   $8.91   $8.98   $9.63 
Total return (3)   (5.13)% (6)   9.91%   (6.73)%   (0.78)%   6.75%   0.21% (4)
Net assets, at end of period (000s)  $88,577   $105,874   $88,326   $116,598   $275,579   $514,983 
Ratios including the expenses and income of AMFS Fund Limited:                              
Ratio of gross expenses to average net assets (5,9)   2.03% (7,8)   1.98% (7)   1.99% (7)   2.01% (7)   2.48% (7)   4.54%
Ratio of net expenses to average net assets (10)   1.90% (7,8)   1.90% (7)   1.90% (7)   1.90% (7)   2.42% (7)   4.55%
Ratio of net investment loss to average net assets (11)   (1.53)% (7,8)   (1.68)% (7)   (1.79)% (7)   (1.79)% (7)   (2.30)% (7)   (4.42)%
Portfolio Turnover Rate   109% (6)   231%   179%   346%   277%   0%

 

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

 

(2)Represents less than $0.01 per share.

 

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

 

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

 

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

 

(6)Not annualized.

 

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

 

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

 

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)   2.03% (7,8)   1.98% (7)   1.99% (7)   2.01% (7)   1.96% (7)   1.94%
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited:   1.90% (7,8)   1.90% (7)   1.90% (7)   (1.90)% (7)   1.90% (7)   1.95%
                                 
(11) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited:   (1.58)% (7,8)   (1.71)% (7)   (1.79)% (7)   (1.80)% (7)   (1.79)% (7)   (1.83)%

 

See accompanying notes to consolidated financial statements.

43

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Managed Futures Strategy Fund - Class C 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2016   June 30,   June 30,   June 30,   June 30,   June 30, 
   (Unaudited)   2016   2015   2014   2013   2012 
                         
Net asset value, beginning of period  $9.23   $9.21   $8.70   $8.83   $9.54   $9.59 
Income/(loss) from investment operations:                              
Net investment loss (1)   (0.10)   (0.22)   (0.23)   (0.22)   (0.29)   (0.50)
Net realized and unrealized gain/(loss) on investments   (0.41)   1.10    0.74    0.09    (0.42)   0.45 
Total from investment operations   (0.51)   0.88    0.51    (0.13)   (0.71)   (0.05)
Less distributions from:                              
Net investment income   (0.58)   (0.86)   —    —    —    — 
Total distributions   (0.58)   (0.86)   —    —    —    — 
Redemption fees collected (2)   0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $8.14   $9.23   $9.21   $8.70   $8.83   $9.54 
Total return (3)   (5.46)% (6)   9.08%   5.86%   (1.47)%   (7.44)% (4)   0.52%
Net assets, at end of period (000s)  $17,125   $20,483   $18,268   $18,457   $24,838   $24,692 
Ratios including the expenses and income of AMFS Fund Limited:                              
Ratio of gross expenses to average net assets (5,9)   2.78% (7,8)   2.73% (7)   2.74% (7)   2.76% (7)   3.23% (7)   5.29%
Ratio of net expenses to average net assets (10)   2.65% (7,8)   2.65% (7)   2.65% (7)   2.65% (7)   3.17% (7)   5.30%
Ratio of net investment loss to average net assets (11)   (2.28)% (7,8)   (2.43)% (7)   (2.54)% (7)   (2.54)% (7)   (3.05)% (7)   (5.17)%
Portfolio Turnover Rate   109% (6)   231%   179%   346%   277%   0%

 

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

 

(2)Represents less than $0.01 per share.

 

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

 

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

 

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

 

(6)Not annualized.

 

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

 

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

 

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)   2.78% (7,8)   2.73% (7)   2.74% (7)   2.76% (7)   2.71% (7)   2.69%
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited:   2.65% (7,8)   2.65% (7)   2.65% (7)   2.65% (7)   2.65% (7)   2.70%
                                 
(11) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited:   (2.33)% (7,8)   (2.47)% (7)   (2.54)% (7)   (2.55)% (7)   (2.54)% (7)   (2.58)%

 

See accompanying notes to consolidated financial statements.

44

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Managed Futures Strategy Fund - Class I 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2016   June 30,   June 30,   June 30,   June 30,   June 30, 
   (Unaudited)   2016   2015   2014   2013   2012 
                         
Net asset value, beginning of period  $9.68   $9.62   $8.99   $9.04   $9.67   $9.63 
Income (loss) from investment operations:                              
Net investment loss (1)   (0.06)   (0.14)   (0.15)   (0.14)   (0.20)   (0.41)
Net realized and unrealized gain/(loss) on investments   (0.42)   0.97    0.78    0.09    (0.43)   0.45 
Total from investment operations   (0.48)   0.83    0.63    (0.05)   (0.63)   0.04 
Less distributions from:                              
Net investment income   (0.68)   (0.77)   —    —    —    — 
Total distributions   (0.68)   (0.77)   —    —    —    — 
Redemption fees collected (2)   0.00    0.00    0.00    0.00    0.00    0.00 
Net asset value, end of period  $8.52   $9.68   $9.62   $8.99   $9.04   $9.67 
Total return (3)   (5.05)% (5)   10.19%   7.01%   (0.55)%   6.51%   0.42%
Net assets, at end of period (000s)  $101,048   $106,609   $110,681   $149,407   $530,964   $498,214 
Ratios including the expenses and income of AMFS Fund Limited:                              
Ratio of gross expenses to average net assets (4,8)   1.77% (6,7)   1.73% (6)   1.74% (6)   1.76% (6)   2.23% (6)   4.29%
Ratio of net expenses to average net assets (9)   1.65% (6,7)   1.65% (6)   1.65% (6)   1.65% (6)   2.17% (6)   4.30%
Ratio of net investment loss to average net assets (10)   (1.28)% (6,7)   (1.43)% (6)   (1.54)% (6)   (1.54)% (6)   (2.05)% (6)   (4.17)%
Portfolio Turnover Rate   109% (5)   231%   179%   346%   277%   0%

 

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

 

(2)Represents less than $0.01 per share.

 

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

 

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

 

(5)Not annualized.

 

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

 

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

 

(8) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (4)   1.77% (6,7)   1.73% (6)   1.74% (6)   1.76% (6)   1.71% (6)   1.69%
                                 
(9) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited:   1.65% (6,7)   1.65% (6)   1.65% (6)   1.65% (6)   1.65% (6)   1.70%
                                 
(10) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited:   (1.33)% (6,7)   (1.46)% (6)   (1.54)% (6)   (1.55)% (6)   (1.54)% (6)   (1.58)%

 

See accompanying notes to consolidated financial statements.

45

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris Managed Futures Strategy Fund - Class O 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Period Ended 
   December 31, 2016   June 30,   June 30,   June 30,   June 30, 
   (Unaudited)   2016   2015   2014   2013 (1) 
                     
Net asset value, beginning of period  $9.55   $9.51   $8.91   $8.98   $9.52 
Income/(loss) from investment operations:                         
Net investment loss (2)   (0.07)   (0.16)   (0.17)   (0.16)   (0.07)
Net realized and unrealized gain/(loss) on investments   (0.42)   1.05    0.77    0.09    (0.47)
Total from investment operations   (0.49)   0.89    0.60    (0.07)   (0.54)
Less distributions from:                         
Net investment income   (0.65)   (0.85)   —    —    — 
Total distributions   (0.65)   (0.85)   —    —    — 
Redemption fees collected   0.01    0.00 (3)   0.00 (3)   0.00 (3)   — 
Net asset value, end of period  $8.42   $9.55   $9.51   $8.91   $8.98 
Total return (4)   (5.11)% (5)   9.91%   (6.73)%   (0.78)%   (5.67)% (5)
Net assets, at end of period (000s)  $1,455   $1,696   $2,009   $893   $349 
Ratios including the expenses and income of AMFS Fund Limited:                         
Ratio of gross expenses to average net assets (6,7,9)   2.02% (8)   1.97%   1.97%   2.01%   2.48% (8)
Ratio of net expenses to average net assets (7,10)   1.90% (8)   1.90%   1.90%   1.90%   2.42% (8)
Ratio of net investment loss to average net assets (7,11)   (1.53)% (8)   (1.68)%   (1.80)%   (1.79)%   (2.30)% (8)
Portfolio Turnover Rate   109% (5)   231%   179%   346%   277% (5)

 

 
(1)Class O shares commenced operations on March 13, 2013.

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

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

 

(9) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (6,7)   2.02% (8)   1.97%   1.97%   2.01%   1.95% (8)
                            
(10) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (7)   1.90% (8)   1.90%   1.90%   1.90%   1.90% (8)
                            
(11) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited: (7)   (1.58)% (8)   (1.72)%   (1.80)%   (1.80)%   (1.79)% (8)

 

See accompanying notes to consolidated financial statements.

46

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)

December 31, 2016

 

1.ORGANIZATION AND CONSOLIDATION OF SUBSIDIARY

 

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

 

  Commencement Diversification Investment Objective
  Date Status  
Altegris Futures Evolution Strategy Fund October 31, 2011 Diversified Long term capital appreciation
Altegris Macro Strategy Fund June 1, 2011 Non-Diversified Absolute returns
Altegris Managed Futures Strategy Fund August 26, 2010 Diversified Positive absolute returns in rising and falling equity markets

 

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

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

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

47

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

Security Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the primary exchange on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. Options and futures shall be valued at the close price (typically at 4:00 P.M. Eastern Time) on the valuation date. Forward foreign exchange contracts are valued by reference to the forward foreign exchange rate corresponding to the remaining life of the contract. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations with remaining maturities in excess of sixty days are valued at current market prices by an independent pricing service approved by the Board. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in swap contracts are reported at fair value based on daily price reporting from the swap counterparty.

 

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

 

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

 

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

48

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

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

 

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

 

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

 

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

 

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

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2016 for each Fund’s assets and liabilities measured at fair value:

 

FUTURES EVOLUTION STRATEGY FUND

 

Assets *  Level 1   Level 2   Level 3   Total 
Unaffiliated Trading Companies  $—   $16,332,903   $—   $16,332,903 
Structured Note   —    31,746,760    —    31,746,760 
Bonds and Notes   —    433,835,329    —    433,835,329 
Short-Term Investments   —    82,273,295    —    82,273,295 
Total    $—   $564,188,287   $—   $564,188,287 
Liabilities *                    
Swap Contract  $—   $5,277,365   $—   $5,277,365 
Derivative Total     —    5,277,365    —    5,277,365 
Total    $—   $558,910,922   $—   $558,910,922 

 

MACRO STRATEGY FUND

 

Assets  Level 1   Level 2   Level 3   Total 
Investments *                    
Exchange Traded Funds  $12,716,487   $—   $—   $12,716,487 
Unaffiliated Trading Companies   —    660,297    —    660,297 
Structured Note   —    1,782,785    —    1,782,785 
Certificates of Deposit   —    805,000    —    805,000 
Commercial Paper   —    2,198,609    —    2,198,609 
Discount Agency Notes   —    4,226,411    —    4,226,411 
U.S. Treasury Bills   —    3,592,963    —    3,592,963 
Total Assets:    $12,716,487   $13,266,065   $—   $25,982,552 
                     
Liabilities - Derivatives                    
Futures  $28,302   $—   $—   $28,302 
Swaps   —    36,504    —    36,504 
Derivative Total     28,302    36,504    —    64,806 
Total:    $12,688,185   $13,229,561   $—   $25,917,746 

49

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

MANAGED FUTURES STRATEGY FUND

 

Assets *  Level 1   Level 2   Level 3   Total 
Investments                    
Unaffiliated Trading Companies  $—   $7,499,434   $—   $7,499,434 
Structured Notes   —    12,178,374    —    12,178,374 
Certificates of Deposit   —    18,570,000    —    18,570,000 
Commercial Paper   —    44,534,432    —    44,534,432 
Discount Agency Notes   —    91,076,226    —    91,076,226 
U.S. Treasury Bills   —    17,485,564    —    17,485,564 
Total Assets:    $—   $191,344,030   $—   $191,344,030 
Liabilities *  Level 1   Level 2   Level 3   Total 
Derivatives                    
Swaps  $—   $880,208   $—   $880,208 
Total Liabilities:    $—   $880,208   $—   $880,208 
Total Net Assets:    $—   $190,463,822   $—   $190,463,822 

 

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

 

There were no transfers between levels during the current period presented. It is the Funds’ policy to recognize transfers between levels at the end of the reporting period.

 

The Funds did not hold any Level 3 securities as of December 31, 2016.

 

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

 

The CFCs invest in the global derivatives markets through the use of unaffiliated trading companies. The unaffiliated trading companies are incorporated as exempted companies under the Companies Law of the Cayman Islands on September 8, 2011. The unaffiliated trading companies use one or more “managed futures” programs in one or more private investment vehicles or commodity pools advised by one or more commodity trading advisors (“CTAs”) either registered or exempt for registration with the U.S. Commodity Futures Trading Commission. Managed Futures programs attempt to earn profits in a variety of markets by employing long and short trading algorithms applied to futures, options, forward contracts, and other derivative instruments. The investments in the unaffiliated trading companies are as follows:

 

CFC Unaffiliated Trading Company
AFES Futures Evolution Limited (“FEL”)
AGMS Global Macro Strategy Limited (“GMSL”)
AMFS Alternative Strategies Limited (“ASL”)

 

Altegris Advisors, L.L.C. (the “Advisor”) fair values AFES, AGMS, and AMFS investments daily based on the CTAs’ position information on a next-trading day basis. The Advisor applies current day pricing to the CTAs’ positions calculating an estimated profit and loss which is then used to determine a daily fair value NAV for each CTA. The Advisor receives a daily CTA estimated profit and loss figure from each CTA which is compared to the Advisors estimated profit and loss. If the difference of these estimates exceeds the Advisor’s threshold, additional procedures are conducted by the Advisor which may include, but are not limited to, reviewing current prices and speaking with the CTA. The Advisor then makes a final determination on the fair value NAV for each CTA, using either the Advisor’s estimate or the CTA’s estimate. The Advisors fair value NAV is back reviewed daily and reviewed by the Fund’s fair valuation committee on a regular basis. For financial reporting purposes, at December 31, 2016, the NAV is calculated using the current market values of the Fund’s total consolidated assets as of the close of the regular trading session of the exchange or the close price, normally at 4 P.M. Eastern Time on each day the NYSE is open for business.

50

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

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

 

  Inception Date of AFES Net Assets at % of Fund Net Assets at
  AFES December 31, 2016 December 31, 2016
AFES 10/31/2011 $ 129,634,134 21.9%
       
  Inception Date of AGMS Net Assets at % of Fund Net Assets at
  AGMS December 31, 2016 December 31, 2016
AGMS 4/13/2011 $ 6,187,939 22.1%
       
  Inception Date of AMFS Net Assets at % of Fund Net Assets at
  AMFS December 31, 2016 December 31, 2016
AMFS 09/11/10 $ 42,788,648 20.6%

 

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

 

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

 

Foreign Currency Translations – All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities and income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.

 

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

 

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

51

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

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

 

Each Fund recognizes tax benefits only for tax positions where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed each Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions expected to be taken on returns filed for all open tax years (2013-2015) or expected to be taken in each Fund’s 2016 tax return. Each Fund identifies its major tax jurisdictions as U.S. Federal and foreign jurisdictions where the Fund makes significant investments; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

 

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

 

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

 

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

 

Swap Agreements – The Funds are subject to equity price risk and/or interest rate risk in the normal course of pursuing their respective investment objectives. The Funds may hold fixed-rate bonds, the value of which may decrease if interest rates rise and equities subject to equity price risk. The Funds may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency) or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular, pre-determined investments or instruments.

 

The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Consolidated Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Swap agreements are subject to the risk that the counterparty to the swap will default on its obligation to pay a Fund and the risk that the Fund will not be able to meet its obligations to pay the counterparty to the swap. Swap agreements may also involve fees, commissions or other costs that may reduce a Fund’s gains from a swap agreement or may cause the Funds to lose money. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Consolidated Statement of Operations. The Funds segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Consolidated Statement of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.

52

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

Futures Contracts – The Funds are each subject to equity price risk in the normal course of pursuing their investment objectives. Each Fund may sell futures contracts to hedge against market risk and to reduce return volatility. A futures contract provides for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a stock index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are incurred when a futures contract is bought or sold and initial and variation margin deposits must be maintained. Entering into a contract to buy is commonly referred to as buying or purchasing a contract or holding a long position. Entering into a contract to sell is commonly referred to as selling a contract or holding a short position. The Funds may also buy or sell hedge instruments based on one or more market indices in an attempt to maintain a Funds volatility at a targeted level. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Fund’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, a Fund recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Fund’s basis in the contract. If a Fund were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Fund would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Fund segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. These amounts are disclosed on the Statements of Assets and Liabilities as Deposits with Brokers. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

Structured Notes – Structured notes are marked to market daily based upon market quotations and fair value estimates of the value of the reference asset, and in accordance with the Funds’ valuation policies. This valuation is a function of the valuation of the referenced assets, adjusted for any accruals and financing charges. The change in note value, if any, is recorded as unrealized gain or loss. Payments received or made upon note redemption or maturity are typically based on independent valuations of the reference asset(s) and are recorded as realized gain or loss. Purchasing such structured notes involves, to varying degrees, elements of credit, market, and documentation risk. Such risks involve the possibility that there will be no independent valuation of the reference asset(s), that the issuer may default on its obligation to perform (possibly leading to a loss of principal) or disagree as to the meaning of contractual terms in the note documents, and that the return of the reference asset less the floating and/or fixed rate may be below expectations.

 

3.INVESTMENT TRANSACTIONS AND ASSOCIATED RISKS

 

For the six months ended December 31, 2016, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and U.S. Government securities, amounted to the following:

 

   Purchases   Sales 
Futures Evolution  $233,093,475   $161,555,652 
Macro Strategy   44,305,913    36,798,007 
Managed Futures   27,091,726    23,448,605 

 

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

53

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

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

 

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

 

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

 

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

 

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

 

The following is a summary of the location of derivative investments on each Fund’s Consolidated Statement of Assets and Liabilities as of December 31, 2016:

 

Location on the Statement of Assets and Liabilities
Derivative Investment Type Asset Derivatives
Total Return Swaps Unrealized depreciation on swap contracts
   
Derivative Investment Type Liability Derivatives
Futures Contracts Unrealized depreciation on futures contracts

 

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of December 31, 2016:

 

   Futures Evolution       Managed Futures 
   Strategy Fund   Macro Strategy Fund   Strategy Fund 
Total Return Swaps  $(5,277,365)  $(36,504)  $(880,208)
Futures Contracts   —    (28,302)   — 
   $(5,277,365)  $(64,806)  $(880,208)

54

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

The following is a summary of the location of derivative investments on each Fund’s Consolidated Statement of Operations for the six months ended December 31, 2016:

 

Derivative Investment Type Location of Gain (Loss) on Derivative
Swaps Net realized gain (loss) on swaps
  Net change unrealized appreciation (depreciation) on swaps
Futures Contracts Net realized gain (loss) from future contracts
  Net change unrealized appreciation (depreciation) on future contracts

 

The effect of Derivative Instruments on the Consolidated Statement of Operations for the six months ended December 31, 2016:

 

FUTURES EVOLUTION

 

          Change in 
          Unrealized 
Contract Type/  Location of Loss On  Realized Loss   Depreciation 
Primary Risk Exposure  Derivatives  Derivatives   on Derivatives 
Equity Risk  Net realized loss on swap contract  $(14,475,937)     
Equity Risk  Net change in unrealized depreciation on swap contract       $(6,868,090)
Total     $(14,475,937)  $(6,868,090)

 

MACRO STRATEGY

 

          Change in 
      Realized   Unrealized 
Contract Type/  Location of Gain or (Loss) On  Gain/(Loss)   Appreciation 
Primary Risk Exposure  Derivatives  Derivatives   on Derivatives 
Equity Risk  Net realized gain on swap contract  $165,052      
Equity Risk  Net change in unrealized appreciation (depreciation) on swap       $(78,688)
              
Commodity Risk  Net realized loss on future contract  $21,637      
Equity Risk  Net realized loss on future contract  $491,254      
Interest Rate Risk  Net realized gain on future contract  $(86,964)     
Commodity Risk  Net change in unrealized appreciation (depreciation) on future contracts       $10,887 
Equity Risk  Net change in unrealized appreciation (depreciation) on future contracts       $(41,167)
Interest Rate Risk  Net change in unrealized appreciation (depreciation) on future contracts       $12,458 
Total     $590,979   $(96,510)

 

MANAGED FUTURES

 

          Change in 
          Unrealized 
Contract Type/  Location of Loss On  Realized Loss   Depreciation 
Primary Risk Exposure  Derivatives  Derivatives   on Derivatives 
Equity Risk  Net realized loss on swap contract  $(4,056,687)     
Equity Risk  Net change in unrealized depreciation on swap contract       $(1,192,713)
Total     $(4,056,687)  $(1,192,713)

55

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

The notional value of the derivative instruments outstanding as of December 31, 2016 as disclosed in the Consolidated Portfolios of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Consolidated Statements of Operations serve as indicators of the volume of derivative activity for a Fund.

 

Offsetting of Financial Assets and Derivative Assets

 

The Funds’ policy is to recognize a net asset or liability equal to the unrealized appreciation or depreciation on swap contracts. During the six months ended December 31, 2016, the Funds were not subject to any master netting arrangements.

 

4.INVESTMENT ADVISORY AGREEMENT, TRANSACTIONS WITH RELATED PARTIES AND OTHER FEES

 

Altegris Advisors, L.L.C., serves as the Funds’ investment advisor. The Advisor delegates managements of the Futures Evolution Strategy Fund’s Fixed Income strategy portfolio to DoubleLine Capital, L.P. who serves as the Fund’s sub-advisor. The Advisor delegates management of the Macro Strategy Fund’s portfolio to J.P. Morgan Investment Management, Inc., and Phase Capital LP, who each serve as a sub-advisor to the Fund. The Advisor delegates management of the Managed Futures Strategy Fund’s Fixed Income strategy portfolio to J.P. Morgan Investment Management, Inc., who serves as the sub-advisor.

 

Pursuant to an advisory agreement with the Trust, on behalf of the Funds, the Advisor, under the oversight of the Board, directs the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Funds pay the Advisor a fee computed and accrued daily and paid monthly, based on each Fund’s average daily net assets computed at the following annual rates: 1.50% on the first $1 billion, 1.40% on net assets greater than $1 billion and less than or equal to $1.5 billion, 1.30% on net assets greater than $1.5 billion and less than or equal to $2 billion, 1.20% on net assets greater than $2 billion and less than or equal to $2.5 billion, 1.10% on net assets greater than $2.5 billion and less than or equal to $3 billion and 1.00% on net assets greater than $3 billion. Pursuant to a sub-advisory agreement between the Advisor and each Sub-Advisor, the Sub-Advisors are entitled to receive, on a monthly basis, an annual sub-advisory fee on the fixed income portion of each Fund’s average daily net assets. The Sub-Advisors are paid by the Advisor not by the Funds. During the six months ended December 31, 2016, the Advisor earned the following in advisory fees:

 

ADVISORY FEES 
Futures Evolution  $4,696,600 
Macro Strategy   250,619 
Managed Futures   1,621,535 

 

Pursuant to a written agreement (the “Waiver Agreement”) the Advisor has contractually agreed to reduce its fees and to reimburse expenses, at least until October 31, 2016, to ensure that total annual Fund operating expenses (exclusive of any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; fees and expenses associated with investments in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); borrowing costs (such as interest and dividend expense on securities sold short); taxes; expenses incurred in connection with any merger or reorganization; and extraordinary expenses such as litigation expenses) will not exceed the amounts below (the “Expense Limitation”). The Board may terminate this expense reimbursement arrangement at any time upon 60 days’ notice to the Advisor.

 

   Class A   Class C   Class I   Class N 
Futures Evolution Strategy Fund   1.94%   2.69%   1.69%   1.94%
Macro Strategy Fund   1.94%   2.69%   1.69%   1.94%
                     
   Class A   Class C   Class I   Class O 
Managed Futures Strategy Fund   1.90%   2.65%   1.65%   1.90%

56

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

During the six months ended December 31, 2016, the Advisor waived the following amounts:

 

WAIVED FEES 
Futures Evolution  $143,621 
Macro Strategy   159,762 
Managed Futures   134,785 

 

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

 

FUTURES EVOLUTION  MACRO STRATEGY  MANAGED FUTURES
Sep-17  $386,313   Mar-17  $314,040   Jun-17   571,492 
Jun-18   158,179   Mar-18   260,180   Jun-18   230,827 
Jun-19   143,860   Jun-18   92,164   Jun-19   174,316 
   $688,352   Jun-19   264,337      $976,635 
           $930,721         

 

On March 31, 2016, $349,782 of previously waived fees expired without recoupment by the Advisor for the Macro Strategy Fund. On June 30, 2016, $622,637 of previously waived fees expired without recoupment by the Advisor for the Managed Futures Strategy Fund. On September 30, 2016, $197,198 of previously waived fees expired without recoupment by the Advisor for the Futures Evolution Strategy Fund.

 

The Trust, on behalf of the Funds, has adopted the Trust’s Master Distribution and Shareholder Servicing Plans for Class A, Class C, Class N, and Class O shares (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that a monthly service and/or distribution fee is calculated by the Funds at an annual rate of 0.25%, 1.00%, 0.25%, and 0.25% of the average daily net assets attributable to Class A, Class C, Class N, and Class O shares, respectively. These fees are paid to Northern Lights Distributors, LLC (the “Distributor”) to provide compensation for ongoing distribution-related activities and/or maintenance of the Funds’ shareholder accounts, not otherwise required to be provided by the Advisor. During the six months ended December 31, 2016, pursuant to the Plans, the Funds incurred the following:

 

   12b-1 Fees 
   Futures Evolution   Macro Strategy   Managed Futures 
Class A  $115,955   $3,051   $127,830 
Class C   183,883    5,895    97,044 
Class N   129,524    27,401    N/A 
Class O   N/A    N/A    2,002 

 

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ Class A, Class C, Class I, Class N and Class O shares. During the six months ended December 31, 2016, the Distributor received underwriting commissions for sales of Class A and Class C shares, respectively. The amounts of underwriting commissions received from the Funds and retained by the Distributor are as follows:

 

   Received   Retained 
   Class A   Class C   Class A   Class C 
Futures Evolution  $94,324   $85,244   $15,186   $1,900 
Macro Strategy   —    431    —    69 
Managed Futures  $18,217   $10,140   $2,532   $630 

57

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

The administration of FEL, GMSL and ASL is performed by Maples Fund Services (Cayman) Limited (the “Administrator”). Pursuant to the terms of the Administration Agreement with FEL, the Administrator receives a recurring fee accrued on a twice a week basis as a percentage of the net asset value of FEL, GMSL and ASL prior to subscriptions issued, and before any management fees accrued.

 

The Funds are part of a series of Altegris Mutual Funds (“Family”) comprised of the Funds, Altegris Equity Long Short Fund, Altegris Fixed Income Long Short Fund, Altegris Multi-Strategy Alternative Fund and Altegris AACA Real Estate Long Short Fund. The Family shares the minimum annual fees based on a percentage of the average net assets of each fund.

 

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

 

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

 

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

 

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

 

5.REDEMPTION FEES

 

The Funds may assess a short-term redemption fee of 1.00% of the total redemption amount if a shareholder sells their shares after holding them for less than 30 days. The redemption fee is paid directly to the respective Fund in which the short-term redemption fee occurs. For the six months ended December 31, 2016, redemption fees for the Funds were as follows:

 

   Futures Evolution   Macro Strategy   Managed Futures 
Class A  $583   $—   $— 
Class C   195    79    509 
Class I   10,277    633    877 
Class N   2,277    —    N/A 
Class O   N/A    N/A    1,117 

58

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

6.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

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

 

   For the period ended June 30, 2016   For the period ended June 30, 2015 
   Ordinary   Long-Term   Return of       Ordinary   Long-Term   Return of     
Fund  Income   Capital Gains   Capital   Total   Income   Capital Gains   Capital   Total 
Futures Evolution Fund  $36,967,399   $—   $—   $36,967,399   $38,795,776   $—   $—   $38,795,776 
Macro Strategy Fund   8,178,875    —    —    8,178,875    —    —    —    — 
Managed Futures Strategy Fund   17,695,549    —    —    17,695,549    —    —    —    — 

 

As of June 30, 2016, the components of accumulated earnings/(deficit) on a tax basis was as follows:

 

   Undistributed   Undistributed   Capital Loss   Other   Post October Loss   Unrealized   Total 
   Ordinary   Long-Term   Carry   Book/Tax   and   Appreciation/   Accumulated 
Fund  Income   Capital Gains   Forwards   Differences   Late Year Loss   (Depreciation)   Earnings/(Deficits) 
Futures Evolution Fund  $31,872,919   $—   $(7,720,617)  $(27,212)  $(1,271,905)  $15,449,216   $38,302,401 
Macro Strategy Fund   528,060    —    (2,486,457)   (1,154)   (247,941)   429,868    (1,777,624)
Managed Futures Strategy Fund   13,922,986    —    —    —    —    9,090,101    23,013,087 

 

The difference between book basis and tax basis unrealized appreciation (depreciation), accumulated net realized gain (loss) from investments, and accumulated net investment income (loss) is primarily attributable to the tax deferral of losses on wash sales, the mark to market treatment of open futures contracts, and tax adjustments for bonds.

 

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 
Fund  Losses 
Futures Evolution Fund  $1,271,905 
Macro Strategy Fund   247,941 
Managed Futures Strategy Fund   — 

 

At June 30, 2016, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

Fund  Short-Term   Long-Term   Total   Expiration
Futures Evolution Fund  $5,564,974   $2,155,643   $7,720,617   Non-expiring
Macro Strategy Fund   1,372,695    1,113,762    2,486,457   Non-expiring
Managed Futures Strategy Fund   —    —    —    

 

Permanent book and tax differences, primarily attributable to adjustments related to the reclassification of Fund distributions, the Funds’ holdings in controlled foreign corporations (CFCs) and the book/tax basis treatment of paydowns and partnerships, resulted in reclassification for the year ended June 30, 2016 as follows:

 

   Paid   Undistributed   Undistributed 
   In   Ordinary   Net Realized 
Fund  Capital   Income (Loss)   Gains (Loss) 
Futures Evolution Fund  $(10,101,747)  $32,175,993   $(22,074,246)
Macro Strategy Fund   204,287    1,193,452    (1,397,739)
Managed Futures Strategy Fund   (1,177,370)   17,506,223    (16,328,853)

59

 

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)

December 31, 2016

 

7.NEW ACCOUNTING PRONOUNCEMENT

 

On October 13, 2016 the Securities and Exchange Commission amended existing rules intended to modernize reporting and disclosure of information. These amendments relate to Regulation S-X which sets forth the form and content of financial statements. At this time, management is evaluating the implications of adopting these amendments and their impact on the financial statements and accompanying notes.

 

8.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Consolidated Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has concluded that there is no impact requiring adjustment or disclosure in the consolidated financial statements.

60

 

Altegris Funds

EXPENSE EXAMPLES (Unaudited)

December 31, 2016

 

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

 

The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period beginning July 1, 2016 and ending December 31, 2016.

 

Actual Expenses

 

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

 

Hypothetical Example for Comparison Purposes

 

Table 2 below provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

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

 

 Altegris Futures Evolution Strategy Fund
         
  Annualized Beginning Ending Account Expenses Paid During
Actual Expense Account Value Value Period *
Expenses Ratio 7/1/2016 12/31/2016 7/1/16 – 12/31/16
Class A 1.94% $1,000.00 $943.60 $9.50
Class C 2.69% $1,000.00 $940.00 $13.15
Class I 1.69% $1,000.00 $944.80 $8.28
Class N 1.94% $1,000.00 $943.70 $9.50
         
Hypothetical Annualized Beginning Ending Account Expenses Paid During
(5% return before Expense Account Value Value Period *
expenses) Ratio 7/1/2016 12/31/2016 7/1/16 – 12/31/16
Class A 1.94% $1,000.00 $1,015.43 $9.86
Class C 2.69% $1,000.00 $1,011.64 $13.64
Class I 1.69% $1,000.00 $1,016.69 $8.59
Class N 1.94% $1,000.00 $1,015.43 $9.86

61

 

Altegris Funds

EXPENSE EXAMPLES (Unaudited)(Continued)

December 31, 2016

 

 Altegris Macro Strategy Fund
         
  Annualized Beginning Ending Account Expenses Paid During
Actual Expense Account Value Value Period *
Expenses Ratio 7/1/2016 12/31/2016 7/1/16 – 12/31/16
Class A 1.94% $1,000.00 $1,021.00 $9.88
Class C 2.69% $1,000.00 $1,017.40 $13.68
Class I 1.69% $1,000.00 $1,021.70 $8.61
Class N 1.94% $1,000.00 $1,020.40 $9.88
         
Hypothetical Annualized Beginning Ending Account Expenses Paid During
(5% return before Expense Account Value Value Period *
expenses) Ratio 7/1/2016 12/31/2016 7/1/16 – 12/31/16
Class A 1.94% $1,000.00 $1,015.43 $9.86
Class C 2.69% $1,000.00 $1,011.64 $13.64
Class I 1.69% $1,000.00 $1,016.69 $8.59
Class N 1.94% $1,000.00 $1,015.43 $9.86

 

 Altegris Managed Futures Strategy Fund
         
  Annualized Beginning Ending Account Expenses Paid During
Actual Expense Account Value Value Period *
Expenses Ratio 7/1/2016 12/31/2016 7/1/16 – 12/31/16
Class A 1.90% $1,000.00 $948.70 $9.33
Class C 2.65% $1,000.00 $945.40 $12.99
Class I 1.65% $1,000.00 $949.50 $8.11
Class O 1.90% $1,000.00 $948.90 $9.33
         
Hypothetical Annualized Beginning Ending Account Expenses Paid During
(5% return before Expense Account Value Value Period *
expenses) Ratio 7/1/2016 12/31/2016 7/1/16 – 12/31/16
Class A 1.90% $1,000.00 $1,015.63 $9.65
Class C 2.65% $1,000.00 $1,011.85 $13.44
Class I 1.65% $1,000.00 $1,016.89 $8.39
Class O 1.90% $1,000.00 $1,015.63 $9.65

 

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

62

 

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

63

 

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.

64

 

PROXY VOTING POLICY

 

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

 

PORTFOLIO HOLDINGS

 

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

 

 

 

 

 

 

 

INVESTMENT ADVISOR
Altegris Advisors, L.L.C.
1200 Prospect Street, Suite 400
La Jolla, CA 92037
 
Sub-Advisors to Altegris Futures Evolution Strategy Fund
Doubleline Capital LP
333 South Grand Ave. Suite 1800
Los Angeles, CA 90071
 
Sub-Advisor to Altegris Macro Strategy Fund
PhaseCapital LP
200 Clarendon Street, 25th Floor
Boston, MA 02116
 
Sub-Advisor to Altegris Macro Strategy and Altegris Managed Futures Strategy Fund
J.P. Morgan Investment Management, Inc.
270 Park Avenue
New York, NY 10017
 
ADMINISTRATOR
Gemini Fund Services, LLC
80 Arkay Drive, Suite 110
Hauppauge, New York 11788

 

 

Item 2. Code of Ethics. Not applicable.

 

Item 3. Audit Committee Financial Expert. Not applicable.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

Item 11. Controls and Procedures.

 

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

 

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

 

Item 12. 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/ Andrew B. Rogers

Andrew B. Rogers, President

 

Date 3/9/2017

 

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/ Andrew B. Rogers

Andrew B. Rogers, President

 

Date 3/9/2017

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Treasurer

 

Date 3/9/2017