N-CSRS 1 altegrisncsrs.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)

 

Rich Malinowski, Gemini Fund Services, LLC.

80 Arkay Drive, Suite 110 Hauppauge, NY 11788

(Name and address of agent for service)

 

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

 

Date of fiscal year end: 6/30

 

Date of reporting period: 12/31/17

 

Item 1. Reports to Stockholders.

 

(COVER PAGE)

 

 

Altegris Futures Evolution Strategy Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2017

 

The Fund’s performance figures* for the period ended December 31, 2017, 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 4.42% (7.36)% 5.30% 4.92% N/A 3.87%
Altegris Futures Evolution Strategy Fund - Class A with load ** (1.62)% (12.68)% 3.26% 3.69% N/A 2.79%
Altegris Futures Evolution Strategy Fund - Class C 4.16% (8.02)% 4.57% 4.18% 3.04% N/A
Altegris Futures Evolution Strategy Fund - Class I 4.60% (7.05)% 5.60% 5.23% N/A 4.15%
Altegris Futures Evolution Strategy Fund - Class N 4.52% (7.35)% 5.34% 4.95% N/A 3.87%
Bank of America Merrill Lynch 3-Month Treasury Bill Index *** 0.15% 0.49% 0.23% 0.17% 0.17% 0.16%
S&P 500 Total Return Index ^ 0.15% 17.90% 9.61% 14.63% 13.80% 14.79%
SG Trend Index + (13.23)% (13.23)% 2.16% 1.14% 0.61% 1.11%

 

*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 1.99%, 2.74%, 1.74%, and 1.99% for Class A, Class C, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 13, 2017. Class A shares are subject to a sales charge imposed on purchase of 5.75% and Class A and Class C Shares are subject to a maximum deferred sales charge of 1.00%. For performance information current to the most recent month-end, please call 1-877-772-5838.

 

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

 

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

 

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

 

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

 

Holdings by Type of Investment as of December 31, 2017  % of Net Assets 
Bonds & Notes     
Asset Backed Securities   14.2%
Whole Loan Collateral   10.9%
Mortgage Backed Securities   7.1%
U.S. Treasuries   6.8%
U.S. Government Agency   4.9%
Banks   3.2%
Foreign Government   1.8%
Oil&Gas   1.7%
Other   11.3%
Purchased Options   23.8%
Other, Cash & Cash Equivalents   14.3%
    100.0%

 

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

1

 

Altegris GSA Trend Strategy Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2017

 

The Fund’s performance figures* for the period ended December 31, 2017, compared to its benchmark:

 

    Since Inception
  Six Months March 17, 2017
Altegris GSA Trend Strategy Fund - Class A 8.51% (3.09)%
Altegris GSA Trend Strategy Fund - Class A with load ** 2.32% (8.65)%
Altegris GSA Trend Strategy Fund - Class I 8.85% (2.79)%
Altegris GSA Trend Strategy Fund - Class N 8.51% (3.09)%
SG Trend Index + 8.32% 2.03%

 

*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 2.44%, 2.19%, and 2.44% for Class A, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 13, 2017. 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%.

 

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

 

Holdings by Type of Investment as of December 31, 2017  % of Net Assets 
U.S. Treasury Bill   54.5%
Other, Assets Less Liabilities   45.5%
    100.0%

 

Please refer to the Consolidated Portfolio of Investments and the Shareholder Letter 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, 2017

 

The Fund’s performance figures* for the period ended December 31, 2017, compared to its benchmark:

 

      Annualized
          Since Inception Since Inception Since Inception
  Six Months *** One Year Three Year Five Year 8/26/2010 2/1/2011 3/13/2013
Altegris Managed Futures Strategy Fund - Class A 5.20% 0.95% 1.26% 1.31% 0.06% N/A N/A
Altegris Managed Futures Strategy Fund - Class A with load ** (0.82)% (4.82)% (0.72)% 0.12% (0.74)% N/A N/A
Altegris Managed Futures Strategy Fund - Class C 4.75% 0.12% 0.49% 0.55% N/A (1.46)% N/A
Altegris Managed Futures Strategy Fund - Class I 5.37% 1.29% 1.54% 1.57% 0.31% N/A N/A
Altegris Managed Futures Strategy Fund - Class O 5.20% 0.95% 1.27% N/A N/A N/A 1.05%
Bank of America Merill Lynch 3 Month T- Bill Index *** 0.15% 0.49% 0.23% 0.17% 0.15% 0.16% 0.18%
MSCI World Index **** 10.61% 22.40% 9.26% 11.64% 11.79% 9.09% 0.28%
SG CTA Index + 6.15% 2.48% (0.14)% 3.01% 1.69% 1.09% 14.30%

 

*The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Per the fee table in the Fund’s October 13, 2017 prospectus, the total annual operating expense are 2.04%, 2.79%, 1.79%, and 2.04% 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 as of December 31, 2017  % of Net Assets 
Discount Agency Notes   17.9%
Commercial Paper   10.1%
Certificates of Deposit   4.9%
Exchange Traded Funds - Equity Funds   3.7%
Exchange Traded Funds - Debt Funds   3.6%
Exchange Traded Funds - Commodity Funds   0.3%
Exchange Traded Notes - Debt Funds   0.1%
Other Assets Less Liabilities   59.4%
    100.0%

 

Please refer to the Consolidated Portfolio of Investments and the Shareholder Letter 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, 2017

 

Shares            Value 
     COMMON STOCK - 0.1%           
 5,202   Energy XXI Gulf Coast, Inc.        $29,859 
 5,277   Frontera Energy Corp.         166,245 
 8,216   SandRidge Energy, Inc.         173,111 
     TOTAL COMMON STOCK (Cost - $1,485,149)         369,215 
                 
     WARRANT - 0.0 *           
 150   Energy XXI Gulf Coast, Inc. (Cost - $3,341)         5 
                 
Principal Amount               
($)      Yield  Maturity     
     BONDS & NOTES - 61.8%           
     ADVERTISING - 0.0% *           
$280,000   Omnicom Group, Inc.  3.6000  4/15/2026   283,270 
                 
     AEROSPACE / DEFENSE - 0.3%           
 88,000   Boeing Co.  6.8750  3/15/2039   129,418 
 250,000   Lockheed Martin Corp.  4.7000  5/15/2046   291,678 
 790,000   Northrop Grumman Corp.  2.0800  10/15/2020   783,561 
 80,000   Transdigm, Inc.  6.3750  6/15/2026   80,800 
 275,000   United Technologies Corp.  1.5000  11/1/2019   271,766 
 200,000   United Technologies Corp.  1.9000  5/4/2020   198,029 
               1,755,252 
     AGRICULTURE - 0.1%           
 25,000   BAT Capital Corp. 3 Month LIBOR + 0.88 (b,c)  2.1950  8/15/2022   25,299 
 470,000   BAT Capital Corp. (b)  2.2970  8/14/2020   467,415 
 165,000   Reynolds American, Inc.  3.2500  6/12/2020   167,656 
 120,000   Reynolds American, Inc.  4.0000  6/12/2022   125,380 
               785,750 
     AIRLINES - 0.1%           
 320,000   Delta Airlines, Inc.  3.6250  3/15/2022   325,529 
 508,253   Guanay Finance Limited  6.0000  12/15/2020   522,001 
               847,530 
     AUTO MANUFACTURERS - 0.3%           
 90,000   American Honda Finance Corp.  1.9500  7/20/2020   89,292 
 395,000   Daimler Finance North America LLC (b)  2.2500  3/2/2020   393,488 
 380,000   Daimler Finance North America LLC (b)  2.3000  2/12/2021   376,778 
 240,000   Ford Motor Co.  7.4500  7/16/2031   313,731 
 50,000   General Motors Co. 3 Month LIBOR + 0.80 (c)  2.1919  8/7/2020   50,299 
 350,000   General Motors Financial Co., Inc.  2.6500  4/13/2020   350,074 
 215,000   General Motors Financial Co., Inc.  3.9500  4/13/2024   221,340 
               1,795,002 
     AUTO PARTS & EQUIPMENT - 0.0% *           
 65,000   Dana Financing Luxembourg Sarl (b)  5.7500  4/15/2025   68,494 
 85,000   Delphi Technologies PLC (b)  5.0000  10/1/2025   86,063 
               154,557 
     AUTOMOBILE ABS - 0.9%           
 1,000,000   Flagship Credit Auto Trust 2016-4 (b)  2.4100  10/15/2021   996,481 
 1,000,000   OneMain Direct Auto Receivables Trust 2016-1 (b)  2.7600  5/15/2021   1,002,617 
 700,000   Westlake Automobile Receivables Trust 2016-2 (b)  2.3000  11/15/2019   699,971 
 1,000,000   Westlake Automobile Receivables Trust 2016-2 (b)  2.4600  1/18/2022   994,795 
 2,000,000   Westlake Automobile Receivables Trust 2016-2 (b)  2.7000  10/17/2022   2,000,128 
               5,693,992 
     BANKS - 3.2%           
 200,713   Agromercantil Senior Trust (b)  6.2500  4/10/2019   205,358 
 404,989   Agromercantil Senior Trust  6.2500  4/10/2019   410,716 
 403,670   Banco de Costa Rica  5.2500  8/12/2018   400,500 
 200,459   Banco de Credito del Peru/Panama  2.2500  10/25/2019   200,000 
 54,077   Banco de Credito del Peru/Panama  5.3750  9/16/2020   53,250 
 1,083,480   Banco del Estado de Chile  3.8750  2/8/2022   1,093,944 
 325,594   Banco Internatcional del Peru SAA/Panama  5.7500  10/7/2020   322,500 
 202,256   Banco Nacional de Costa Rica  4.8750  11/1/2018   200,992 
 312,740   Banco Santander Chile  3.8750  9/20/2022   311,788 
 1,224,161   Banco Santander Mexico SA 5 Year Treasury Note + 4.58 (c)  5.9500  1/30/2024   1,248,000 
 106,623   Bancolombia SA  6.1250  7/26/2020   106,750 
 120,021   Bank of Montreal 5 Year Swap Rate + 1.43 (c)  3.8030  12/15/2032   118,636 
 699,643   Bank of Nova Scotia  2.1500  7/14/2020   696,536 
 300,000   BDO Unibank, Inc.  2.6250  10/24/2021   300,000 
 846,014   BDO Unibank, Inc.  2.9500  3/6/2023   833,392 
 774,142   Capital One Financial Corp.  2.4000  10/30/2020   770,243 
 205,346   Citigroup, Inc.  2.0500  12/7/2018   204,786 
 559,119   Citigroup, Inc. 3 Month LIBOR + 0.96 (c)  2.3274  4/25/2022   560,754 
 285,356   Citigroup, Inc. 3 Month LIBOR + 1.10 (c)  2.5219  5/17/2024   289,384 
 355,514   Commonwealth Bank of Australia (b)  2.2500  3/10/2020   353,907 

 

See accompanying notes to consolidated financial statements.

4

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount              
($)      Yield  Maturity  Value 
     BANKS - 3.2% (Continued)           
$806,684   Corp. Financiera de Desarrollo SA  3.2500  7/15/2019  $806,000 
 300,000   DBS Group Holdings Ltd. 3 Month LIBOR + 0.62 (b,c)  1.9344  7/25/2022   301,607 
 301,451   DBS Group Holdings Ltd. 3 Month LIBOR + 0.62 (c)  1.9874  7/25/2022   301,607 
 393,992   DBS Group Holdings Ltd. 5 Year Swap + 2.39 (c)  3.6000  12/29/2049   398,213 
 293,086   Global Bank Corp.  4.5000  10/20/2021   305,610 
 199,725   Global Bank Corp. (b)  5.1250  10/30/2019   206,740 
 780,680   Goldman Sachs Group, Inc.  2.3000  12/13/2019   779,500 
 719,640   Itau CorpBanca  3.8750  9/22/2019   713,726 
 766,791   JPMorgan Chase & Co.  2.2500  1/23/2020   764,488 
 618,412   Malayan Banking Bhd 5 Year Swap 2.54 (c)  3.9050  10/29/2026   612,638 
 762,669   Morgan Stanley 3 Month LIBOR + 0.93 (c)  2.2925  7/22/2022   766,104 
 149,723   Morgan Stanley  2.7500  5/19/2022   149,449 
 155,000   Morgan Stanley 3 Month LIBOR + 1.34 (c)  3.5910  7/22/2028   156,427 
 347,964   MUFG Americas Holdings Corp.  1.6250  2/9/2018   347,931 
 10,070   MUFG Americas Holdings Corp.  2.2500  2/10/2020   9,946 
 1,114,281   Oversea-Chinese Banking, Corp, Ltd. 5 Year Swap + 2.20 (c)  4.0000  10/15/2024   1,119,242 
 690,901   PNC Financial Services Group, Inc.  4.3750  8/11/2020   688,254 
 49,684   Royal Bank of Canada  1.5000  7/29/2019   49,428 
 226,730   Royal Bank of Scotland Group PLC 3 Month LIBOR + 1.48 (c)  3.4980  5/15/2023   225,491 
 319,455   Santander Holdings USA, Inc. (b)  3.4000  1/18/2023   318,753 
 716,419   Sumitomo Mitsui Financial Group, Inc.  2.0580  7/14/2021   710,510 
 105,294   Sumitomo Mitsui Financial Group, Inc.  2.9340  3/9/2021   105,994 
 395,415   United Overseas Bank Ltd. 5 Year Swap + 1.65(c)  2.8800  3/8/2027   391,882 
 805,543   United Overseas Bank Ltd. 5 Year Swap + 2.00 (c)  3.7500  9/19/2024   809,444 
 370,032   Wells Fargo & Co.  1.5000  1/16/2018   369,960 
 394,332   Wells Fargo & Co.  2.1500  1/30/2020   394,134 
 619,094   Westpac Banking Corp.  1.6000  8/19/2019   613,559 
 165,093   Westpac Banking Corp.  1.9500  11/23/2018   164,800 
               21,262,873 
     BEVERAGES - 0.1%           
 125,000   Anheuser-Bush InBev Finance, Inc.  4.9000  2/1/2046   144,874 
 185,000   Molson Coors Brewing Co.  1.4500  7/15/2019   182,689 
               327,563 
     BIOTECHNOLOGY - 0.2%           
 475,000   Amgen, Inc.  2.2000  5/11/2020   472,374 
 655,000   Celgene Corp.  2.8750  8/15/2020   661,105 
               1,133,479 
     CHEMICALS - 0.3%           
 85,000   Ashland LLC  4.7500  8/15/2022   88,400 
 600,000   Grupo Idesa SA de CV  7.8750  12/18/2020   564,000 
 85,000   Hexion, Inc. (b)  10.3750  2/1/2022   79,103 
 295,000   Mosaic Co. (The)  4.0500  11/15/2027   295,773 
 40,000   Platform Specialty Products Corp. (b)  5.8750  2/1/2025   39,700 
 640,000   Sherwin-Williams Co. (The)  2.2500  5/15/2020   637,857 
 200,000   UPL Corp. Ltd.  3.2500  10/13/2021   199,264 
               1,904,097 
     COAL - 0.0% *           
 70,000   Peabody Energy Corp. (b)  6.0000  3/31/2022   72,625 
                 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 22.9%           
     U.S. GOVERNMENT AGENCY - 4.9%           
 343,302   Fannie Mae REMICS 2005-2 S 1 Month LIBOR + 6.60 (c,d)  6.4031  2/25/2035   57,935 
 2,168,368   Fannie Mae REMICS 2005-104 NI 1 Month LIBOR + 6.70 (c,d)  6.5031  3/25/2035   133,859 
 635,157   Fannie Mae REMICS 2006-99 AS 1 Month LIBOR + 6.58 (c,d)  6.3831  10/25/2036   118,451 
 353,575   Fannie Mae REMICS 2006-119 PS 1 Month LIBOR + 6.70 (c,d)  6.5031  12/25/2036   58,700 
 647,214   Fannie Mae REMICS 2006-126 CS 1 Month LIBOR + 6.70 (c,d)  6.5031  1/25/2037   117,024 
 339,027   Fannie Mae REMICS 2009-41 ZA (d)  4.5000  6/25/2039   354,294 
 329,866   Fannie Mae REMICS 2009-98 DZ (d)  4.5000  12/25/2039   343,740 
 500,285   Fannie Mae REMICS 2010-76 ZK (c,d)  4.5000  7/25/2040   528,621 
 356,386   Fannie Mae REMICS 2010-115 SE (c,d)  5.8031  10/25/2040   58,314 
 204,781   Fannie Mae REMICS 2010-134 CS (c,d)  6.4831  12/25/2025   21,819 
 204,781   Fannie Mae REMICS 2010-134 SE (c,d)  6.4531  12/25/2025   21,675 
 326,979   Fannie Mae REMICS 2010-142 SC (c,d)  6.4031  12/25/2040   65,035 
 301,805   Fannie Mae REMICS 2011-18 UZ (d)  4.0000  3/25/2041   321,458 
 435,043   Fannie Mae REMICS 2011-74 KL (d)  5.0000  6/25/2040   461,624 
 795,009   Fannie Mae REMICS 2011-93 ES 1 Month LIBOR + 6.50 (c,d)  6.3031  9/25/2041   136,837 
 541,855   Fannie Mae REMICS 2011-111 EZ (d)  5.0000  11/25/2041   575,565 
 1,169,498   Fannie Mae REMICS 2012-3 DS 1 Month LIBOR + 5.95 (c,d)  5.7531  2/25/2042   168,869 
 1,258,119   Fannie Mae REMICS 2012-15 PZ (d)  4.0000  3/25/2042   1,315,358 
 3,510,622   Fannie Mae REMICS 2012-20 SA 1 Month LIBOR + 6.45 (c,d)  5.1225  3/25/2042   529,808 
 1,361,164   Fannie Mae REMICS 2012-103 ZP (d)  3.0000  9/25/2042   1,259,663 
 1,361,869   Fannie Mae REMICS 2013-74 YS 1 Month LIBOR + 6.00 (c,d)  4.0088  7/25/2043   1,121,128 

 

See accompanying notes to consolidated financial statements.

5

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount              
($)      Yield  Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 22.9%           
     U.S. GOVERNMENT AGENCY - 4.9% (Continued)           
$601,482   Fannie Mae REMICS 2013-122 DS 1 Month LIBOR + 5.40 (c,d)  3.8070  7/25/2043  $534,231 
 1,158,066   Fannie Mae REMICS 2014-73 PS 1 Month LIBOR + 6.20 (c,d)  6.0031  11/25/2044   199,166 
 1,781,561   Fannie Mae REMICS 2015-95 AP (d)  3.0000  8/25/2042   1,802,319 
 2,045,453   Fannie Mae REMICS 2016-73 DZ (d) **  —  10/25/2046   1,898,015 
 919,628   Fannie Mae REMICS 2016-81 PA (d)  3.0000  2/25/2044   923,206 
 89,000   Fannie Mae-Aces A2  2.7020  2/25/2026   87,948 
 67,000   Freddie Mac Multifamily Structured Pass Through Certificates K050 A2 (c,d)  3.3340  8/25/2025   69,687 
 87,000   Freddie Mac Multifamily Structured Pass Through Certificates K053 A2 (d)  2.9950  12/25/2025   88,382 
 10,562,327   Freddie Mac Multifamily Structured Pass Through Certificates K722 X1 (c,d)  1.4420  3/25/2023   581,099 
 284,066   Freddie Mac REMICS 2663 ZP (d)  5.0000  8/15/2033   306,699 
 126,675   Freddie Mac REMICS 2909 Z (d)  5.0000  12/15/2034   137,134 
 265,978   Freddie Mac REMICS 3257 SI 1 Month LIBOR + 6.32 (c,d)  6.1243  12/15/2036   43,963 
 1,041,266   Freddie Mac REMICS 3404 SA 1 Month LIBOR + 6.00 (c,d)  5.8043  1/15/2038   168,414 
 940,374   Freddie Mac REMICS 3753 SB 1 Month LIBOR + 6.00 (c,d)  5.8043  11/15/2040   171,753 
 229,658   Freddie Mac REMICS 3770 SP 1 Month LIBOR + 6.50 (c,d)  6.3043  11/15/2040   22,305 
 903,021   Freddie Mac REMICS 3792 SE 1 Month LIBOR + 9.86 (c,d)  7.3594  1/15/2041   931,645 
 89,031   Freddie Mac REMICS 3818 JA (d)  4.5000  1/15/2040   90,076 
 574,749   Freddie Mac REMICS 3926 FS 1 Month LIBOR + 6.58 (c,d)  6.3843  9/15/2041   124,261 
 503,060   Freddie Mac REMICS 3957 DZ (d)  3.5000  11/15/2041   508,191 
 404,098   Freddie Mac REMICS 3957 HZ (d)  4.0000  11/15/2041   420,742 
 1,095,872   Freddie Mac REMICS 3984 DS 1 Month LIBOR + 5.95 (c,d)  5.7543  1/15/2042   155,831 
 1,258,119   Freddie Mac REMICS 3998 AZ (d)  4.0000  2/15/2042   1,324,836 
 2,585,536   Freddie Mac REMICS 4089 SH 1 Month LIBOR + 6.00 (c,d)  4.5230  8/15/2042   388,012 
 531,318   Freddie Mac REMICS 4229 MS 1 Month LIBOR + 7.70 (c,d)  5.5120  7/15/2043   515,139 
 3,291,440   Freddie Mac REMICS 4255 GS 1 Month LIBOR + 6.15 (c,d)  5.9543  9/15/2043   536,889 
 751,586   Freddie Mac REMICS 4291 MS 1 Month LIBOR + 5.90 (c,d)  5.7043  1/15/2054   119,919 
 2,344,956   Freddie Mac REMICS 4314 MS 1 Month LIBOR + 6.10 (c,d)  5.9043  7/15/2043   295,685 
 1,220,796   Freddie Mac REMICS 4391 MA (d)  3.0000  7/15/2040   1,232,713 
 5,519,233   Freddie Mac REMICS 4440 ZD (d)  2.5000  2/15/2045   4,874,844 
 2,434,922   Government National Mortgage Association 2010-35 DS 1 Month LIBOR + 5.68 (c,d)  5.4858  3/20/2040   316,569 
 3,805,310   Government National Mortgage Association 2010-121 SE 1 Month LIBOR + 6.00 (c,d)  5.8058  9/20/2040   574,878 
 2,281,255   Government National Mortgage Association 2011-69 SC 1 Month LIBOR + 5.38 (c,d)  5.1858  5/20/2041   249,650 
 2,224,063   Government National Mortgage Association 2013-102 BS 1 Month LIBOR + 6.15 (c,d)  5.9558  3/20/2043   306,497 
 2,271,608   Government National Mortgage Association 2013-119 TZ (d)  3.0000  8/20/2043   2,182,958 
 189,632   Government National Mortgage Association 2013-120 GS 1 Month LIBOR + 5.40 (c,d)  3.5986  8/20/2043   166,939 
 464,058   Government National Mortgage Association 2013-148 DS 1 Month LIBOR + 5.68 (c,d)  5.4810  10/16/2043   67,499 
 1,964,721   Government National Mortgage Association 2013-186 SG 1 Month LIBOR + 6.25 (c,d)  6.0510  2/16/2043   242,526 
 1,260,921   Government National Mortgage Association 2013-188 MS 1 Month LIBOR + 5.55 (c,d)  5.3510  12/16/2043   166,041 
 2,627,660   Government National Mortgage Association 2014-5 SA 1 Month LIBOR + 5.55 (c,d)  5.3558  1/20/2044   371,064 
 2,803,208   Government National Mortgage Association 2014-58 SG 1 Month LIBOR + 5.60 (c,d)  5.4010  4/16/2044   397,676 
 2,643,029   Government National Mortgage Association 2014-76 SA 1 Month LIBOR + 5.60 (c,d)  5.4058  1/20/2040   358,681 
 1,014,771   Government National Mortgage Association 2014-95 CS 1 Month LIBOR + 6.25 (c,d)  6.0510  6/16/2044   155,906 
 2,202,993   Government National Mortgage Association 2014-145 CS 1 Month LIBOR + 5.60 (c,d)  5.4010  5/16/2044   335,137 
 1,483,095   Government National Mortgage Association 2014-156 PS 1 Month LIBOR + 6.25 (c,d)  6.0558  10/20/2044   225,023 
               32,439,925 
     WHOLE LOAN COLLATERAL - 10.9%           
 480,022   Adjustable Rate Mortgage Trust 2005-2 6M2 1 Month LIBOR + 0.98 (c)  2.3086  6/25/2035   464,917 
 1,075,307   Alternative Loan Trust 2006-14CB A8  6.0000  6/25/2036   926,827 
 6,615   Alternative Loan Trust 2006-41CB 1A4  5.7500  1/25/2037   5,587 
 1,801,421   Alternative Loan Trust 2006-41CB 1A9  6.0000  1/25/2037   1,547,980 
 1,795,506   Alternative Loan Trust 2006-41CB 2A15  5.7500  1/25/2037   1,471,803 
 6,256   Alternative Loan Trust 2007-22 2A16  6.0000  3/25/2037   4,171 
 531,468   Alternative Loan Trust 2007-J1 2A8  6.0000  7/25/2037   514,310 
 2,685,481   Alternative Loan Trust 2007-J2 2A1  6.5000  9/25/2037   1,898,265 
 2,468,533   American Home Mortgage Investment Trust 2006-1 2A1 1 Month LIBOR + 1.75 (c)  3.3402  12/25/2035   1,274,595 
 4,500,000   Bank of America Funding 2005-B 3M1 Trust 1 Month LIBOR + 0.45 (c)  1.9511  4/20/2035   3,932,010 
 275,176   Bank of America Funding 2006-3A1 Trust  5.7500  3/25/2036   270,143 
 1,312,865   Bank of America Funding 2007-1 Trust TA3B (e)  5.9426  1/25/2037   1,201,471 
 554,378   Bank of America Mortgage 2007-1 Trust 2A17  6.0000  1/25/2037   521,019 
 1,993,951   BCAP LLC 2010-RR6 Trust 1716 (b,c)  6.0000  7/26/2036   1,614,568 
 145,861   Bear Stearns Asset Backed Securities I Trust 2004-AC2 2A  5.0000  5/25/2034   145,655 
 468,621   CHL Mortgage Pass-Through Trust 2004-HYB9 1A1 (c)  3.4324  2/20/2035   473,413 
 548,278   CHL Mortgage Pass-Through Trust 2007-5 A51  5.7500  5/25/2037   495,014 
 2,559,201   CHL Mortgage Pass-Through Trust 2007-8 1A24  6.0000  1/25/2038   2,130,612 
 537,643   CHL Mortgage Pass-Through Trust 2007-12 A9  5.7500  8/25/2037   490,278 
 2,000,000   CIM Trust 2016-3RR B2 (b,c)  11.0154  2/27/2056   1,852,800 
 2,288   Citicorp Mortgage Securities Trust Series 2007-2 3A1  5.5000  2/25/2037   2,281 
 1,475,605   Citigroup Mortgage Loan Trust 2011-12 1A2 (b,c)  3.5480  4/25/2036   1,192,863 
 184,221   CitiMortgage Alternative Loan Trust Series 2007-A1 2A1  5.5000  1/25/2022   185,519 
 174,176   Credit Suisse First Boston Mortgage Securities Corp. 1A3  5.2500  9/25/2035   158,705 

 

See accompanying notes to consolidated financial statements.

6

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 22.9%           
     WHOLE LOAN COLLATERAL - 10.9% (Continued)           
$1,022,497   Credit Suisse First Boston Mortgage Securities Corp. 5A12  5.5000  10/25/2035  $913,865 
 213,000   Credit Suisse Mortgage Trust  2.6003  2/15/2031   213,533 
 102,000   Credit Suisse Mortgage Trust  2.9503  2/15/2031   102,254 
 221,000   Credit Suisse Mortgage Trust  3.7503  2/15/2031   221,553 
 1,431,012   Credit Suisse Mortgage Trust  4.5000  3/25/2021   1,442,467 
 1,586,929   CSMC 2015-RPL3 Trust A1 (b,e)  3.7500  12/25/2056   1,595,435 
 231,205   CSMC Mortgage-Backed Trust 2006-7 1A3  5.0000  8/25/2036   197,661 
 380,039   CSMC Mortgage-Backed Trust 2006-9 2A1  5.5000  11/25/2036   346,477 
 438,086   CSMC Mortgage-Backed Trust 2007-1 5A14  6.0000  2/25/2037   394,943 
 359,161   CSMC Series 2010-4R 3A17 (b,c)  6.0000  6/26/2037   340,039 
 966,528   CSMC Series 2011-5R 6A9 (b,c)  3.5033  11/27/2037   976,578 
 1,000,000   CSMC Series 2011-12R 3A5 (b,c)  2.9830  7/27/2036   958,624 
 282,179   CSMC Trust 2013-3R 1A1 (b,c)  2.3679  4/27/2035   280,864 
 1,113,678   Ellington Financial Mortgage Trust 2017-1 A1 (b,c)  2.6870  10/25/2047   1,113,668 
 1,113,678   Ellington Financial Mortgage Trust 2017-1 A2 (b,c)  2.7390  10/25/2047   1,113,685 
 835,258   Ellington Financial Mortgage Trust 2017-1 A3 (b,c)  2.8410  10/25/2047   835,258 
 257,475   First Horizon Alternative Mortgage Securities Trust 2005-AA4 1A1 (c)  3.2302  5/25/2035   221,462 
 1,370,377   First Horizon Alternative Mortgage Securities Trust 2005-FA4 1A6  5.5000  6/25/2035   1,290,430 
 15,299   First Horizon Alternative Mortgage Securities Trust 2006-AA7 A1 (c)  3.2407  1/25/2037   13,810 
 23,775   GSR Mortgage Loan Trust 2004-2F 14A1  5.5000  9/25/2019   23,965 
 427,668   GSR Mortgage Loan Trust 2005-AR7 3A1 (c)  3.7224  11/25/2035   409,176 
 842,046   GSR Mortgage Loan Trust 2006-AR1 3A1 (c)  3.7583  1/25/2036   818,773 
 558,319   GSR Mortgage Loan Trust 2007-1F 2A2  5.5000  1/25/2037   643,692 
 324,703   HomeBanc Mortgage Trust 2005-3 A1 1 Month LIBOR + 0.24 (c)  1.5686  7/25/2035   322,723 
 2,045,709   HSI Asset Loan Obligation Trust 2007-AR1 (c)  3.5810  1/25/2037   1,760,974 
 1,117,870   Impac Secured Assets Trust 2006-5 1A1C 1 Month LIBOR + 0.27 (c)  1.5986  2/25/2037   918,357 
 1,771,568   IndyMac IMSC Mortgage Loan Trust 2007-F2 1A4  6.0000  7/25/2037   1,625,613 
 50,558   JP Morgan Mortgage Trust 2007-S1 1A1  5.0000  3/25/2022   49,693 
 990,146   JP Morgan Mortgage Trust 2007-S2 1A11  6.0000  6/25/2037   830,498 
 2,738,416   JP Morgan Mortgage Trust 2007-S2 1A15  6.7500  6/25/2037   2,408,048 
 1,107,702   Lehman Mortgage Trust 2005-1 2A4  5.5000  11/25/2035   1,037,305 
 481,607   Lehman Mortgage Trust 2006-1 1A3  5.5000  2/25/2036   433,659 
 426,160   Lehman Mortgage Trust 2006-2 2A3  5.7500  4/25/2036   418,952 
 369,884   MASTR Adjustable Rate Mortgages Trust 2006-2 2A1 (c)  3.6742  4/25/2036   340,672 
 732,471   Merrill Lynch Mortgage Investors Trust Series 2006-AF2  6.2500  10/25/2036   611,131 
 5,123   Morgan Stanley Mortgage Loan Trust 2004-1 1A1  5.0000  11/25/2018   5,377 
 885,579   Morgan Stanley Mortgage Loan Trust 2005-9AR 2A (c)  3.5691  12/25/2035   837,336 
 212,141   Morgan Stanley Mortgage Loan Trust 2006-7 3A (c)  5.0714  6/25/2036   186,115 
 1,087,520   Morgan Stanley Mortgage Loan Trust 2007-12 3A4  6.2500  8/25/2037   932,195 
 540,248   Morgan Stanley Reremic Trust 2012-R3 2A 1 Month LIBOR + 0.23 (b,c)  1.4679  2/26/2037   532,801 
 1,379,147   Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2007-1 11A1A (e)  5.9950  3/25/2047   1,204,457 
 20,703   Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-5 2AN (c)  5.6750  12/25/2035   20,865 
 258,469   PHH Alternative Mortgage Trust Series 2007-2 3A1  6.0000  5/25/2037   230,197 
 359,531   RALI Series 2006-QA1 1A21 Trust (c)  4.3766  1/25/2036   310,282 
 1,278,870   RALI Series 2006-QO10 Trust A1 1 Month LIBOR + 0.16 (c)  1.4886  1/25/2037   1,200,177 
 322,912   RALI Series 2006-QS10 Trust A9  6.5000  8/25/2036   290,450 
 583,099   RALI Series 2006-QS12 2A3 Trust  6.0000  9/25/2036   546,034 
 1,867,876   RALI Series 2007-QH5 AI1 Trust 1 Month LIBOR + 0.21 (c)  1.5386  6/25/2037   1,651,256 
 428,666   RALI Series 2007-QS6 A6 Trust  6.2500  4/25/2037   409,704 
 723,046   Residential Asset Securitization Trust 2004-A9  5.7500  12/25/2034   734,929 
 429,883   Residential Asset Securitization Trust 2006-A2 A3  6.0000  1/25/2046   321,395 
 266,798   Residential Asset Securitization Trust 2006-A6 2A11  6.0000  7/25/2036   230,888 
 506,126   Residential Asset Securitization Trust 2006-A11 1A4  6.2500  10/25/2036   504,491 
 615,725   Residential Asset Securitization Trust 2007-A1 A8  6.0000  3/25/2037   433,936 
 448,872   Residential Asset Securitization Trust 2007-A3 1A1 1 Month LIBOR + 0.45 (c)  1.7786  4/25/2037   246,326 
 58,549   Residential Asset Securitization Trust 2007-A3 1A2 1 Month LIBOR + 46.38 (c)  36.1972  4/25/2037   120,490 
 7,157   RFMSI Series 2003-S16 Trust A1  4.7500  9/25/2018   7,151 
 228,633   RFMSI Series 2006-S3 Trust A7  5.5000  3/25/2036   210,533 
 368,472   RFMSI Series 2006-S7 Trust A3  6.2500  8/25/2036   356,064 
 145,615   RFMSI Series 2006-S7 Trust A7  6.2500  8/25/2036   140,711 
 1,413,286   RFMSI Series 2006-S12 Trust 2A6  6.0000  12/25/2036   1,364,217 
 656,852   RFMSI Series 2007-S1 A5 Trust  6.0000  1/25/2037   629,410 
 236,003   RFMSI Series 2007-S2 A4 Trust  6.0000  2/25/2037   224,314 
 615,076   RFMSI Series 2007-S6 Trust 1A11  6.0000  6/25/2037   586,484 
 1,360,928   Sequoia Mortgage Trust 2013-1 2A1 (c)  1.8550  2/25/2043   1,297,281 
 2,628,352   Sequoia Mortgage Trust 2016-3 A11 (b,c)  3.0000  11/25/2046   2,632,715 
 36,136   Structured Asset Securities Corp Mortgage Pass-through Certificates 2004-11XS 2A2 (e)  5.4000  6/25/2034   51,245 
 753,293   WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust 2A1 (c)  3.3568  12/25/2035   694,183 
 1,083,368   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust 2A8  6.0000  11/25/2035   1,018,111 
 8,414   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-2 Trust 2CB  6.5000  3/25/2036   6,337 

 

See accompanying notes to consolidated financial statements.

7

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 22.9%           
     WHOLE LOAN COLLATERAL - 10.9% (Continued)           
$1,462,485   Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust 1A2  6.0000  4/25/2037  $1,261,012 
 633,110   Wells Fargo Alternative Loan 2007-PA3 Trust 1A4  5.7500  7/25/2037   585,088 
 354,562   Wells Fargo Mortgage Backed Securities 2006-2 Trust 3A1  5.7500  3/25/2036   354,777 
 211,852   Wells Fargo Mortgage Backed Securities 2007-3 Trust 1A4  6.0000  4/25/2037   211,582 
 183,785   Wells Fargo Mortgage Backed Securities 2007-7 Trust A38  6.0000  6/25/2037   182,739 
 984,334   Wells Fargo Mortgage Backed Securities 2007-10 Trust 1A5  6.0000  7/25/2037   979,515 
 94,789   Wells Fargo Mortgage Backed Securities 2007-13 Trust A6  6.0000  9/25/2037   95,355 
               71,839,168 
     COMMERCIAL MBS - 7.1%           
 56,542   A10 Term Asset Financing 2016-1 LLC A1 (b)  2.4200  3/15/2035   56,619 
 1,229,000   Atrium Hotel Portfolio Trust 1 Month LIBOR + 3.05 (b,c)  4.5280  11/15/2019   1,215,279 
 646,000   BBCMS Mortgage Trust 2014-BXO E 1 Month LIBOR + 3.75 (b,c)  5.0003  8/15/2027   647,830 
 7,862,021   BBCMS Mortgage Trust 2017-C1 XA (c)  1.6915  2/15/2050   811,958 
 101,000   BBCMS Mortgage Trust 2017-DELC C 1 Month LIBOR + 1.20 (b,c)  2.4503  8/15/2036   100,785 
 115,000   BBCMS Mortgage Trust 2017-DELC D 1 Month LIBOR + 1.70 (b,c)  2.9503  8/15/2036   114,755 
 240,000   BBCMS Mortgage Trust 2017-DELC E 1 Month LIBOR + 2.50 (b,c)  3.7503  8/15/2036   239,488 
 230,000   BBCMS Mortgage Trust 2017-DELC F 1 Month LIBOR + 3.50 (b,c)  4.7503  8/15/2036   229,544 
 598,000   BBCMS Mortgage Trust 2017-GLKS E 1 Month LIBOR + 2.85 (b,c)  4.1010  11/15/2034   597,998 
 32,734,000   BB-UBS Trust 2012-SHOW XA (b,c)  0.7300  11/5/2024   1,267,123 
 18,022,000   BB-UBS Trust 2012-SHOW XB (b,c)  0.2780  11/5/2024   217,452 
 353,000   BSPRT 2017 FL2 Issuer Ltd. A 1 Month LIBOR + 0.82 (b,c)  2.0700  10/1/2034   353,000 
 124,000   BSPRT 2017 FL2 Issuer Ltd. AS 1 Month LIBOR + 1.10 (b,c)  2.3500  10/1/2034   124,000 
 124,000   BSPRT 2017 FL2 Issuer Ltd. B 1 Month LIBOR + 1.40 (b,c)  2.6500  10/1/2034   124,000 
 207,000   BX Trust 2017-IMC D 1 Month LIBOR + 2.25 (b,c)  3.4890  10/15/2032   207,259 
 334,000   BX Trust 2017-IMC E 1 Month LIBOR + 3.25 (b,c)  4.4890  10/15/2032   334,418 
 248,000   BX Trust 2017-SLCT D 1 Month LIBOR + 2.05 (b,c)  3.3003  7/15/2034   248,549 
 408,000   BX Trust 2017-SLCT E 1 Month LIBOR + 3.15 (b,c)  4.4003  7/15/2034   410,295 
 599,000   BXMT 2017-FL1 Ltd. C 1 Month LIBOR + 1.95 (b,c)  3.3110  6/14/2035   600,497 
 2,912,341   CD 2017-CD4 Mortgage Trust XA (c)  1.4826  5/10/2050   262,736 
 114,000   CFCRE Commercial Mortgage Trust 2016-C7 A3  3.8385  12/10/2026   119,018 
 6,384,069   CFCRE Commercial Mortgage Trust 2017-C8 XA  1.8420  6/15/2050   708,839 
 2,302,000   CFCRE Commercial Mortgage Trust 2017-C8 XB  1.1230  6/15/2050   178,866 
 525,442   CGCMT 2010-RR2 Trust JA4B (b,c)  6.0680  1/19/2018   524,514 
 304,000   Chicago Skyscraper Trust 2017 B 1 Month LIBOR + 3.00 (b,c)  2.3503  4/15/2030   305,081 
 168,000   Chicago Skyscraper Trust 2017 C 1 Month LIBOR + 1.25 (b,c)  2.5003  4/15/2030   168,632 
 533,954   Citigroup Commercial Mortgage Trust 2008-C7 AM (c)  6.3945  12/10/2049   531,733 
 701,666   Citigroup Commercial Mortgage Trust 2012-GC8 XA (b,c)  2.0531  9/10/2045   46,161 
 8,840,350   Citigroup Commercial Mortgage Trust 2014-GC21 XA (c)  1.4033  5/1/2047   529,040 
 4,573,763   Citigroup Commercial Mortgage Trust 2014-GC25 XA (c)  1.0540  10/10/2047   256,663 
 120,600   Citigroup Commercial Mortgage Trust 2015-GC27 D (b,c)  4.5770  2/10/2048   102,551 
 1,039,342   Citigroup Commercial Mortgage Trust 2015-GC35 XA (c)  1.0425  11/10/2048   49,101 
 118,000   Citigroup Commercial Mortgage Trust 2016-GC36 D (b)  2.8500  2/10/2049   89,159 
 2,019,011   Citigroup Commercial Mortgage Trust 2016-GC36 XA (c)  1.4957  2/10/2049   161,372 
 4,667,435   Citigroup Commercial Mortgage Trust 2016-P3 XA (c)  1.8719  4/15/2049   469,434 
 108,000   Citigroup Commercial Mortgage Trust 2016-P4 A4  2.9020  7/10/2026   106,604 
 741,978   Citigroup Commercial Mortgage Trust 2016-P4 XA (c)  2.1656  7/10/2049   91,015 
 1,078,989   Citigroup Commercial Mortgage Trust 2016-P5 XA  1.6977  10/10/2049   102,111 
 90,000   Citigroup Commercial Mortgage Trust 2016-P6 A5  3.7200  11/10/2026   94,402 
 116,000   Citigroup Commercial Mortgage Trust 2016-SMPL D (b)  3.5200  9/10/2021   115,290 
 414,000   CLNS Trust 2017-IKPR D 1 Month LIBOR + 2.05 (b,c)  3.3372  6/11/2032   414,908 
 414,000   CLNS Trust 2017-IKPR E 1 Month LIBOR + 3.50 (b,c)  4.7872  6/11/2032   415,422 
 38,000   CLNS Trust 2017-IKPR F 1 Month LIBOR + 4.50 (b,c)  5.7872  6/11/2032   38,178 
 338,000   Cold Storage Trust 2017-ICE3 A 1 Month LIBOR + 1.00 (b,c)  2.2503  4/15/2024   338,837 
 412,000   Cold Storage Trust 2017-ICE3 C 1 Month LIBOR + 1.35 (b,c)  2.6003  4/15/2024   412,905 
 265,226   COMM 2006-GG7 Mortgage Trust (c)  6.0208  7/10/2038   266,815 
 826,557   COMM 2012-CCRE3 Mortgage Trust XA (c)  2.0686  10/15/2045   61,156 
 152,000   COMM 2012-CCRE4 Mortgage Trust D  4.7261  11/15/2022   125,325 
 839,096   COMM 2012-LC4 Mortgage XA Trust (b,c)  2.3830  12/10/2044   55,684 
 9,530,184   COMM 2013-CCRE12 Mortgage Trust XA (c)  1.4902  10/10/2046   486,047 
 11,009,848   COMM 2013-LC6 Mortgage Trust XA  1.6147  1/10/2023   604,861 
 100,000   COMM 2014-CCRE20 Mortgage Trust 2014-CR20 C (c)  4.6576  11/10/2047   101,591 
 563,625   COMM 2014-UBS4 E Mortgage Trust (b)  3.7500  8/10/2047   372,128 
 644,150   COMM 2014-UBS4 F Mortgage Trust (b)  3.7500  8/10/2047   401,235 
 1,207,795   COMM 2014-UBS4 G Mortgage Trust (b)  3.7500  8/10/2047   380,031 
 5,000   COMM 2014-UBS4 V Mortgage Trust (b,c)  0.0010  8/10/2047   — 
 53,000   COMM 2016-DC2 C Mortgage Trust (c)  4.7980  2/10/2049   51,780 
 987,580   COMM 2016-DC2 XA Mortgage Trust (c)  1.2177  10/10/2025   61,973 
 111,000   COMM 2016-GCT Mortgage E Trust (b,c)  3.5768  8/10/2021   108,278 
 5,917,984   COMM 2017-COR2 XA Mortgage Trust (c)  1.1860  9/10/2050   524,509 
 88,000   Commercial Mortgage Pass Through Certificates C (c)  4.6470  2/10/2049   86,644 

 

See accompanying notes to consolidated financial statements.

8

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 22.9%           
     COMMERCIAL MBS - 7.1% (Continued)           
$391,000   Cosmopolitan Hotel Trust 2017 E 1 Month LIBOR + 3.00 (b,c)  4.3800  11/15/2034  $392,096 
 209,000   Cosmopolitan Hotel Trust 2017 F 1 Month LIBOR + 3.74 (b,c)  5.1212  11/15/2034   209,326 
 20,453   Countrywide Commercial Mortgage Trust 2007-MF1 A (b,c)  6.0717  11/12/2043   20,458 
 416,732   Credit Suisse Commercial Mortgage Trust Series 2008-C1 AM (b,c)  6.5306  2/15/2041   416,442 
 623,000   Credit Suisse Mortgage Capital Certificates D 1 Month LIBOR + 1.90 (b,c)  3.1503  7/15/2032   623,386 
 57,000   Credit Suisse Mortgage Capital Certificates E 1 Month LIBOR + 3.30 (b,c)  4.5503  7/15/2032   57,141 
 1,962,030   CSAIL 2015-C1 Commercial Mortgage Trust XA (c)  0.9510  4/15/2050   94,779 
 7,963,367   CSAIL 2017-C8 Commercial Mortgage Trust XA (c)  1.4062  6/15/2050   639,657 
 10,071,407   CSAIL 2017-CX9 Commercial Mortgage Trust XA (c)  1.0431  9/15/2050   523,361 
 10,576,000   CSAIL 2017-CX10 Commercial Mortgage Trust XA (c)  0.7322  11/15/2027   589,605 
 171,000   CSMC Trust 2017-LSTK C (b)  3.2294  4/5/2021   171,111 
 204,000   CSMC Trust 2017-LSTK D (b,c)  3.4415  4/5/2021   203,140 
 664,800   GE Commercial Mortgage Corp. Series 2007-C1 Trust AM (c)  5.6060  12/10/2049   676,656 
 160,000   Great Wolf Trust 2017 D 1 Month LIBOR + 2.10 (b,c)  3.3503  9/15/2034   160,050 
 249,000   Great Wolf Trust 2017 E 1 Month LIBOR + 3.10 (b,c)  4.3503  9/15/2034   249,079 
 132,000   Great Wolf Trust 2017 F 1 Month LIBOR + 4.07 (b,c)  5.3203  9/15/2034   132,042 
 255,000   GS Mortgage Securities Corp. Trust 2017-500K E 1 Month LIBOR + 1.50 (b,c)  2.7503  7/15/2032   255,221 
 175,000   GS Mortgage Securities Corp. Trust 2017-500K F 1 Month LIBOR + 1.80 (b,c)  3.0503  7/15/2032   175,254 
 111,000   GS Mortgage Securities Corp. Trust 2017-500K G 1 Month LIBOR + 2.50 (b,c)  3.7503  7/15/2032   111,032 
 831,923   GS Mortgage Securities Trust 2013-GCJ14 A2  2.9950  8/10/2018   834,330 
 140,000   GS Mortgage Securities Trust 2014-GC26 (b,c)  4.6603  11/10/2047   121,845 
 8,202,112   GS Mortgage Securities Trust 2015-GC28 (c)  1.2856  2/10/2048   426,992 
 1,383,800   GS Mortgage Securities Trust 2015-GS1 (c)  0.9723  11/10/2048   71,604 
 117,000   GS Mortgage Securities Trust 2017-GS8 C (c)  4.3376  11/10/2027   120,309 
 7,925,000   GS Mortgage Securities Trust 2017-GS8 XA  0.9830  11/10/2027   599,092 
 664,856   Invitation Homes 2015-SFR3 Trust A  2.5510  8/17/2032   669,011 
 37,429   JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 X (c)  0.4197  5/15/2045   1 
 317,036   JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 AM  5.3720  5/15/2047   317,285 
 638,000   JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 AMS  5.3370  5/15/2047   638,388 
 499,251   JP Morgan Chase Commercial Mortgage Securities Trust 2007-C1 AM (c)  5.9526  2/15/2051   498,406 
 308,898   JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18 AM (c)  5.4660  6/12/2047   308,660 
 454,116   JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP10 AM (c)  5.4640  1/15/2049   455,348 
 300,938   JP Morgan Chase Commercial Mortgage Securities Trust 2007-LDP11 AM (c)  6.1677  6/5/2049   305,657 
 132,422   JP Morgan Chase Commercial Mortgage Securities Trust 2008-C2 A4  6.0680  1/12/2018   132,247 
 689,712   JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6 XA (c)  1.5828  5/15/2045   39,114 
 1,703,204   JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8 XA (c)  1.8209  10/15/2045   115,032 
 648,167   JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX XA (c)  1.6533  6/15/2045   29,437 
 108,300   JP Morgan Chase Commercial Mortgage Securities Trust 2014-DSTY A (b)  3.4289  6/10/2027   109,086 
 335,112   JP Morgan Chase Commercial Mortgage Securities Trust 2014-FL6 A  2.6503  11/15/2031   335,324 
 968,000   JP Morgan Chase Commercial Mortgage Securities Trust 2014-FRR1  4.3470  12/27/2018   967,929 
 600,000   JP Morgan Chase Commercial Mortgage Securities Trust 2014-PHH A 1 Month LIBOR + 1.45 (b,c)  2.7003  8/15/2027   600,001 
 422,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-ASH B  3.4003  10/15/2022   423,453 
 238,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-ASH C  4.0003  10/15/2022   239,122 
 34,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 B  3.4595  8/15/2049   33,383 
 26,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 C (c)  3.9453  8/15/2049   25,539 
 391,044   JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 XA (c)  2.0089  8/15/2049   47,437 
 119,000   JP Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI E (b,c)  4.1426  10/5/2021   117,326 
 167,000   JP Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI C 1 Month LIBOR + 1.25 (b,c)  2.5003  7/15/2034   167,001 
 156,000   JP Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI D 1 Month LIBOR + 1.95 (b,c)  3.2003  7/15/2034   156,050 
 139,000   JP Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI E 1 Month LIBOR + 2.95 (b,c)  4.2003  7/15/2034   139,044 
 194,000   JP Morgan Chase Commercial Mortgage Securities Trust 2017-MAUI F 1 Month LIBOR + 3.75 (b,c)  5.0003  7/15/2034   194,123 
 1,804,162   JPMBB Commercial Mortgage Securities Trust 2014-C21 XA (c)  1.2300  6/15/2024   95,071 
 9,751,451   JPMBB Commercial Mortgage Securities Trust 2014-C25 XA (c)  0.9905  11/15/2047   452,584 
 115,000   JPMBB Commercial Mortgage Securities Trust 2014-C26 C (c)  4.4266  1/15/2048   113,849 
 917,473   JPMBB Commercial Mortgage Securities Trust 2014-C26 XA (c)  1.1628  1/15/2048   44,101 
 127,500   JPMBB Commercial Mortgage Securities Trust 2015-C27 D (b,c)  3.8451  2/15/2048   105,684 
 1,189,970   JPMBB Commercial Mortgage Securities Trust 2015-C27 XA (c)  1.3654  2/15/2048   71,697 
 105,000   JPMBB Commercial Mortgage Securities Trust 2015-C32 C (c)  4.8178  11/15/2048   105,039 
 87,000   JPMBB Commercial Mortgage Securities Trust 2015-C33 C (c)  4.7720  12/15/2048   89,938 
 86,000   JPMBB Commercial Mortgage Securities Trust 2016-C1 C (c)  4.9049  3/15/2049   89,418 
 13,278,668   JPMDB Commercial Mortgage Securities Trust 2017-C5 XA (c)  1.1789  3/15/2050   931,047 
 153,678   LB-UBS Commercial Mortgage Trust 2006-C7 XCL (b,c)  0.6823  11/15/2038   265 
 128,065   LB-UBS Commercial Mortgage Trust 2006-C7 XW (b,c)  0.6823  11/15/2038   221 
 542,000   LCCM Mortgage Trust 2014-PKMD MRC (b,c)  2.9520  11/14/2027   541,085 
 535,000   LMREC 2015-CRE1, Inc. A 1 Month LIBOR + 1.75 (b,c)  3.2408  2/22/2032   540,909 
 21,165   Merrill Lynch Mortgage Trust 2006-C1 AJ (c)  5.8618  5/12/2039   21,328 
 752,000   Merrill Lynch Mortgage Trust 2007-C1 AM (c)  6.0062  6/12/2050   755,578 
 701,897   Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 XA (b,c)  1.5245  8/15/2045   37,434 
 125,000   Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 C (c)  4.4893  10/15/2047   121,648 
 125,000   Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 C  4.0000  12/15/2047   118,760 

 

See accompanying notes to consolidated financial statements.

9

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 22.9%           
     COMMERCIAL MBS - 7.1% (Continued)           
$72,000   Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 C (c)  4.6798  10/15/2048  $75,450 
 105,000   Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26 D (b)  3.0600  11/15/2048   84,734 
 91,000   Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 C (c)  4.9106  4/15/2026   95,038 
 94,000   Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 A4  3.7200  12/15/2026   98,331 
 36,889   Morgan Stanley Capital I Trust 2007-HQ11 AJ (c)  5.5080  2/12/2044   36,847 
 8,805   Morgan Stanley Capital I Trust 2007-IQ16 AMA (c)  6.0695  12/12/2049   8,800 
 343,007   Morgan Stanley Capital I Trust 2011-C1 XA (b,c)  0.4261  9/15/2047   3,127 
 610,000   Morgan Stanley Capital I Trust 2015-XLF1 D 1 Month LIBOR + 3.00 (b,c)  4.2510  8/14/2031   610,128 
 76,000   Morgan Stanley Capital I Trust 2015-XLF2 AFSC 1 Month LIBOR + 3.00 (b,c)  4.2503  8/15/2026   75,717 
 980,246   Morgan Stanley Capital I Trust 2016-UB11 XA (c)  1.8055  8/15/2026   95,002 
 165,000   Morgan Stanley Capital I Trust 2017-ASHF D 1 Month LIBOR + 2.20 (b,c)  3.4500  11/15/2034   165,000 
 247,000   Morgan Stanley Capital I Trust 2017-ASHF E 1 Month LIBOR + 3.15 (b,c)  4.4000  11/15/2034   247,000 
 187,000   Morgan Stanley Capital I Trust 2017-ASHF F 1 Month LIBOR + 4.35 (b,c)  5.6000  11/15/2034   187,000 
 569,000   Morgan Stanley Capital I Trust 2017-CLS E 1 Month LIBOR + 1.95 (b,c)  3.2000  11/15/2034   569,536 
 632,000   Morgan Stanley Capital I Trust 2017-CLS F 1 Month LIBOR + 2.60 (b,c)  3.8500  11/15/2034   632,596 
 297,097   Morgan Stanley Capital I Trust 2017-PRME A  2.1503  2/15/2019   297,094 
 88,000   Morgan Stanley Capital I Trust 2017-PRME D  4.6503  2/15/2019   88,128 
 112,000   MSCG Trust 2016-SNR C  5.2050  11/13/2021   113,721 
 38,555   PFP 2017-3 Ltd. A 1 Month LIBOR + 1.05 (b,c)  2.3372  1/14/2035   38,650 
 34,000   PFP 2017-3 Ltd. AS 1 Month LIBOR + 1.30 (b,c)  2.5872  1/14/2035   34,154 
 20,000   PFP 2017-3 Ltd. B 1 Month LIBOR + 1.75 (b,c)  3.0372  11/14/2019   20,073 
 21,000   PFP 2017-3 Ltd. C 1 Month LIBOR + 2.50 (b,c)  3.7872  1/14/2035   21,078 
 88,988   RAIT 2017-FL7 Trust A 1 Month LIBOR + 0.95 (b,c)  2.1889  6/15/2037   89,101 
 25,000   RAIT 2017-FL7 Trust AS 1 Month LIBOR + 1.30 (b,c)  2.5389  6/15/2037   25,041 
 283,000   Rosslyn Portfolio Trust 2017-ROSS A 1 Month LIBOR + 0.95 (b,c)  2.2003  6/15/2033   278,890 
 283,000   Rosslyn Portfolio Trust 2017-ROSS B 1 Month LIBOR + 1.25 (b,c)  2.5003  6/15/2033   279,249 
 763,564   SG Commercial Mortgage Securities Trust 2016-C5 XA (c)  2.1802  3/10/2026   89,883 
 193,173   Sutherland Commercial Mortgage Loans 2015-SBC4 LLC A (b)  4.0000  6/25/2039   192,272 
 584,333   TRU 2016-1 Trust 2016-TOYS A 1 Month LIBOR + 2.25 (b,c)  3.5003  11/15/2019   581,441 
 836,426   UBS-Barclays Commercial Mortgage Trust 2012-C3 XA (b,c)  2.1740  8/10/2049   60,995 
 4,408,833   UBS Commercial Mortgage Trust 2012-C1 XA (b,c)  2.2667  5/10/2045   319,421 
 117,000   UBS Commercial Mortgage Trust 2017-C6 C (c)  4.4543  12/15/2050   117,867 
 95,300   Wachovia Bank Commercial Mortgage Trust Series 2006-C26 AM (c)  6.2002  6/15/2045   95,788 
 347,594   Wachovia Bank Commercial Mortgage Trust Series 2006-C28 AJ (c)  5.6320  10/15/2048   349,567 
 838,000   Wachovia Bank Commercial Mortgage Trust Series 2007-C33 AJ (c)  6.2051  2/15/2051   851,995 
 435,814   Wachovia Bank Commercial Mortgage Trust Series 2007-C33 AM (c)  5.9524  2/15/2051   435,192 
 140,000   Wells Fargo Commercial Mortgage Trust 2014-LC16 D (b)  3.9380  8/15/2050   115,397 
 6,452,397   Wells Fargo Commercial Mortgage Trust 2015-C26 XA (c)  1.2989  2/15/2048   436,729 
 75,000   Wells Fargo Commercial Mortgage Trust 2015-C31 C (c)  4.7643  11/15/2048   76,151 
 1,229,396   Wells Fargo Commercial Mortgage Trust 2015-C31 XA (c)  1.2499  11/15/2048   77,851 
 1,042,385   Wells Fargo Commercial Mortgage Trust 2015-LC20 XA (c)  1.5269  4/15/2050   69,135 
 60,000   Wells Fargo Commercial Mortgage Trust 2015-LC22 C (c)  4.6927  9/15/2058   59,943 
 100,000   Wells Fargo Commercial Mortgage Trust 2015-NXS3 C (c)  4.6382  9/15/2057   98,875 
 4,373,074   Wells Fargo Commercial Mortgage Trust 2016-BNK1 XA (c)  1.9397  8/15/2049   535,189 
 61,000   Wells Fargo Commercial Mortgage Trust 2016-C32 C (c)  4.7207  1/15/2059   58,328 
 89,000   Wells Fargo Commercial Mortgage Trust 2016-C34 C (c)  5.0295  6/15/2049   92,478 
 987,688   Wells Fargo Commercial Mortgage Trust 2016-LC24 XA (c)  1.8836  10/15/2049   105,275 
 1,049,793   Wells Fargo Commercial Mortgage Trust 2016-NXS6 XA  1.7985  11/15/2049   101,107 
 2,605,298   Wells Fargo Commercial Mortgage Trust 2017-RB1 XA (c)  1.4431  3/15/2050   241,570 
 716,057   WFRBS Commercial Mortgage Trust 2012-C8 XA (b,c)  1.9079  8/15/2045   48,195 
 860,120   WFRBS Commercial Mortgage Trust 2012-C9 XA (b,c)  2.0761  11/15/2045   60,791 
 962,808   WFRBS Commercial Mortgage Trust 2014-C21 XA (c)  1.2831  8/15/2047   49,020 
               46,984,486 
     COMMERCIAL SERVICES - 0.3%           
 900,000   Adani Ports & Special Economic Zone Ltd.  3.5000  7/29/2020   909,284 
 999,959   ENA Norte Trust  4.9500  4/25/2028   1,039,957 
 80,000   Prime Security Services Borrower LLC / Prime Finance, Inc. (b)  9.2500  5/15/2023   88,800 
 65,000   S&P Global, Inc.  4.4000  2/15/2026   70,428 
               2,108,469 
     COMPUTERS - 0.0% *           
 40,000   Riverbed Technology, Inc. (b)  8.8750  3/1/2023   37,750 
                 
     DIVERSIFIED FINANCIAL SERVICES - 0.6%           
 150,000   Ally Financial, Inc.  4.1250  3/30/2020   153,000 
 300,000   American Express Credit Corp.  2.5000  8/1/2022   296,379 
 290,000   Discover Financial Services  4.1000  2/9/2027   297,056 
 500,000   Fondo Mivivienda SA  3.3750  4/2/2019   504,375 
 150,000   Fondo Mivivienda SA  3.5000  1/31/2023   150,585 
 164,279   Interoceanica IV Finance Ltd. **  —  11/30/2018   161,404 
 295,000   National Rural Utilities Cooperative Finance Corp.  2.3000  11/15/2019   295,813 
 80,000   NFP Corp. (b)  6.8750  7/15/2025   80,600 

 

See accompanying notes to consolidated financial statements.

10

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     DIVERSIFIED FINANCIAL SERVICES - 0.6% (Continued)           
$102,206   Peru Enhanced Pass-Through Finance Ltd. **  —  5/31/2018  $100,302 
 1,000,000   SPARC EM SPC Panama Metro Line 2 SP **  —  12/5/2022   917,500 
 200,000   SPARC EM SPC Panama Metro Line 2 SP (b) **  —  12/5/2022   183,500 
 145,000   Synchrony Financial  3.0000  8/15/2019   146,008 
 480,000   Synchrony Financial  3.9500  12/1/2027   477,981 
               3,764,503 
     ELECTRIC - 0.4%           
 200,000   AES Andres BV / Dominican Power Partners / Empresa Generadora de Electricidad It (b)  7.9500  5/11/2026   216,500 
 125,000   American Electric Power Co., Inc.  2.1500  11/13/2020   124,418 
 50,000   American Electric Power Co., Inc.  3.2000  11/13/2027   49,645 
 175,000   Berkshire Hathaway Energy Co.  6.5000  9/15/2037   245,428 
 245,000   Consolidated Edison, Inc.  2.0000  3/15/2020   243,665 
 300,000   Engie Energia Chile SA  5.6250  1/15/2021   324,154 
 158,000   Exelon Corp.  3.4000  4/15/2026   158,053 
 155,000   Fortis, Inc.  2.1000  10/4/2021   151,299 
 200,000   Grupo Energia Bogota SA ESP  6.1250  11/10/2021   203,750 
 200,000   Israel Electric Corp. Ltd.  5.6250  6/21/2018   202,500 
 75,000   NextEra Energy Capital Holdings, Inc.  3.5500  5/1/2027   76,398 
 90,000   NextEra Energy Operating Partners LP (b)  4.5000  9/15/2027   89,550 
 85,000   Southern Co.  1.8500  7/1/2019   84,486 
 470,000   Southern Co.  2.4500  9/1/2018   471,367 
 200,000   SP PowerAssets Ltd.  2.7000  9/14/2022   199,176 
               2,840,389 
     ELECTRONICS - 0.0% *           
 305,000   Arrow Electronics, Inc.  3.8750  1/12/2028   304,086 
                 
     ENGINEERING & CONSTRUCTION - 0.0% *           
 50,000   Brand Industrial Services, Inc. (b)  8.5000  7/15/2025   52,500 
 300,000   OAS Financial Ltd. (b,f) **  —  12/31/2049   14,250 
               66,750 
     ENTERTAINMENT - 0.1%           
 80,000   Eldorado Resorts, Inc.  6.0000  4/1/2025   83,600 
 65,000   GLP Capital LP / GLP Financing II, Inc.  5.3750  4/15/2026   69,713 
 100,000   Pinnacle Entertainment, Inc.  5.6250  5/1/2024   107,000 
 85,000   Six Flags Entertainment Corp. (b)  4.8750  7/31/2024   86,275 
               346,588 
     FOOD - 0.3%           
 80,000   B&G Foods, Inc.  5.2500  4/1/2025   81,372 
 355,000   General Mills, Inc.  2.2000  10/21/2019   354,910 
 600,000   Grupo Bimbo SAB de CV  4.8750  6/30/2020   634,902 
 60,000   JBS USA LLC / JBS USA Finance, Inc. (b)  7.2500  6/1/2021   60,975 
 5,000   JBS USA LLC / JBS USA Finance, Inc. (b)  7.2500  6/1/2021   5,082 
 290,000   Kroger Co.  6.1500  1/15/2020   311,590 
 210,000   Kroger Co.  3.4000  4/15/2022   214,957 
 85,000   Pilgrim’s Pride Corp. (b)  5.7500  3/15/2025   87,869 
 85,000   Post Holdings, Inc. (b)  5.5000  3/1/2025   87,975 
 150,000   Smithfield Foods, Inc. (b)  4.2500  2/1/2027   153,929 
 155,000   Sysco Corp.  3.2500  7/15/2027   154,478 
               2,148,039 
     FOREIGN GOVERNMENT - 1.8%           
 1,050,000   Chile Government International Bond  2.2500  10/30/2022   1,035,825 
 200,000   Chile Government International Bond  3.1250  1/21/2026   202,750 
 500,000   Chile Government International Bond  3.2500  9/14/2021   514,500 
 200,000   Costa Rica Government International Bond  9.9950  8/1/2020   230,000 
 800,000   Dominican Republic International Bond  7.5000  5/6/2021   873,000 
 200,000   Export-Import Bank of India  2.7500  4/1/2020   199,683 
 800,000   Export-Import Bank of India  3.1250  7/20/2021   803,470 
 200,000   Export-Import Bank of India  4.0000  1/14/2023   207,104 
 200,000   Indonesia Government International Bond  3.7000  1/8/2022   205,553 
 800,000   Indonesia Government International Bond  4.8750  5/5/2021   853,203 
 200,000   Israel Government International Bond  2.8750  3/16/2026   199,482 
 900,000   Israel Government International Bond  4.0000  6/30/2022   953,375 
 200,000   Malaysia Sovereign Sukuk Bhd  3.0430  4/22/2025   200,600 
 1,000,000   Mexico Government International Bond  3.6250  3/15/2022   1,039,000 
 50,000   Mexico Government International Bond  4.0000  10/2/2023   52,325 
 562,000   Mexico Government International Bond  4.1500  3/28/2027   582,794 
 200,000   Panama Government International Bond  4.0000  9/22/2024   212,700 
 200,000   Perusahaan Penerbit SBSN Indonesia III (b)  4.1500  3/29/2027   206,520 
 300,000   Perusahaan Penerbit SBSN Indonesia III  6.1250  3/15/2019   313,773 
 200,000   Philippine Government International Bond  3.7000  2/2/2042   198,635 
 1,400,000   Philippine Government International Bond  4.0000  1/15/2021   1,468,351 

 

See accompanying notes to consolidated financial statements.

11

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     FOREIGN GOVERNMENT - 1.8% (Continued)           
$200,000   Philippine Government International Bond  4.2000  1/21/2024  $217,223 
 500,000   Republic of Poland Government International Bond  5.1250  4/21/2021   541,270 
 750,000   Wakala Global Sukuk Bhd  4.6460  7/6/2021   799,725 
               12,110,861 
     FOREST PRODUCTS & PAPER - 0.1%           
 240,000   Georgia-Pacific LLC (b)  3.6000  3/1/2025   246,654 
 650,000   Inversiones CMPC SA  4.5000  4/25/2022   680,441 
               927,095 
     GAS - 0.0% *           
 35,000   NGL Energy Partners LP / NGL Energy Finance Corp.  7.5000  11/1/2023   36,138 
 50,000   NGL Energy Partners LP / NGL Energy Finance Corp. (b)  7.5000  11/1/2023   51,625 
               87,763 
     HEALTHCARE - PRODUCTS - 0.3%           
 45,000   Avantor, Inc. (b)  6.0000  10/1/2024   44,831 
 45,000   Avantor, Inc. (b)  9.0000  10/1/2025   44,325 
 225,000   Becton Dickinson and Co.  2.8940  6/6/2022   223,593 
 475,000   Medtronic Global Holdings SCA  1.7000  3/28/2019   473,028 
 410,000   Thermo Fisher Scientific, Inc.  2.1500  12/14/2018   410,563 
 85,000   Universal Hospital Services, Inc.  7.6250  8/15/2020   85,000 
 470,000   Zimmer Biomet Holdings, Inc.  2.7000  4/1/2020   470,228 
               1,751,568 
     HEALTHCARE - SERVICES - 0.1%           
 370,000   Anthem, Inc.  2.3000  7/15/2018   370,808 
 140,000   Anthem, Inc.  2.5000  11/21/2020   139,708 
 70,000   Centene Corp.  4.7500  1/15/2025   71,225 
 20,000   Polaris Intermediate Corp. (b)  8.5000  12/1/2022   20,750 
 85,000   Tenet Healthcare Corp.  8.1250  4/1/2022   86,487 
               688,978 
     HOUSEWARES - 0.1%           
 700,000   CK Hutchison International 17 Ltd. (b)  2.8750  4/5/2022   697,420 
 200,000   CK Hutchison International 17 Ltd.  2.8750  4/5/2022   199,263 
               896,683 
     HOME EQUITY ABS - 0.5%           
 270,464   Bayview Financial Acquisition Trust 2007-A 1A5 (e)  6.1010  5/28/2037   276,955 
 3,111,681   GSAA Home Equity Trust 2006-18 AF6 (e)  5.6816  11/25/2036   1,506,030 
 213,846   GSAA Home Equity Trust 2007-10 A1A  6.0000  11/25/2037   182,541 
 1,783,490   Nomura Home Equity Loan Trust Series 2007-1 2A2 (c)  1.4086  2/25/2037   1,538,992 
               3,504,518 
     HOUSEHOLD PRODUCTS / WARES - 0.0% *           
 85,000   Kronos Acquisition Holdings, Inc. (b)  9.0000  8/15/2023   79,475 
                 
     HOUSEWARES - 0.1%           
 77,000   Newell Brands, Inc.  2.6000  3/29/2019   77,263 
 270,000   Newell Brands, Inc.  3.1500  4/1/2021   273,021 
               350,284 
     INSURANCE - 0.3%           
 70,000   Alliant Holdings Intermediate LLC (b)  8.2500  8/1/2023   73,500 
 135,000   Athene Global Funding (b)  3.0000  7/1/2022   133,619 
 170,000   Berkshire Hathaway Finance Corp.  1.7000  3/15/2019   169,450 
 180,000   Liberty Mutual Group, Inc. (b)  6.5000  5/1/2042   240,190 
 430,000   New York Life Global Funding (b)  2.3000  6/10/2022   423,978 
 363,000   Nuveen Finance LLC (b)  2.9500  11/1/2019   366,470 
 500,000   Prudential Financial, Inc.  7.3750  6/15/2019   536,920 
 10,000   Radian Group, Inc.  4.5000  10/1/2024   10,245 
               1,954,372 
     INTERNET - 0.1%           
 110,000   Amazon.com, Inc. (b)  1.9000  8/21/2020   109,098 
 145,000   Amazon.com, Inc. (b)  4.0500  8/22/2047   156,269 
 30,000   Netflix, Inc. (b)  4.8750  4/15/2028   29,400 
 400,000   Tencent Holdings Ltd.  2.8750  2/11/2020   402,280 
               697,047 
     INVESTMENT COMPANIES - 0.1%           
 500,000   Temasek Financial I Ltd.  2.3750  1/23/2023   493,651 
                 
     IRON / STEEL - 0.0% *           
 105,000   Vale Overseas Ltd.  5.8750  6/10/2021   114,345 
                 
     LEISURE TIME - 0.1%           
 35,000   Constellation Merger Sub, Inc. (b)  8.5000  9/15/2025   34,125 
 155,000   Royal Caribbean Cruises Ltd.  3.7000  3/15/2028   153,593 
 85,000   Viking Cruises Ltd. (b)  5.8750  9/15/2027   86,487 
               274,205 

 

See accompanying notes to consolidated financial statements.

12

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     LODGING - 0.1%           
$85,000   CRC Escrow Issuer LLC / CRC Finco, Inc. (b)  5.2500  10/15/2025  $85,638 
 200,000   Gohl Capital Ltd.  4.2500  1/24/2027   205,105 
 50,000   Hilton Domestic Operating Co., Inc. (b)  4.2500  9/1/2024   50,500 
 20,000   Hilton Domestic Operating Co., Inc.  4.2500  9/1/2024   20,200 
               361,443 
     MACHINERY - CONSTRUCTION & MINING - 0.1%           
 75,000   BlueLine Rental Finance Corp / BlueLine Rental LLC (b)  9.2500  3/15/2024   80,062 
 245,000   Caterpillar Financial Services Corp.  1.7000  6/16/2018   244,860 
 415,000   Caterpillar Financial Services Corp.  2.1000  1/10/2020   414,140 
               739,062 
     MEDIA - 0.1%           
 40,000   CCO Holdings, LLC / CCO Holdings Capital Corp. (b)  5.0000  2/1/2028   38,900 
 60,000   Cengage Learning, Inc. (b)  9.5000  6/15/2024   54,300 
 290,000   Charter Communications Operating LLC / Charter Communications Operating Capital  4.9080  7/23/2025   308,324 
 130,000   Comcast Corp.  4.4000  8/15/2035   142,128 
 295,000   Comcast Corp.  5.1500  3/1/2020   312,648 
               856,300 
     MULTI - NATIONAL - 0.1%           
 500,000   Banco Latinoamericano de Comercio Exterior SA  3.2500  5/7/2020   505,625 
                 
     MUNICIPAL - 0.4%           
 5,400,000   Commonwealth of Puerto Rico (f)  8.0000  7/1/2035   1,282,500 
 60,000   North Texas Municipal Water District Water System Revenue  5.0000  9/1/2035   70,948 
 1,405,000   Puerto Rico Commonwealth Government Employees Retirement System (f)  6.2000  7/1/2040   523,363 
 2,500,000   Puerto Rico Commonwealth Government Employees Retirement System (f)  6.3000  7/1/2043   931,250 
               2,808,061 
     OIL & GAS - 1.7%           
 900,000   Bharat Petroleum Corp Ltd.  4.6250  10/25/2022   949,860 
 370,000   BP Capital Markets PLC  1.6760  5/3/2019   368,053 
 145,000   BP Capital Markets PLC  1.7680  9/19/2019   144,177 
 175,000   Canadian Natural Resources Ltd.  2.9500  1/15/2023   174,216 
 400,000   CNOOC Finance 2012 Ltd.  3.8750  5/2/2022   412,305 
 600,000   CNOOC Finance 2015 Australia Pty Ltd.  2.6250  5/5/2020   598,504 
 200,000   CNOOC Finance 2015 USA LLC  3.5000  5/5/2025   201,581 
 900,000   CNPC General Capital Ltd.  3.9500  4/19/2022   932,985 
 200,000   CNPC HK Overseas Capital Ltd.  4.5000  4/28/2021   210,091 
 240,000   Delek & Avner Tamar Bond Ltd. (b)  3.8390  12/30/2018   239,981 
 480,000   Delek & Avner Tamar Bond Ltd. (b)  4.4350  12/30/2020   480,758 
 800,000   Indian Oil Corp Ltd.  5.6250  8/2/2021   868,158 
 200,000   Indian Oil Corp Ltd.  5.7500  8/1/2023   222,788 
 50,000   MEG Energy Corp. (b)  7.0000  3/31/2024   42,188 
 1,000,000   ONGC Videsh Ltd.  3.2500  7/15/2019   1,005,400 
 200,000   ONGC Videsh Vankorneft Pte Ltd.  3.7500  7/27/2026   199,002 
 75,000   Petroleos Mexicanos  6.7500  9/21/2047   78,289 
 200,000   Petronas Capital Ltd.  3.1250  3/18/2022   202,143 
 800,000   Petronas Global Sukuk Ltd.  2.7070  3/18/2020   800,626 
 75,000   Phillips 66  5.8750  5/1/2042   95,453 
 40,000   QEP Resources, Inc.  5.2500  5/1/2023   40,474 
 40,000   QEP Resources, Inc.  5.6250  3/1/2026   40,550 
 250,000   Reliance Holding USA, Inc.  4.5000  10/19/2020   261,379 
 650,000   Reliance Holding USA, Inc.  5.4000  2/14/2022   705,977 
 95,000   Sanchez Energy Corp.  6.1250  1/15/2023   80,275 
 800,000   Sinopec Group Overseas Development 2015 Ltd.  2.5000  4/28/2020   795,782 
 200,000   Sinopec Group Overseas Development 2016 Ltd.  2.7500  9/29/2026   189,792 
 200,000   Sinopec Group Overseas Development 2017 Ltd. (b)  3.0000  4/12/2022   199,698 
 355,000   Valero Energy Corp.  6.6250  6/15/2037   467,859 
 30,000   Vine Oil & Gas LP / Vine Oil & Gas Finance Corp (b)  8.7500  4/15/2023   29,100 
 40,000   Whiting Petroleum Corp. (b)  6.6250  1/15/2026   40,800 
               11,078,244 
     OIL & GAS SERVICES - 0.0% *           
 85,000   Schlumberger Holdings Corp. (b)  2.3500  12/21/2018   85,191 
                 
     OTHER ABS - 14.2%           
 2,000,000   AIMCO CLO Series 2015-AA AR 3 Month LIBOR + 0.85 (b,c)  —  1/15/2028   2,000,000 
 1,723,616   Ajax Mortgage Loan Trust 2016-C A (b,e)  4.0000  10/25/2057   1,735,815 
 500,000   ALM VII R Ltd. CR 3 Month LIBOR + 4.04 (b,c)  5.3992  10/15/2028   516,438 
 500,000   Anchorage Capital CLO 5 Ltd. 2014-5A AR 3 Month LIBOR + 1.15 (b,c)  2.4644  10/15/2026   500,000 
 500,000   Anchorage Capital CLO 5 Ltd. 2014-5RA A 3 Month LIBOR + 0.99 (b,c)  —  1/15/2030   500,000 
 1,000,000   Annisa CLO Ltd. 2016-2 2016-2 B 3 Month LIBOR + 2.10 (b,c)  3.4626  7/20/2028   1,008,440 
 2,065,000   Apidos CLO XVI 2013-16A A1R 3 Month LIBOR + 0.98 (b,c)  2.2861  1/19/2025   2,068,949 
 250,000   Apidos CLO XVIII 2014-18A D 3 Month LIBOR + 5.20 (b,c)  6.5625  7/22/2026   251,299 
 625,000   Arbor Realty Collateralized Loan Obligation 2015-FL2 Ltd. 3 Month LIBOR + 5.00 (b,c)  6.2503  9/15/2025   630,871 

 

See accompanying notes to consolidated financial statements.

13

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     OTHER ABS - 14.2% (Continued)           
$826,002   Arcadia Receivables Credit Trust 2017-1 A (b)  3.2500  6/15/2023  $828,410 
 2,446,945   Atrium X AR 3 Month LIBOR + 0.95 (b,c)  2.2644  7/16/2025   2,453,590 
 354,697   Avant Loans Funding Trust 2017-A A (b)  2.4100  3/15/2021   354,933 
 1,000,000   Avery Point VII CLO 2015-7A A1 Ltd. 3 Month LIBOR + 1.50 (b,c)  2.8592  1/15/2028   1,010,201 
 500,000   BlueMountain CLO 2013-1 Ltd. CR 3 Month LIBOR + 4.15 (b,c)  5.4569  1/20/2029   510,316 
 3,500,000   BlueMountain CLO Ltd. 2015-3 Ltd. A1 3 Month LIBOR + 1.48 (b,c)  2.7869  10/20/2027   3,507,044 
 500,000   Canyon Capital CLO 2017-1A D Ltd. 3 Month LIBOR + 3.60 (b,c)  4.8553  7/15/2030   509,369 
 1,000,000   Carlyle Global Market Strategies CLO 2015-1 Ltd. 3 Month LIBOR + 1.00 (b,c)  2.3036  4/20/2027   999,895 
 500,000   CENT CLO 19 Ltd. 2013-19A A1A 3 Month LIBOR + 1.33 (b,c)  2.7080  10/29/2025   500,812 
 2,996,272   CIM TRUST  3.0000  12/25/2065   2,997,939 
 2,000,000   CIM TRUST  9.9638  2/27/2056   1,870,294 
 2,000,000   CIM TRUST  12.3161  7/26/2055   1,823,872 
 1,326,877   Citicorp Residential Mortgage Trust Series 2007-2 A4 (e)  5.2414  6/25/2037   1,347,807 
 995,000   Coinstar Funding LLC Series 2017-1 A2 (b)  5.2160  4/25/2047   1,033,260 
 218,041   Consumer Credit Origination Loan Trust 2015-1 B (b)  5.2100  3/15/2021   218,434 
 331,003   Consumer Installment Loan Trust Series 2016-LD1 A (b)  3.9600  7/15/2022   331,794 
 10,570   Countrywide Asset-Backed Certificates 2005-15 1AF6 (c)  4.4229  4/25/2036   10,682 
 1,000,000   Crown Point CLO II 2013-2A A1LR Ltd. 3 Month LIBOR + 0.59 (b,c)  1.9492  12/31/2023   1,000,477 
 250,000   Dorchester Park CLO Ltd. 2015-1A C 3 Month LIBOR + 3.20 (b,c)  4.5626  1/20/2027   251,229 
 250,000   Dorchester Park CLO Ltd. 2015-1A D 3 Month LIBOR + 3.55 (b,c)  4.9126  1/20/2027   250,955 
 750,000   Eagle I Ltd. 2014-1A A1 (b)  2.5700  12/15/2039   746,032 
 250,000   Flatiron CLO Ltd. 2014-1A C 3 Month LIBOR + 3.30 (b,c)  4.6533  7/17/2026   250,517 
 989,421   GCAT 2017-5 LLC A1 (b,e)  3.2282  7/25/2047   990,016 
 792,750   GoldentTree Loan Management US CLO 1 Ltd X 3 Month LIBOR + 0.80 (b,c)  2.1069  4/20/2029   793,997 
 250,000   Halcyon Loan Advisors Funding 2013-2 Ltd. C 3 Month LIBOR + 2.70 (b,c)  4.0768  8/1/2025   250,007 
 250,000   Halcyon Loan Advisors Funding 2013-2 Ltd. D 3 Month LIBOR + 3.80 (b,c)  5.1768  8/1/2025   248,468 
 300,000   Halcyon Loan Advisors Funding 2014-1 Ltd. A1 3 Month LIBOR + 1.13 (b,c)  2.4248  4/18/2026   300,055 
 2,000,000   Halcyon Loan Advisors Funding 2015-3 Ltd. A1R 3 Month LIBOR + 0.90 (b,c) **  —  10/18/2027   2,000,000 
 1,375,000   Jamestown CLO III Ltd 2013-3A A1AR 3 Month LIBOR + 1.14 (b,c)  2.4544  1/15/2026   1,378,630 
 2,000,000   Jamestown CLO IV Ltd. 2014-4A A1A 3 Month LIBOR + 0.69 (b,c)  2.0492  7/15/2026   1,997,366 
 1,000,000   Jamestown CLO IX Ltd. 2016-9A A1A 3 Month LIBOR + 1.57 (b,c)  2.9326  10/20/2028   1,006,587 
 2,000,000   Jamestown CLO IX Ltd. 2016-9A A1B  2.8069  10/20/2028   2,018,201 
 2,000,854   JP Morgan Mortgage Acquisition Trust 2006-RM1 A5 1 Month LIBOR + 0.24 (c)  1.5686  8/25/2036   1,259,855 
 1,885,417   Labrador Aviation Finance Ltd. 2016-1A (b)  5.6820  1/15/2042   1,897,454 
 750,000   LCM XVI LP 16A A 3 Month LIBOR + 1.03 (b,c)  2.3892  7/15/2026   751,310 
 144,504   LendingClub Issuance Trust Series 2016-NP1 A (b)  3.0000  1/17/2023   144,684 
 1,000,000   Magnetite XII Ltd. 2015-12A AR 3 Month LIBOR + 1.33 (b,c)  2.6892  4/15/2027   1,002,329 
 691,834   Marlette Funding Trust 2017-2 A (b)  2.3900  7/15/2024   691,977 
 1,262,693   Mill City Mortgage Loan Trust 2017-1 A1 (b,c)  2.7500  11/25/2058   1,253,846 
 219,868   Mosaic Solar Loans 2017-1 LLC A (b)  4.4500  6/20/2042   224,333 
 737,256   Nationstar HECM Loan Trust 2016-2 A (b,c)  2.2394  6/25/2026   735,874 
 189,939   NewMark Capital Funding 2013-1A A2 Ltd. 3 Month LIBOR + 1.12 (b,c)  2.4361  6/2/2025   190,166 
 500,000   Octagon Investment Partners XIV Ltd. 2012-1A CR 3 Month LIBOR + 4.00 (b,c)  5.3592  7/15/2029   512,369 
 1,000,000   Octagon Loan Funding Ltd. 2014-1A A1R 3 Month LIBOR + 1.14 (b,c)  2.4567  11/18/2026   1,005,400 
 1,000,000   OneMain Financial Issuance Trust 2015-1A (b)  3.1900  3/18/2026   1,005,112 
 1,000,000   Oportun Funding IV LLC 2016-C A (b)  3.2800  11/8/2021   1,000,600 
 1,597,694   Palmer Square CLO 2013-1 Ltd. A1R (b,c)  2.3859  5/15/2025   1,599,714 
 1,000,000   Palmer Square CLO 2014-1 Ltd. A1R 3 Month LIBOR + 1.37 (b,c)  2.7233  1/17/2027   1,006,351 
 851,333   Pretium Mortgage Credit Partners I 2017-NPL2 LLC A1 (b,e)  3.2500  3/28/2057   852,078 
 990,472   Progress Residential 2016-SFR1 Trust A 3 Month LIBOR + 1.50 (b,c)  2.7660  9/17/2033   1,001,612 
 3,320,000   Race Point IX CLO 2015-9A A1AR Ltd. 3 Month LIBOR + 1.21 (b,c)  2.5603  10/15/2030   3,340,793 
 75,624   RAMP Series 2006-RS4 A3 Trust 1 Month LIBOR + 0.17 (c)  1.4986  7/25/2036   75,454 
 971,349   SCF Equipment Leasing 2017-2A A LLC (b)  3.4100  12/20/2023   967,139 
 423,671   Sierra Timeshare 2016-2 Receivables Funding LLC (b)  2.3300  7/20/2033   420,480 
 970,566   Sierra Timeshare 2016-3 Receivables Funding LLC (b)  2.4300  10/20/2033   965,096 
 562,841   Sofi Consumer Loan Program 2016-3 A LLC  3.0500  12/26/2025   565,724 
 828,660   Sofi Consumer Loan Program 2017-5 A1 LLC (b)  2.1400  9/25/2026   826,496 
 708,698   Sofi Consumer Loan Program 2017-6 A1 LLC (b)  2.2000  11/25/2026   707,381 
 375,000   Sofi Consumer Loan Program 2017-6 A2 LLC (b)  2.8200  11/25/2026   374,711 
 1,687,306   SpringCastle America Funding LLC 2016-AA A (b)  3.0500  4/25/2029   1,693,134 
 1,000,000   Springleaf Funding Trust 2016-A (b)  2.9000  11/15/2029   1,001,474 
 1,452,873   Symphony CLO VIII LP 2012-8A AR 3 Month LIBOR + 1.10 (b,c)  2.4503  1/9/2023   1,454,269 
 2,000,000   TES 2017-1A B LLC (b)  7.7400  10/20/2047   2,020,000 
 1,000,000   Upstart Securitization Trust 2017-2 A (b)  2.5080  3/20/2025   999,092 
 1,563,286   Velocity Commercial Capital Loan Trust 2016-2 AFX (c)  2.9969  10/25/2046   1,564,845 
 1,310,226   Velocity Commercial Capital Loan Trust 2017-1 AFX (b,c)  3.0000  5/25/2047   1,309,699 
 989,933   Velocity Commercial Capital Loan Trust 2017-2 AFX (b,c)  3.0700  11/25/2047   993,578 
 3,125,000   Venture XVII CLO Ltd. 2014-17A A 3 Month LIBOR + 0.33 (b,c)  1.6369  1/20/2022   3,101,895 
 1,000,000   Venture XVII CLO Ltd. 2014-17A AR 3 Month LIBOR + 1.08 (b,c)  2.3748  7/15/2026   1,000,061 
 250,000   Venture XVII CLO Ltd 2014-17A B2R 3 Month LIBOR + 1.60 (b,c)  2.8948  7/15/2026   250,012 
 1,000,000   Venture XXIII CLO Ltd 2016-23A 3 Month LIBOR + 1.65 (b,c)  2.3048  7/19/2028   1,003,911 

 

See accompanying notes to consolidated financial statements.

14

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     OTHER ABS - 14.2% (Continued)           
$1,000,000   Vibrant CLO V Ltd. 2016-5A 3 Month LIBOR + 1.55 (b,c)  2.9126  1/20/2029  $1,012,874 
 397,994   VOLT LVIII LLC 2017-NPL5 A1 (b,e)  3.3750  5/27/2047   398,583 
 1,352,722   VOLT LX LLC 2017-NPL7 A1 (b,e)  3.2500  4/25/2059   1,355,100 
 702,138   VOLT LXI LLC 2017-NPL8 A1 (b,e)  3.1250  6/25/2047   702,426 
 2,000,000   VOLT LXIII LLC 2017-NP10 A1 (b,e)  3.0000  10/25/2047   1,996,986 
 899,182   Voya CLO 2013-2A A1 Ltd. 3 Month LIBOR + 1.15 (b,c)  2.5174  4/25/2025   901,826 
 301,645   Wasatch Ltd. 06-1A Cl A1B 3 Month LIBOR + 0.24 (b,c)  1.6529  11/14/2022   301,605 
 2,587,872   Washington Mutural Asset-Backed Certificates WMABS Series 2006-HE5 Trust 1A 1 Month LIBOR + 0.17 (c)  1.4975  11/25/2036   1,232,923 
 1,000,000   Zais CLO 2 Ltd.2014-2A A1A 3 Month LIBOR + 1.20 (b,c)  2.5674  7/25/2026   1,002,654 
               92,678,286 
     PACKAGING & CONTAINERS - 0.1%           
 700,000   Packaging Corp. of America  2.4500  12/15/2020   700,982 
 45,000   Plastipak Holdings, Inc. (b)  6.2500  10/15/2025   46,012 
               746,994 
     PHARMACEUTICALS - 0.3%           
 129,000   AbbVie, Inc.  4.7000  5/14/2045   144,644 
 151,000   Allergan Funding SCS  2.3500  3/12/2018   151,120 
 275,000   AstraZeneca PLC  2.3750  11/16/2020   274,583 
 75,000   AstraZeneca PLC  2.3750  6/12/2022   74,111 
 541,000   Cardinal Health, Inc.  1.9480  6/14/2019   537,673 
 318,000   McKesson Corp.  2.2840  3/15/2019   318,061 
 140,000   Shire Acquisitions Investments Ireland DAC  2.8750  9/23/2023   137,630 
 320,000   Teva Pharmaceutical Finance Netherlands III BV  2.8000  7/21/2023   278,659 
 70,000   Valeant Pharmaceuticals International, Inc. (b)  5.5000  11/1/2025   71,225 
               1,987,706 
     PIPELINES - 0.3%           
 70,000   Cheniere Energy Partners LP (b)  5.2500  10/1/2025   71,225 
 100,000   Enable Midstream Partners LP  4.4000  3/15/2027   101,687 
 20,000   Energy Transfer LP  4.2000  4/15/2027   19,896 
 95,000   Energy Transfer LP  4.7500  1/15/2026   98,561 
 235,000   Kinder Morgan Energy Partners LP  6.9500  1/15/2038   292,186 
 345,000   Kinder Morgan, Inc.  3.0500  12/1/2019   348,022 
 270,000   Sabine Pass Liquefaction LLC  5.0000  3/15/2027   289,731 
 400,000   Transportadora de Gas Internacional SA ESP  5.7000  3/20/2022   410,200 
 70,000   Williams Partners LP  3.7500  6/15/2027   70,145 
               1,701,653 
     REITS - 0.1%           
 160,000   Boston Properties LP  4.1250  5/15/2021   167,225 
 150,000   Crown Castle International Corp.  3.6500  9/1/2027   149,633 
 85,000   ESH Hospitality, Inc. (b)  5.2500  5/1/2025   85,850 
 365,000   Simon Property Group LP  2.2000  2/1/2019   365,356 
 150,000   Simon Property Group LP  2.7500  6/1/2023   149,543 
               917,607 
     RETAIL - 0.2%           
 80,000   Beacon Escrow Corp. (b)  4.8750  11/1/2025   80,300 
 200,000   CK Hutchison International 17 II Ltd. (b)  2.7500  3/29/2023   196,186 
 685,000   CVS Health Corp.  2.8000  7/20/2020   687,853 
 85,000   New Red Finance, Inc. (b)  4.2500  5/15/2024   84,787 
 25,000   PetSmart, Inc. (b)  5.8750  6/1/2025   19,188 
 45,000   PetSmart, Inc. (b)  7.1250  3/15/2023   26,662 
 300,000   SACI Falabella  3.7500  4/30/2023   307,225 
               1,402,201 
     SEMICONDUCTORS - 0.1%           
 140,000   Applied Materials, Inc.  4.3500  4/1/2047   157,050 
 475,000   QUALCOMM, Inc.  2.1000  5/20/2020   473,002 
               630,052 
     SOFTWARE - 0.2%           
 56,772   Fidelity National Information Services, Inc.  3.6250  10/15/2020   58,331 
 75,000   Genesys Telecommunications Laboratories, Inc./Greeneden Lux 3 Sarl/Greeneden US Ho (b)  10.0000  11/30/2024   81,938 
 160,000   Microsoft Corp.  4.4500  11/3/2045   187,535 
 270,000   Oracle Corp.  4.1250  5/15/2045   291,204 
 20,000   Solera LLC / Solera Finance, Inc. (b)  10.5000  3/1/2024   22,500 
 20,000   Solera LLC / Solera Finance, Inc. (b)  10.5000  3/1/2024   22,500 
 50,000   Sophia LP / Sophia Finance, Inc. (b)  9.0000  9/30/2023   52,875 
 425,000   VMware, Inc.  2.3000  8/21/2020   422,590 
 275,000   VMware, Inc.  2.9500  8/21/2022   274,231 
               1,413,704 
     STUDENT LOAN ABS - 0.6%           
 815,491   Access Lex Institute (c)  2.0121  2/25/2037   780,938 
 1,000,000   Commonbond Student Loan Trust 2017-BGS C (b)  4.4400  9/25/2042   997,181 
 12,000   Earnest Student Loan Program 2016-D LLC (b)  —  1/25/2041   993,600 
 422,821   Earnest Student Loan Program 2017-A LLC (b)  2.6500  1/25/2041   420,652 
 1,016,878   Sofi Professional Loan Program 2017-B LLC (b)  1.8300  5/25/2040   1,014,043 
               4,206,414 

 

See accompanying notes to consolidated financial statements.

15

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		      Yield  Maturity  Value 
     TECHNOLOGY - 0.1%           
$700,000   AXIATA SPV2 BHD  3.4660  11/19/2020  $708,632 
                 
     TELECOMMUNICATIONS - 0.8%           
 800,000   America Movil SAB de CV  5.0000  3/30/2020   843,152 
 235,000   AT&T, Inc.  2.8000  2/17/2021   236,040 
 380,000   AT&T, Inc.  5.2500  3/1/2037   401,897 
 300,000   Axiata SPV2 Bhd  3.4660  11/19/2020   303,700 
 700,000   Bharti Airtel Inernational Netherlands BV  5.1250  3/11/2023   741,852 
 635,000   British Telecommunications PLC  5.9500  1/15/2018   635,850 
 20,000   CB Escrow Corp. (b)  8.0000  10/15/2025   20,300 
 55,000   Cincinnati Bell, Inc. (b)  7.0000  7/15/2024   54,587 
 200,000   Digicel Group Ltd.  7.1250  4/1/2022   185,202 
 40,000   Frontier Communications Corp.  8.5000  4/15/2020   33,200 
 50,000   GTT Communications, Inc. (b)  7.8750  12/31/2024   52,750 
 55,000   Intelsat Jackson Holdings SA  7.2500  10/15/2020   51,700 
 80,000   Level 3 Financing, Inc.  5.3750  1/15/2024   79,900 
 451,000   Orange SA  2.7500  2/6/2019   453,493 
 200,000   SingTel Group Treasury Pte Ltd.  4.5000  9/8/2021   212,440 
 400,000   Telefonica Celular del Paraguay S.A.  6.7500  12/13/2022   410,204 
 80,000   Telesat Canada / Telesat LLC (b)  8.8750  11/15/2024   89,600 
 130,000   Verizon Communications, Inc.  4.4000  11/1/2034   132,475 
               4,938,342 
     TEXTILES - 0.1%           
 635,000   Cintas Corp. No. 2  2.9000  4/1/2022   640,686 
                 
     TOYS/GAMES/HOBBIES - 0.0% *           
 40,000   Hasbro, Inc.  3.5000  9/15/2027   39,092 
                 
     TRANSPORTATION - 0.2%           
 150,000   Burlington Northern Santa Fe LLC  4.5500  9/1/2044   171,742 
 165,000   CSX Corp.  3.8000  11/1/2046   164,057 
 140,000   FedEx Corp.  4.7500  11/15/2045   156,769 
 700,000   PSA International Pte Ltd.  4.6250  9/11/2019   734,337 
               1,226,905 
     TRUCKING & LEASING - 0.1%           
 80,000   DAE Funding LLC (b)  5.0000  8/1/2024   79,000 
 285,000   Penske Truck Leasing Co. Lp / PTL Finance Corp. (b)  4.2000  4/1/2027   296,245 
               375,245 
     U.S. GOVERNMENT AGENCY OBLIGATIONS - 1.4%           
 175,007   Fannie Mae Pool AL4292 (d)  4.5000  4/1/2026   184,740 
 628,045   Fannie Mae Pool AS4281 (d)  3.0000  1/1/2035   639,968 
 1,114,578   Fannie Mae Pool AS4360 (d)  3.0000  1/1/2035   1,135,735 
 756,629   Fannie Mae Pool AS4645 (d)  3.0000  3/1/2045   757,944 
 880,213   Fannie Mae Pool AS7661 (d)  3.0000  8/1/2046   876,247 
 49,400   Fannie Mae Pool MA1050 (d)  4.5000  3/1/2042   51,537 
 1,465,570   Fannie Mae Pool MA2737 (d)  3.0000  12/31/2049   1,467,975 
 997,072   Freddie Mac Gold Pool G08622 (d)  3.0000  1/1/2045   997,988 
 1,275,644   Freddie Mac Gold Pool G08721 (d)  3.0000  8/1/2046   1,277,410 
 231,252   Freddie Mac Gold Pool N70081 (d)  5.5000  7/1/2038   252,251 
 302,124   Freddie Mac Gold Pool Q13637 (d)  3.0000  11/1/2042   303,805 
 309,563   Freddie Mac Gold Pool Q13638 (d)  3.0000  11/1/2042   311,285 
 916,499   Freddie Mac Gold Pool V83144 (d)  4.0000  4/1/2047   958,501 
               9,215,386 
     TREASURY SECURITIES - 6.8%           
 1,335,000   United States Treasury Bond  2.7500  11/15/2042   1,343,448 
 1,490,000   United States Treasury Bond  2.8750  8/15/2045   1,528,065 
 870,000   United States Treasury Bond  3.6250  8/15/2043   1,015,385 
 3,628,294   United States Treasury Inflation Indexed Note  0.1250  4/15/2018   3,867,056 
 1,795,818   United States Treasury Inflation Indexed Note  0.1250  4/15/2022   1,808,600 
 395,000   United States Treasury Note  0.7500  8/31/2018   392,593 
 3,850,000   United States Treasury Note  0.7500  10/31/2018   3,818,268 
 4,700,000   United States Treasury Note  0.8750  3/31/2018   4,694,132 
 4,200,000   United States Treasury Note  0.8750  5/31/2018   4,190,484 
 500,000   United States Treasury Note  1.0000  3/15/2018   499,649 
 760,000   United States Treasury Note  1.1250  1/15/2019   754,478 
 530,000   United States Treasury Note  1.1250  9/30/2021   511,388 
 1,510,000   United States Treasury Note  1.2500  11/30/2018   1,502,627 
 1,490,000   United States Treasury Note  1.2500  10/31/2021   1,443,438 
 1,260,000   United States Treasury Note  1.7500  11/30/2021   1,242,429 
 1,520,000   United States Treasury Note  1.7500  3/31/2022   1,495,063 
 1,260,000   United States Treasury Note  1.8750  1/31/2022   1,246,908 

 

See accompanying notes to consolidated financial statements.

16

 

Altegris Futures Evolution Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Principal Amount
($)		         Yield  Maturity  Value 
     TREASURY SECURITIES - 6.8% (Continued)              
$1,050,000   United States Treasury Note     1.8750  8/31/2024  $1,021,740 
 3,650,000   United States Treasury Note     2.0000  8/31/2021   3,638,023 
 1,250,000   United States Treasury Note     2.0000  12/31/2021   1,243,652 
 3,600,000   United States Treasury Note     2.1250  9/30/2021   3,602,250 
 1,270,000   United States Treasury Note     2.1250  9/30/2024   1,254,026 
 1,030,000   United States Treasury Note     2.2500  10/31/2024   1,025,252 
 1,360,000   United States Treasury Note     2.2500  8/15/2027   1,340,875 
 430,000   United States Treasury Note     2.3750  5/15/2027   428,774 
                  44,908,603 
                    
     TOTAL BONDS & NOTES (Cost - $410,057,107)            406,998,422 
                    
     SHORT-TERM INVESTMENTS - 1.1%              
     U.S. TREASURY BILLS - 1.1%              
 5,710,000   United States Treasury Bill **     —  3/8/2018   5,696,828 
 1,520,000   United States Treasury Bill **     —  6/7/2018   1,510,481 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $7,207,309)     7,207,309 
                    
Contracts      Counterparty           
     PURCHASED OPTIONS - 23.8%              
 408,992   ISAM, August 2019, Call @  Nomura         41,844,292 
 511,818   WNTN, August 2019, Call @  Nomura         114,663,400 
     TOTAL PURCHASED OPTIONS (Cost - $149,346,120)      156,507,692 
                    
     TOTAL INVESTMENTS - 86.8% (Cost - $568,099,026) (g)     $571,082,643 
     OTHER ASSETS LESS LIABILITIES - 13.2%            86,697,085 
     TOTAL NET ASSETS - 100.0%           $657,779,728 

 

MBS - Mortgage Backed Security

 

ABS - Asset Backed Security

 

LIBOR - London Interbank Offered Rate

 

REIT - Real Estate Investment Trust

 

REMICS - Real Estate Mortgage Investment Conduits

 

* Represents a percentage less than 0.05%

 

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

 

(a) The value of these securities have been determined in good faith under the policies of the Board of Trustees at December 31, 2017.

 

(b) Securities exempt from registration under Rule 144A of Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. At December 31, 2017, these securities amounted to $134,359,842 or 20.4% of net assets.

 

(c) Variable rate security; the rate shown represents the rate at December 31, 2017.

 

(d) 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.

 

(e) Step-Up Bond; the interest rate shown is the rate in effect as of December 31, 2017.

 

(f) Security in default.

 

(g) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $568,359,911 and differs from market value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $14,890,391 
Unrealized Depreciation:   (11,906,774)
Net Unrealized Appreciation:  $2,983,617 

 

See accompanying notes to consolidated financial statements.

17

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
December 31, 2017

 

Principal              
Amount ($)      Yield (b)  Maturity  Value 
     SHORT-TERM INVESTMENT - 54.5%           
     U.S. TREASURY BILL - 54.5%           
$6,000,000   U.S. Treasury Bill  0.00%  1/25/2018  $5,995,275 
 22,700,000   U.S. Treasury Bill  0.00%  2/1/2018   22,679,671 
     TOTAL SHORT-TERM INVESTMENT (Cost - $28,674,946)         28,674,946 
                 
     TOTAL INVESTMENTS - 54.5% (Cost - $28,674,946) (c)        $28,674,946 
     OTHER ASSETS LESS LIABILITIES - 45.5%         23,920,051 
     TOTAL NET ASSETS - 100.0%        $52,594,997 

 

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

 

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

 

(c) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $28,674,946 and does not differ from market value.

 

    SHORT FUTURES CONTRACTS 
                Unrealized 
             Notional Value at  Appreciation/ 
Contracts   Issue  Counterparty  Expiration  December 31, 2017  (Depreciation) 
 118   90-Day Euro$ Future  Bank of America Merrill Lynch  March-19  28,849,525  $36,700 
 74   90-Day Sterling Future  Bank of America Merrill Lynch  December-18  12,415,343   (9,811)
 47   Australian 3 Year Bond Future  Bank of America Merrill Lynch  March-18  4,084,037   13,258 
 34   Bank Accept Future  Bank of America Merrill Lynch  December-18  6,635,081   18,354 
 46   Canadian 10 Year Bond Future  Bank of America Merrill Lynch  March-18  4,948,226   35,614 
 39   Cocoa Future (a)  Bank of America Merrill Lynch  March-18  737,880   (3,040)
 42   Cocoa Ice Future (a)  Bank of America Merrill Lynch  March-18  782,918   32,591 
 52   Coffee Future (a)  Bank of America Merrill Lynch  March-18  2,460,900   59,794 
 26   Coffee Robusta Future (a)  Bank of America Merrill Lynch  March-18  446,680   4,050 
 234   Corn Future (a)  Bank of America Merrill Lynch  March-18  4,103,775   32,375 
 14   Dollar Index Future  Bank of America Merrill Lynch  March-18  1,285,564   21,478 
 12   Euro Swiss Franc 3 Month Ice Future  Bank of America Merrill Lynch  September-18  3,098,820   (306)
 52   Hard Red Winter Wheat Future (a)  Bank of America Merrill Lynch  March-18  1,110,850   34,525 
 32   Japanese Yen Future  Bank of America Merrill Lynch  March-18  3,565,600   (6,956)
 1   Lead Future (a)  Bank of America Merrill Lynch  March-18  62,188   (6)
 90   Natural Gas Future (a)  Bank of America Merrill Lynch  January-18  2,657,700   (194,600)
 10   New Zealand Dollar Future  Bank of America Merrill Lynch  March-18  708,700   (10,450)
 25   Platinum Future (a)  Bank of America Merrill Lynch  April-18  1,172,875   (18,375)
 62   Silver Future (a)  Bank of America Merrill Lynch  March-18  5,314,950   (332,625)
 95   Soybean Future (a)  Bank of America Merrill Lynch  March-18  4,568,313   23,087 
 8   Soybean Oil Future (a)  Bank of America Merrill Lynch  March-18  159,648   384 
 11   Swiss Franc Future  Bank of America Merrill Lynch  March-18  1,419,963   (19,463)
 85   US 2 Year Note (CBT) Future  Bank of America Merrill Lynch  March-18  18,199,297   27,312 
 56   US 5 Year Note (CBT) Future  Bank of America Merrill Lynch  March-18  6,505,188   14,883 
 22   US 10 Year Note (CBT) Future  Bank of America Merrill Lynch  March-18  2,729,031   (2,172)
 6   US 10 Year Ultra Note Future  Bank of America Merrill Lynch  March-18  801,375   (4,406)
 81   Wheat (CBT) Future (a)  Bank of America Merrill Lynch  March-18  1,729,350   51,550 
 13   White Sugar (ICE) Future (a)  Bank of America Merrill Lynch  February-18  256,555   (15,425)
 2   WIG20 Index Future  Bank of America Merrill Lynch  March-18  28,249   219 
 122   World Sugar #11 (a)  Bank of America Merrill Lynch  February-18  2,071,462   (115,875)
                  (327,336)

 

See accompanying notes to consolidated financial statements.

18

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    LONG FUTURES CONTRACTS 
                Unrealized 
             Notional Value at  Appreciation/ 
Contracts   Issue  Counterparty  Expiration  December 31, 2017  (Depreciation) 
 103   3 Month Euro EURIBOR Future  Bank of America Merrill Lynch  December-18  30,994,834  $(8,231)
 45   90-Day Bank Bill Future  Bank of America Merrill Lynch  September-18  35,030,063   (5,296)
 14   Amsterdam Index Future  Bank of America Merrill Lynch  January-18  1,830,741   (24,395)
 26   Australian 10 Year Bond Future  Bank of America Merrill Lynch  March-18  2,626,544   (17,206)
 9   Australian Dollar Future  Bank of America Merrill Lynch  March-18  702,990   2,760 
 138   BIST National 30 Index Future  Bank of America Merrill Lynch  February-18  528,473   7,981 
 35   Brent Crude Oil Future (a)  Bank of America Merrill Lynch  January-18  2,340,450   119,140 
 27   British Pound Future  Bank of America Merrill Lynch  March-18  2,287,744   22,481 
 22   CAC 40 10 Euro Future  Bank of America Merrill Lynch  January-18  1,402,908   (20,567)
 34   Canadian Dollar Future  Bank of America Merrill Lynch  March-18  2,716,600   49,570 
 19   Canola (WCE) Future (a)  Bank of America Merrill Lynch  March-18  148,215   (8,280)
 3   Cattle Feeder Future (a)  Bank of America Merrill Lynch  March-18  214,013   (2,313)
 68   Copper Future (a)  Bank of America Merrill Lynch  March-18  5,610,850   245,088 
 29   Cotton No. 2 Future (a)  Bank of America Merrill Lynch  March-18  1,140,135   43,825 
 3   DAX Index Future  Bank of America Merrill Lynch  March-18  1,162,676   (19,431)
 30   DJIA Mini e-CBOT Future  Bank of America Merrill Lynch  March-18  3,710,250   69,555 
 28   E-Mini Russell 2000 Future  Bank of America Merrill Lynch  March-18  2,151,100   9,063 
 30   Euro-BOBL Future  Bank of America Merrill Lynch  March-18  4,741,122   (26,535)
 17   Euro-Bond Future  Bank of America Merrill Lynch  March-18  3,300,473   (27,566)
 41   Euro BTP Future  Bank of America Merrill Lynch  March-18  6,702,559   (161,454)
 5   Euro BUXL 30 Year Bond Future  Bank of America Merrill Lynch  March-18  983,816   (19,460)
 18   Euro FX Future  Bank of America Merrill Lynch  March-18  2,716,988   47,413 
 67   Euro OAT Future  Bank of America Merrill Lynch  March-18  12,484,799   (157,089)
 195   Euro-Schatz Future  Bank of America Merrill Lynch  March-18  26,219,639   (32,301)
 27   Euro STOXX 50 Future  Bank of America Merrill Lynch  March-18  1,132,487   (29,724)
 18   FTSE 100 Index Future  Bank of America Merrill Lynch  March-18  1,859,816   48,414 
 118   FTSE China A50 Index Future  Bank of America Merrill Lynch  January-18  1,562,615   (11,342)
 31   FTSE/JSE Top 40 Index Future  Bank of America Merrill Lynch  March-18  1,331,498   18,426 
 3   FTSE KLCI Index Future  Bank of America Merrill Lynch  January-18  66,160   418 
 8   FTSE/MIB Index Future  Bank of America Merrill Lynch  March-18  1,045,033   (40,084)
 22   Gasoline RBOB Future (a)  Bank of America Merrill Lynch  February-18  1,659,319   50,744 
 17   Gold 100 Oz. Future (a)  Bank of America Merrill Lynch  February-18  2,225,810   20,540 
 5   Hang Seng Index Future  Bank of America Merrill Lynch  January-18  957,748   9,468 
 8   H-Shares Index Future  Bank of America Merrill Lynch  January-18  600,207   1,535 
 3   IBEX 35 Index Future  Bank of America Merrill Lynch  January-18  360,990   (9,646)
 16   Japan 10 Year Bond Future  Bank of America Merrill Lynch  March-18  21,415,712   (6,946)
 23   KOSPI 200 Index Future  Bank of America Merrill Lynch  March-18  1,751,772   23,091 
 23   Lean Hogs Future (a)  Bank of America Merrill Lynch  February-18  660,330   38,700 
 1   Live Cattle Future (a)  Bank of America Merrill Lynch  February-18  48,620   (2,150)
 25   LME Aluminum Future (a)  Bank of America Merrill Lynch  March-18  1,419,688   126,425 
 12   LME Copper Future (a)  Bank of America Merrill Lynch  March-18  2,174,250   112,800 
 8   LME Nickel Future (a)  Bank of America Merrill Lynch  March-18  612,480   54,576 
 12   LME Zinc Future (a)  Bank of America Merrill Lynch  March-18  997,650   31,800 
 27   Long Gilt Future  Bank of America Merrill Lynch  March-18  4,571,378   11,202 
 41   Low Sulfur Gas Oil Future (a)  Bank of America Merrill Lynch  February-18  2,467,175   109,300 
 2   Mexican Peso Future  Bank of America Merrill Lynch  March-18  50,080   (1,200)
 21   Mini MSCI EAFE Index Future  Bank of America Merrill Lynch  March-18  2,147,775   21,495 
 35   Mini MSCI Emerging Market Index Future  Bank of America Merrill Lynch  March-18  2,036,475   64,315 
 71   MSCI Singapore Index Future  Bank of America Merrill Lynch  January-18  2,061,890   17,239 

 

See accompanying notes to consolidated financial statements.

19

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    LONG FUTURES CONTRACTS (Continued)    
                Unrealized 
             Notional Value at  Appreciation/ 
Contracts   Issue  Counterparty  Expiration  December 31, 2017  (Depreciation) 
 25   MSCI Taiwan Index Future  Bank of America Merrill Lynch  January-18  982,500  $17,970 
 22   NASDAQ 100 E-Mini Future  Bank of America Merrill Lynch  March-18  2,819,850   (6,401)
 9   Nikkei 225 (SGX) Index Future  Bank of America Merrill Lynch  March-18  908,988   10,014 
 26   NY Harbor ULSD Future (a)  Bank of America Merrill Lynch  February-18  2,258,365   132,884 
 51   OMXS30 Index Future  Bank of America Merrill Lynch  January-18  980,602   (23,990)
 14   Palladium Future (a)  Bank of America Merrill Lynch  March-18  1,485,400   116,165 
 28   S&P 500 E-mini Future  Bank of America Merrill Lynch  March-18  3,746,400   14,735 
 16   S&P Mid 400 E-mini Future  Bank of America Merrill Lynch  March-18  3,043,840   13,905 
 23   S&P/TSX 60 Index Future  Bank of America Merrill Lynch  March-18  3,514,937   8,096 
 90   SET50 Index Future  Bank of America Merrill Lynch  March-18  624,670   (3,385)
 82   SGX Nifty 50 Index Future  Bank of America Merrill Lynch  January-18  1,731,594   2,542 
 106   Short-Term Euro-BTP Future  Bank of America Merrill Lynch  March-18  14,388,285   (66,925)
 10   Soybean Meal Future (a)  Bank of America Merrill Lynch  March-18  316,800   (5,300)
 23   SPI 200 Index Future  Bank of America Merrill Lynch  March-18  2,707,414   (3,362)
 71   STOXX Europe 600 Index Future  Bank of America Merrill Lynch  March-18  1,648,015   (2,760)
 8   TOPIX Index Future  Bank of America Merrill Lynch  March-18  1,290,368   18,096 
 8   US Long Bond (CBT) Future  Bank of America Merrill Lynch  March-18  1,224,000   1,922 
 9   US Ultra Bond (CBT) Future  Bank of America Merrill Lynch  March-18  1,508,906   13,953 
 20   WIG20 Index Future (a)  Bank of America Merrill Lynch  March-18  282,491   3,063 
 38   WTI Crude Oil Future (a)  Bank of America Merrill Lynch  February-18  2,295,960   97,290 
                 $1,084,660 
     TOTAL UNREALIZED APPRECIATION ON FUTURES CONTRACTS  $757,324 

 

See accompanying notes to consolidated financial statements.

20

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

      Currency Units to             Unrealized Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For   U.S. $ Value   (Depreciation) 
To Buy:                        
1/3/2018  Barclays Bank PLC  8,314  BRL  $2,571   $2,505   $(66)
1/3/2018  Barclays Bank PLC  3,372,191  BRL   1,045,487    1,016,234    (29,253)
1/3/2018  Barclays Bank PLC  713,067  BRL   220,837    214,888    (5,949)
1/3/2018  Barclays Bank PLC  51,987  BRL   15,899    15,667    (232)
1/3/2018  Barclays Bank PLC  12,150  BRL   3,753    3,662    (91)
1/3/2018  Barclays Bank PLC  2,400  BRL   722    723    1 
1/3/2018  Barclays Bank PLC  1,903,930  BRL   575,553    573,763    (1,790)
1/3/2018  Barclays Bank PLC  328,617  BRL   99,340    99,031    (309)
1/3/2018  Barclays Bank PLC  245,551  BRL   74,229    73,998    (231)
1/3/2018  Barclays Bank PLC  235,782  BRL   71,276    71,054    (222)
1/3/2018  Barclays Bank PLC  213,144  BRL   64,433    64,233    (200)
1/3/2018  Barclays Bank PLC  211,530  BRL   63,945    63,746    (199)
1/3/2018  Barclays Bank PLC  211,261  BRL   63,864    63,665    (199)
1/3/2018  Barclays Bank PLC  192,740  BRL   58,265    58,084    (181)
1/3/2018  Barclays Bank PLC  189,086  BRL   57,160    56,982    (178)
1/3/2018  Barclays Bank PLC  184,570  BRL   55,795    55,621    (174)
1/3/2018  Barclays Bank PLC  87,501  BRL   26,451    26,369    (82)
1/3/2018  Barclays Bank PLC  68,636  BRL   20,748    20,684    (64)
1/3/2018  Barclays Bank PLC  61,427  BRL   18,569    18,511    (58)
1/3/2018  Barclays Bank PLC  9,763  BRL   2,951    2,942    (9)
1/3/2018  Barclays Bank PLC  9,172  BRL   2,773    2,764    (9)
1/3/2018  Barclays Bank PLC  5,200  BRL   1,572    1,567    (5)
1/3/2018  Barclays Bank PLC  2,201  BRL   665    663    (2)
2/2/2018  Barclays Bank PLC  1,903,930  BRL   574,113    571,700    (2,413)
3/21/2018  Barclays Bank PLC  39,000  AUD   29,273    30,499    1,226 
3/21/2018  Barclays Bank PLC  1,340,828,303  CLP   2,042,793    2,178,685    135,892 
3/21/2018  Barclays Bank PLC  510,392  CLP   830    829    (1)
3/21/2018  Barclays Bank PLC  48,875,270  CZK   2,275,026    2,306,842    31,816 
3/21/2018  Barclays Bank PLC  148,072  CZK   6,887    6,989    102 
3/21/2018  Barclays Bank PLC  97,615  CZK   4,535    4,607    72 
3/21/2018  Barclays Bank PLC  30,733  CZK   1,428    1,451    23 
3/21/2018  Barclays Bank PLC  275,789  CZK   12,847    13,017    170 
3/21/2018  Barclays Bank PLC  191,046  CZK   8,927    9,017    90 
3/21/2018  Barclays Bank PLC  416,042  CZK   19,585    19,637    52 
3/21/2018  Barclays Bank PLC  73,000  EUR   86,328    88,087    1,759 
3/21/2018  Barclays Bank PLC  125,000  EUR   148,751    150,834    2,083 
3/21/2018  Barclays Bank PLC  61,000  EUR   72,443    73,607    1,164 
3/21/2018  Barclays Bank PLC  302,000  EUR   360,040    364,415    4,375 
3/21/2018  Barclays Bank PLC  236,000  EUR   282,110    284,775    2,665 
3/21/2018  Barclays Bank PLC  120,000  EUR   144,061    144,801    740 
3/21/2018  Barclays Bank PLC  230,000  GBP   310,820    311,965    1,145 
3/21/2018  Barclays Bank PLC  349,906,256  HUF   1,313,906    1,359,920    46,014 
3/21/2018  Barclays Bank PLC  869,857  HUF   3,267    3,381    114 
3/21/2018  Barclays Bank PLC  762,177  HUF   2,872    2,962    90 
3/21/2018  Barclays Bank PLC  11,096  HUF   42    43    1 
3/21/2018  Barclays Bank PLC  423,788  HUF   1,603    1,647    44 
3/21/2018  Barclays Bank PLC  2,181,477  HUF   8,278    8,478    200 
3/21/2018  Barclays Bank PLC  804,945  HUF   3,111    3,128    17 
3/21/2018  Barclays Bank PLC  41,193  HUF   160    160    — 
3/21/2018  Barclays Bank PLC  8,795,890  ILS   2,508,231    2,542,162    33,931 
3/21/2018  Barclays Bank PLC  18,836  ILS   5,374    5,444    70 
3/21/2018  Barclays Bank PLC  12,007  ILS   3,411    3,470    59 
3/21/2018  Barclays Bank PLC  36,860  ILS   10,587    10,653    66 
3/21/2018  Barclays Bank PLC  15,186  ILS   4,368    4,389    21 
3/21/2018  Barclays Bank PLC  43,713  ILS   12,629    12,634    5 
3/21/2018  Barclays Bank PLC  598,565  INR   9,192    9,286    94 

 

See accompanying notes to consolidated financial statements.

21

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts (Continued)

 

      Currency Units to             Unrealized Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For   U.S. $ Value   (Depreciation) 
To Buy:                        
3/21/2018  Barclays Bank PLC  546,356,258  INR  $8,389,348   $8,475,704   $86,356 
3/21/2018  Barclays Bank PLC  1,378,213  INR   21,172    21,380    208 
3/21/2018  Barclays Bank PLC  2,643,332  INR   40,847    41,006    159 
3/21/2018  Barclays Bank PLC  1,740,610  INR   26,934    27,002    68 
3/21/2018  Barclays Bank PLC  121,786  INR   1,891    1,889    (2)
3/21/2018  Barclays Bank PLC  14,344,897  KRW   13,139    13,418    279 
3/21/2018  Barclays Bank PLC  6,025,744,222  KRW   5,518,890    5,636,186    117,296 
3/21/2018  Barclays Bank PLC  8,083,573  KRW   7,423    7,561    138 
3/21/2018  Barclays Bank PLC  24,271,665  KRW   22,396    22,703    307 
3/21/2018  Barclays Bank PLC  27,867,579  KRW   26,072    26,066    (6)
3/21/2018  Barclays Bank PLC  12,899  NOK   1,553    1,581    28 
3/21/2018  Barclays Bank PLC  3,545,580  NOK   426,966    434,466    7,500 
3/21/2018  Barclays Bank PLC  1,907,219  PHP   37,669    38,068    399 
3/21/2018  Barclays Bank PLC  3,125,816  PHP   61,607    62,391    784 
3/21/2018  Barclays Bank PLC  2,279,559  PHP   44,913    45,499    586 
3/21/2018  Barclays Bank PLC  2,275,591  PHP   44,918    45,420    502 
3/21/2018  Barclays Bank PLC  2,601,176  PHP   51,283    51,919    636 
3/21/2018  Barclays Bank PLC  2,786,967  PHP   55,011    55,627    616 
3/21/2018  Barclays Bank PLC  2,891,579  PHP   57,032    57,715    683 
3/21/2018  Barclays Bank PLC  3,195,290  PHP   63,327    63,777    450 
3/21/2018  Barclays Bank PLC  3,899,983  PHP   77,479    77,843    364 
3/21/2018  Barclays Bank PLC  3,457,837  PHP   68,747    69,018    271 
3/21/2018  Barclays Bank PLC  7,239,474  PHP   144,917    144,498    (419)
3/21/2018  Barclays Bank PLC  3,889,474  PHP   77,961    77,633    (328)
3/21/2018  Barclays Bank PLC  3,889,105  PHP   77,793    77,626    (167)
3/21/2018  Barclays Bank PLC  8,436,375  PLN   2,361,474    2,428,733    67,259 
3/21/2018  Barclays Bank PLC  15,470  PLN   4,329    4,454    125 
3/21/2018  Barclays Bank PLC  7,188  PLN   2,017    2,069    52 
3/21/2018  Barclays Bank PLC  56,751  PLN   16,010    16,338    328 
3/21/2018  Barclays Bank PLC  34,067  PLN   9,734    9,807    73 
3/21/2018  Barclays Bank PLC  123,135,602  RUB   2,052,332    2,115,766    63,434 
3/21/2018  Barclays Bank PLC  25,367  RUB   424    436    12 
3/21/2018  Barclays Bank PLC  788,592  RUB   13,310    13,550    240 
3/21/2018  Barclays Bank PLC  275,699  RUB   4,742    4,737    (5)
3/21/2018  Barclays Bank PLC  372,013  RUB   6,388    6,392    4 
3/21/2018  Barclays Bank PLC  23,140  SEK   2,739    2,840    101 
3/21/2018  Barclays Bank PLC  7,238,496  SEK   856,546    888,447    31,901 
3/21/2018  Barclays Bank PLC  444,643  SEK   52,615    54,575    1,960 
3/21/2018  Barclays Bank PLC  15,954  SGD   11,814    11,953    139 
3/21/2018  Barclays Bank PLC  5,624,902  SGD   4,163,748    4,214,221    50,473 
3/21/2018  Barclays Bank PLC  2,247  SGD   1,665    1,684    19 
3/21/2018  Barclays Bank PLC  28,133  SGD   20,910    21,077    167 
3/21/2018  Barclays Bank PLC  18,582  SGD   13,903    13,922    19 
3/21/2018  Barclays Bank PLC  5,362  SGD   4,017    4,017    — 
3/21/2018  Barclays Bank PLC  139,298  TRY   35,302    35,878    576 
3/21/2018  Barclays Bank PLC  100,652  TRY   25,539    25,924    385 
3/21/2018  Barclays Bank PLC  32,687  TRY   8,256    8,419    163 
3/21/2018  Barclays Bank PLC  51,276  TRY   12,858    13,207    349 
3/21/2018  Barclays Bank PLC  31,993  TRY   8,047    8,240    193 
3/21/2018  Barclays Bank PLC  13,476  TRY   3,410    3,471    61 
3/21/2018  Barclays Bank PLC  56,094  TRY   14,214    14,448    234 
3/21/2018  Barclays Bank PLC  31,368  TRY   7,964    8,079    115 
3/21/2018  Barclays Bank PLC  140,256  TRY   35,766    36,124    358 
3/21/2018  Barclays Bank PLC  101,289  TRY   25,858    26,088    230 
3/21/2018  Barclays Bank PLC  129,241  TRY   33,092    33,287    195 
3/21/2018  Barclays Bank PLC  566,653  TRY   144,666    145,948    1,282 

 

See accompanying notes to consolidated financial statements.

22

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts (Continued)

 

      Currency Units to             Unrealized Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For   U.S. $ Value   (Depreciation) 
To Buy:                        
3/21/2018  Barclays Bank PLC  70,124  TRY  $17,983   $18,061   $78 
3/21/2018  Barclays Bank PLC  133,720  TRY   34,574    34,441    (133)
3/21/2018  Barclays Bank PLC  244,790  TWD   8,214    8,265    51 
3/21/2018  Barclays Bank PLC  131,097,302  TWD   4,398,500    4,426,399    27,899 
3/22/2018  Barclays Bank PLC  296,085  TWD   9,966    9,997    31 
3/22/2018  Barclays Bank PLC  15,631  ZAR   1,130    1,248    118 
3/22/2018  Barclays Bank PLC  574,501  ZAR   41,494    45,849    4,355 
3/22/2018  Barclays Bank PLC  519,614  ZAR   37,611    41,469    3,858 
3/22/2018  Barclays Bank PLC  47,278  ZAR   3,413    3,773    360 
3/22/2018  Barclays Bank PLC  411,959  ZAR   30,198    32,877    2,679 
3/22/2018  Barclays Bank PLC  676,724  ZAR   50,131    54,008    3,877 
3/22/2018  Barclays Bank PLC  815,990  ZAR   62,000    65,122    3,122 
3/22/2018  Barclays Bank PLC  997,692  ZAR   76,739    79,623    2,884 
3/22/2018  Barclays Bank PLC  349,575  ZAR   26,971    27,899    928 
3/22/2018  Barclays Bank PLC  349,470  ZAR   26,971    27,890    919 
3/22/2018  Barclays Bank PLC  349,330  ZAR   26,971    27,879    908 
3/22/2018  Barclays Bank PLC  349,146  ZAR   26,972    27,864    892 
3/22/2018  Barclays Bank PLC  349,228  ZAR   26,971    27,871    900 
3/22/2018  Barclays Bank PLC  349,206  ZAR   26,972    27,869    897 
3/22/2018  Barclays Bank PLC  136,220  ZAR   10,520    10,871    351 
3/22/2018  Barclays Bank PLC  345,114  ZAR   26,773    27,543    770 
3/22/2018  Barclays Bank PLC  345,152  ZAR   26,772    27,546    774 
3/22/2018  Barclays Bank PLC  345,154  ZAR   26,773    27,546    773 
3/22/2018  Barclays Bank PLC  345,097  ZAR   26,773    27,541    768 
3/22/2018  Barclays Bank PLC  304,924  ZAR   23,655    24,335    680 
3/22/2018  Barclays Bank PLC  347,987  ZAR   27,044    27,772    728 
3/22/2018  Barclays Bank PLC  348,192  ZAR   27,044    27,788    744 
3/22/2018  Barclays Bank PLC  348,408  ZAR   27,044    27,806    762 
3/22/2018  Barclays Bank PLC  348,065  ZAR   27,044    27,778    734 
3/22/2018  Barclays Bank PLC  100,243  ZAR   7,782    8,000    218 
3/22/2018  Barclays Bank PLC  347,910  ZAR   26,960    27,766    806 
3/22/2018  Barclays Bank PLC  348,069  ZAR   26,960    27,779    819 
3/22/2018  Barclays Bank PLC  348,138  ZAR   26,961    27,784    823 
3/22/2018  Barclays Bank PLC  109,983  ZAR   8,516    8,778    262 
3/22/2018  Barclays Bank PLC  294,488  ZAR   23,613    23,502    (111)
3/22/2018  Barclays Bank PLC  294,479  ZAR   23,613    23,502    (111)
3/22/2018  Barclays Bank PLC  98,772  ZAR   7,921    7,883    (38)
3/22/2018  Barclays Bank PLC  625,789  ZAR   50,336    49,943    (393)
                      $723,316 
                         
To Sell:                        
1/3/2018  Barclays Bank PLC  9,763  BRL   2,988    2,942    46 
1/3/2018  Barclays Bank PLC  9,172  BRL   2,816    2,764    52 
1/3/2018  Barclays Bank PLC  5,200  BRL   1,606    1,567    39 
1/3/2018  Barclays Bank PLC  2,201  BRL   668    663    5 
1/3/2018  Barclays Bank PLC  61,427  BRL   18,618    18,511    107 
1/3/2018  Barclays Bank PLC  68,636  BRL   20,810    20,684    126 
1/3/2018  Barclays Bank PLC  87,501  BRL   26,286    26,369    (83)
1/3/2018  Barclays Bank PLC  328,617  BRL   99,391    99,031    360 
1/3/2018  Barclays Bank PLC  245,551  BRL   73,441    73,998    (557)
1/3/2018  Barclays Bank PLC  235,782  BRL   71,117    71,055    62 
1/3/2018  Barclays Bank PLC  211,530  BRL   64,242    63,746    496 
1/3/2018  Barclays Bank PLC  184,570  BRL   56,010    55,622    388 
1/3/2018  Barclays Bank PLC  189,086  BRL   57,330    56,983    347 
1/3/2018  Barclays Bank PLC  213,144  BRL   64,456    64,232    224 
1/3/2018  Barclays Bank PLC  192,740  BRL   57,993    58,084    (91)

 

See accompanying notes to consolidated financial statements.

23

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts (Continued)

 

      Currency Units to             Unrealized Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For   U.S. $ Value   (Depreciation) 
To Sell:                        
1/3/2018  Barclays Bank PLC  211,261  BRL  $63,742   $63,665   $77 
1/3/2018  Barclays Bank PLC  1,903,930  BRL   576,337    573,763    2,574 
1/3/2018  Barclays Bank PLC  2,400  BRL   725    723    2 
1/3/2018  Barclays Bank PLC  8,314  BRL   2,513    2,505    8 
1/3/2018  Barclays Bank PLC  12,150  BRL   3,673    3,662    11 
1/3/2018  Barclays Bank PLC  51,987  BRL   15,716    15,667    49 
1/3/2018  Barclays Bank PLC  713,067  BRL   215,558    214,888    670 
1/3/2018  Barclays Bank PLC  3,372,191  BRL   1,019,405    1,016,234    3,171 
2/2/2018  Barclays Bank PLC  381,126  BRL   114,949    114,442    507 
2/2/2018  Barclays Bank PLC  118,196  BRL   35,631    35,491    140 
3/21/2018  Barclays Bank PLC  60,934  CAD   47,481    48,682    (1,201)
3/21/2018  Barclays Bank PLC  81,415  CAD   64,000    65,045    (1,045)
3/21/2018  Barclays Bank PLC  4,873,898  CLP   7,438    7,920    (482)
3/21/2018  Barclays Bank PLC  8,534,877  CLP   12,998    13,868    (870)
3/21/2018  Barclays Bank PLC  25,775,997  CLP   39,209    41,883    (2,674)
3/21/2018  Barclays Bank PLC  31,131,671  CLP   47,368    50,585    (3,217)
3/21/2018  Barclays Bank PLC  8,166,916  CLP   12,579    13,270    (691)
3/21/2018  Barclays Bank PLC  23,429,098  CLP   36,117    38,070    (1,953)
3/21/2018  Barclays Bank PLC  8,088,250  CLP   12,605    13,142    (537)
3/21/2018  Barclays Bank PLC  10,116,502  CLP   15,760    16,438    (678)
3/21/2018  Barclays Bank PLC  19,706,381  CLP   30,911    32,021    (1,110)
3/21/2018  Barclays Bank PLC  10,081,440  CLP   16,112    16,381    (269)
3/21/2018  Barclays Bank PLC  12,379,659  CLP   19,919    20,115    (196)
3/21/2018  Barclays Bank PLC  4,113,247  CLP   6,614    6,684    (70)
3/21/2018  Barclays Bank PLC  26,688,069  CLP   42,940    43,365    (425)
3/21/2018  Barclays Bank PLC  1,632,437  CLP   2,621    2,653    (32)
3/21/2018  Barclays Bank PLC  117,081,215  CLP   189,922    190,243    (321)
3/21/2018  Barclays Bank PLC  2,607,131  CLP   4,236    4,236    — 
3/21/2018  Barclays Bank PLC  217,683  CZK   10,137    10,274    (137)
3/21/2018  Barclays Bank PLC  64,815  CZK   2,993    3,059    (66)
3/21/2018  Barclays Bank PLC  255,283  CZK   11,880    12,049    (169)
3/21/2018  Barclays Bank PLC  110,668  CZK   5,140    5,223    (83)
3/21/2018  Barclays Bank PLC  237,834  CZK   11,097    11,225    (128)
3/21/2018  Barclays Bank PLC  541,325  CZK   25,197    25,550    (353)
3/21/2018  Barclays Bank PLC  445,038  CZK   20,718    21,005    (287)
3/21/2018  Barclays Bank PLC  79,302  CZK   3,689    3,743    (54)
3/21/2018  Barclays Bank PLC  5,245,166  CZK   244,005    247,564    (3,559)
3/21/2018  Barclays Bank PLC  109,000  EUR   128,858    131,527    (2,669)
3/21/2018  Barclays Bank PLC  52,000  EUR   61,650    62,747    (1,097)
3/21/2018  Barclays Bank PLC  576,000  EUR   683,814    695,043    (11,229)
3/21/2018  Barclays Bank PLC  107,000  EUR   127,133    129,114    (1,981)
3/21/2018  Barclays Bank PLC  64,958  EUR   77,507    78,383    (876)
3/21/2018  Barclays Bank PLC  6,042  EUR   7,209    7,291    (82)
3/21/2018  Barclays Bank PLC  56,000  GBP   75,471    75,957    (486)
3/21/2018  Barclays Bank PLC  2,855,128  HKD   366,283    365,811    472 
3/21/2018  Barclays Bank PLC  476,539  HKD   61,000    61,056    (56)
3/21/2018  Barclays Bank PLC  1,116,105  HUF   4,209    4,338    (129)
3/21/2018  Barclays Bank PLC  583,786  HUF   2,191    2,269    (78)
3/21/2018  Barclays Bank PLC  1,830,281  HUF   6,938    7,113    (175)
3/21/2018  Barclays Bank PLC  1,544,828  HUF   5,879    6,004    (125)
3/21/2018  Barclays Bank PLC  7,473,774  HUF   28,500    29,047    (547)
3/21/2018  Barclays Bank PLC  451,977  HUF   1,727    1,757    (30)
3/21/2018  Barclays Bank PLC  36,821,138  HUF   141,567    143,106    (1,539)
3/21/2018  Barclays Bank PLC  31,934  ILS   9,110    9,230    (120)
3/21/2018  Barclays Bank PLC  5,463  ILS   1,546    1,579    (33)
3/21/2018  Barclays Bank PLC  32,495  ILS   9,246    9,392    (146)

 

See accompanying notes to consolidated financial statements.

24

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts (Continued)

 

      Currency Units to             Unrealized Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For   U.S. $ Value   (Depreciation) 
To Sell:                        
3/21/2018  Barclays Bank PLC  32,770  ILS  $9,339   $9,471   $(132)
3/21/2018  Barclays Bank PLC  26,097  ILS   7,457    7,542    (85)
3/21/2018  Barclays Bank PLC  17,099  ILS   4,899    4,942    (43)
3/21/2018  Barclays Bank PLC  181,487  ILS   52,144    52,453    (309)
3/21/2018  Barclays Bank PLC  936,289  ILS   269,584    270,604    (1,020)
3/21/2018  Barclays Bank PLC  16,097  ILS   4,652    4,652    — 
3/21/2018  Barclays Bank PLC  1,290,240  INR   19,841    20,016    (175)
3/21/2018  Barclays Bank PLC  224,802  INR   3,451    3,487    (36)
3/21/2018  Barclays Bank PLC  1,081,401  INR   16,669    16,776    (107)
3/21/2018  Barclays Bank PLC  1,529,046  INR   23,642    23,720    (78)
3/21/2018  Barclays Bank PLC  893,542  INR   13,792    13,862    (70)
3/21/2018  Barclays Bank PLC  1,575,611  INR   24,388    24,443    (55)
3/21/2018  Barclays Bank PLC  13,242,107  INR   204,983    205,427    (444)
3/21/2018  Barclays Bank PLC  285,846  INR   4,430    4,434    (4)
3/21/2018  Barclays Bank PLC  1,003,309  INR   15,540    15,564    (24)
3/21/2018  Barclays Bank PLC  58,271,511  INR   902,385    903,974    (1,589)
3/21/2018  Barclays Bank PLC  1,144,605,820  KRW   1,048,327    1,070,608    (22,281)
3/21/2018  Barclays Bank PLC  18,852,325  KRW   17,274    17,634    (360)
3/21/2018  Barclays Bank PLC  17,153,010  KRW   15,750    16,044    (294)
3/21/2018  Barclays Bank PLC  26,221,832  KRW   24,134    24,527    (393)
3/21/2018  Barclays Bank PLC  7,133,062  KRW   6,563    6,672    (109)
3/21/2018  Barclays Bank PLC  4,910,875  KRW   4,515    4,593    (78)
3/21/2018  Barclays Bank PLC  2,013,344  KRW   1,864    1,883    (19)
3/21/2018  Barclays Bank PLC  125,895,781  KRW   116,622    117,757    (1,135)
3/21/2018  Barclays Bank PLC  17,817,153  KRW   16,559    16,665    (106)
3/21/2018  Barclays Bank PLC  9,626,175  KRW   8,952    9,004    (52)
3/21/2018  Barclays Bank PLC  636,608,563  KRW   593,331    595,452    (2,121)
3/21/2018  Barclays Bank PLC  283,619  NOK   33,929    34,754    (825)
3/21/2018  Barclays Bank PLC  284,689  NOK   34,263    34,885    (622)
3/21/2018  Barclays Bank PLC  302,761  NOK   36,303    37,100    (797)
3/21/2018  Barclays Bank PLC  330,272  NOK   40,135    40,471    (336)
3/21/2018  Barclays Bank PLC  159,304  NOK   19,288    19,521    (233)
3/21/2018  Barclays Bank PLC  188,684  NOK   22,627    23,121    (494)
3/21/2018  Barclays Bank PLC  152,297  NOK   18,266    18,662    (396)
3/21/2018  Barclays Bank PLC  169,352  NOK   20,362    20,752    (390)
3/21/2018  Barclays Bank PLC  308,658  NOK   36,809    37,822    (1,013)
3/21/2018  Barclays Bank PLC  395,552  NOK   47,452    48,470    (1,018)
3/21/2018  Barclays Bank PLC  406,915  NOK   49,245    49,862    (617)
3/21/2018  Barclays Bank PLC  144,937  NOK   17,563    17,760    (197)
3/21/2018  Barclays Bank PLC  85,306  NOK   10,431    10,453    (22)
3/21/2018  Barclays Bank PLC  57,760,439  PHP   1,140,091    1,152,884    (12,793)
3/21/2018  Barclays Bank PLC  44,527  PLN   12,512    12,819    (307)
3/21/2018  Barclays Bank PLC  886,724  PLN   252,088    255,277    (3,189)
3/21/2018  Barclays Bank PLC  21,226  PLN   5,920    6,111    (191)
3/21/2018  Barclays Bank PLC  44,025  PLN   12,367    12,674    (307)
3/21/2018  Barclays Bank PLC  4,854  PLN   1,360    1,397    (37)
3/21/2018  Barclays Bank PLC  2,566  PLN   721    739    (18)
3/21/2018  Barclays Bank PLC  42,135  PLN   11,879    12,130    (251)
3/21/2018  Barclays Bank PLC  89,124  PLN   25,199    25,658    (459)
3/21/2018  Barclays Bank PLC  80,711  PLN   22,812    23,236    (424)
3/21/2018  Barclays Bank PLC  11,439  PLN   3,234    3,293    (59)
3/21/2018  Barclays Bank PLC  520,246  RUB   8,659    8,939    (280)
3/21/2018  Barclays Bank PLC  360,555  RUB   6,046    6,195    (149)
3/21/2018  Barclays Bank PLC  361,572  RUB   6,088    6,213    (125)
3/21/2018  Barclays Bank PLC  109,355  RUB   1,835    1,879    (44)
3/21/2018  Barclays Bank PLC  183,617  RUB   3,094    3,155    (61)

 

See accompanying notes to consolidated financial statements.

25

 

Altegris GSA Trend Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts (Continued)

 

      Currency Units to             Unrealized Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For   U.S. $ Value   (Depreciation) 
To Sell:                        
3/21/2018  Barclays Bank PLC  280,238  RUB  $4,721   $4,815   $(94)
3/21/2018  Barclays Bank PLC  2,556,355  RUB   43,187    43,924    (737)
3/21/2018  Barclays Bank PLC  182,414  RUB   3,094    3,134    (40)
3/21/2018  Barclays Bank PLC  13,107,226  RUB   224,553    225,214    (661)
3/21/2018  Barclays Bank PLC  85,702  SEK   10,161    10,519    (358)
3/21/2018  Barclays Bank PLC  56,338  SEK   6,732    6,915    (183)
3/21/2018  Barclays Bank PLC  52,022  SEK   6,205    6,385    (180)
3/21/2018  Barclays Bank PLC  51,800  SEK   6,212    6,358    (146)
3/21/2018  Barclays Bank PLC  22,948  SEK   2,743    2,817    (74)
3/21/2018  Barclays Bank PLC  41,611  SEK   4,950    5,107    (157)
3/21/2018  Barclays Bank PLC  3,139  SEK   375    385    (10)
3/21/2018  Barclays Bank PLC  55,294  SEK   6,656    6,787    (131)
3/21/2018  Barclays Bank PLC  140,107  SEK   16,756    17,197    (441)
3/21/2018  Barclays Bank PLC  59,486  SEK   7,139    7,301    (162)
3/21/2018  Barclays Bank PLC  715,938  SEK   87,152    87,874    (722)
3/21/2018  Barclays Bank PLC  7,047  SEK   862    865    (3)
3/21/2018  Barclays Bank PLC  173,541  SGD   128,461    130,018    (1,557)
3/21/2018  Barclays Bank PLC  18,683  SGD   13,836    13,997    (161)
3/21/2018  Barclays Bank PLC  94,470  SGD   70,000    70,778    (778)
3/21/2018  Barclays Bank PLC  3,956  SGD   2,930    2,964    (34)
3/21/2018  Barclays Bank PLC  16,528  SGD   12,285    12,383    (98)
3/21/2018  Barclays Bank PLC  14,624  SGD   10,871    10,957    (86)
3/21/2018  Barclays Bank PLC  1,912  SGD   1,419    1,432    (13)
3/21/2018  Barclays Bank PLC  14,891  SGD   11,070    11,157    (87)
3/21/2018  Barclays Bank PLC  128,440  SGD   95,568    96,228    (660)
3/21/2018  Barclays Bank PLC  2,276  SGD   1,695    1,705    (10)
3/21/2018  Barclays Bank PLC  5,886  SGD   4,384    4,410    (26)
3/21/2018  Barclays Bank PLC  594,271  SGD   443,314    445,233    (1,919)
3/21/2018  Barclays Bank PLC  5,203,921  TRY   1,318,058    1,340,328    (22,270)
3/21/2018  Barclays Bank PLC  296,319  TWD   9,949    10,005    (56)
3/21/2018  Barclays Bank PLC  207,478  TWD   6,960    7,005    (45)
3/21/2018  Barclays Bank PLC  400,308  TWD   13,472    13,516    (44)
3/21/2018  Barclays Bank PLC  676,800  TWD   22,744    22,852    (108)
3/21/2018  Barclays Bank PLC  533,714  TWD   17,929    18,020    (91)
3/21/2018  Barclays Bank PLC  717,832  TWD   24,211    24,237    (26)
3/21/2018  Barclays Bank PLC  3,520,006  TWD   118,595    118,850    (255)
3/21/2018  Barclays Bank PLC  598,767  TWD   20,186    20,217    (31)
3/21/2018  Barclays Bank PLC  626,556  TWD   21,157    21,155    2 
3/21/2018  Barclays Bank PLC  14,147,985  TWD   477,321    477,696    (375)
3/21/2018  Barclays Bank PLC  4,425  TWD   150    149    1 
3/21/2018  Barclays Bank PLC  428,268  TWD   14,548    14,460    88 
3/22/2018  Barclays Bank PLC  39,442,626  JPY   349,556    351,610    (2,054)
3/22/2018  Barclays Bank PLC  7,104,516  JPY   63,000    63,333    (333)
3/22/2018  Barclays Bank PLC  441,453  ZAR   31,855    35,231    (3,376)
3/22/2018  Barclays Bank PLC  1,334,666  ZAR   96,309    106,516    (10,207)
3/22/2018  Barclays Bank PLC  26,931  ZAR   2,145    2,149    (4)
                      $(138,288)
   Net unrealized appreciation on forward foreign currency contracts   $585,028 

 

See accompanying notes to consolidated financial statements.

26

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)
December 31, 2017

 

Shares            Value 
     INVESTMENTS - 40.6%           
     EXCHANGE TRADED FUNDS - 7.6%           
     DEBT FUNDS - 3.6%           
 36,824   iShares iBoxx $ Investment Grade Corporate Bond ETF        $4,476,325 
                 
     COMMODITY FUNDS - 0.3%           
 2,700   SPDR Gold Shares         333,855 
 2,500   United States Oil Fund LP         30,025 
               363,880 
     EQUITY FUNDS - 3.7%           
 13,106   Consumer Discretionary Select Sector SPDR Fund         1,293,431 
 1,391   Consumer Staples Select Sector SPDR Fund         79,134 
 1,168   Energy Select Sector SPDR Fund         84,400 
 11,573   Financial Select Sector SPDR Fund         323,003 
 992   Health Care Select Sector SPDR Fund         82,019 
 17,269   Industrial Select Sector SPDR Fund         1,306,745 
 2,200   Materials Select Sector SPDR Fund         133,166 
 17,398   Technology Select Sector SPDR Fund         1,112,602 
 1,521   Utilities Select Sector SPDR Fund         80,126 
               4,494,626 
                 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $9,217,791)         9,334,831 
     EXCHANGE TRADED NOTES - 0.1%           
     DEBT FUNDS - 0.1%           
 4,800   iPath Bloomberg Nickel Subindex Total Return ETN (Cost - $63,096)         73,872 
                 
Principal               
Amount ($)      Yield (b)  Maturity     
     SHORT-TERM INVESTMENTS - 32.9%           
     CERTIFICATES OF DEPOSIT - 4.9%           
$3,640,000   Sumitomo Mitsui Trust Bank Corp.  1.3700  1/5/2018   3,640,000 
 2,430,000   Sumitomo Mitsui Trust Bank Ltd.  1.3700  1/5/2018   2,430,000 
               6,070,000 
     COMMERCIAL PAPER - 10.1%           
 3,650,000   American Honda Finance Corporation  1.4057  1/11/2018   3,648,581 
 275,000   The Coca-Cola Company  1.4057  1/12/2018   274,882 
 1,230,000   DCAT, LLC  1.5770  1/8/2018   1,229,625 
 3,650,000   MetLife Short Term Funding LLC  1.4460  1/12/2018   3,648,394 
 3,650,000   PACCAR Financial Corp.  1.3251  1/9/2018   3,648,929 
               12,450,411 
     DISCOUNT AGENCY NOTES - 17.9%           
 12,000,000   Federal Home Loan Bank Discount Notes  —  1/2/2018   11,999,650 
 10,000,000   Federal Home Loan Bank Discount Notes  0.9900  1/8/2018   9,997,978 
               21,997,628 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $40,518,039)         40,518,039 
                 
     TOTAL INVESTMENTS - 40.6% (Cost - $49,798,926) (c)        $49,926,742 
     OTHER ASSETS LESS LIABILITIES - 59.4%         73,041,478 
     TOTAL NET ASSETS - 100.0%        $122,968,220 

 

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

 

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

 

(c) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $137,094,136 and differs from market value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $143,052 
Unrealized Depreciation:   (437,278)
Net Unrealized Appreciation:  $(294,226)

 

See accompanying notes to consolidated financial statements.

27

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    SHORT FUTURES CONTRACTS 
      
             Unrealized 
          Notional Value at  Appreciation/ 
Contracts   Issue  Expiration  December 31, 2017  (Depreciation) 
 8   3MO Euro EURIBOR  March-20  2,396,799  $210 
 4   3MO Euro EURIBOR  March-21  1,194,437   816 
 27   90-Day Euro$ Future  June-18  6,620,063   (100)
 44   90-Day Euro$ Future  December-18  10,764,050   24,412 
 76   90-Day Euro$ Future  March-19  18,581,050   22,862 
 25   90-Day Euro$ Future  December-19  6,104,375   14,550 
 2   90-Day Euro$ Future  March-20  488,300   (100)
 9   90-Day Euro$ Future  December-20  2,196,338   3,000 
 4   90-Day Euro$ Future  December-21  975,550   112 
 66   90-Day Sterling Future  December-18  11,073,144   (8,966)
 1   Amsterdam Index Future  January-18  130,768   84 
 22   Australian 10YR Bond Future  March-18  2,222,460   (4,611)
 100   Australian 3YR Bond Future  March-18  8,689,440   13,059 
 4   Bank Acceptance Future  September-18  781,476   5,523 
 21   Bank Acceptance Future  December-18  4,098,138   11,771 
 2   Brent Crude Future (a)  January-18  127,140   260 
 6   Brent Crude Future (a)  March-18  401,220   (14,885)
 6   CAC40 10 Euro Future  January-18  382,611   708 
 1   Canadian Dollar Future  March-18  79,900   (110)
 59   Canadian 10YR Bond Future  March-18  6,346,638   51,587 
 2   Canola Future (WCE) (a)  March-18  15,602   468 
 1   Canola Future (WCE) (a)  May-18  7,913   153 
 2   Cattle Feeder Future (a)  January-18  146,000   3,925 
 29   CBOE Volatility Index Future  January-18  332,775   (2,735)
 16   CBOE Volatility Index Future  February-18  199,600   8,430 
 21   CBOE Volatility Index Future  March-18  277,725   3,100 
 4   CBOE Volatility Index Future  April-18  55,500   2,770 
 2   CBOE Volatility Index Future  May-18  28,750   1,680 
 1   CBOE Volatility Index Future  June-18  14,825   375 
 7   CHF Currency Future  March-18  903,613   (12,394)
 31   Cocoa Future (a)  March-18  586,520   (3,690)
 2   Cocoa Future (a)  May-18  37,860   2,970 
 29   Cocoa ICE Future (a)  March-18  540,586   18,158 
 1   Cocoa ICE Future (a)  May-18  18,952   308 
 1   Cocoa ICE Future (a)  July-18  19,209   2,523 
 19   Coffee Robusta Future (a)  March-18  326,420   2,490 
 38   Coffee Future (a)  March-18  1,798,350   26,062 
 1   Copper Future (a)  March-18  82,513   (1,937)
 214   Corn Future (a)  March-18  3,753,025   30,925 
 13   Corn Future (a)  May-18  233,350   913 
 5   Corn Future (a)  July-18  91,813   725 
 21   Corn Future (a)  December-18  403,200   — 

 

See accompanying notes to consolidated financial statements.

28

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    SHORT FUTURES CONTRACTS (Continued)    
         
             Unrealized 
          Notional Value at  Appreciation/ 
Contracts   Issue  Expiration  December 31, 2017  (Depreciation) 
 1   Crude Palm Oil Future (a)  February-18  15,326  $75 
 6   Crude Palm Oil Future (a)  March-18  92,772   466 
 2   Crude Palm Oil Future (a)  April-18  31,147   29 
 9   DIJA Mini E-CBOT  March-18  1,113,075   (21,170)
 15   Dollar Index Future  March-18  1,377,390   20,834 
 7   Euro CHF 3MO ICE  September-18  1,807,645   (178)
 15   Euro STOXX 50 Future  March-18  629,160   3,470 
 2   Euro BOBL Future  March-18  316,075   24 
 122   Euro SCHATZ Future  March-18  16,404,082   21,213 
 1   FTSE/JSE Top 40 Index Future  March-18  42,952   (383)
 12   FTSE/MIB IDX Future  March-18  1,567,550   5,109 
 1   GBP/NZD Future  March-18  170,061   3,155 
 5   Gold 100 Oz Future (a)  February-18  654,650   (24,670)
 1   Hang Seng Index  January-18  191,550   (1,670)
 3   IBEX 35 Index  January-18  360,990   2,418 
 2   JPN 10YR Bond (OSE)  March-18  2,676,964   (976)
 20   JPN YEN Currency Future  March-18  2,228,500   (3,950)
 39   KC HRW Wheat Future (a)  March-18  833,138   26,487 
 2   KC HRW Wheat Future (a)  May-18  44,100   225 
 2   Lean Hogs (a)  February-18  57,420   (2,400)
 5   Live Cattle (a)  February-18  243,100   (3,550)
 3   Mexican Peso Future  March-18  75,120   (300)
 6   Mill Wheat Euro (a)  March-18  57,278   1,465 
 5   Mill Wheat Euro (a)  May-18  48,783   972 
 1   Mill Wheat Euro (a)  September-18  10,027   165 
 8   Mini FTSE/MIB Future  March-18  209,007   707 
 2   MSCI SING IX ETS  January-18  58,081   (598)
 5   MSCI Taiwan Index  January-18  196,500   (2,800)
 70   Natural Gas Future (a)  February-18  2,067,100   (161,260)
 7   Natural Gas Future (a)  March-18  203,420   (20,860)
 8   Natural Gas Future (a)  April-18  219,920   2,680 
 6   Natural Gas Future (a)  May-18  164,460   (7,440)
 1   Natural Gas Future (a)  October-18  28,120   1,440 

 

See accompanying notes to consolidated financial statements.

29

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    SHORT FUTURES CONTRACTS (Continued)    
         
             Unrealized 
          Notional Value at  Appreciation/ 
Contracts   Issue  Expiration  December 31, 2017  (Depreciation) 
 6   New Zealand Future  March-18  425,220  $(6,270)
 20   Platinum Future (a)  April-18  938,300   (13,895)
 2   Rapeseed Euro (a)  February-18  41,758   1,791 
 1   Russell 2000 Mini Future  March-18  76,825   890 
 1   S&P 500 E-mini Future  March-18  133,800   862 
 1   SGX Nifty 50  January-18  21,117   88 
 51   Silver Future (a)  March-18  4,371,975   (280,475)
 2   Silver Future (a)  May-18  172,210   (4,125)
 1   Soybean Future (a)  January-18  47,588   363 
 103   Soybean Future (a)  March-18  4,953,013   10,487 
 5   Soybean Future (a)  May-18  243,250   (375)
 1   Soybean Future (a)  July-18  49,163   (100)
 9   Soybean Future (a)  November-18  439,088   (700)
 13   Soybean Meal Future (a)  March-18  411,840   990 
 4   Soybean Meal Future (a)  May-18  128,040   1,240 
 17   Soybean Oil Future (a)  March-18  339,252   (2,322)
 6   Soybean Oil Future (a)  May-18  120,348   (1,434)
 2   Soybean Oil Future (a)  July-18  40,344   (408)
 6   Soybean Oil Future (a)  December-18  120,240   612 
 7   Swiss Market IX Future  March-18  665,808   7,049 
 125   US 2YR Note (CBT) Future  March-18  26,763,672   37,625 
 430   US 5YR Note (CBT) Future  March-18  49,950,547   (8,031)
 210   US 10YR Note (CBT) Future  March-18  26,049,844   (39,312)
 28   US 10YR Ultra Future  March-18  3,739,750   4,063 
 25   US Long Bond (CBT)  March-18  3,825,000   (28,156)
 18   VSTOXX Future  January-18  29,936   34 
 13   VSTOXX Future  February-18  25,679   (817)
 61   Wheat (CBT) Future (a)  March-18  1,302,350   38,938 
 5   Wheat (CBT) Future (a)  May-18  110,063   6,525 
 2   Wheat (CBT) Future (a)  July-18  45,325   1,675 
 8   Wheat (CBT) Future (a)  December-18  192,800   3,350 
 8   White Sugar (ICE) (a)  March-18  157,880   (9,920)
 5   WIG20 Index Future  March-18  70,623   993 
 84   World Sugar #11 (a)  March-18  1,426,253   (88,088)
 2   World Sugar #11 (a)  May-18  33,645   (2,318)

 

See accompanying notes to consolidated financial statements.

30

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    SHORT FUTURES CONTRACTS (Continued)    
         
             Unrealized 
          Notional Value at  Appreciation/ 
Contracts   Issue  Expiration  December 31, 2017  (Depreciation) 
 1   World Sugar #11 (a)  July-18  16,845  $(739)
 4   WTI Crude Future (a)  February-18  241,680   (3,440)
 2   WTI Crude Future (a)  January-18  114,920   (2,840)
              $(332,059)
                 
    LONG FUTURES CONTRACTS 
      
             Unrealized 
          Notional Value at  Appreciation/ 
Contracts   Issue  Expiration  December 31, 2017  (Depreciation) 
 16   3MO Euro EURIBOR  September-18  4,816,653  $1,422 
 65   3MO Euro EURIBOR  December-18  19,559,846   (5,354)
 1   3MO Euro EURIBOR  March-19  300,696   (15)
 28   90-Day Bank Bill  September-18  21,796,484   (3,506)
 4   90-Day Bank Bill  March-19  3,112,256   230 
 15   Amsterdam Index  January-18  1,961,508   (21,562)
 5   Australian Dollar Future  March-18  390,550   1,480 
 42   Australian 10Y Bond Future  March-18  4,242,879   (17,342)
 86   BIST National 30 Index  February-18  329,339   4,943 
 18   BP Currency Future  March-18  1,525,163   14,788 
 7   Brent Crude Future (a)  February-18  467,040   14,870 
 53   Brent Crude Future (a)  March-18  3,544,110   160,070 
 6   Brent Crude Future (a)  April-18  398,640   17,810 
 5   Brent Crude Future (a)  May-18  330,450   16,100 
 1   Brent Crude Future (a)  June-18  65,780   750 
 4   Brent Crude Future (a)  December-18  254,560   24,180 
 2   Brent Fin Last Future (a)  March-18  133,740   4,500 
 21   Canadian Dollar Future  March-18  1,677,900   29,485 
 49   CAC40 10 Euro Future  January-18  3,124,658   (37,499)
 11   Canola Future (WCE) (a)  March-18  85,809   (4,948)
 2   Cattle Feeder Future (a)  January-18  146,000   (3,213)
 2   Cattle Feeder Future (a)  March-18  142,675   (1,575)
 4   CBOE VIX Future (a)  January-18  45,900   (18,400)
 10   CBOE VIX Future  January-18  114,750   2,550 
 23   CBOE VIX Future  February-18  286,925   5,325 
 11   CBOE VIX Future  April-18  152,625   1,925 
 23   CBOE VIX Future  May-18  330,625   (175)
 9   CBOE VIX Future  June-18  133,425   (1,625)
 71   Copper Future (a)  March-18  5,858,388   307,362 
 2   Copper Future (a)  May-18  165,750   15,950 
 21   Cotton No. 2 Future (a)  March-18  825,615   32,225 
 1   Cotton No. 2 Future (a)  May-18  39,480   1,800 
 6   DAX Index  March-18  2,325,351   (32,006)
 1   DAX Index  March-18  77,512   (820)
 43   DJIA Mini e-CBOT  March-18  5,318,025   70,580 

 

See accompanying notes to consolidated financial statements.

31

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    LONG FUTURES CONTRACTS (Continued)    
         
               
             Unrealized 
          Notional Value at  Appreciation/ 
Contracts   Issue  Expiration  December 31, 2017  (Depreciation) 
 3   E-Mini Crude Oil Future (a)  February-18  90,630  $4,593 
 5   Euro BUXL 30Yr Bond  March-18  983,816   (19,038)
 13   Euro FX Currency Future  March-18  1,962,269   30,075 
 99   Euro STOXX 50  March-18  4,152,454   (91,928)
 102   Euro-BOBL Future  March-18  16,119,816   (71,854)
 72   Euro-Bond Future  March-18  13,978,476   (56,778)
 73   Euro BTP Future  March-18  11,933,824   (254,246)
 93   Euro OAT Future  March-18  17,329,647   (204,199)
 201   Euro SCHATZ Future  March-18  27,026,397   (33,064)
 105   FTSE 100 Index  March-18  10,848,925   210,333 
 131   FTSE CHINA A50  January-18  1,734,768   (14,455)
 4   FTSE KLCI Future  January-18  88,213   505 
 30   FTSE/JSE Top 40 Index Future  March-18  1,288,546   20,399 
 11   FTSE/MIB Index Future  March-18  1,436,920   (45,761)
 29   Gasoline RBOB (a)  February-18  2,187,284   74,638 
 2   Gasoline RBOB (a)  March-18  152,317   4,725 
 2   Gasoline RBOB (a)  April-18  167,320   3,902 
 18   Gold 100 Oz. Future (a)  February-18  2,356,740   18,620 
 15   Hang Seng Index  January-18  2,873,243   23,723 
 16   HSCEI Future  January-18  1,200,414   2,092 
 6   IBEX 35 Index  January-18  721,979   (13,899)
 5   ICE ECX Emission (a)  December-18  49,113   1,708 
 5   ICE Natural Gas Future (a)  February-18  106,870   1,689 
 26   JPN 10YR Bond (OSE)  March-18  34,800,533   (14,468)
 1   JPN YEN Currency Future  March-18  111,425   263 
 3   KC HRW Wheat Future (a)  March-18  64,088   363 
 14   KOSPI2 Index  March-18  1,066,298   14,097 
 16   Lean Hogs (a)  February-18  459,360   21,520 
 1   Lean Hogs (a)  April-18  30,260   290 
 1   Lean Hogs (a)  June-18  33,570   1,330 
 2   Live Cattle (a)  February-18  97,240   (1,040)
 2   Live Cattle (a)  April-18  97,940   (2,790)
 7   LME Copper (a)  March-18  1,268,313   65,800 
 5   LME Lead (a)  March-18  382,800   34,110 
 15   LME Aluminum (a)  March-18  851,813   76,687 
 8   LME Zinc (a)  March-18  665,100   21,200 
 67   Long Gilt  March-18  11,343,789   41,464 
 51   Low Sulfur Gasoline (a)  February-18  3,068,925   85,375 
 4   Low Sulfur Gasoline (a)  March-18  239,700   13,500 
 2   Low Sulfur Gasoline (a)  April-18  118,800   6,850 
 2   Low Sulfur Gasoline (a)  May-18  117,950   6,300 
 1   Lumber Future (a)  March-18  48,609   (110)
 1   Mexican Peso Future  March-18  25,040   (615)

 

See accompanying notes to consolidated financial statements.

32

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    LONG FUTURES CONTRACTS (Continued)    
         
             Unrealized 
          Notional Value at  Appreciation/ 
Contracts   Issue  Expiration  December 31, 2017  (Depreciation) 
 5   Mini FTSE/MIB  March-18  130,629  $(3,367)
 4   Mini H-Shares Index  January-18  60,021   238 
 15   Mini HSI Index  January-18  574,649   6,028 
 4   TOPIX Index Future  March-18  64,518   1,250 
 18   Mini MSCI EAFE  March-18  1,840,950   19,125 
 36   Mini MSCI Emerging Market  March-18  2,094,660   66,705 
 49   MSCI SING IX ETS  January-18  1,422,995   12,266 
 27   MSCI TAIWAN Index  January-18  1,061,100   19,845 
 28   NASDAQ 100 E-Mini  March-18  3,588,900   (117)
 7   Natural Gas Future (a)  January-18  191,660   3,410 
 2   NIKKEI 225 (CME)  March-18  227,400   1,850 
 7   NIKKEI 225 (OSE)  March-18  1,413,671   10,852 
 166   NIKKEI 225 (SGX)  March-18  16,765,779   (53,274)
 58   NIKKEI 225 Mini  March-18  1,171,327   13,743 
 35   NY Harbor ULSD Futures (a)  February-18  3,040,107   199,286 
 3   NY Harbor ULSD Futures (a)  March-18  257,519   6,976 
 1   NY Harbor ULSD Futures (a)  May-18  83,710   4,502 
 103   OMXS30 Index  January-18  1,980,431   (37,259)
 11   Palladium Future (a)  March-18  1,167,100   84,410 
 2   Platinum Future (a)  April-18  93,830   485 
 27   Russell 2000 Mini Future  March-18  2,074,275   10,053 
 14   S&P Mid 400 E-mini Future  March-18  2,663,360   13,935 
 20   S&P/TSX 60 Index Future  March-18  3,056,467   6,333 
 88   S&P 500 E-mini Future  March-18  11,774,400   67,705 
 56   SET50 Future  March-18  388,684   (2,023)
 64   SGX NIFTY 50  January-18  1,351,488   827 
 83   Short-Term Euro-BTP  March-18  11,266,299   (49,818)
 7   Silver Future (a)  March-18  600,075   14,925 
 1   Soybean Future (a)  January-18  47,588   (2,988)
 6   Soybean Meal Future (a)  March-18  190,080   (3,180)
 24   SPI 200 Future  March-18  2,825,127   (4,074)
 2   STOXX EUROPE 600  March-18  21,903   (297)
 1   STOXX EUROPE 600  March-18  17,250   (72)
 51   STOXX EUROPE 600  March-18  1,183,786   (1,975)
 81   SX5E Dividend Future  December-18  1,235,264   11,229 
 26   TOPIX Index Future  March-18  4,193,697   63,608 
 20   US 10YR Note (CBT)  March-18  2,480,938   (3,946)
 3   US 10 Year Ultra Future  March-18  400,688   625 
 28   US 5YR Note (CBT)  March-18  3,252,594   (3,954)

 

See accompanying notes to consolidated financial statements.

33

 

Altegris Managed Futures Strategy Fund
CONSOLIDATED PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

    LONG FUTURES CONTRACTS (Continued)    
             Unrealized 
          Notional Value at  Appreciation/ 
Contracts   Issue  Expiration  December 31, 2017  (Depreciation) 
 22   US Long Bond (CBT)  March-18  3,366,000   11,719 
 12   US Ultra Bond (CBT)  March-18  2,011,875   18,820 
 16   WIG20 Index Future (a)  March-18  225,993   2,450 
 2   World Sugar #11 (a)  March-18  33,958   67 
 39   WTI Crude Future (a)  February-18  2,356,380   115,920 
 7   WTI Crude Future (a)  February-18  422,940   24,690 
 5   WTI Crude Future (a)  March-18  302,200   15,880 
 2   WTI Crude Future (a)  March-18  120,880   7,620 
 4   WTI Crude Future (a)  April-18  241,600   11,080 
 1   WTI Crude Future (a)  April-18  60,400   3,450 
 1   WTI Crude Future (a)  May-18  60,270   3,740 
 3   WTI Crude Future (a)  December-18  174,210   12,500 
 5   XAE Energy  March-18  364,200   8,890 
 1   XAP Consumer Staples  March-18  57,290   (260)
 8   Yen Nikkei Future  March-18  806,036   12,286 
              $1,264,931 
     TOTAL UNREALIZED APPRECIATION ON FUTURES CONTRACTS  $932,872 

 

See accompanying notes to consolidated financial statements.

34

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

 Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/2/2018  Bank of America Merrill Lynch  140,000  AUD  109,101  USD  $109,501   $400 
1/2/2018  Bank of America Merrill Lynch  500,000  EUR  443,941  GBP   600,400    (153)
1/2/2018  Bank of America Merrill Lynch  343,505  EUR  410,231  USD   412,481    2,250 
1/2/2018  Bank of America Merrill Lynch  249,062  EUR  297,438  USD   299,074    1,636 
1/2/2018  Bank of America Merrill Lynch  32,433  EUR  38,725  USD   38,946    221 
1/2/2018  Bank of America Merrill Lynch  190,000  EUR  227,054  USD   228,152    1,098 
1/2/2018  Bank of America Merrill Lynch  444,491  GBP  500,000  EUR   601,286    3,858 
1/2/2018  Bank of America Merrill Lynch  110,000  GBP  147,907  USD   148,803    896 
1/2/2018  Bank of America Merrill Lynch  1,530,000  MXN  77,442  USD   78,199    757 
1/2/2018  Bank of America Merrill Lynch  10,000  PLN  2,857  USD   2,878    21 
1/2/2018  Bank of America Merrill Lynch  10,000  PLN  2,857  USD   2,878    21 
1/2/2018  Bank of America Merrill Lynch  10,000  PLN  2,857  USD   2,878    21 
1/2/2018  Bank of America Merrill Lynch  10,000  PLN  2,856  USD   2,878    22 
1/2/2018  Bank of America Merrill Lynch  10,000  PLN  2,856  USD   2,878    22 
1/2/2018  Bank of America Merrill Lynch  10,000  PLN  2,855  USD   2,878    23 
1/2/2018  Bank of America Merrill Lynch  10,000  PLN  2,855  USD   2,878    23 
1/2/2018  Bank of America Merrill Lynch  10,000  PLN  2,853  USD   2,878    25 
1/2/2018  Bank of America Merrill Lynch  20,000  SEK  2,429  USD   2,442    13 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,643  USD   3,664    21 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,643  USD   3,664    21 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,641  USD   3,664    23 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,640  USD   3,664    24 
1/2/2018  Bank of America Merrill Lynch  40,000  SEK  4,852  USD   4,886    34 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,639  USD   3,664    25 
1/2/2018  Bank of America Merrill Lynch  50,000  SEK  6,063  USD   6,107    44 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,638  USD   3,664    26 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,637  USD   3,664    27 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,637  USD   3,664    27 
1/2/2018  Bank of America Merrill Lynch  20,000  SEK  2,424  USD   2,443    19 
1/2/2018  Bank of America Merrill Lynch  20,000  SEK  2,424  USD   2,443    19 
1/2/2018  Bank of America Merrill Lynch  20,000  SEK  2,424  USD   2,443    19 
1/2/2018  Bank of America Merrill Lynch  40,000  SEK  4,848  USD   4,886    38 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,636  USD   3,664    28 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,636  USD   3,664    28 
1/2/2018  Bank of America Merrill Lynch  60,000  SEK  7,270  USD   7,328    58 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,635  USD   3,664    29 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,635  USD   3,664    29 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,634  USD   3,664    30 
1/2/2018  Bank of America Merrill Lynch  30,000  SEK  3,633  USD   3,664    31 
1/2/2018  Bank of America Merrill Lynch  70,000  SEK  8,476  USD   8,550    74 
1/2/2018  Bank of America Merrill Lynch  377,155  TRY  100,000  USD   99,471    (529)
1/2/2018  Bank of America Merrill Lynch  378,695  TRY  100,000  USD   99,877    (123)
1/2/2018  Bank of America Merrill Lynch  1,888  TRY  499  USD   498    (1)
1/2/2018  Bank of America Merrill Lynch  20,000  ZAR  1,618  USD   1,616    (2)
1/3/2018  Bank of America Merrill Lynch  200,000  AUD  17,617,585  JPY   156,431    600 
1/3/2018  Bank of America Merrill Lynch  6,225  BRL  1,925  USD   1,876    (49)
1/3/2018  Bank of America Merrill Lynch  2,728,960  BRL  846,065  USD   822,392    (23,673)
1/3/2018  Bank of America Merrill Lynch  574,646  BRL  177,968  USD   173,174    (4,794)
1/3/2018  Bank of America Merrill Lynch  43,924  BRL  13,433  USD   13,237    (196)
1/3/2018  Bank of America Merrill Lynch  9,832  BRL  3,037  USD   2,963    (74)
1/3/2018  Bank of America Merrill Lynch  1,057,918  BRL  319,806  USD   318,811    (995)
1/3/2018  Bank of America Merrill Lynch  840,168  BRL  253,981  USD   253,191    (790)

 

See accompanying notes to consolidated financial statements.

35

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/3/2018  Bank of America Merrill Lynch  265,973  BRL  80,403  USD  $80,153   $(250)
1/3/2018  Bank of America Merrill Lynch  198,741  BRL  60,079  USD   59,892    (187)
1/3/2018  Bank of America Merrill Lynch  191,770  BRL  57,972  USD   57,791    (181)
1/3/2018  Bank of America Merrill Lynch  169,295  BRL  51,177  USD   51,018    (159)
1/3/2018  Bank of America Merrill Lynch  118,142  BRL  35,714  USD   35,603    (111)
1/3/2018  Bank of America Merrill Lynch  117,372  BRL  35,481  USD   35,371    (110)
1/3/2018  Bank of America Merrill Lynch  107,166  BRL  32,396  USD   32,295    (101)
1/3/2018  Bank of America Merrill Lynch  103,128  BRL  31,175  USD   31,078    (97)
1/3/2018  Bank of America Merrill Lynch  70,817  BRL  21,408  USD   21,341    (67)
1/3/2018  Bank of America Merrill Lynch  54,173  BRL  16,376  USD   16,325    (51)
1/3/2018  Bank of America Merrill Lynch  49,691  BRL  15,022  USD   14,975    (47)
1/3/2018  Bank of America Merrill Lynch  8,381  BRL  2,534  USD   2,526    (8)
1/3/2018  Bank of America Merrill Lynch  6,029  BRL  1,823  USD   1,817    (6)
1/3/2018  Bank of America Merrill Lynch  4,200  BRL  1,270  USD   1,266    (4)
1/3/2018  Bank of America Merrill Lynch  484  BRL  146  USD   146    — 
1/3/2018  Bank of America Merrill Lynch  139  BRL  42  USD   42    — 
1/3/2018  Bank of America Merrill Lynch  10,000  CHF  10,216  USD   10,264    48 
1/3/2018  Bank of America Merrill Lynch  58,378  EUR  51,856  GBP   70,114    (9)
1/3/2018  Bank of America Merrill Lynch  267,548  EUR  237,682  GBP   321,333    (41)
1/3/2018  Bank of America Merrill Lynch  74,074  EUR  65,818  GBP   88,965    (11)
1/3/2018  Bank of America Merrill Lynch  86,956  EUR  104,142  USD   104,437    295 
1/3/2018  Bank of America Merrill Lynch  663,044  EUR  794,022  USD   796,336    2,314 
1/3/2018  Bank of America Merrill Lynch  151,899  EUR  182,430  USD   182,435    5 
1/3/2018  Bank of America Merrill Lynch  66,455  EUR  79,787  USD   79,814    27 
1/3/2018  Bank of America Merrill Lynch  531,646  EUR  638,370  USD   638,523    153 
1/3/2018  Bank of America Merrill Lynch  443,212  GBP  500,000  EUR   599,619    (43)
1/3/2018  Bank of America Merrill Lynch  66,936  GBP  75,471  EUR   90,558    (6)
1/3/2018  Bank of America Merrill Lynch  287,698  GBP  324,529  EUR   389,225    (28)
1/3/2018  Bank of America Merrill Lynch  78,652  GBP  106,125  USD   106,408    283 
1/3/2018  Bank of America Merrill Lynch  18,007  GBP  24,298  USD   24,362    64 
1/3/2018  Bank of America Merrill Lynch  419,492  GBP  566,062  USD   567,529    1,467 
1/3/2018  Bank of America Merrill Lynch  204,497  GBP  276,094  USD   276,663    569 
1/3/2018  Bank of America Merrill Lynch  154,352  GBP  208,393  USD   208,822    429 
1/4/2018  Bank of America Merrill Lynch  200,000  AUD  17,617,740  JPY   156,431    600 
1/4/2018  Bank of America Merrill Lynch  200,000  CAD  17,917,790  JPY   159,633    768 
1/4/2018  Bank of America Merrill Lynch  250,000  CHF  28,717,550  JPY   256,620    1,124 
1/4/2018  Bank of America Merrill Lynch  250,000  CHF  28,721,175  JPY   256,620    1,124 
1/4/2018  Bank of America Merrill Lynch  250,000  CHF  28,709,900  JPY   256,620    1,124 
1/4/2018  Bank of America Merrill Lynch  100,000  EUR  13,493,355  JPY   120,111    681 
1/4/2018  Bank of America Merrill Lynch  35,159,680  JPY  400,000  AUD   312,177    (31)
1/4/2018  Bank of America Merrill Lynch  17,915,583  JPY  200,000  CAD   159,070    284 
1/4/2018  Bank of America Merrill Lynch  86,415,750  JPY  750,000  CHF   767,272    (77)
1/4/2018  Bank of America Merrill Lynch  13,469,950  JPY  100,000  EUR   119,598    (12)
1/4/2018  Bank of America Merrill Lynch  1,000,000  JPY  8,864  USD   8,879    15 
1/4/2018  Bank of America Merrill Lynch  1,000,000  JPY  8,862  USD   8,879    17 
1/4/2018  Bank of America Merrill Lynch  1,000,000  JPY  8,855  USD   8,879    24 
1/4/2018  Bank of America Merrill Lynch  1,000,000  JPY  8,836  USD   8,879    43 
1/4/2018  Bank of America Merrill Lynch  1,000,000  JPY  8,835  USD   8,879    44 
1/4/2018  Bank of America Merrill Lynch  23,405  JPY  208  USD   208    — 
1/5/2018  Bank of America Merrill Lynch  500,000  CHF  57,601,934  JPY   513,278    (78)
1/5/2018  Bank of America Merrill Lynch  52,727,058  JPY  600,000  AUD   468,179    (47)
1/5/2018  Bank of America Merrill Lynch  57,853,732  JPY  500,000  CHF   513,700    (52)

 

See accompanying notes to consolidated financial statements.

36

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/5/2018  Bank of America Merrill Lynch  42,781,082  JPY  315,791  EUR  $379,866   $(38)
1/5/2018  Bank of America Merrill Lynch  38,504,500  JPY  284,209  EUR   341,893    (34)
1/5/2018  Bank of America Merrill Lynch  200,000  NZD  15,994,236  JPY   142,230    4 
1/5/2018  Bank of America Merrill Lynch  17,952,600  TWD  600,000  USD   603,457    3,457 
1/8/2018  Bank of America Merrill Lynch  1,519,560,000  KRW  1,400,000  USD   1,419,614    19,614 
1/12/2018  Bank of America Merrill Lynch  1,531,362,000  KRW  1,400,000  USD   1,430,738    30,738 
1/16/2018  Bank of America Merrill Lynch  174,420,000  INR  2,700,000  USD   2,727,445    27,445 
1/16/2018  Bank of America Merrill Lynch  17,976,600  TWD  600,000  USD   604,663    4,663 
1/17/2018  Bank of America Merrill Lynch  10,000  AUD  7,506  USD   7,821    315 
1/17/2018  Bank of America Merrill Lynch  180,000  AUD  135,880  USD   140,789    4,909 
1/17/2018  Bank of America Merrill Lynch  320,000  AUD  243,434  USD   250,292    6,858 
1/17/2018  Bank of America Merrill Lynch  80,000  AUD  61,357  USD   62,573    1,216 
1/17/2018  Bank of America Merrill Lynch  150,000  AUD  114,705  USD   117,324    2,619 
1/17/2018  Bank of America Merrill Lynch  170,000  AUD  130,471  USD   132,967    2,496 
1/17/2018  Bank of America Merrill Lynch  120,000  AUD  92,062  USD   93,859    1,797 
1/17/2018  Bank of America Merrill Lynch  320,000  AUD  247,201  USD   250,292    3,091 
1/17/2018  Bank of America Merrill Lynch  310,000  BRL  96,118  USD   93,260    (2,858)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,501  USD   15,042    (459)
1/17/2018  Bank of America Merrill Lynch  10,000  BRL  3,069  USD   3,008    (61)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,203  USD   9,025    (178)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,259  USD   12,033    (226)
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,117  USD   6,017    (100)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,340  USD   12,033    (307)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,329  USD   12,034    (295)
1/17/2018  Bank of America Merrill Lynch  10,000  BRL  3,082  USD   3,009    (73)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,244  USD   9,025    (219)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,312  USD   12,033    (279)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,310  USD   12,034    (276)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,301  USD   12,034    (267)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,223  USD   9,025    (198)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,295  USD   12,033    (262)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,295  USD   12,034    (261)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,211  USD   9,025    (186)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,105  USD   12,034    (71)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,074  USD   9,025    (49)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,081  USD   12,034    (47)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,074  USD   12,033    (41)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,042  USD   12,033    (9)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,057  USD   9,025    (32)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,051  USD   9,025    (26)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,059  USD   12,033    (26)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,054  USD   12,034    (20)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,037  USD   12,034    (3)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,020  USD   9,025    5 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,013  USD   12,033    20 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,007  USD   9,025    18 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,039  USD   12,033    (6)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,025  USD   9,025    — 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,032  USD   12,033    1 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,021  USD   12,033    12 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,017  USD   12,034    17 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,159  USD   12,034    (125)

 

See accompanying notes to consolidated financial statements.

37

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,236  USD  $18,050   $(186)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,155  USD   12,034    (121)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,113  USD   9,025    (88)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,226  USD   18,050    (176)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,112  USD   9,025    (87)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,112  USD   9,025    (87)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,147  USD   12,034    (113)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,147  USD   12,034    (113)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,147  USD   12,034    (113)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,109  USD   9,025    (84)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,146  USD   12,034    (112)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,177  USD   15,042    (135)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,211  USD   18,050    (161)
1/17/2018  Bank of America Merrill Lynch  90,000  BRL  27,312  USD   27,076    (236)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,205  USD   18,050    (155)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,102  USD   9,025    (77)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,134  USD   12,034    (100)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,123  USD   12,034    (89)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,153  USD   15,042    (111)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,183  USD   18,050    (133)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,090  USD   9,025    (65)
1/17/2018  Bank of America Merrill Lynch  70,000  BRL  21,210  USD   21,059    (151)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,177  USD   18,050    (127)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,114  USD   12,034    (80)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,191  USD   15,042    (149)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,151  USD   12,034    (117)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,148  USD   12,034    (114)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,177  USD   15,042    (135)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,141  USD   12,034    (107)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,139  USD   12,034    (105)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,104  USD   9,025    (79)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,165  USD   15,042    (123)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,096  USD   9,025    (71)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,127  USD   12,033    (94)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,095  USD   9,025    (70)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,154  USD   15,042    (112)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,116  USD   12,034    (82)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,114  USD   12,034    (80)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,080  USD   9,025    (55)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,159  USD   18,051    (108)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,102  USD   12,034    (68)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,098  USD   12,034    (64)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,097  USD   12,034    (63)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,092  USD   12,034    (58)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,090  USD   12,034    (56)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,067  USD   9,025    (42)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,064  USD   9,025    (39)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,063  USD   9,025    (38)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,220  USD   18,050    (170)
1/17/2018  Bank of America Merrill Lynch  90,000  BRL  27,326  USD   27,076    (250)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,106  USD   9,025    (81)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,105  USD   9,025    (80)

 

See accompanying notes to consolidated financial statements.

38

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,067  USD  $6,017   $(50)
1/17/2018  Bank of America Merrill Lynch  70,000  BRL  21,231  USD   21,059    (172)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,159  USD   15,042    (117)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,187  USD   18,051    (136)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,092  USD   9,025    (67)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,091  USD   9,025    (66)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,120  USD   12,034    (86)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,088  USD   9,025    (63)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,081  USD   9,025    (56)
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,059  USD   6,017    (42)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,088  USD   9,025    (63)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,080  USD   9,025    (55)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,068  USD   9,025    (43)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,056  USD   9,025    (31)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,047  USD   9,025    (22)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,046  USD   9,025    (21)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,041  USD   9,025    (16)
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,027  USD   6,017    (10)
1/17/2018  Bank of America Merrill Lynch  170,000  CAD  132,155  USD   135,716    3,561 
1/17/2018  Bank of America Merrill Lynch  140,000  CAD  108,880  USD   111,766    2,886 
1/17/2018  Bank of America Merrill Lynch  150,000  CAD  116,805  USD   119,750    2,945 
1/17/2018  Bank of America Merrill Lynch  90,000  CAD  69,919  USD   71,850    1,931 
1/17/2018  Bank of America Merrill Lynch  160,000  CAD  124,542  USD   127,733    3,191 
1/17/2018  Bank of America Merrill Lynch  10,000  CAD  7,854  USD   7,983    129 
1/17/2018  Bank of America Merrill Lynch  240,000  CAD  187,089  USD   191,599    4,510 
1/17/2018  Bank of America Merrill Lynch  30,000  CAD  23,609  USD   23,950    341 
1/17/2018  Bank of America Merrill Lynch  40,000  CHF  40,521  USD   41,100    579 
1/17/2018  Bank of America Merrill Lynch  120,000  CHF  121,435  USD   123,299    1,864 
1/17/2018  Bank of America Merrill Lynch  100,000  CHF  101,088  USD   102,749    1,661 
1/17/2018  Bank of America Merrill Lynch  110,000  CHF  111,471  USD   113,024    1,553 
1/17/2018  Bank of America Merrill Lynch  450,000  CHF  457,927  USD   462,371    4,444 
1/17/2018  Bank of America Merrill Lynch  40,000  CHF  40,539  USD   41,100    561 
1/17/2018  Bank of America Merrill Lynch  90,000  CHF  91,319  USD   92,474    1,155 
1/17/2018  Bank of America Merrill Lynch  10,000  CHF  10,244  USD   10,275    31 
1/17/2018  Bank of America Merrill Lynch  550,000  EUR  653,794  USD   661,155    7,361 
1/17/2018  Bank of America Merrill Lynch  10,000  EUR  11,887  USD   12,021    134 
1/17/2018  Bank of America Merrill Lynch  10,000  EUR  11,824  USD   12,021    197 
1/17/2018  Bank of America Merrill Lynch  130,000  EUR  153,453  USD   156,273    2,820 
1/17/2018  Bank of America Merrill Lynch  60,000  EUR  71,450  USD   72,126    676 
1/17/2018  Bank of America Merrill Lynch  40,000  EUR  47,614  USD   48,084    470 
1/17/2018  Bank of America Merrill Lynch  30,000  EUR  35,617  USD   36,063    446 
1/17/2018  Bank of America Merrill Lynch  70,000  GBP  94,712  USD   94,750    38 
1/17/2018  Bank of America Merrill Lynch  180,000  GBP  240,299  USD   243,643    3,344 
1/17/2018  Bank of America Merrill Lynch  80,000  GBP  107,154  USD   108,286    1,132 
1/17/2018  Bank of America Merrill Lynch  150,000  GBP  201,374  USD   203,035    1,661 
1/17/2018  Bank of America Merrill Lynch  20,000  GBP  26,791  USD   27,071    280 
1/17/2018  Bank of America Merrill Lynch  50,000  GBP  67,017  USD   67,678    661 
1/17/2018  Bank of America Merrill Lynch  50,000  GBP  67,012  USD   67,678    666 
1/17/2018  Bank of America Merrill Lynch  10,000  GBP  13,424  USD   13,536    112 
1/17/2018  Bank of America Merrill Lynch  17,000,000  JPY  151,453  USD   151,039    (414)
1/17/2018  Bank of America Merrill Lynch  21,000,000  JPY  185,768  USD   186,578    810 
1/17/2018  Bank of America Merrill Lynch  4,000,000  JPY  35,400  USD   35,539    139 

 

See accompanying notes to consolidated financial statements.

39

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/17/2018  Bank of America Merrill Lynch  1,000,000  JPY  8,863  USD  $8,885   $22 
1/17/2018  Bank of America Merrill Lynch  5,000,000  JPY  44,345  USD   44,423    78 
1/17/2018  Bank of America Merrill Lynch  1,410,000  MXN  75,076  USD   71,813    (3,263)
1/17/2018  Bank of America Merrill Lynch  11,950,000  MXN  634,951  USD   608,624    (26,327)
1/17/2018  Bank of America Merrill Lynch  30,000  MXN  1,600  USD   1,528    (72)
1/17/2018  Bank of America Merrill Lynch  790,000  MXN  41,270  USD   40,235    (1,035)
1/17/2018  Bank of America Merrill Lynch  1,790,000  MXN  93,235  USD   91,166    (2,069)
1/17/2018  Bank of America Merrill Lynch  1,770,000  MXN  92,374  USD   90,148    (2,226)
1/17/2018  Bank of America Merrill Lynch  10,000  MXN  519  USD   509    (10)
1/17/2018  Bank of America Merrill Lynch  5,580,000  MXN  281,309  USD   284,194    2,885 
1/17/2018  Bank of America Merrill Lynch  260,000  NOK  31,434  USD   31,804    370 
1/17/2018  Bank of America Merrill Lynch  1,890,000  NOK  228,167  USD   231,193    3,026 
1/17/2018  Bank of America Merrill Lynch  2,110,000  NOK  254,445  USD   258,104    3,659 
1/17/2018  Bank of America Merrill Lynch  130,000  NOK  15,625  USD   15,902    277 
1/17/2018  Bank of America Merrill Lynch  560,000  NOK  67,021  USD   68,501    1,480 
1/17/2018  Bank of America Merrill Lynch  1,720,000  NOK  205,584  USD   210,398    4,814 
1/17/2018  Bank of America Merrill Lynch  170,000  NOK  20,420  USD   20,795    375 
1/17/2018  Bank of America Merrill Lynch  1,330,000  NOK  160,374  USD   162,691    2,317 
1/17/2018  Bank of America Merrill Lynch  110,000  NOK  13,323  USD   13,455    132 
1/17/2018  Bank of America Merrill Lynch  200,000  NZD  137,445  USD   142,207    4,762 
1/17/2018  Bank of America Merrill Lynch  120,000  NZD  82,126  USD   85,325    3,199 
1/17/2018  Bank of America Merrill Lynch  30,000  NZD  20,529  USD   21,331    802 
1/17/2018  Bank of America Merrill Lynch  120,000  NZD  82,974  USD   85,324    2,350 
1/17/2018  Bank of America Merrill Lynch  110,000  NZD  76,147  USD   78,214    2,067 
1/17/2018  Bank of America Merrill Lynch  80,000  NZD  55,859  USD   56,883    1,024 
1/17/2018  Bank of America Merrill Lynch  120,000  NZD  83,841  USD   85,324    1,483 
1/17/2018  Bank of America Merrill Lynch  170,000  NZD  118,944  USD   120,876    1,932 
1/17/2018  Bank of America Merrill Lynch  10,000  NZD  7,008  USD   7,110    102 
1/17/2018  Bank of America Merrill Lynch  50,000  NZD  34,929  USD   35,552    623 
1/17/2018  Bank of America Merrill Lynch  250,000  NZD  174,511  USD   177,759    3,248 
1/17/2018  Bank of America Merrill Lynch  30,000  NZD  21,101  USD   21,331    230 
1/17/2018  Bank of America Merrill Lynch  330,000  NZD  233,809  USD   234,642    833 
1/17/2018  Bank of America Merrill Lynch  600,000  PLN  167,978  USD   172,676    4,698 
1/17/2018  Bank of America Merrill Lynch  210,000  PLN  59,875  USD   60,436    561 
1/17/2018  Bank of America Merrill Lynch  20,000  PLN  5,660  USD   5,756    96 
1/17/2018  Bank of America Merrill Lynch  140,000  PLN  39,547  USD   40,291    744 
1/17/2018  Bank of America Merrill Lynch  30,000  PLN  8,485  USD   8,634    149 
1/17/2018  Bank of America Merrill Lynch  20,000  PLN  5,686  USD   5,756    70 
1/17/2018  Bank of America Merrill Lynch  80,000  PLN  22,917  USD   23,023    106 
1/17/2018  Bank of America Merrill Lynch  3,510,000  RUB  59,046  USD   60,824    1,778 
1/17/2018  Bank of America Merrill Lynch  640,000  RUB  10,783  USD   11,090    307 
1/17/2018  Bank of America Merrill Lynch  480,000  RUB  8,085  USD   8,318    233 
1/17/2018  Bank of America Merrill Lynch  640,000  RUB  10,778  USD   11,090    312 
1/17/2018  Bank of America Merrill Lynch  380,000  RUB  6,399  USD   6,585    186 
1/17/2018  Bank of America Merrill Lynch  1,940,000  RUB  32,654  USD   33,618    964 
1/17/2018  Bank of America Merrill Lynch  680,000  RUB  11,416  USD   11,784    368 
1/17/2018  Bank of America Merrill Lynch  760,000  RUB  12,831  USD   13,170    339 
1/17/2018  Bank of America Merrill Lynch  500,000  RUB  8,438  USD   8,664    226 
1/17/2018  Bank of America Merrill Lynch  2,090,000  SEK  248,171  USD   255,551    7,380 
1/17/2018  Bank of America Merrill Lynch  570,000  SEK  67,831  USD   69,696    1,865 
1/17/2018  Bank of America Merrill Lynch  1,490,000  SEK  177,576  USD   182,187    4,611 
1/17/2018  Bank of America Merrill Lynch  1,820,000  SEK  217,686  USD   222,537    4,851 

 

See accompanying notes to consolidated financial statements.

40

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/17/2018  Bank of America Merrill Lynch  1,170,000  SEK  139,716  USD  $143,059   $3,343 
1/17/2018  Bank of America Merrill Lynch  360,000  SEK  43,208  USD   44,018    810 
1/17/2018  Bank of America Merrill Lynch  60,000  SEK  7,273  USD   7,336    63 
1/17/2018  Bank of America Merrill Lynch  760,000  SEK  92,237  USD   92,928    691 
1/17/2018  Bank of America Merrill Lynch  170,000  TRY  43,953  USD   44,605    652 
1/17/2018  Bank of America Merrill Lynch  110,000  TRY  28,076  USD   28,862    786 
1/17/2018  Bank of America Merrill Lynch  70,000  TRY  18,111  USD   18,367    256 
1/17/2018  Bank of America Merrill Lynch  170,000  TRY  43,893  USD   44,605    712 
1/17/2018  Bank of America Merrill Lynch  20,000  TRY  5,195  USD   5,248    53 
1/17/2018  Bank of America Merrill Lynch  40,000  TRY  10,407  USD   10,495    88 
1/17/2018  Bank of America Merrill Lynch  80,000  TRY  20,873  USD   20,990    117 
1/17/2018  Bank of America Merrill Lynch  1,610,000  ZAR  118,054  USD   129,678    11,624 
1/17/2018  Bank of America Merrill Lynch  140,000  ZAR  10,372  USD   11,276    904 
1/17/2018  Bank of America Merrill Lynch  50,000  ZAR  3,752  USD   4,027    275 
1/17/2018  Bank of America Merrill Lynch  970,000  ZAR  75,619  USD   78,129    2,510 
1/17/2018  Bank of America Merrill Lynch  620,000  ZAR  48,880  USD   49,938    1,058 
1/17/2018  Bank of America Merrill Lynch  100,000  ZAR  7,916  USD   8,055    139 
1/17/2018  Bank of America Merrill Lynch  810,000  ZAR  65,658  USD   65,242    (416)
1/18/2018  Bank of America Merrill Lynch  219,687  AUD  125,000  GBP   171,831    4,653 
1/18/2018  Bank of America Merrill Lynch  2,000,000  AUD  171,458,800  JPY   1,564,324    42,357 
1/18/2018  Bank of America Merrill Lynch  2,000,000  AUD  170,053,000  JPY   1,564,324    62,466 
1/18/2018  Bank of America Merrill Lynch  400,000  AUD  34,643,800  JPY   312,865    6,222 
1/18/2018  Bank of America Merrill Lynch  800,000  AUD  69,499,600  JPY   625,730    10,116 
1/18/2018  Bank of America Merrill Lynch  600,000  AUD  52,374,300  JPY   469,297    6,213 
1/18/2018  Bank of America Merrill Lynch  600,000  AUD  52,643,820  JPY   469,297    3,381 
1/18/2018  Bank of America Merrill Lynch  400,000  AUD  35,140,360  JPY   312,865    (1)
1/18/2018  Bank of America Merrill Lynch  800,000  AUD  887,133  NZD   625,730    16,943 
1/18/2018  Bank of America Merrill Lynch  2,600,000  AUD  2,883,182  NZD   2,033,621    55,064 
1/18/2018  Bank of America Merrill Lynch  200,000  AUD  217,726  NZD   156,433    5,609 
1/18/2018  Bank of America Merrill Lynch  200,000  AUD  217,973  NZD   156,432    4,202 
1/18/2018  Bank of America Merrill Lynch  1,000,000  AUD  1,092,905  NZD   782,162    17,232 
1/18/2018  Bank of America Merrill Lynch  200,000  AUD  219,043  NZD   156,432    3,452 
1/18/2018  Bank of America Merrill Lynch  800,000  AUD  877,130  NZD   625,730    10,116 
1/18/2018  Bank of America Merrill Lynch  200,000  AUD  151,726  USD   156,432    4,706 
1/18/2018  Bank of America Merrill Lynch  300,000  AUD  226,881  USD   234,649    7,768 
1/18/2018  Bank of America Merrill Lynch  100,000  AUD  76,692  USD   78,216    1,524 
1/18/2018  Bank of America Merrill Lynch  100,000  AUD  76,692  USD   78,216    1,524 
1/18/2018  Bank of America Merrill Lynch  2,900,000  AUD  2,238,562  USD   2,268,270    29,708 
1/18/2018  Bank of America Merrill Lynch  1,700,000  AUD  1,312,260  USD   1,329,675    17,415 
1/18/2018  Bank of America Merrill Lynch  1,930,534  CAD  2,000,000  AUD   1,541,226    17,961 
1/18/2018  Bank of America Merrill Lynch  192,819  CAD  200,000  AUD   153,936    3,890 
1/18/2018  Bank of America Merrill Lynch  392,931  CAD  400,000  AUD   313,693    7,426 
1/18/2018  Bank of America Merrill Lynch  1,179,486  CAD  1,200,000  AUD   941,633    14,074 
1/18/2018  Bank of America Merrill Lynch  200,000  CAD  17,762,400  JPY   159,668    1,861 
1/18/2018  Bank of America Merrill Lynch  1,400,000  CAD  124,336,800  JPY   1,117,679    13,025 
1/18/2018  Bank of America Merrill Lynch  200,000  CAD  17,605,400  JPY   159,668    3,923 
1/18/2018  Bank of America Merrill Lynch  200,000  CAD  17,669,700  JPY   159,668    4,215 
1/18/2018  Bank of America Merrill Lynch  400,000  CAD  35,184,120  JPY   319,337    7,850 
1/18/2018  Bank of America Merrill Lynch  800,000  CAD  70,151,680  JPY   638,674    15,118 
1/18/2018  Bank of America Merrill Lynch  200,000  CAD  17,493,000  JPY   159,668    4,447 
1/18/2018  Bank of America Merrill Lynch  400,000  CAD  35,350,720  JPY   319,337    4,773 
1/18/2018  Bank of America Merrill Lynch  800,000  CAD  71,273,360  JPY   638,674    10,916 

 

See accompanying notes to consolidated financial statements.

41

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/18/2018  Bank of America Merrill Lynch  3,300,000  CAD  2,606,143  USD  $2,634,529   $28,386 
1/18/2018  Bank of America Merrill Lynch  1,500,000  CAD  1,184,610  USD   1,197,513    12,903 
1/18/2018  Bank of America Merrill Lynch  700,000  CAD  544,791  USD   558,839    14,048 
1/18/2018  Bank of America Merrill Lynch  100,000  CAD  78,010  USD   79,834    1,824 
1/18/2018  Bank of America Merrill Lynch  600,000  CAD  468,060  USD   479,005    10,945 
1/18/2018  Bank of America Merrill Lynch  500,000  CAD  393,748  USD   399,171    5,423 
1/18/2018  Bank of America Merrill Lynch  100,000  CAD  79,118  USD   79,834    716 
1/18/2018  Bank of America Merrill Lynch  300,000  CAD  238,841  USD   239,503    662 
1/18/2018  Bank of America Merrill Lynch  250,000  CHF  28,599,300  JPY   256,892    2,653 
1/18/2018  Bank of America Merrill Lynch  1,500,000  CHF  171,595,800  JPY   1,541,355    15,920 
1/18/2018  Bank of America Merrill Lynch  250,000  CHF  28,643,150  JPY   256,892    3,521 
1/18/2018  Bank of America Merrill Lynch  1,500,000  CHF  171,928,800  JPY   1,541,355    24,164 
1/18/2018  Bank of America Merrill Lynch  500,000  CHF  57,385,400  JPY   513,785    4,315 
1/18/2018  Bank of America Merrill Lynch  500,000  CHF  57,507,000  JPY   513,785    6,455 
1/18/2018  Bank of America Merrill Lynch  500,000  CHF  57,507,000  JPY   513,785    6,455 
1/18/2018  Bank of America Merrill Lynch  750,000  CHF  86,485,800  JPY   770,677    (117)
1/18/2018  Bank of America Merrill Lynch  125,000  CHF  125,779  USD   128,446    2,667 
1/18/2018  Bank of America Merrill Lynch  250,000  CHF  254,852  USD   256,892    2,040 
1/18/2018  Bank of America Merrill Lynch  750,000  CHF  761,616  USD   770,677    9,061 
1/18/2018  Bank of America Merrill Lynch  15,912,468  CNH  2,400,000  USD   2,441,204    41,204 
1/18/2018  Bank of America Merrill Lynch  1,989,412  CNH  300,000  USD   305,205    5,205 
1/18/2018  Bank of America Merrill Lynch  11,914,146  CNH  1,800,000  USD   1,827,803    27,803 
1/18/2018  Bank of America Merrill Lynch  5,293,743  CNH  800,000  USD   812,137    12,137 
1/18/2018  Bank of America Merrill Lynch  5,921,874  CNH  900,000  USD   908,502    8,502 
1/18/2018  Bank of America Merrill Lynch  9,186,314  CNH  1,400,000  USD   1,409,314    9,314 
1/18/2018  Bank of America Merrill Lynch  1,250,000  EUR  1,947,144  AUD   1,502,721    18,837 
1/18/2018  Bank of America Merrill Lynch  375,000  EUR  582,081  AUD   450,816    4,700 
1/18/2018  Bank of America Merrill Lynch  1,125,000  EUR  1,691,594  CAD   1,352,449    16,954 
1/18/2018  Bank of America Merrill Lynch  500,000  EUR  762,957  CAD   601,088    6,267 
1/18/2018  Bank of America Merrill Lynch  1,875,000  EUR  2,188,892  CHF   2,254,082    28,256 
1/18/2018  Bank of America Merrill Lynch  750,000  EUR  879,680  CHF   901,633    9,401 
1/18/2018  Bank of America Merrill Lynch  1,100,000  EUR  974,928  GBP   1,322,395    16,577 
1/18/2018  Bank of America Merrill Lynch  1,000,000  EUR  884,743  GBP   1,202,177    19,239 
1/18/2018  Bank of America Merrill Lynch  700,000  EUR  617,309  GBP   841,524    13,091 
1/18/2018  Bank of America Merrill Lynch  600,000  EUR  529,134  GBP   721,306    12,219 
1/18/2018  Bank of America Merrill Lynch  300,000  EUR  266,621  GBP   360,653    3,760 
1/18/2018  Bank of America Merrill Lynch  1,000,000  EUR  887,210  GBP   1,202,177    15,125 
1/18/2018  Bank of America Merrill Lynch  300,000  EUR  40,060,980  JPY   360,653    4,521 
1/18/2018  Bank of America Merrill Lynch  900,000  EUR  120,182,940  JPY   1,081,959    13,563 
1/18/2018  Bank of America Merrill Lynch  2,900,000  EUR  388,740,940  JPY   3,486,313    31,125 
1/18/2018  Bank of America Merrill Lynch  200,000  EUR  26,964,500  JPY   240,435    2,507 
1/18/2018  Bank of America Merrill Lynch  300,000  EUR  40,446,750  JPY   360,653    3,760 
1/18/2018  Bank of America Merrill Lynch  100,000  EUR  13,475,820  JPY   120,218    (15)
1/18/2018  Bank of America Merrill Lynch  1,750,000  EUR  17,219,571  NOK   2,103,810    26,372 
1/18/2018  Bank of America Merrill Lynch  500,000  EUR  4,994,449  NOK   601,088    6,267 
1/18/2018  Bank of America Merrill Lynch  2,250,000  EUR  22,439,691  SEK   2,704,898    33,907 
1/18/2018  Bank of America Merrill Lynch  750,000  EUR  7,489,804  SEK   901,633    9,401 
1/18/2018  Bank of America Merrill Lynch  1,250,000  EUR  1,488,614  USD   1,502,721    14,107 
1/18/2018  Bank of America Merrill Lynch  375,000  EUR  441,515  USD   450,816    9,301 
1/18/2018  Bank of America Merrill Lynch  1,375,000  EUR  1,632,381  USD   1,652,993    20,612 
1/18/2018  Bank of America Merrill Lynch  625,000  EUR  740,386  USD   751,361    10,975 
1/18/2018  Bank of America Merrill Lynch  750,000  EUR  890,855  USD   901,633    10,778 

 

See accompanying notes to consolidated financial statements.

42

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/18/2018  Bank of America Merrill Lynch  2,000,000  EUR  2,380,704  USD  $2,404,354   $23,650 
1/18/2018  Bank of America Merrill Lynch  500,000  EUR  595,176  USD   601,088    5,912 
1/18/2018  Bank of America Merrill Lynch  625,000  EUR  748,124  USD   751,361    3,237 
1/18/2018  Bank of America Merrill Lynch  354,519  GBP  400,000  EUR   479,884    1,860 
1/18/2018  Bank of America Merrill Lynch  1,134,267  GBP  1,300,000  EUR   1,535,365    15,102 
1/18/2018  Bank of America Merrill Lynch  528,701  GBP  600,000  EUR   715,659    9,476 
1/18/2018  Bank of America Merrill Lynch  443,828  GBP  500,000  EUR   600,773    (43)
1/18/2018  Bank of America Merrill Lynch  250,000  GBP  37,667,975  JPY   338,405    1,312 
1/18/2018  Bank of America Merrill Lynch  375,000  GBP  56,194,875  JPY   507,607    4,684 
1/18/2018  Bank of America Merrill Lynch  125,000  GBP  18,824,575  JPY   169,202    1,139 
1/18/2018  Bank of America Merrill Lynch  250,000  GBP  37,589,950  JPY   338,405    4,481 
1/18/2018  Bank of America Merrill Lynch  250,000  GBP  37,932,675  JPY   338,405    3,869 
1/18/2018  Bank of America Merrill Lynch  187,500  GBP  251,944  USD   253,804    1,860 
1/18/2018  Bank of America Merrill Lynch  62,500  GBP  83,711  USD   84,601    890 
1/18/2018  Bank of America Merrill Lynch  125,000  GBP  167,452  USD   169,202    1,750 
1/18/2018  Bank of America Merrill Lynch  316,438,560  HUF  1,200,000  USD   1,226,169    26,169 
1/18/2018  Bank of America Merrill Lynch  79,439,340  HUF  300,000  USD   307,820    7,820 
1/18/2018  Bank of America Merrill Lynch  156,179,880  HUF  600,000  USD   605,182    5,182 
1/18/2018  Bank of America Merrill Lynch  2,787,998  ILS  800,000  USD   803,663    3,663 
1/18/2018  Bank of America Merrill Lynch  1,393,921  ILS  400,000  USD   401,809    1,809 
1/18/2018  Bank of America Merrill Lynch  169,126,400  JPY  2,000,000  AUD   1,502,705    (2,063)
1/18/2018  Bank of America Merrill Lynch  34,333,320  JPY  400,000  AUD   305,055    (719)
1/18/2018  Bank of America Merrill Lynch  52,617,420  JPY  600,000  CAD   467,511    (642)
1/18/2018  Bank of America Merrill Lynch  105,811,200  JPY  1,200,000  CAD   940,143    5,340 
1/18/2018  Bank of America Merrill Lynch  17,892,220  JPY  200,000  CAD   158,974    280 
1/18/2018  Bank of America Merrill Lynch  56,805,100  JPY  500,000  CHF   504,719    (2,775)
1/18/2018  Bank of America Merrill Lynch  85,308,000  JPY  750,000  CHF   757,970    (1,041)
1/18/2018  Bank of America Merrill Lynch  28,393,300  JPY  250,000  CHF   252,277    (594)
1/18/2018  Bank of America Merrill Lynch  113,973,100  JPY  1,000,000  CHF   1,012,663    (4,603)
1/18/2018  Bank of America Merrill Lynch  28,603,400  JPY  250,000  CHF   254,144    1,088 
1/18/2018  Bank of America Merrill Lynch  66,440,000  JPY  500,000  EUR   590,326    (810)
1/18/2018  Bank of America Merrill Lynch  105,975,840  JPY  800,000  EUR   941,606    (2,219)
1/18/2018  Bank of America Merrill Lynch  39,838,290  JPY  300,000  EUR   353,967    (1,609)
1/18/2018  Bank of America Merrill Lynch  175,096,740  JPY  1,300,000  EUR   1,555,753    2,743 
1/18/2018  Bank of America Merrill Lynch  18,833,988  JPY  125,000  GBP   167,342    (101)
1/18/2018  Bank of America Merrill Lynch  37,463,250  JPY  250,000  GBP   332,865    (1,830)
1/18/2018  Bank of America Merrill Lynch  18,924,150  JPY  125,000  GBP   168,143    717 
1/18/2018  Bank of America Merrill Lynch  123,689,440  JPY  1,600,000  NZD   1,098,993    (665)
1/18/2018  Bank of America Merrill Lynch  15,709,180  JPY  200,000  NZD   139,578    (329)
1/18/2018  Bank of America Merrill Lynch  78,630,400  JPY  1,000,000  NZD   698,639    (3,176)
1/18/2018  Bank of America Merrill Lynch  15,958,180  JPY  200,000  NZD   141,790    607 
1/18/2018  Bank of America Merrill Lynch  12,500,000  JPY  111,461  USD   111,064    (397)
1/18/2018  Bank of America Merrill Lynch  25,000,000  JPY  223,543  USD   222,128    (1,415)
1/18/2018  Bank of America Merrill Lynch  1,000,000  MXN  53,037  USD   50,920    (2,117)
1/18/2018  Bank of America Merrill Lynch  5,000,000  MXN  265,187  USD   254,602    (10,585)
1/18/2018  Bank of America Merrill Lynch  500,000  MXN  26,199  USD   25,460    (739)
1/18/2018  Bank of America Merrill Lynch  500,000  MXN  25,566  USD   25,460    (106)
1/18/2018  Bank of America Merrill Lynch  1,500,000  MXN  75,564  USD   76,380    816 
1/18/2018  Bank of America Merrill Lynch  3,703,470  NOK  375,000  EUR   453,038    8,097 
1/18/2018  Bank of America Merrill Lynch  440,226  NZD  400,000  AUD   313,012    10,155 
1/18/2018  Bank of America Merrill Lynch  1,101,512  NZD  1,000,000  AUD   783,205    30,013 
1/18/2018  Bank of America Merrill Lynch  659,011  NZD  600,000  AUD   468,574    17,677 
1/18/2018  Bank of America Merrill Lynch  218,100  NZD  200,000  AUD   155,075    4,027 

 

See accompanying notes to consolidated financial statements.

43

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
1/18/2018  Bank of America Merrill Lynch  219,237  NZD  200,000  AUD  $155,883   $2,847 
1/18/2018  Bank of America Merrill Lynch  600,000  NZD  47,206,500  JPY   426,616    7,791 
1/18/2018  Bank of America Merrill Lynch  1,800,000  NZD  141,744,060  JPY   1,279,849    23,129 
1/18/2018  Bank of America Merrill Lynch  600,000  NZD  47,248,020  JPY   426,616    7,710 
1/18/2018  Bank of America Merrill Lynch  2,000,000  NZD  157,485,200  JPY   1,422,054    28,570 
1/18/2018  Bank of America Merrill Lynch  800,000  NZD  63,399,360  JPY   568,822    7,736 
1/18/2018  Bank of America Merrill Lynch  400,000  NZD  31,736,520  JPY   284,411    4,032 
1/18/2018  Bank of America Merrill Lynch  200,000  NZD  15,976,340  JPY   142,205    467 
1/18/2018  Bank of America Merrill Lynch  200,000  NZD  140,062  USD   142,205    2,143 
1/18/2018  Bank of America Merrill Lynch  300,000  NZD  210,731  USD   213,308    2,577 
1/18/2018  Bank of America Merrill Lynch  100,000  NZD  70,814  USD   71,103    289 
1/18/2018  Bank of America Merrill Lynch  353,796  PLN  100,000  USD   101,820    1,820 
1/18/2018  Bank of America Merrill Lynch  4,245,551  PLN  1,200,000  USD   1,221,840    21,840 
1/18/2018  Bank of America Merrill Lynch  356,452  PLN  100,000  USD   102,584    2,584 
1/18/2018  Bank of America Merrill Lynch  2,140,333  PLN  600,000  USD   615,973    15,973 
1/18/2018  Bank of America Merrill Lynch  2,097,047  PLN  600,000  USD   603,516    3,516 
1/18/2018  Bank of America Merrill Lynch  94,491,840  RUB  1,600,000  USD   1,637,214    37,214 
1/18/2018  Bank of America Merrill Lynch  23,793,160  RUB  400,000  USD   412,253    12,253 
1/18/2018  Bank of America Merrill Lynch  35,303,700  RUB  600,000  USD   611,690    11,690 
1/18/2018  Bank of America Merrill Lynch  28,892,000  RUB  500,000  USD   500,598    598 
1/18/2018  Bank of America Merrill Lynch  15,709,529  SEK  15,500,000  NOK   1,920,977    54,836 
1/18/2018  Bank of America Merrill Lynch  4,999,490  SEK  5,000,000  NOK   611,343    15,075 
1/18/2018  Bank of America Merrill Lynch  10,048,943  SEK  1,200,000  USD   1,228,795    28,795 
1/18/2018  Bank of America Merrill Lynch  5,032,929  SEK  600,000  USD   615,431    15,431 
1/18/2018  Bank of America Merrill Lynch  3,631,152  SGD  2,700,000  USD   2,717,889    17,889 
1/18/2018  Bank of America Merrill Lynch  2,830,313  SGD  2,100,000  USD   2,118,468    18,468 
1/18/2018  Bank of America Merrill Lynch  2,151,808  SGD  1,600,000  USD   1,610,612    10,612 
1/18/2018  Bank of America Merrill Lynch  387,476  TRY  100,000  USD   101,635    1,635 
1/18/2018  Bank of America Merrill Lynch  379,031  TRY  100,000  USD   99,420    (580)
1/18/2018  Bank of America Merrill Lynch  11,966,400  TWD  400,000  USD   402,576    2,576 
1/18/2018  Bank of America Merrill Lynch  5,136,642  ZAR  400,000  USD   413,663    13,663 
1/18/2018  Bank of America Merrill Lynch  10,203,522  ZAR  800,000  USD   821,708    21,708 
1/22/2018  Bank of America Merrill Lynch  147,861,250  INR  2,300,000  USD   2,310,476    10,476 
1/22/2018  Bank of America Merrill Lynch  44,977,721  INR  700,000  USD   702,821    2,821 
1/22/2018  Bank of America Merrill Lynch  542,488,051  KRW  500,000  USD   506,928    6,928 
1/22/2018  Bank of America Merrill Lynch  11,951,979  TWD  400,000  USD   402,163    2,163 
1/29/2018  Bank of America Merrill Lynch  19,272,750  INR  300,000  USD   300,903    903 
1/29/2018  Bank of America Merrill Lynch  173,529,000  INR  2,700,000  USD   2,709,282    9,282 
2/2/2018  Bank of America Merrill Lynch  1,057,918  BRL  319,006  USD   317,665    (1,341)
2/21/2018  Bank of America Merrill Lynch  20,000  BRL  6,035  USD   5,995    (40)
2/21/2018  Bank of America Merrill Lynch  30,000  BRL  9,050  USD   8,992    (58)
2/21/2018  Bank of America Merrill Lynch  30,000  BRL  9,050  USD   8,992    (58)
2/21/2018  Bank of America Merrill Lynch  20,000  BRL  6,019  USD   5,995    (24)
2/21/2018  Bank of America Merrill Lynch  570,000  BRL  171,511  USD   170,847    (664)
2/21/2018  Bank of America Merrill Lynch  20,000  BRL  6,013  USD   5,995    (18)
2/21/2018  Bank of America Merrill Lynch  20,000  BRL  6,013  USD   5,995    (18)
2/21/2018  Bank of America Merrill Lynch  60,000  BRL  18,101  USD   17,984    (117)
2/21/2018  Bank of America Merrill Lynch  20,000  BRL  6,025  USD   5,995    (30)
2/21/2018  Bank of America Merrill Lynch  20,000  BRL  6,024  USD   5,995    (29)
2/21/2018  Bank of America Merrill Lynch  10,000  BRL  3,011  USD   2,997    (14)
2/21/2018  Bank of America Merrill Lynch  540,000  RUB  9,308  USD   9,312    4 
2/21/2018  Bank of America Merrill Lynch  360,000  RUB  6,203  USD   6,208    5 

 

See accompanying notes to consolidated financial statements.

44

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
2/21/2018  Bank of America Merrill Lynch  250,000  RUB  4,306  USD  $4,311   $5 
2/21/2018  Bank of America Merrill Lynch  530,000  RUB  9,129  USD   9,140    11 
2/21/2018  Bank of America Merrill Lynch  540,000  RUB  9,298  USD   9,312    14 
2/21/2018  Bank of America Merrill Lynch  280,000  RUB  4,820  USD   4,829    9 
2/21/2018  Bank of America Merrill Lynch  270,000  RUB  4,648  USD   4,656    8 
2/21/2018  Bank of America Merrill Lynch  410,000  RUB  7,057  USD   7,070    13 
2/21/2018  Bank of America Merrill Lynch  200,000  RUB  3,442  USD   3,449    7 
2/21/2018  Bank of America Merrill Lynch  2,250,000  RUB  38,726  USD   38,801    75 
2/21/2018  Bank of America Merrill Lynch  240,000  RUB  4,130  USD   4,139    9 
2/21/2018  Bank of America Merrill Lynch  3,130,000  RUB  53,831  USD   53,976    145 
2/21/2018  Bank of America Merrill Lynch  880,000  RUB  15,238  USD   15,175    (63)
2/21/2018  Bank of America Merrill Lynch  1,070,000  RUB  18,519  USD   18,452    (67)
2/21/2018  Bank of America Merrill Lynch  810,000  RUB  14,009  USD   13,968    (41)
2/21/2018  Bank of America Merrill Lynch  1,070,000  RUB  18,495  USD   18,452    (43)
2/21/2018  Bank of America Merrill Lynch  700,000  RUB  12,087  USD   12,071    (16)
2/21/2018  Bank of America Merrill Lynch  530,000  RUB  9,140  USD   9,140    — 
2/21/2018  Bank of America Merrill Lynch  530,000  RUB  9,130  USD   9,140    10 
2/21/2018  Bank of America Merrill Lynch  540,000  RUB  9,301  USD   9,312    11 
2/21/2018  Bank of America Merrill Lynch  1,060,000  RUB  18,258  USD   18,280    22 
2/21/2018  Bank of America Merrill Lynch  960,000  RUB  16,524  USD   16,555    31 
2/21/2018  Bank of America Merrill Lynch  790,000  RUB  13,598  USD   13,624    26 
2/21/2018  Bank of America Merrill Lynch  1,390,000  RUB  23,923  USD   23,970    47 
2/21/2018  Bank of America Merrill Lynch  380,000  RUB  6,539  USD   6,553    14 
2/21/2018  Bank of America Merrill Lynch  1,070,000  RUB  18,412  USD   18,452    40 
2/21/2018  Bank of America Merrill Lynch  210,000  RUB  3,613  USD   3,621    8 
2/21/2018  Bank of America Merrill Lynch  250,000  RUB  4,301  USD   4,311    10 
2/21/2018  Bank of America Merrill Lynch  410,000  RUB  7,045  USD   7,070    25 
2/21/2018  Bank of America Merrill Lynch  1,820,000  RUB  31,475  USD   31,386    (89)
2/21/2018  Bank of America Merrill Lynch  590,000  RUB  10,199  USD   10,175    (24)
2/21/2018  Bank of America Merrill Lynch  380,000  RUB  6,567  USD   6,553    (14)
2/21/2018  Bank of America Merrill Lynch  720,000  RUB  12,435  USD   12,416    (19)
2/21/2018  Bank of America Merrill Lynch  670,000  RUB  11,566  USD   11,554    (12)
2/21/2018  Bank of America Merrill Lynch  210,000  RUB  3,624  USD   3,621    (3)
2/21/2018  Bank of America Merrill Lynch  530,000  RUB  9,143  USD   9,140    (3)
2/21/2018  Bank of America Merrill Lynch  530,000  RUB  9,140  USD   9,140    — 
2/21/2018  Bank of America Merrill Lynch  530,000  RUB  9,139  USD   9,140    1 
2/21/2018  Bank of America Merrill Lynch  30,000  TRY  7,750  USD   7,792    42 
2/21/2018  Bank of America Merrill Lynch  130,000  TRY  33,537  USD   33,764    227 
2/21/2018  Bank of America Merrill Lynch  120,000  TRY  30,974  USD   31,167    193 
2/21/2018  Bank of America Merrill Lynch  240,000  TRY  62,583  USD   62,333    (250)
2/21/2018  Bank of America Merrill Lynch  1,970,000  ZAR  158,884  USD   157,851    (1,033)
3/21/2018  Bank of America Merrill Lynch  56,000  AUD  42,033  USD   43,793    1,760 
3/21/2018  Bank of America Merrill Lynch  644,842  AUD  486,903  USD   504,280    17,377 
3/21/2018  Bank of America Merrill Lynch  744,113  AUD  561,860  USD   581,912    20,052 
3/21/2018  Bank of America Merrill Lynch  744,112  AUD  561,860  USD   581,911    20,051 
3/21/2018  Bank of America Merrill Lynch  98,801  AUD  75,746  USD   77,264    1,518 
3/21/2018  Bank of America Merrill Lynch  197,600  AUD  151,391  USD   154,527    3,136 
3/21/2018  Bank of America Merrill Lynch  161,135  AUD  123,188  USD   126,011    2,823 
3/21/2018  Bank of America Merrill Lynch  174,384  CAD  135,797  USD   139,320    3,523 
3/21/2018  Bank of America Merrill Lynch  34,877  CAD  27,206  USD   27,864    658 
3/21/2018  Bank of America Merrill Lynch  34,877  CAD  27,189  USD   27,864    675 
3/21/2018  Bank of America Merrill Lynch  156,946  CAD  122,296  USD   125,388    3,092 

 

See accompanying notes to consolidated financial statements.

45

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
3/21/2018  Bank of America Merrill Lynch  188,337  CAD  146,742  USD  $150,467   $3,725 
3/21/2018  Bank of America Merrill Lynch  196,183  CAD  152,844  USD   156,736    3,892 
3/21/2018  Bank of America Merrill Lynch  191,823  CAD  149,382  USD   153,253    3,871 
3/21/2018  Bank of America Merrill Lynch  204,072  CAD  158,879  USD   163,038    4,159 
3/21/2018  Bank of America Merrill Lynch  34,878  CAD  27,157  USD   27,865    708 
3/21/2018  Bank of America Merrill Lynch  132,466  CAD  103,065  USD   105,830    2,765 
3/21/2018  Bank of America Merrill Lynch  132,467  CAD  103,100  USD   105,831    2,731 
3/21/2018  Bank of America Merrill Lynch  528,855  CAD  411,831  USD   422,516    10,685 
3/21/2018  Bank of America Merrill Lynch  105,771  CAD  82,506  USD   84,503    1,997 
3/21/2018  Bank of America Merrill Lynch  105,771  CAD  82,455  USD   84,503    2,048 
3/21/2018  Bank of America Merrill Lynch  475,969  CAD  370,887  USD   380,264    9,377 
3/21/2018  Bank of America Merrill Lynch  571,160  CAD  445,018  USD   456,315    11,297 
3/21/2018  Bank of America Merrill Lynch  594,961  CAD  463,527  USD   475,330    11,803 
3/21/2018  Bank of America Merrill Lynch  581,740  CAD  453,029  USD   464,768    11,739 
3/21/2018  Bank of America Merrill Lynch  618,887  CAD  481,831  USD   494,445    12,614 
3/21/2018  Bank of America Merrill Lynch  105,769  CAD  82,354  USD   84,502    2,148 
3/21/2018  Bank of America Merrill Lynch  401,730  CAD  312,567  USD   320,953    8,386 
3/21/2018  Bank of America Merrill Lynch  401,728  CAD  312,669  USD   320,951    8,282 
3/21/2018  Bank of America Merrill Lynch  105,092  CAD  81,993  USD   83,961    1,968 
3/21/2018  Bank of America Merrill Lynch  126,157  CAD  98,326  USD   100,790    2,464 
3/21/2018  Bank of America Merrill Lynch  378,472  CAD  294,662  USD   302,371    7,709 
3/21/2018  Bank of America Merrill Lynch  126,158  CAD  98,221  USD   100,791    2,570 
3/21/2018  Bank of America Merrill Lynch  378,469  CAD  294,660  USD   302,369    7,709 
3/21/2018  Bank of America Merrill Lynch  252,314  CAD  196,441  USD   201,580    5,139 
3/21/2018  Bank of America Merrill Lynch  398,339  CAD  310,130  USD   318,243    8,113 
3/21/2018  Bank of America Merrill Lynch  1,085,026,505  CLP  1,653,072  USD   1,763,038    109,966 
3/21/2018  Bank of America Merrill Lynch  4,516,072  CLP  7,332  USD   7,338    6 
3/21/2018  Bank of America Merrill Lynch  1,582,215  CLP  2,573  USD   2,571    (2)
3/21/2018  Bank of America Merrill Lynch  39,532,510  CZK  1,840,143  USD   1,865,877    25,734 
3/21/2018  Bank of America Merrill Lynch  129,001  CZK  6,000  USD   6,089    89 
3/21/2018  Bank of America Merrill Lynch  78,975  CZK  3,669  USD   3,728    59 
3/21/2018  Bank of America Merrill Lynch  55,935  CZK  2,599  USD   2,640    41 
3/21/2018  Bank of America Merrill Lynch  137,501  CZK  6,425  USD   6,490    65 
3/21/2018  Bank of America Merrill Lynch  236,136  CZK  11,116  USD   11,145    29 
3/21/2018  Bank of America Merrill Lynch  59,000  EUR  69,772  USD   71,194    1,422 
3/21/2018  Bank of America Merrill Lynch  156,885  EUR  185,445  USD   189,309    3,864 
3/21/2018  Bank of America Merrill Lynch  693,671  EUR  819,840  USD   837,033    17,193 
3/21/2018  Bank of America Merrill Lynch  101,000  EUR  120,190  USD   121,874    1,684 
3/21/2018  Bank of America Merrill Lynch  25,298  EUR  30,102  USD   30,526    424 
3/21/2018  Bank of America Merrill Lynch  50,000  EUR  59,380  USD   60,334    954 
3/21/2018  Bank of America Merrill Lynch  124,795  EUR  147,934  USD   150,587    2,653 
3/21/2018  Bank of America Merrill Lynch  249,591  EUR  296,330  USD   301,174    4,844 
3/21/2018  Bank of America Merrill Lynch  249,591  EUR  296,310  USD   301,174    4,864 
3/21/2018  Bank of America Merrill Lynch  259,477  EUR  308,295  USD   313,104    4,809 
3/21/2018  Bank of America Merrill Lynch  197,000  EUR  234,860  USD   237,714    2,854 
3/21/2018  Bank of America Merrill Lynch  136,000  EUR  162,572  USD   164,107    1,535 
3/21/2018  Bank of America Merrill Lynch  70,000  EUR  84,035  USD   84,467    432 
3/21/2018  Bank of America Merrill Lynch  184,000  GBP  248,656  USD   249,572    916 
3/21/2018  Bank of America Merrill Lynch  73,120  GBP  98,591  USD   99,178    587 
3/21/2018  Bank of America Merrill Lynch  73,120  GBP  98,540  USD   99,178    638 
3/21/2018  Bank of America Merrill Lynch  73,120  GBP  98,589  USD   99,178    589 
3/21/2018  Bank of America Merrill Lynch  73,119  GBP  98,641  USD   99,176    535 

 

See accompanying notes to consolidated financial statements.

46

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
3/21/2018  Bank of America Merrill Lynch  34,985  GBP  47,233  USD  $47,453   $220 
3/21/2018  Bank of America Merrill Lynch  45,400  GBP  61,260  USD   61,579    319 
3/21/2018  Bank of America Merrill Lynch  45,401  GBP  61,274  USD   61,580    306 
3/21/2018  Bank of America Merrill Lynch  89,231  GBP  120,455  USD   121,030    575 
3/21/2018  Bank of America Merrill Lynch  22,020  GBP  29,712  USD   29,867    155 
3/21/2018  Bank of America Merrill Lynch  22,020  GBP  29,719  USD   29,867    148 
3/21/2018  Bank of America Merrill Lynch  43,282  GBP  58,427  USD   58,706    279 
3/21/2018  Bank of America Merrill Lynch  73,158  GBP  98,098  USD   99,229    1,131 
3/21/2018  Bank of America Merrill Lynch  73,157  GBP  98,091  USD   99,228    1,137 
3/21/2018  Bank of America Merrill Lynch  73,158  GBP  98,072  USD   99,229    1,157 
3/21/2018  Bank of America Merrill Lynch  73,158  GBP  98,079  USD   99,229    1,150 
3/21/2018  Bank of America Merrill Lynch  146,313  GBP  196,263  USD   198,454    2,191 
3/21/2018  Bank of America Merrill Lynch  73,158  GBP  98,131  USD   99,229    1,098 
3/21/2018  Bank of America Merrill Lynch  66,116  GBP  88,673  USD   89,678    1,005 
3/21/2018  Bank of America Merrill Lynch  2,632,271  GBP  3,536,340  USD   3,570,328    33,988 
3/21/2018  Bank of America Merrill Lynch  23,896  GBP  32,103  USD   32,412    309 
3/21/2018  Bank of America Merrill Lynch  282,979,174  HUF  1,062,594  USD   1,099,807    37,213 
3/21/2018  Bank of America Merrill Lynch  810,482  HUF  3,044  USD   3,150    106 
3/21/2018  Bank of America Merrill Lynch  617,013  HUF  2,325  USD   2,398    73 
3/21/2018  Bank of America Merrill Lynch  565,756  HUF  2,140  USD   2,199    59 
3/21/2018  Bank of America Merrill Lynch  208,149  HUF  801  USD   809    8 
3/21/2018  Bank of America Merrill Lynch  783,728  HUF  3,029  USD   3,046    17 
3/21/2018  Bank of America Merrill Lynch  7,113,505  ILS  2,028,483  USD   2,055,924    27,441 
3/21/2018  Bank of America Merrill Lynch  17,907  ILS  5,109  USD   5,175    66 
3/21/2018  Bank of America Merrill Lynch  9,723  ILS  2,762  USD   2,810    48 
3/21/2018  Bank of America Merrill Lynch  5,368  ILS  1,544  USD   1,551    7 
3/21/2018  Bank of America Merrill Lynch  2,885  ILS  831  USD   834    3 
3/21/2018  Bank of America Merrill Lynch  31,453  ILS  9,087  USD   9,091    4 
3/21/2018  Bank of America Merrill Lynch  649,357  INR  9,972  USD   10,074    102 
3/21/2018  Bank of America Merrill Lynch  441,854,926  INR  6,784,721  USD   6,854,560    69,839 
3/21/2018  Bank of America Merrill Lynch  1,115,420  INR  17,135  USD   17,304    169 
3/21/2018  Bank of America Merrill Lynch  83,541  INR  1,294  USD   1,296    2 
3/21/2018  Bank of America Merrill Lynch  1,278,218  INR  19,779  USD   19,829    50 
3/21/2018  Bank of America Merrill Lynch  13,420,160  KRW  12,292  USD   12,553    261 
3/21/2018  Bank of America Merrill Lynch  4,873,210,767  KRW  4,463,301  USD   4,558,162    94,861 
3/21/2018  Bank of America Merrill Lynch  6,541,563  KRW  6,007  USD   6,119    112 
3/21/2018  Bank of America Merrill Lynch  1,579,045  KRW  1,463  USD   1,477    14 
3/21/2018  Bank of America Merrill Lynch  3,968,509  KRW  3,700  USD   3,712    12 
3/21/2018  Bank of America Merrill Lynch  20,181,334  KRW  18,881  USD   18,877    (4)
3/21/2018  Bank of America Merrill Lynch  11,512  NOK  1,386  USD   1,411    25 
3/21/2018  Bank of America Merrill Lynch  2,867,415  NOK  345,300  USD   351,365    6,065 
3/21/2018  Bank of America Merrill Lynch  4,813,615  NOK  578,231  USD   589,847    11,616 
3/21/2018  Bank of America Merrill Lynch  3,538,173  NOK  425,744  USD   433,558    7,814 
3/21/2018  Bank of America Merrill Lynch  1,275,442  NOK  153,321  USD   156,289    2,968 
3/21/2018  Bank of America Merrill Lynch  647,237  NZD  448,012  USD   459,861    11,849 
3/21/2018  Bank of America Merrill Lynch  647,237  NZD  448,012  USD   459,861    11,849 
3/21/2018  Bank of America Merrill Lynch  647,237  NZD  448,012  USD   459,861    11,849 
3/21/2018  Bank of America Merrill Lynch  855,143  NZD  593,107  USD   607,578    14,471 
3/21/2018  Bank of America Merrill Lynch  855,143  NZD  594,143  USD   607,578    13,435 
3/21/2018  Bank of America Merrill Lynch  705,491  NZD  489,540  USD   501,251    11,711 
3/21/2018  Bank of America Merrill Lynch  427,571  NZD  296,658  USD   303,789    7,131 
3/21/2018  Bank of America Merrill Lynch  855,143  NZD  595,946  USD   607,578    11,632 

 

See accompanying notes to consolidated financial statements.

47

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
3/21/2018  Bank of America Merrill Lynch  647,237  NZD  451,681  USD  $459,861   $8,180 
3/21/2018  Bank of America Merrill Lynch  610,202  NZD  426,138  USD   433,548    7,410 
3/21/2018  Bank of America Merrill Lynch  610,203  NZD  425,978  USD   433,549    7,571 
3/21/2018  Bank of America Merrill Lynch  21,482  NZD  15,054  USD   15,263    209 
3/21/2018  Bank of America Merrill Lynch  2,129  NZD  1,492  USD   1,513    21 
3/21/2018  Bank of America Merrill Lynch  171,353  NZD  120,234  USD   121,746    1,512 
3/21/2018  Bank of America Merrill Lynch  171,353  NZD  120,175  USD   121,746    1,571 
3/21/2018  Bank of America Merrill Lynch  266,473  NZD  186,240  USD   189,329    3,089 
3/21/2018  Bank of America Merrill Lynch  1,524,094  PHP  30,102  USD   30,421    319 
3/21/2018  Bank of America Merrill Lynch  2,529,797  PHP  49,860  USD   50,494    634 
3/21/2018  Bank of America Merrill Lynch  1,845,046  PHP  36,352  USD   36,827    475 
3/21/2018  Bank of America Merrill Lynch  1,841,831  PHP  36,356  USD   36,762    406 
3/21/2018  Bank of America Merrill Lynch  2,119,114  PHP  41,779  USD   42,297    518 
3/21/2018  Bank of America Merrill Lynch  2,227,405  PHP  43,966  USD   44,458    492 
3/21/2018  Bank of America Merrill Lynch  12,521,879  PHP  246,975  USD   249,934    2,959 
3/21/2018  Bank of America Merrill Lynch  1,733,602  PHP  34,358  USD   34,602    244 
3/21/2018  Bank of America Merrill Lynch  2,151,814  PHP  42,749  USD   42,950    201 
3/21/2018  Bank of America Merrill Lynch  1,922,591  PHP  38,224  USD   38,374    150 
3/21/2018  Bank of America Merrill Lynch  2,516,983  PHP  50,384  USD   50,238    (146)
3/21/2018  Bank of America Merrill Lynch  2,416,422  PHP  48,435  USD   48,231    (204)
3/21/2018  Bank of America Merrill Lynch  2,438,459  PHP  48,776  USD   48,671    (105)
3/21/2018  Bank of America Merrill Lynch  6,822,745  PLN  1,909,794  USD   1,964,188    54,394 
3/21/2018  Bank of America Merrill Lynch  15,084  PLN  4,221  USD   4,343    122 
3/21/2018  Bank of America Merrill Lynch  5,820  PLN  1,633  USD   1,675    42 
3/21/2018  Bank of America Merrill Lynch  3,266  PLN  918  USD   940    22 
3/21/2018  Bank of America Merrill Lynch  2,528  PLN  719  USD   728    9 
3/21/2018  Bank of America Merrill Lynch  27,725  PLN  7,922  USD   7,982    60 
3/21/2018  Bank of America Merrill Lynch  99,620,890  RUB  1,660,406  USD   1,711,726    51,320 
3/21/2018  Bank of America Merrill Lynch  20,581  RUB  344  USD   354    10 
3/21/2018  Bank of America Merrill Lynch  212,443  RUB  3,654  USD   3,650    (4)
3/21/2018  Bank of America Merrill Lynch  171,855  RUB  2,951  USD   2,953    2 
3/21/2018  Bank of America Merrill Lynch  20,926  SEK  2,477  USD   2,568    91 
3/21/2018  Bank of America Merrill Lynch  5,853,981  SEK  692,713  USD   718,512    25,799 
3/21/2018  Bank of America Merrill Lynch  387,184  SEK  45,816  USD   47,522    1,706 
3/21/2018  Bank of America Merrill Lynch  77,674,299  SEK  9,282,011  USD   9,533,675    251,664 
3/21/2018  Bank of America Merrill Lynch  12,062,228  SEK  1,441,426  USD   1,480,507    39,081 
3/21/2018  Bank of America Merrill Lynch  13,183  SEK  1,606  USD   1,618    12 
3/21/2018  Bank of America Merrill Lynch  14,613  SGD  10,821  USD   10,948    127 
3/21/2018  Bank of America Merrill Lynch  4,549,029  SGD  3,367,349  USD   3,408,168    40,819 
3/21/2018  Bank of America Merrill Lynch  1,819  SGD  1,348  USD   1,363    15 
3/21/2018  Bank of America Merrill Lynch  2,055  SGD  1,526  USD   1,540    14 
3/21/2018  Bank of America Merrill Lynch  4,395  SGD  3,279  USD   3,292    13 
3/21/2018  Bank of America Merrill Lynch  14,196  SGD  10,621  USD   10,636    15 
3/21/2018  Bank of America Merrill Lynch  581  SGD  435  USD   435    — 
3/21/2018  Bank of America Merrill Lynch  110,982  TRY  28,126  USD   28,585    459 
3/21/2018  Bank of America Merrill Lynch  81,459  TRY  20,669  USD   20,981    312 
3/21/2018  Bank of America Merrill Lynch  26,455  TRY  6,682  USD   6,814    132 
3/21/2018  Bank of America Merrill Lynch  41,502  TRY  10,407  USD   10,689    282 
3/21/2018  Bank of America Merrill Lynch  27,357  TRY  6,881  USD   7,046    165 
3/21/2018  Bank of America Merrill Lynch  7,821  TRY  1,979  USD   2,014    35 
3/21/2018  Bank of America Merrill Lynch  1,267,443  TRY  321,166  USD   326,444    5,278 
3/21/2018  Bank of America Merrill Lynch  9,859  TRY  2,503  USD   2,539    36 

 

See accompanying notes to consolidated financial statements.

48

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
3/21/2018  Bank of America Merrill Lynch  75,842  TRY  19,340  USD  $19,534   $194 
3/21/2018  Bank of America Merrill Lynch  56,321  TRY  14,378  USD   14,506    128 
3/21/2018  Bank of America Merrill Lynch  73,435  TRY  18,803  USD   18,914    111 
3/21/2018  Bank of America Merrill Lynch  51,908  TRY  13,252  USD   13,369    117 
3/21/2018  Bank of America Merrill Lynch  42,991  TRY  11,025  USD   11,073    48 
3/21/2018  Bank of America Merrill Lynch  85,603  TRY  22,133  USD   22,048    (85)
3/21/2018  Bank of America Merrill Lynch  237,727  TWD  7,977  USD   8,027    50 
3/21/2018  Bank of America Merrill Lynch  106,022,367  TWD  3,557,201  USD   3,579,763    22,562 
3/21/2018  Bank of America Merrill Lynch  36,937  TWD  1,253  USD   1,247    (6)
3/22/2018  Bank of America Merrill Lynch  28,458,715  JPY  252,046  USD   253,694    1,648 
3/22/2018  Bank of America Merrill Lynch  132,243,994  JPY  1,171,360  USD   1,178,885    7,525 
3/22/2018  Bank of America Merrill Lynch  11,784,945  JPY  105,264  USD   105,057    (207)
3/22/2018  Bank of America Merrill Lynch  11,784,945  JPY  105,271  USD   105,056    (215)
3/22/2018  Bank of America Merrill Lynch  11,784,945  JPY  105,237  USD   105,056    (181)
3/22/2018  Bank of America Merrill Lynch  11,784,945  JPY  105,194  USD   105,056    (138)
3/22/2018  Bank of America Merrill Lynch  11,784,945  JPY  105,199  USD   105,057    (142)
3/22/2018  Bank of America Merrill Lynch  6,734,355  JPY  60,095  USD   60,033    (62)
3/22/2018  Bank of America Merrill Lynch  6,851,554  JPY  61,198  USD   61,078    (120)
3/22/2018  Bank of America Merrill Lynch  6,851,554  JPY  61,203  USD   61,078    (125)
3/22/2018  Bank of America Merrill Lynch  6,851,554  JPY  61,183  USD   61,078    (105)
3/22/2018  Bank of America Merrill Lynch  6,851,554  JPY  61,158  USD   61,078    (80)
3/22/2018  Bank of America Merrill Lynch  6,851,554  JPY  61,161  USD   61,078    (83)
3/22/2018  Bank of America Merrill Lynch  3,915,239  JPY  34,938  USD   34,902    (36)
3/22/2018  Bank of America Merrill Lynch  23,907,564  JPY  213,987  USD   213,123    (864)
3/22/2018  Bank of America Merrill Lynch  27,973,766  JPY  250,382  USD   249,371    (1,011)
3/22/2018  Bank of America Merrill Lynch  9,237,030  JPY  82,482  USD   82,343    (139)
3/22/2018  Bank of America Merrill Lynch  9,237,028  JPY  82,444  USD   82,343    (101)
3/22/2018  Bank of America Merrill Lynch  27,711,089  JPY  247,468  USD   247,030    (438)
3/22/2018  Bank of America Merrill Lynch  8,615,063  JPY  76,919  USD   76,799    (120)
3/22/2018  Bank of America Merrill Lynch  1,796,708  JPY  16,044  USD   16,017    (27)
3/22/2018  Bank of America Merrill Lynch  1,796,709  JPY  16,037  USD   16,017    (20)
3/22/2018  Bank of America Merrill Lynch  5,390,126  JPY  48,135  USD   48,050    (85)
3/22/2018  Bank of America Merrill Lynch  1,675,730  JPY  14,962  USD   14,938    (24)
3/22/2018  Bank of America Merrill Lynch  12,242  ZAR  885  USD   977    92 
3/22/2018  Bank of America Merrill Lynch  464,554  ZAR  33,553  USD   37,075    3,522 
3/22/2018  Bank of America Merrill Lynch  420,530  ZAR  30,439  USD   33,561    3,122 
3/22/2018  Bank of America Merrill Lynch  38,274  ZAR  2,763  USD   3,055    292 
3/22/2018  Bank of America Merrill Lynch  333,436  ZAR  24,442  USD   26,611    2,169 
3/22/2018  Bank of America Merrill Lynch  547,456  ZAR  40,555  USD   43,691    3,136 
3/22/2018  Bank of America Merrill Lynch  658,369  ZAR  50,000  USD   52,543    2,543 
3/22/2018  Bank of America Merrill Lynch  808,409  ZAR  62,180  USD   64,517    2,337 
3/22/2018  Bank of America Merrill Lynch  117,583  ZAR  9,072  USD   9,384    312 
3/22/2018  Bank of America Merrill Lynch  117,548  ZAR  9,072  USD   9,381    309 
3/22/2018  Bank of America Merrill Lynch  117,501  ZAR  9,072  USD   9,377    305 
3/22/2018  Bank of America Merrill Lynch  117,448  ZAR  9,073  USD   9,373    300 
3/22/2018  Bank of America Merrill Lynch  117,480  ZAR  9,073  USD   9,376    303 
3/22/2018  Bank of America Merrill Lynch  117,468  ZAR  9,073  USD   9,375    302 
3/22/2018  Bank of America Merrill Lynch  45,825  ZAR  3,539  USD   3,657    118 
3/22/2018  Bank of America Merrill Lynch  192,569  ZAR  14,939  USD   15,368    429 
3/22/2018  Bank of America Merrill Lynch  192,598  ZAR  14,939  USD   15,371    432 
3/22/2018  Bank of America Merrill Lynch  192,605  ZAR  14,940  USD   15,371    431 
3/22/2018  Bank of America Merrill Lynch  192,573  ZAR  14,940  USD   15,369    429 

 

See accompanying notes to consolidated financial statements.

49

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Buy:                         
3/22/2018  Bank of America Merrill Lynch  170,154  ZAR  13,200  USD  $13,580   $380 
3/22/2018  Bank of America Merrill Lynch  194,092  ZAR  15,084  USD   15,490    406 
3/22/2018  Bank of America Merrill Lynch  194,207  ZAR  15,084  USD   15,499    415 
3/22/2018  Bank of America Merrill Lynch  194,314  ZAR  15,083  USD   15,508    425 
3/22/2018  Bank of America Merrill Lynch  194,136  ZAR  15,084  USD   15,494    410 
3/22/2018  Bank of America Merrill Lynch  55,918  ZAR  4,341  USD   4,463    122 
3/22/2018  Bank of America Merrill Lynch  193,441  ZAR  14,990  USD   15,438    448 
3/22/2018  Bank of America Merrill Lynch  193,542  ZAR  14,991  USD   15,446    455 
3/22/2018  Bank of America Merrill Lynch  193,574  ZAR  14,991  USD   15,449    458 
3/22/2018  Bank of America Merrill Lynch  61,152  ZAR  4,735  USD   4,880    145 
3/22/2018  Bank of America Merrill Lynch  188,359  ZAR  15,005  USD   15,032    27 
3/22/2018  Bank of America Merrill Lynch  188,390  ZAR  15,006  USD   15,035    29 
3/22/2018  Bank of America Merrill Lynch  180,502  ZAR  14,377  USD   14,405    28 
3/22/2018  Bank of America Merrill Lynch  188,132  ZAR  15,085  USD   15,014    (71)
3/22/2018  Bank of America Merrill Lynch  188,126  ZAR  15,085  USD   15,014    (71)
3/22/2018  Bank of America Merrill Lynch  63,096  ZAR  5,060  USD   5,036    (24)
3/22/2018  Bank of America Merrill Lynch  385,511  ZAR  31,009  USD   30,767    (242)
                        3,195,316 
To Sell:                         
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,778  USD   7,821    (43)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,779  USD   7,821    (42)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,780  USD   7,821    (41)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,781  USD   7,821    (40)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,781  USD   7,821    (40)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,782  USD   7,821    (39)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,782  USD   7,821    (39)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,783  USD   7,822    (39)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,785  USD   7,822    (37)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,788  USD   7,822    (34)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,792  USD   7,822    (30)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,793  USD   7,821    (28)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,794  USD   7,821    (27)
1/2/2018  Bank of America Merrill Lynch  10,000  AUD  7,795  USD   7,821    (26)
1/2/2018  Bank of America Merrill Lynch  76,792  CAD  61,281  USD   61,289    (8)
1/2/2018  Bank of America Merrill Lynch  38,394  CAD  30,641  USD   30,643    (2)
1/2/2018  Bank of America Merrill Lynch  19,197  CAD  15,320  USD   15,321    (1)
1/2/2018  Bank of America Merrill Lynch  965,617  CAD  770,542  USD   770,675    (133)
1/2/2018  Bank of America Merrill Lynch  500,000  EUR  444,491  GBP   600,400    (2,973)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,929  USD   12,008    (79)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,930  USD   12,008    (78)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,931  USD   12,008    (77)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,931  USD   12,008    (77)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,931  USD   12,008    (77)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,933  USD   12,008    (75)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,933  USD   12,008    (75)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,935  USD   12,008    (73)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,936  USD   12,008    (72)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,936  USD   12,008    (72)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,936  USD   12,008    (72)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,939  USD   12,008    (69)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,940  USD   12,008    (68)

 

See accompanying notes to consolidated financial statements.

50

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,942  USD  $12,008   $(66)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,942  USD   12,008    (66)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,944  USD   12,008    (64)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,945  USD   12,008    (63)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,946  USD   12,008    (62)
1/2/2018  Bank of America Merrill Lynch  10,000  EUR  11,948  USD   12,008    (60)
1/2/2018  Bank of America Merrill Lynch  625,000  EUR  747,120  USD   750,500    (3,380)
1/2/2018  Bank of America Merrill Lynch  443,941  GBP  500,000  EUR   600,542    12 
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,442  USD   13,528    (86)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,443  USD   13,528    (85)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,444  USD   13,528    (84)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,444  USD   13,528    (84)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,450  USD   13,527    (77)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,450  USD   13,527    (77)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,450  USD   13,527    (77)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,452  USD   13,528    (76)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,453  USD   13,528    (75)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,454  USD   13,528    (74)
1/2/2018  Bank of America Merrill Lynch  10,000  GBP  13,454  USD   13,528    (74)
1/2/2018  Bank of America Merrill Lynch  550  GBP  741  USD   745    (4)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,528  USD   1,533    (5)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,527  USD   1,533    (6)
1/2/2018  Bank of America Merrill Lynch  130,000  MXN  6,617  USD   6,644    (27)
1/2/2018  Bank of America Merrill Lynch  90,000  MXN  4,581  USD   4,600    (19)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,527  USD   1,533    (6)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,527  USD   1,533    (6)
1/2/2018  Bank of America Merrill Lynch  90,000  MXN  4,580  USD   4,600    (20)
1/2/2018  Bank of America Merrill Lynch  70,000  MXN  3,562  USD   3,578    (16)
1/2/2018  Bank of America Merrill Lynch  130,000  MXN  6,611  USD   6,644    (33)
1/2/2018  Bank of America Merrill Lynch  70,000  MXN  3,558  USD   3,578    (20)
1/2/2018  Bank of America Merrill Lynch  80,000  MXN  4,065  USD   4,089    (24)
1/2/2018  Bank of America Merrill Lynch  150,000  MXN  7,621  USD   7,667    (46)
1/2/2018  Bank of America Merrill Lynch  60,000  MXN  3,048  USD   3,067    (19)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,523  USD   1,533    (10)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,523  USD   1,533    (10)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,522  USD   1,533    (11)
1/2/2018  Bank of America Merrill Lynch  20,000  MXN  1,014  USD   1,022    (8)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,521  USD   1,533    (12)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,521  USD   1,533    (12)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,521  USD   1,533    (12)
1/2/2018  Bank of America Merrill Lynch  20,000  MXN  1,014  USD   1,022    (8)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,520  USD   1,533    (13)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,519  USD   1,533    (14)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,519  USD   1,533    (14)
1/2/2018  Bank of America Merrill Lynch  40,000  MXN  2,025  USD   2,044    (19)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,518  USD   1,533    (15)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,518  USD   1,533    (15)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,518  USD   1,533    (15)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,518  USD   1,533    (15)
1/2/2018  Bank of America Merrill Lynch  30,000  MXN  1,517  USD   1,533    (16)
1/2/2018  Bank of America Merrill Lynch  40,000  MXN  2,022  USD   2,044    (22)
1/2/2018  Bank of America Merrill Lynch  80,000  PLN  22,868  USD   23,023    (155)

 

See accompanying notes to consolidated financial statements.

51

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/2/2018  Bank of America Merrill Lynch  760,000  SEK  92,140  USD  $92,825   $(685)
1/2/2018  Bank of America Merrill Lynch  378,491  TRY  100,000  USD   99,824    176 
1/2/2018  Bank of America Merrill Lynch  344,811  TRY  90,909  USD   90,941    (32)
1/2/2018  Bank of America Merrill Lynch  34,436  TRY  9,091  USD   9,082    9 
1/2/2018  Bank of America Merrill Lynch  20,000  ZAR  1,622  USD   1,616    6 
1/3/2018  Bank of America Merrill Lynch  59,814  AUD  46,695  USD   46,784    (89)
1/3/2018  Bank of America Merrill Lynch  672,894  AUD  525,156  USD   526,305    (1,149)
1/3/2018  Bank of America Merrill Lynch  148,256  AUD  115,804  USD   115,959    (155)
1/3/2018  Bank of America Merrill Lynch  73,371  AUD  57,311  USD   57,387    (76)
1/3/2018  Bank of America Merrill Lynch  362,733  AUD  283,381  USD   283,712    (331)
1/3/2018  Bank of America Merrill Lynch  282,932  AUD  220,990  USD   221,296    (306)
1/3/2018  Bank of America Merrill Lynch  8,381  BRL  2,565  USD   2,526    39 
1/3/2018  Bank of America Merrill Lynch  6,029  BRL  1,851  USD   1,817    34 
1/3/2018  Bank of America Merrill Lynch  4,200  BRL  1,297  USD   1,266    31 
1/3/2018  Bank of America Merrill Lynch  139  BRL  42  USD   42    — 
1/3/2018  Bank of America Merrill Lynch  484  BRL  147  USD   146    1 
1/3/2018  Bank of America Merrill Lynch  49,691  BRL  15,061  USD   14,975    86 
1/3/2018  Bank of America Merrill Lynch  54,173  BRL  16,425  USD   16,325    100 
1/3/2018  Bank of America Merrill Lynch  70,817  BRL  21,274  USD   21,341    (67)
1/3/2018  Bank of America Merrill Lynch  265,973  BRL  80,444  USD   80,153    291 
1/3/2018  Bank of America Merrill Lynch  198,741  BRL  59,441  USD   59,892    (451)
1/3/2018  Bank of America Merrill Lynch  191,770  BRL  57,842  USD   57,791    51 
1/3/2018  Bank of America Merrill Lynch  169,295  BRL  51,415  USD   51,018    397 
1/3/2018  Bank of America Merrill Lynch  840,168  BRL  254,959  USD   253,191    1,768 
1/3/2018  Bank of America Merrill Lynch  103,128  BRL  31,268  USD   31,078    190 
1/3/2018  Bank of America Merrill Lynch  117,372  BRL  35,494  USD   35,371    123 
1/3/2018  Bank of America Merrill Lynch  107,166  BRL  32,245  USD   32,295    (50)
1/3/2018  Bank of America Merrill Lynch  118,142  BRL  35,646  USD   35,603    43 
1/3/2018  Bank of America Merrill Lynch  1,057,918  BRL  320,241  USD   318,811    1,430 
1/3/2018  Bank of America Merrill Lynch  6,225  BRL  1,882  USD   1,876    6 
1/3/2018  Bank of America Merrill Lynch  9,832  BRL  2,972  USD   2,963    9 
1/3/2018  Bank of America Merrill Lynch  43,924  BRL  13,278  USD   13,237    41 
1/3/2018  Bank of America Merrill Lynch  574,646  BRL  173,714  USD   173,174    540 
1/3/2018  Bank of America Merrill Lynch  2,728,960  BRL  824,958  USD   822,392    2,566 
1/3/2018  Bank of America Merrill Lynch  200,000  CAD  17,915,583  JPY   159,633    (848)
1/3/2018  Bank of America Merrill Lynch  10,000  CHF  10,232  USD   10,264    (32)
1/3/2018  Bank of America Merrill Lynch  500,000  EUR  443,212  GBP   600,515    (853)
1/3/2018  Bank of America Merrill Lynch  75,471  EUR  66,936  GBP   90,643    (79)
1/3/2018  Bank of America Merrill Lynch  324,529  EUR  287,698  GBP   389,769    (516)
1/3/2018  Bank of America Merrill Lynch  51,856  GBP  58,378  EUR   70,155    (33)
1/3/2018  Bank of America Merrill Lynch  237,682  GBP  267,548  EUR   321,559    (185)
1/3/2018  Bank of America Merrill Lynch  65,818  GBP  74,074  EUR   89,045    (69)
1/3/2018  Bank of America Merrill Lynch  17,617,585  JPY  200,000  AUD   156,424    (594)
1/3/2018  Bank of America Merrill Lynch  17,617,740  JPY  200,000  AUD   156,425    (595)
1/3/2018  Bank of America Merrill Lynch  17,917,790  JPY  200,000  CAD   159,089    (224)
1/3/2018  Bank of America Merrill Lynch  28,717,550  JPY  250,000  CHF   254,979    518 
1/3/2018  Bank of America Merrill Lynch  28,721,175  JPY  250,000  CHF   255,011    485 
1/3/2018  Bank of America Merrill Lynch  28,709,900  JPY  250,000  CHF   254,911    586 
1/3/2018  Bank of America Merrill Lynch  13,493,355  JPY  100,000  EUR   119,805    (376)
1/4/2018  Bank of America Merrill Lynch  400,000  AUD  35,159,680  JPY   312,861    (653)
1/4/2018  Bank of America Merrill Lynch  750,000  CHF  86,415,750  JPY   769,859    (2,510)
1/4/2018  Bank of America Merrill Lynch  100,000  EUR  13,469,950  JPY   120,111    (501)

 

See accompanying notes to consolidated financial statements.

52

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/4/2018  Bank of America Merrill Lynch  5,000,000  JPY  44,308  USD  $44,394   $(86)
1/4/2018  Bank of America Merrill Lynch  189,273  JPY  1,680  USD   1,681    (1)
1/5/2018  Bank of America Merrill Lynch  600,000  AUD  52,727,058  JPY   469,292    (1,066)
1/5/2018  Bank of America Merrill Lynch  500,000  CHF  57,853,732  JPY   513,278    473 
1/5/2018  Bank of America Merrill Lynch  315,791  EUR  42,781,082  JPY   379,323    581 
1/5/2018  Bank of America Merrill Lynch  284,209  EUR  38,504,500  JPY   341,387    540 
1/5/2018  Bank of America Merrill Lynch  57,601,934  JPY  500,000  CHF   511,464    1,892 
1/5/2018  Bank of America Merrill Lynch  15,994,236  JPY  200,000  NZD   142,017    209 
1/5/2018  Bank of America Merrill Lynch  17,997,600  TWD  600,000  USD   604,970    (4,970)
1/8/2018  Bank of America Merrill Lynch  1,531,474,000  KRW  1,400,000  USD   1,430,744    (30,744)
1/16/2018  Bank of America Merrill Lynch  173,340,000  INR  2,700,000  USD   2,710,557    (10,557)
1/17/2018  Bank of America Merrill Lynch  1,420,000  AUD  1,074,124  USD   1,110,669    (36,545)
1/17/2018  Bank of America Merrill Lynch  50,000  AUD  38,122  USD   39,108    (986)
1/17/2018  Bank of America Merrill Lynch  70,000  AUD  53,171  USD   54,751    (1,580)
1/17/2018  Bank of America Merrill Lynch  140,000  AUD  105,872  USD   109,503    (3,631)
1/17/2018  Bank of America Merrill Lynch  10,000  AUD  7,525  USD   7,821    (296)
1/17/2018  Bank of America Merrill Lynch  580,000  AUD  437,195  USD   453,653    (16,458)
1/17/2018  Bank of America Merrill Lynch  130,000  AUD  99,491  USD   101,681    (2,190)
1/17/2018  Bank of America Merrill Lynch  380,000  AUD  292,693  USD   297,221    (4,528)
1/17/2018  Bank of America Merrill Lynch  200,000  AUD  154,243  USD   156,432    (2,189)
1/17/2018  Bank of America Merrill Lynch  140,000  AUD  108,807  USD   109,503    (696)
1/17/2018  Bank of America Merrill Lynch  140,000  AUD  109,099  USD   109,503    (404)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,169  USD   15,042    127 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,121  USD   6,017    104 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,175  USD   9,025    150 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,168  USD   9,025    143 
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,330  USD   18,050    280 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,164  USD   9,025    139 
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,266  USD   15,042    224 
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,265  USD   15,042    223 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,201  USD   12,033    168 
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,238  USD   15,042    196 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,185  USD   12,034    151 
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,258  USD   18,051    207 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,170  USD   12,034    136 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,085  USD   6,017    68 
1/17/2018  Bank of America Merrill Lynch  70,000  BRL  21,295  USD   21,059    236 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,084  USD   6,017    67 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,083  USD   6,017    66 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,118  USD   9,025    93 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,078  USD   6,017    61 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,117  USD   9,025    92 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,074  USD   6,017    57 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,132  USD   12,033    99 
1/17/2018  Bank of America Merrill Lynch  80,000  BRL  24,213  USD   24,067    146 
1/17/2018  Bank of America Merrill Lynch  130,000  BRL  39,333  USD   39,109    224 
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,125  USD   15,042    83 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,072  USD   9,025    47 
1/17/2018  Bank of America Merrill Lynch  90,000  BRL  27,208  USD   27,075    133 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,085  USD   12,034    51 
1/17/2018  Bank of America Merrill Lynch  90,000  BRL  27,182  USD   27,076    106 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,079  USD   12,034    45 

 

See accompanying notes to consolidated financial statements.

53

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,057  USD  $9,025   $32 
1/17/2018  Bank of America Merrill Lynch  120,000  BRL  36,206  USD   36,101    105 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,025  USD   9,025    — 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,139  USD   9,025    114 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,092  USD   6,017    75 
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,273  USD   18,050    223 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,132  USD   9,025    107 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,176  USD   12,033    143 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,175  USD   12,034    141 
1/17/2018  Bank of America Merrill Lynch  110,000  BRL  33,470  USD   33,092    378 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,085  USD   6,017    68 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,126  USD   9,025    101 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,125  USD   9,025    100 
1/17/2018  Bank of America Merrill Lynch  70,000  BRL  21,290  USD   21,059    231 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,123  USD   9,025    98 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,160  USD   12,034    126 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,158  USD   12,033    125 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,152  USD   12,034    118 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,138  USD   12,034    104 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,096  USD   9,025    71 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,085  USD   12,034    51 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,060  USD   9,025    35 
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,084  USD   15,042    42 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,061  USD   12,034    27 
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  14,977  USD   15,042    (65)
1/17/2018  Bank of America Merrill Lynch  90,000  BRL  26,954  USD   27,075    (121)
1/17/2018  Bank of America Merrill Lynch  70,000  BRL  20,957  USD   21,059    (102)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  14,968  USD   15,042    (74)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,054  USD   9,025    29 
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  15,080  USD   15,042    38 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,031  USD   6,017    14 
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,042  USD   9,025    17 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,021  USD   6,017    4 
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,035  USD   12,034    1 
1/17/2018  Bank of America Merrill Lynch  80,000  BRL  23,884  USD   24,067    (183)
1/17/2018  Bank of America Merrill Lynch  80,000  BRL  23,873  USD   24,067    (194)
1/17/2018  Bank of America Merrill Lynch  70,000  BRL  20,881  USD   21,059    (178)
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  5,963  USD   6,017    (54)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  11,921  USD   12,034    (113)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,017  USD   12,033    (16)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,011  USD   9,025    (14)
1/17/2018  Bank of America Merrill Lynch  70,000  BRL  21,022  USD   21,059    (37)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  18,017  USD   18,050    (33)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,007  USD   9,025    (18)
1/17/2018  Bank of America Merrill Lynch  80,000  BRL  24,009  USD   24,067    (58)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  11,995  USD   12,034    (39)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  17,970  USD   18,050    (80)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  14,971  USD   15,042    (71)
1/17/2018  Bank of America Merrill Lynch  60,000  BRL  17,965  USD   18,050    (85)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  11,973  USD   12,034    (61)
1/17/2018  Bank of America Merrill Lynch  50,000  BRL  14,964  USD   15,042    (78)
1/17/2018  Bank of America Merrill Lynch  70,000  BRL  20,973  USD   21,059    (86)

 

See accompanying notes to consolidated financial statements.

54

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,049  USD  $12,034   $15 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,019  USD   6,017    2 
1/17/2018  Bank of America Merrill Lynch  20,000  BRL  6,014  USD   6,017    (3)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  9,009  USD   9,025    (16)
1/17/2018  Bank of America Merrill Lynch  40,000  BRL  12,008  USD   12,034    (26)
1/17/2018  Bank of America Merrill Lynch  30,000  BRL  8,987  USD   9,025    (38)
1/17/2018  Bank of America Merrill Lynch  570,000  BRL  172,158  USD   171,479    679 
1/17/2018  Bank of America Merrill Lynch  140,000  CAD  110,211  USD   111,766    (1,555)
1/17/2018  Bank of America Merrill Lynch  180,000  CAD  141,870  USD   143,699    (1,829)
1/17/2018  Bank of America Merrill Lynch  190,000  CAD  148,637  USD   151,683    (3,046)
1/17/2018  Bank of America Merrill Lynch  380,000  CAD  296,277  USD   303,365    (7,088)
1/17/2018  Bank of America Merrill Lynch  430,000  CAD  334,248  USD   343,282    (9,034)
1/17/2018  Bank of America Merrill Lynch  80,000  CAD  62,233  USD   63,866    (1,633)
1/17/2018  Bank of America Merrill Lynch  40,000  CAD  31,071  USD   31,933    (862)
1/17/2018  Bank of America Merrill Lynch  50,000  CAD  39,313  USD   39,916    (603)
1/17/2018  Bank of America Merrill Lynch  190,000  CAD  149,801  USD   151,683    (1,882)
1/17/2018  Bank of America Merrill Lynch  370,000  CAD  292,914  USD   295,382    (2,468)
1/17/2018  Bank of America Merrill Lynch  190,000  CAD  150,997  USD   151,683    (686)
1/17/2018  Bank of America Merrill Lynch  110,000  CHF  111,229  USD   113,024    (1,795)
1/17/2018  Bank of America Merrill Lynch  180,000  CHF  182,532  USD   184,948    (2,416)
1/17/2018  Bank of America Merrill Lynch  350,000  CHF  354,852  USD   359,622    (4,770)
1/17/2018  Bank of America Merrill Lynch  150,000  CHF  152,697  USD   154,124    (1,427)
1/17/2018  Bank of America Merrill Lynch  210,000  CHF  213,729  USD   215,773    (2,044)
1/17/2018  Bank of America Merrill Lynch  80,000  EUR  94,625  USD   96,168    (1,543)
1/17/2018  Bank of America Merrill Lynch  140,000  EUR  165,197  USD   168,294    (3,097)
1/17/2018  Bank of America Merrill Lynch  30,000  EUR  35,499  USD   36,063    (564)
1/17/2018  Bank of America Merrill Lynch  60,000  EUR  70,551  USD   72,126    (1,575)
1/17/2018  Bank of America Merrill Lynch  240,000  EUR  283,530  USD   288,504    (4,974)
1/17/2018  Bank of America Merrill Lynch  380,000  EUR  449,000  USD   456,798    (7,798)
1/17/2018  Bank of America Merrill Lynch  160,000  EUR  189,437  USD   192,336    (2,899)
1/17/2018  Bank of America Merrill Lynch  130,000  EUR  154,157  USD   156,273    (2,116)
1/17/2018  Bank of America Merrill Lynch  50,000  EUR  59,491  USD   60,105    (614)
1/17/2018  Bank of America Merrill Lynch  120,000  EUR  143,105  USD   144,252    (1,147)
1/17/2018  Bank of America Merrill Lynch  190,000  EUR  227,152  USD   228,399    (1,247)
1/17/2018  Bank of America Merrill Lynch  140,000  GBP  189,442  USD   189,500    (58)
1/17/2018  Bank of America Merrill Lynch  120,000  GBP  161,860  USD   162,429    (569)
1/17/2018  Bank of America Merrill Lynch  120,000  GBP  160,747  USD   162,429    (1,682)
1/17/2018  Bank of America Merrill Lynch  130,000  GBP  174,887  USD   175,964    (1,077)
1/17/2018  Bank of America Merrill Lynch  280,000  GBP  375,047  USD   379,000    (3,953)
1/17/2018  Bank of America Merrill Lynch  190,000  GBP  255,902  USD   257,178    (1,276)
1/17/2018  Bank of America Merrill Lynch  320,000  GBP  427,147  USD   433,142    (5,995)
1/17/2018  Bank of America Merrill Lynch  110,000  GBP  147,972  USD   148,893    (921)
1/17/2018  Bank of America Merrill Lynch  212,000,000  JPY  1,885,257  USD   1,883,547    1,710 
1/17/2018  Bank of America Merrill Lynch  1,000,000  JPY  8,890  USD   8,885    5 
1/17/2018  Bank of America Merrill Lynch  11,000,000  JPY  97,928  USD   97,731    197 
1/17/2018  Bank of America Merrill Lynch  6,000,000  JPY  53,496  USD   53,308    188 
1/17/2018  Bank of America Merrill Lynch  9,000,000  JPY  79,859  USD   79,962    (103)
1/17/2018  Bank of America Merrill Lynch  18,000,000  JPY  159,061  USD   159,924    (863)
1/17/2018  Bank of America Merrill Lynch  1,000,000  JPY  8,846  USD   8,885    (39)
1/17/2018  Bank of America Merrill Lynch  4,650,000  MXN  244,672  USD   236,829    7,843 
1/17/2018  Bank of America Merrill Lynch  2,420,000  MXN  127,081  USD   123,253    3,828 
1/17/2018  Bank of America Merrill Lynch  180,000  MXN  9,446  USD   9,168    278 

 

See accompanying notes to consolidated financial statements.

55

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/17/2018  Bank of America Merrill Lynch  390,000  MXN  20,378  USD  $19,863   $515 
1/17/2018  Bank of America Merrill Lynch  1,490,000  MXN  77,203  USD   75,887    1,316 
1/17/2018  Bank of America Merrill Lynch  720,000  MXN  37,536  USD   36,670    866 
1/17/2018  Bank of America Merrill Lynch  2,030,000  MXN  105,099  USD   103,390    1,709 
1/17/2018  Bank of America Merrill Lynch  2,470,000  MXN  126,345  USD   125,799    546 
1/17/2018  Bank of America Merrill Lynch  2,020,000  MXN  102,075  USD   102,880    (805)
1/17/2018  Bank of America Merrill Lynch  6,360,000  MXN  318,865  USD   323,921    (5,056)
1/17/2018  Bank of America Merrill Lynch  2,180,000  NOK  263,698  USD   266,667    (2,969)
1/17/2018  Bank of America Merrill Lynch  8,730,000  NOK  1,053,117  USD   1,067,890    (14,773)
1/17/2018  Bank of America Merrill Lynch  1,050,000  NOK  126,228  USD   128,440    (2,212)
1/17/2018  Bank of America Merrill Lynch  680,000  NOK  81,364  USD   83,180    (1,816)
1/17/2018  Bank of America Merrill Lynch  900,000  NOK  107,691  USD   110,092    (2,401)
1/17/2018  Bank of America Merrill Lynch  200,000  NOK  23,906  USD   24,465    (559)
1/17/2018  Bank of America Merrill Lynch  2,040,000  NOK  246,367  USD   249,542    (3,175)
1/17/2018  Bank of America Merrill Lynch  2,460,000  NZD  1,680,955  USD   1,749,150    (68,195)
1/17/2018  Bank of America Merrill Lynch  10,000  NZD  6,886  USD   7,110    (224)
1/17/2018  Bank of America Merrill Lynch  30,000  NZD  20,526  USD   21,331    (805)
1/17/2018  Bank of America Merrill Lynch  110,000  NZD  77,170  USD   78,214    (1,044)
1/17/2018  Bank of America Merrill Lynch  40,000  NZD  28,043  USD   28,441    (398)
1/17/2018  Bank of America Merrill Lynch  30,000  NZD  21,195  USD   21,331    (136)
1/17/2018  Bank of America Merrill Lynch  120,000  PLN  33,620  USD   34,535    (915)
1/17/2018  Bank of America Merrill Lynch  460,000  PLN  128,554  USD   132,384    (3,830)
1/17/2018  Bank of America Merrill Lynch  510,000  PLN  143,237  USD   146,774    (3,537)
1/17/2018  Bank of America Merrill Lynch  410,000  PLN  114,205  USD   117,995    (3,790)
1/17/2018  Bank of America Merrill Lynch  40,000  PLN  11,173  USD   11,512    (339)
1/17/2018  Bank of America Merrill Lynch  390,000  PLN  109,723  USD   112,239    (2,516)
1/17/2018  Bank of America Merrill Lynch  1,930,000  RUB  32,448  USD   33,445    (997)
1/17/2018  Bank of America Merrill Lynch  740,000  RUB  12,422  USD   12,823    (401)
1/17/2018  Bank of America Merrill Lynch  650,000  RUB  10,894  USD   11,264    (370)
1/17/2018  Bank of America Merrill Lynch  640,000  RUB  10,722  USD   11,091    (369)
1/17/2018  Bank of America Merrill Lynch  310,000  RUB  5,191  USD   5,372    (181)
1/17/2018  Bank of America Merrill Lynch  2,130,000  RUB  36,173  USD   36,911    (738)
1/17/2018  Bank of America Merrill Lynch  3,130,000  RUB  54,087  USD   54,240    (153)
1/17/2018  Bank of America Merrill Lynch  3,780,000  SEK  454,253  USD   462,192    (7,939)
1/17/2018  Bank of America Merrill Lynch  530,000  SEK  63,587  USD   64,805    (1,218)
1/17/2018  Bank of America Merrill Lynch  150,000  SEK  17,866  USD   18,341    (475)
1/17/2018  Bank of America Merrill Lynch  300,000  SEK  35,695  USD   36,682    (987)
1/17/2018  Bank of America Merrill Lynch  880,000  SEK  104,306  USD   107,600    (3,294)
1/17/2018  Bank of America Merrill Lynch  1,540,000  SEK  182,468  USD   188,300    (5,832)
1/17/2018  Bank of America Merrill Lynch  670,000  SEK  79,080  USD   81,923    (2,843)
1/17/2018  Bank of America Merrill Lynch  1,840,000  SEK  218,354  USD   224,982    (6,628)
1/17/2018  Bank of America Merrill Lynch  1,490,000  SEK  175,768  USD   182,187    (6,419)
1/17/2018  Bank of America Merrill Lynch  1,100,000  SEK  131,039  USD   134,500    (3,461)
1/17/2018  Bank of America Merrill Lynch  590,000  TRY  151,980  USD   154,805    (2,825)
1/17/2018  Bank of America Merrill Lynch  40,000  TRY  10,252  USD   10,495    (243)
1/17/2018  Bank of America Merrill Lynch  30,000  TRY  7,830  USD   7,871    (41)
1/17/2018  Bank of America Merrill Lynch  1,390,000  ZAR  100,495  USD   111,958    (11,463)
1/17/2018  Bank of America Merrill Lynch  50,000  ZAR  3,638  USD   4,027    (389)
1/17/2018  Bank of America Merrill Lynch  70,000  ZAR  5,097  USD   5,638    (541)
1/17/2018  Bank of America Merrill Lynch  200,000  ZAR  14,657  USD   16,109    (1,452)
1/17/2018  Bank of America Merrill Lynch  240,000  ZAR  17,436  USD   19,331    (1,895)
1/17/2018  Bank of America Merrill Lynch  20,000  ZAR  1,476  USD   1,611    (135)

 

See accompanying notes to consolidated financial statements.

56

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/17/2018  Bank of America Merrill Lynch  330,000  ZAR  26,068  USD  $26,580   $(512)
1/17/2018  Bank of America Merrill Lynch  1,970,000  ZAR  159,686  USD   158,674    1,012 
1/18/2018  Bank of America Merrill Lynch  2,000,000  AUD  1,930,534  CAD   1,564,324    (41,059)
1/18/2018  Bank of America Merrill Lynch  200,000  AUD  192,819  CAD   156,432    (6,387)
1/18/2018  Bank of America Merrill Lynch  400,000  AUD  392,931  CAD   312,865    (6,597)
1/18/2018  Bank of America Merrill Lynch  1,200,000  AUD  1,179,486  CAD   938,594    (11,035)
1/18/2018  Bank of America Merrill Lynch  1,947,144  AUD  1,250,000  EUR   1,522,982    (39,098)
1/18/2018  Bank of America Merrill Lynch  582,081  AUD  375,000  EUR   455,282    (9,166)
1/18/2018  Bank of America Merrill Lynch  2,000,000  AUD  169,126,400  JPY   1,564,324    (59,556)
1/18/2018  Bank of America Merrill Lynch  400,000  AUD  34,333,320  JPY   312,865    (7,091)
1/18/2018  Bank of America Merrill Lynch  400,000  AUD  440,226  NZD   312,865    (10,007)
1/18/2018  Bank of America Merrill Lynch  1,000,000  AUD  1,101,512  NZD   782,162    (28,970)
1/18/2018  Bank of America Merrill Lynch  600,000  AUD  659,011  NZD   469,297    (18,400)
1/18/2018  Bank of America Merrill Lynch  200,000  AUD  218,100  NZD   156,432    (5,385)
1/18/2018  Bank of America Merrill Lynch  200,000  AUD  219,237  NZD   156,432    (3,396)
1/18/2018  Bank of America Merrill Lynch  200,000  AUD  152,900  USD   156,432    (3,532)
1/18/2018  Bank of America Merrill Lynch  100,000  AUD  76,450  USD   78,216    (1,766)
1/18/2018  Bank of America Merrill Lynch  300,000  AUD  225,260  USD   234,649    (9,389)
1/18/2018  Bank of America Merrill Lynch  1,691,594  CAD  1,125,000  EUR   1,350,471    (14,975)
1/18/2018  Bank of America Merrill Lynch  762,957  CAD  500,000  EUR   609,100    (14,279)
1/18/2018  Bank of America Merrill Lynch  600,000  CAD  52,617,420  JPY   479,005    (10,852)
1/18/2018  Bank of America Merrill Lynch  1,200,000  CAD  105,811,200  JPY   958,010    (23,207)
1/18/2018  Bank of America Merrill Lynch  250,000  CAD  17,892,220  JPY   159,668    (975)
1/18/2018  Bank of America Merrill Lynch  3,300,000  CAD  2,574,396  USD   2,634,529    (60,133)
1/18/2018  Bank of America Merrill Lynch  700,000  CAD  545,112  USD   558,839    (13,727)
1/18/2018  Bank of America Merrill Lynch  200,000  CAD  156,060  USD   159,668    (3,608)
1/18/2018  Bank of America Merrill Lynch  500,000  CAD  398,069  USD   399,171    (1,102)
1/18/2018  Bank of America Merrill Lynch  2,188,892  CHF  1,875,000  EUR   2,249,239    (23,414)
1/18/2018  Bank of America Merrill Lynch  879,680  CHF  750,000  EUR   903,933    (11,701)
1/18/2018  Bank of America Merrill Lynch  500,000  CHF  56,805,100  JPY   513,785    (6,290)
1/18/2018  Bank of America Merrill Lynch  750,000  CHF  85,308,000  JPY   770,677    (11,667)
1/18/2018  Bank of America Merrill Lynch  250,000  CHF  28,393,300  JPY   256,892    (4,021)
1/18/2018  Bank of America Merrill Lynch  1,000,000  CHF  113,973,100  JPY   1,027,570    (10,304)
1/18/2018  Bank of America Merrill Lynch  250,000  CHF  28,603,400  JPY   256,892    (3,836)
1/18/2018  Bank of America Merrill Lynch  125,000  CHF  127,523  USD   128,446    (923)
1/18/2018  Bank of America Merrill Lynch  1,625,000  CHF  1,657,800  USD   1,669,801    (12,001)
1/18/2018  Bank of America Merrill Lynch  625,000  CHF  633,919  USD   642,231    (8,312)
1/18/2018  Bank of America Merrill Lynch  250,000  CHF  253,547  USD   256,892    (3,345)
1/18/2018  Bank of America Merrill Lynch  5,297,619  CNH  800,000  USD   812,732    (12,732)
1/18/2018  Bank of America Merrill Lynch  11,845,602  CNH  1,800,000  USD   1,817,288    (17,288)
1/18/2018  Bank of America Merrill Lynch  3,280,234  CNH  500,000  USD   503,236    (3,236)
1/18/2018  Bank of America Merrill Lynch  400,000  EUR  354,519  GBP   480,871    (2,847)
1/18/2018  Bank of America Merrill Lynch  1,300,000  EUR  1,134,267  GBP   1,562,830    (42,568)
1/18/2018  Bank of America Merrill Lynch  600,000  EUR  528,701  GBP   721,306    (15,123)
1/18/2018  Bank of America Merrill Lynch  500,000  EUR  443,828  GBP   601,088    (273)
1/18/2018  Bank of America Merrill Lynch  500,000  EUR  66,440,000  JPY   601,088    (9,952)
1/18/2018  Bank of America Merrill Lynch  800,000  EUR  105,975,840  JPY   961,742    (17,917)
1/18/2018  Bank of America Merrill Lynch  300,000  EUR  39,838,290  JPY   360,653    (5,077)
1/18/2018  Bank of America Merrill Lynch  1,300,000  EUR  175,096,740  JPY   1,562,830    (9,821)
1/18/2018  Bank of America Merrill Lynch  375,000  EUR  3,703,470  NOK   450,816    (5,876)
1/18/2018  Bank of America Merrill Lynch  125,000  EUR  148,861  USD   150,272    (1,411)
1/18/2018  Bank of America Merrill Lynch  375,000  EUR  442,859  USD   450,816    (7,957)

 

See accompanying notes to consolidated financial statements.

57

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/18/2018  Bank of America Merrill Lynch  2,125,000  EUR  2,503,156  USD  $2,554,626   $(51,470)
1/18/2018  Bank of America Merrill Lynch  1,250,000  EUR  1,478,762  USD   1,502,721    (23,959)
1/18/2018  Bank of America Merrill Lynch  625,000  EUR  740,255  USD   751,361    (11,106)
1/18/2018  Bank of America Merrill Lynch  2,125,000  EUR  2,530,631  USD   2,554,626    (23,995)
1/18/2018  Bank of America Merrill Lynch  125,000  GBP  219,687  AUD   169,202    (2,024)
1/18/2018  Bank of America Merrill Lynch  974,928  GBP  1,100,000  EUR   1,319,680    (13,863)
1/18/2018  Bank of America Merrill Lynch  884,743  GBP  1,000,000  EUR   1,197,604    (14,666)
1/18/2018  Bank of America Merrill Lynch  617,309  GBP  700,000  EUR   835,601    (7,168)
1/18/2018  Bank of America Merrill Lynch  529,134  GBP  600,000  EUR   716,246    (7,158)
1/18/2018  Bank of America Merrill Lynch  266,621  GBP  300,000  EUR   360,903    (4,010)
1/18/2018  Bank of America Merrill Lynch  887,210  GBP  1,000,000  EUR   1,200,944    (13,892)
1/18/2018  Bank of America Merrill Lynch  125,000  GBP  18,833,988  JPY   169,202    (1,759)
1/18/2018  Bank of America Merrill Lynch  250,000  GBP  37,463,250  JPY   338,405    (3,709)
1/18/2018  Bank of America Merrill Lynch  125,000  GBP  18,924,150  JPY   169,202    (1,776)
1/18/2018  Bank of America Merrill Lynch  125,000  GBP  167,356  USD   169,202    (1,846)
1/18/2018  Bank of America Merrill Lynch  62,500  GBP  84,132  USD   84,601    (469)
1/18/2018  Bank of America Merrill Lynch  1,000,000  GBP  1,338,991  USD   1,353,618    (14,627)
1/18/2018  Bank of America Merrill Lynch  171,458,800  JPY  2,000,000  AUD   1,523,429    (1,462)
1/18/2018  Bank of America Merrill Lynch  170,053,000  JPY  2,000,000  AUD   1,510,938    (9,080)
1/18/2018  Bank of America Merrill Lynch  34,643,800  JPY  400,000  AUD   307,814    (1,171)
1/18/2018  Bank of America Merrill Lynch  69,499,600  JPY  800,000  AUD   617,511    (1,898)
1/18/2018  Bank of America Merrill Lynch  52,374,300  JPY  600,000  AUD   465,351    (2,267)
1/18/2018  Bank of America Merrill Lynch  52,643,820  JPY  600,000  AUD   467,746    (1,830)
1/18/2018  Bank of America Merrill Lynch  35,140,360  JPY  400,000  AUD   312,226    640 
1/18/2018  Bank of America Merrill Lynch  17,762,400  JPY  200,000  CAD   157,821    (13)
1/18/2018  Bank of America Merrill Lynch  124,336,800  JPY  1,400,000  CAD   1,104,745    (92)
1/18/2018  Bank of America Merrill Lynch  17,605,400  JPY  200,000  CAD   156,426    (681)
1/18/2018  Bank of America Merrill Lynch  17,669,700  JPY  200,000  CAD   156,997    (1,543)
1/18/2018  Bank of America Merrill Lynch  35,184,120  JPY  400,000  CAD   312,615    (1,128)
1/18/2018  Bank of America Merrill Lynch  70,151,680  JPY  800,000  CAD   623,305    250 
1/18/2018  Bank of America Merrill Lynch  17,493,000  JPY  200,000  CAD   155,427    (205)
1/18/2018  Bank of America Merrill Lynch  35,350,720  JPY  400,000  CAD   314,095    469 
1/18/2018  Bank of America Merrill Lynch  71,273,360  JPY  800,000  CAD   633,271    (5,513)
1/18/2018  Bank of America Merrill Lynch  28,599,300  JPY  250,000  CHF   254,108    131 
1/18/2018  Bank of America Merrill Lynch  171,595,800  JPY  1,500,000  CHF   1,524,646    789 
1/18/2018  Bank of America Merrill Lynch  28,643,150  JPY  250,000  CHF   254,497    (1,126)
1/18/2018  Bank of America Merrill Lynch  171,928,800  JPY  1,500,000  CHF   1,527,605    (10,414)
1/18/2018  Bank of America Merrill Lynch  57,385,400  JPY  500,000  CHF   509,875    (405)
1/18/2018  Bank of America Merrill Lynch  57,507,000  JPY  500,000  CHF   510,956    (3,625)
1/18/2018  Bank of America Merrill Lynch  57,507,000  JPY  500,000  CHF   510,956    (3,625)
1/18/2018  Bank of America Merrill Lynch  86,485,800  JPY  750,000  CHF   768,435    2,359 
1/18/2018  Bank of America Merrill Lynch  40,060,980  JPY  300,000  EUR   355,946    186 
1/18/2018  Bank of America Merrill Lynch  120,182,940  JPY  900,000  EUR   1,067,838    559 
1/18/2018  Bank of America Merrill Lynch  388,740,940  JPY  2,900,000  EUR   3,454,003    1,185 
1/18/2018  Bank of America Merrill Lynch  26,964,500  JPY  200,000  EUR   239,582    (1,654)
1/18/2018  Bank of America Merrill Lynch  40,446,750  JPY  300,000  EUR   359,374    (2,481)
1/18/2018  Bank of America Merrill Lynch  13,475,820  JPY  100,000  EUR   119,734    499 
1/18/2018  Bank of America Merrill Lynch  37,667,975  JPY  250,000  GBP   334,684    2,409 
1/18/2018  Bank of America Merrill Lynch  56,194,875  JPY  375,000  GBP   499,297    3,627 
1/18/2018  Bank of America Merrill Lynch  18,824,575  JPY  125,000  GBP   167,258    805 
1/18/2018  Bank of America Merrill Lynch  37,589,950  JPY  250,000  GBP   333,991    (67)
1/18/2018  Bank of America Merrill Lynch  37,932,675  JPY  250,000  GBP   337,036    (2,500)

 

See accompanying notes to consolidated financial statements.

58

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
1/18/2018  Bank of America Merrill Lynch  47,206,500  JPY  600,000  NZD  $419,435   $(609)
1/18/2018  Bank of America Merrill Lynch  141,744,060  JPY  1,800,000  NZD   1,259,411    (2,691)
1/18/2018  Bank of America Merrill Lynch  47,248,020  JPY  600,000  NZD   419,804    (897)
1/18/2018  Bank of America Merrill Lynch  157,485,200  JPY  2,000,000  NZD   1,399,272    (5,788)
1/18/2018  Bank of America Merrill Lynch  63,399,360  JPY  800,000  NZD   563,310    (2,224)
1/18/2018  Bank of America Merrill Lynch  31,736,520  JPY  400,000  NZD   281,982    (1,603)
1/18/2018  Bank of America Merrill Lynch  15,976,340  JPY  200,000  NZD   141,951    (213)
1/18/2018  Bank of America Merrill Lynch  137,500,000  JPY  1,226,065  USD   1,221,702    4,363 
1/18/2018  Bank of America Merrill Lynch  12,500,000  JPY  110,331  USD   111,064    (733)
1/18/2018  Bank of America Merrill Lynch  25,000,000  JPY  220,661  USD   222,127    (1,466)
1/18/2018  Bank of America Merrill Lynch  2,000,000  MXN  103,634  USD   101,841    1,793 
1/18/2018  Bank of America Merrill Lynch  1,500,000  MXN  77,850  USD   76,381    1,469 
1/18/2018  Bank of America Merrill Lynch  500,000  MXN  25,653  USD   25,460    193 
1/18/2018  Bank of America Merrill Lynch  29,000,000  MXN  1,479,504  USD   1,476,690    2,814 
1/18/2018  Bank of America Merrill Lynch  1,500,000  MXN  75,863  USD   76,380    (517)
1/18/2018  Bank of America Merrill Lynch  17,219,571  NOK  1,750,000  EUR   2,106,436    (28,999)
1/18/2018  Bank of America Merrill Lynch  4,994,449  NOK  500,000  EUR   610,961    (16,140)
1/18/2018  Bank of America Merrill Lynch  15,500,000  NOK  15,709,529  NZD   1,896,085    (29,944)
1/18/2018  Bank of America Merrill Lynch  5,000,000  NOK  4,999,490  NZD   611,640    (15,373)
1/18/2018  Bank of America Merrill Lynch  887,133  NZD  800,000  AUD   630,775    (21,989)
1/18/2018  Bank of America Merrill Lynch  2,883,182  NZD  2,600,000  AUD   2,050,020    (71,463)
1/18/2018  Bank of America Merrill Lynch  217,726  NZD  200,000  AUD   154,809    (3,986)
1/18/2018  Bank of America Merrill Lynch  217,973  NZD  200,000  AUD   154,985    (2,754)
1/18/2018  Bank of America Merrill Lynch  1,092,905  NZD  1,000,000  AUD   777,085    (12,155)
1/18/2018  Bank of America Merrill Lynch  219,043  NZD  200,000  AUD   155,745    (2,765)
1/18/2018  Bank of America Merrill Lynch  877,130  NZD  800,000  AUD   623,663    (8,050)
1/18/2018  Bank of America Merrill Lynch  1,600,000  NZD  123,689,440  JPY   1,137,643    (37,985)
1/18/2018  Bank of America Merrill Lynch  200,000  NZD  15,709,180  JPY   142,205    (2,299)
1/18/2018  Bank of America Merrill Lynch  1,000,000  NZD  78,630,400  JPY   711,027    (9,212)
1/18/2018  Bank of America Merrill Lynch  200,000  NZD  15,958,180  JPY   142,205    (1,022)
1/18/2018  Bank of America Merrill Lynch  1,300,000  NZD  896,273  USD   924,335    (28,062)
1/18/2018  Bank of America Merrill Lynch  100,000  NZD  70,082  USD   71,103    (1,021)
1/18/2018  Bank of America Merrill Lynch  100,000  NZD  69,760  USD   71,103    (1,343)
1/18/2018  Bank of America Merrill Lynch  500,000  NZD  349,784  USD   355,514    (5,730)
1/18/2018  Bank of America Merrill Lynch  300,000  NZD  210,467  USD   213,308    (2,841)
1/18/2018  Bank of America Merrill Lynch  100,000  NZD  70,669  USD   71,103    (434)
1/18/2018  Bank of America Merrill Lynch  23,803,200  RUB  400,000  USD   412,427    (12,427)
1/18/2018  Bank of America Merrill Lynch  28,942,750  RUB  500,000  USD   501,477    (1,477)
1/18/2018  Bank of America Merrill Lynch  22,439,691  SEK  2,250,000  EUR   2,743,947    (72,957)
1/18/2018  Bank of America Merrill Lynch  7,489,804  SEK  750,000  EUR   915,861    (23,629)
1/18/2018  Bank of America Merrill Lynch  2,335,229  TRY  600,000  USD   612,533    (12,533)
1/18/2018  Bank of America Merrill Lynch  1,539,000  TRY  400,000  USD   403,681    (3,681)
1/18/2018  Bank of America Merrill Lynch  383,795  TRY  100,000  USD   100,670    (670)
1/18/2018  Bank of America Merrill Lynch  380,578  TRY  100,000  USD   99,826    174 
1/22/2018  Bank of America Merrill Lynch  90,811,000  INR  1,400,000  USD   1,419,010    (19,010)
1/22/2018  Bank of America Merrill Lynch  84,363,500  INR  1,300,000  USD   1,318,262    (18,262)
1/22/2018  Bank of America Merrill Lynch  19,262,640  INR  300,000  USD   300,998    (998)
2/2/2018  Bank of America Merrill Lynch  107,333  BRL  32,372  USD   32,229    143 
2/2/2018  Bank of America Merrill Lynch  72,869  BRL  21,967  USD   21,881    86 
2/21/2018  Bank of America Merrill Lynch  7,300,000  MXN  366,474  USD   369,470    (2,996)
2/21/2018  Bank of America Merrill Lynch  5,580,000  MXN  279,599  USD   282,417    (2,818)
2/21/2018  Bank of America Merrill Lynch  1,530,000  MXN  76,725  USD   77,437    (712)

 

See accompanying notes to consolidated financial statements.

59

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
2/21/2018  Bank of America Merrill Lynch  20,000  ZAR  1,606  USD  $1,603   $3 
3/21/2018  Bank of America Merrill Lynch  178,782  AUD  136,913  USD   139,811    (2,898)
3/21/2018  Bank of America Merrill Lynch  178,782  AUD  136,935  USD   139,811    (2,876)
3/21/2018  Bank of America Merrill Lynch  21,510  AUD  16,474  USD   16,821    (347)
3/21/2018  Bank of America Merrill Lynch  933  AUD  715  USD   730    (15)
3/21/2018  Bank of America Merrill Lynch  42,792  AUD  32,806  USD   33,464    (658)
3/21/2018  Bank of America Merrill Lynch  79,470  AUD  60,928  USD   62,147    (1,219)
3/21/2018  Bank of America Merrill Lynch  39,735  AUD  30,469  USD   31,073    (604)
3/21/2018  Bank of America Merrill Lynch  39,736  AUD  30,474  USD   31,074    (600)
3/21/2018  Bank of America Merrill Lynch  82,885  AUD  63,551  USD   64,818    (1,267)
3/21/2018  Bank of America Merrill Lynch  632,926  AUD  485,252  USD   494,961    (9,709)
3/21/2018  Bank of America Merrill Lynch  316,463  AUD  242,667  USD   247,481    (4,814)
3/21/2018  Bank of America Merrill Lynch  316,462  AUD  242,702  USD   247,480    (4,778)
3/21/2018  Bank of America Merrill Lynch  660,127  AUD  506,142  USD   516,233    (10,091)
3/21/2018  Bank of America Merrill Lynch  58,153  CAD  45,313  USD   46,459    (1,146)
3/21/2018  Bank of America Merrill Lynch  151,298  CAD  118,127  USD   120,876    (2,749)
3/21/2018  Bank of America Merrill Lynch  151,298  CAD  118,097  USD   120,876    (2,779)
3/21/2018  Bank of America Merrill Lynch  96,385  CAD  75,258  USD   77,005    (1,747)
3/21/2018  Bank of America Merrill Lynch  143,461  CAD  112,567  USD   114,615    (2,048)
3/21/2018  Bank of America Merrill Lynch  143,459  CAD  112,661  USD   114,613    (1,952)
3/21/2018  Bank of America Merrill Lynch  143,461  CAD  112,512  USD   114,615    (2,103)
3/21/2018  Bank of America Merrill Lynch  73,144  CAD  57,374  USD   58,437    (1,063)
3/21/2018  Bank of America Merrill Lynch  9,331  CAD  7,322  USD   7,455    (133)
3/21/2018  Bank of America Merrill Lynch  9,332  CAD  7,329  USD   7,456    (127)
3/21/2018  Bank of America Merrill Lynch  9,331  CAD  7,318  USD   7,455    (137)
3/21/2018  Bank of America Merrill Lynch  4,758  CAD  3,732  USD   3,801    (69)
3/21/2018  Bank of America Merrill Lynch  524,629  CAD  408,639  USD   419,140    (10,501)
3/21/2018  Bank of America Merrill Lynch  524,629  CAD  408,639  USD   419,140    (10,501)
3/21/2018  Bank of America Merrill Lynch  524,629  CAD  408,639  USD   419,140    (10,501)
3/21/2018  Bank of America Merrill Lynch  262,316  CAD  204,340  USD   209,571    (5,231)
3/21/2018  Bank of America Merrill Lynch  262,314  CAD  204,338  USD   209,569    (5,231)
3/21/2018  Bank of America Merrill Lynch  307,863  CAD  239,769  USD   245,960    (6,191)
3/21/2018  Bank of America Merrill Lynch  958,619  CAD  746,679  USD   765,866    (19,187)
3/21/2018  Bank of America Merrill Lynch  958,619  CAD  746,679  USD   765,866    (19,187)
3/21/2018  Bank of America Merrill Lynch  958,619  CAD  746,679  USD   765,866    (19,187)
3/21/2018  Bank of America Merrill Lynch  479,309  CAD  373,374  USD   382,933    (9,559)
3/21/2018  Bank of America Merrill Lynch  479,310  CAD  373,375  USD   382,933    (9,558)
3/21/2018  Bank of America Merrill Lynch  562,538  CAD  438,114  USD   449,426    (11,312)
3/21/2018  Bank of America Merrill Lynch  55,099  CAD  43,000  USD   44,020    (1,020)
3/21/2018  Bank of America Merrill Lynch  4,604,582  CLP  7,027  USD   7,482    (455)
3/21/2018  Bank of America Merrill Lynch  6,691,716  CLP  10,191  USD   10,873    (682)
3/21/2018  Bank of America Merrill Lynch  20,209,791  CLP  30,742  USD   32,838    (2,096)
3/21/2018  Bank of America Merrill Lynch  25,202,799  CLP  38,347  USD   40,952    (2,605)
3/21/2018  Bank of America Merrill Lynch  6,610,014  CLP  10,181  USD   10,740    (559)
3/21/2018  Bank of America Merrill Lynch  18,962,798  CLP  29,232  USD   30,812    (1,580)
3/21/2018  Bank of America Merrill Lynch  6,546,317  CLP  10,202  USD   10,637    (435)
3/21/2018  Bank of America Merrill Lynch  8,188,204  CLP  12,756  USD   13,305    (549)
3/21/2018  Bank of America Merrill Lynch  16,314,137  CLP  25,590  USD   26,509    (919)
3/21/2018  Bank of America Merrill Lynch  7,402,149  CLP  11,830  USD   12,028    (198)
3/21/2018  Bank of America Merrill Lynch  310,535,583  CLP  499,655  USD   504,583    (4,928)
3/21/2018  Bank of America Merrill Lynch  1,295,418  CLP  2,083  USD   2,105    (22)
3/21/2018  Bank of America Merrill Lynch  14,309,876  CLP  23,024  USD   23,252    (228)

 

See accompanying notes to consolidated financial statements.

60

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
3/21/2018  Bank of America Merrill Lynch  908,086  CLP  1,458  USD  $1,476   $(18)
3/21/2018  Bank of America Merrill Lynch  2,210,768  CLP  3,592  USD   3,592    — 
3/21/2018  Bank of America Merrill Lynch  159,531  CZK  7,429  USD   7,530    (101)
3/21/2018  Bank of America Merrill Lynch  52,428  CZK  2,421  USD   2,475    (54)
3/21/2018  Bank of America Merrill Lynch  206,633  CZK  9,616  USD   9,753    (137)
3/21/2018  Bank of America Merrill Lynch  104,230  CZK  4,841  USD   4,920    (79)
3/21/2018  Bank of America Merrill Lynch  12,179,026  CZK  567,074  USD   574,832    (7,758)
3/21/2018  Bank of America Merrill Lynch  127,244  CZK  5,937  USD   6,006    (69)
3/21/2018  Bank of America Merrill Lynch  288,913  CZK  13,448  USD   13,636    (188)
3/21/2018  Bank of America Merrill Lynch  237,534  CZK  11,058  USD   11,211    (153)
3/21/2018  Bank of America Merrill Lynch  44,176  CZK  2,055  USD   2,085    (30)
3/21/2018  Bank of America Merrill Lynch  25,752  CZK  1,198  USD   1,215    (17)
3/21/2018  Bank of America Merrill Lynch  88,000  EUR  104,032  USD   106,187    (2,155)
3/21/2018  Bank of America Merrill Lynch  43,000  EUR  50,980  USD   51,887    (907)
3/21/2018  Bank of America Merrill Lynch  492,000  EUR  584,091  USD   593,682    (9,591)
3/21/2018  Bank of America Merrill Lynch  243,948  EUR  289,707  USD   294,365    (4,658)
3/21/2018  Bank of America Merrill Lynch  85,000  EUR  100,993  USD   102,567    (1,574)
3/21/2018  Bank of America Merrill Lynch  469,125  EUR  556,644  USD   566,080    (9,436)
3/21/2018  Bank of America Merrill Lynch  469,125  EUR  556,558  USD   566,080    (9,522)
3/21/2018  Bank of America Merrill Lynch  577,110  EUR  684,809  USD   696,382    (11,573)
3/21/2018  Bank of America Merrill Lynch  36,596  EUR  43,665  USD   44,159    (494)
3/21/2018  Bank of America Merrill Lynch  3,404  EUR  4,061  USD   4,107    (46)
3/21/2018  Bank of America Merrill Lynch  94,614  GBP  126,597  USD   128,331    (1,734)
3/21/2018  Bank of America Merrill Lynch  211,206  GBP  282,602  USD   286,473    (3,871)
3/21/2018  Bank of America Merrill Lynch  211,207  GBP  282,582  USD   286,474    (3,892)
3/21/2018  Bank of America Merrill Lynch  211,207  GBP  282,620  USD   286,474    (3,854)
3/21/2018  Bank of America Merrill Lynch  211,207  GBP  282,522  USD   286,475    (3,953)
3/21/2018  Bank of America Merrill Lynch  211,204  GBP  282,274  USD   286,470    (4,196)
3/21/2018  Bank of America Merrill Lynch  211,207  GBP  283,195  USD   286,474    (3,279)
3/21/2018  Bank of America Merrill Lynch  211,207  GBP  283,036  USD   286,474    (3,438)
3/21/2018  Bank of America Merrill Lynch  211,205  GBP  283,032  USD   286,472    (3,440)
3/21/2018  Bank of America Merrill Lynch  211,206  GBP  283,137  USD   286,473    (3,336)
3/21/2018  Bank of America Merrill Lynch  211,206  GBP  283,149  USD   286,473    (3,324)
3/21/2018  Bank of America Merrill Lynch  211,206  GBP  283,085  USD   286,473    (3,388)
3/21/2018  Bank of America Merrill Lynch  223,004  GBP  298,880  USD   302,475    (3,595)
3/21/2018  Bank of America Merrill Lynch  352,011  GBP  471,894  USD   477,457    (5,563)
3/21/2018  Bank of America Merrill Lynch  418,154  GBP  560,428  USD   567,171    (6,743)
3/21/2018  Bank of America Merrill Lynch  418,152  GBP  561,427  USD   567,168    (5,741)
3/21/2018  Bank of America Merrill Lynch  41,000  GBP  55,255  USD   55,611    (356)
3/21/2018  Bank of America Merrill Lynch  2,910,208  HKD  373,349  USD   372,868    481 
3/21/2018  Bank of America Merrill Lynch  784,376  HUF  2,958  USD   3,049    (91)
3/21/2018  Bank of America Merrill Lynch  472,678  HUF  1,774  USD   1,837    (63)
3/21/2018  Bank of America Merrill Lynch  1,481,267  HUF  5,615  USD   5,757    (142)
3/21/2018  Bank of America Merrill Lynch  95,961  HUF  363  USD   373    (10)
3/21/2018  Bank of America Merrill Lynch  87,411,330  HUF  331,488  USD   339,727    (8,239)
3/21/2018  Bank of America Merrill Lynch  793,830  HUF  3,021  USD   3,085    (64)
3/21/2018  Bank of America Merrill Lynch  3,997,814  HUF  15,245  USD   15,538    (293)
3/21/2018  Bank of America Merrill Lynch  251,244  HUF  960  USD   976    (16)
3/21/2018  Bank of America Merrill Lynch  145,903  HUF  566  USD   567    (1)
3/21/2018  Bank of America Merrill Lynch  22,866  ILS  6,523  USD   6,609    (86)
3/21/2018  Bank of America Merrill Lynch  4,424  ILS  1,252  USD   1,279    (27)
3/21/2018  Bank of America Merrill Lynch  26,302  ILS  7,484  USD   7,602    (118)

 

See accompanying notes to consolidated financial statements.

61

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
3/21/2018  Bank of America Merrill Lynch  29,166  ILS  8,312  USD  $8,429   $(117)
3/21/2018  Bank of America Merrill Lynch  15,510  ILS  4,432  USD   4,483    (51)
3/21/2018  Bank of America Merrill Lynch  2,192,423  ILS  629,403  USD   633,648    (4,245)
3/21/2018  Bank of America Merrill Lynch  7,256  ILS  2,079  USD   2,097    (18)
3/21/2018  Bank of America Merrill Lynch  96,984  ILS  27,865  USD   28,030    (165)
3/21/2018  Bank of America Merrill Lynch  14,395  ILS  4,160  USD   4,160    — 
3/21/2018  Bank of America Merrill Lynch  858,773  INR  13,206  USD   13,322    (116)
3/21/2018  Bank of America Merrill Lynch  181,483  INR  2,786  USD   2,815    (29)
3/21/2018  Bank of America Merrill Lynch  875,294  INR  13,492  USD   13,579    (87)
3/21/2018  Bank of America Merrill Lynch  1,401,960  INR  21,677  USD   21,749    (72)
3/21/2018  Bank of America Merrill Lynch  373,044  INR  5,758  USD   5,787    (29)
3/21/2018  Bank of America Merrill Lynch  136,877,276  INR  2,114,980  USD   2,123,397    (8,417)
3/21/2018  Bank of America Merrill Lynch  617,569  INR  9,559  USD   9,580    (21)
3/21/2018  Bank of America Merrill Lynch  7,116,963  INR  110,168  USD   110,406    (238)
3/21/2018  Bank of America Merrill Lynch  159,183  INR  2,467  USD   2,469    (2)
3/21/2018  Bank of America Merrill Lynch  748,995  INR  11,601  USD   11,619    (18)
3/21/2018  Bank of America Merrill Lynch  191,486  INR  2,972  USD   2,971    1 
3/21/2018  Bank of America Merrill Lynch  1,119,316,450  KRW  1,025,165  USD   1,046,954    (21,789)
3/21/2018  Bank of America Merrill Lynch  13,207,760  KRW  12,102  USD   12,354    (252)
3/21/2018  Bank of America Merrill Lynch  13,882,503  KRW  12,747  USD   12,985    (238)
3/21/2018  Bank of America Merrill Lynch  21,223,886  KRW  19,534  USD   19,852    (318)
3/21/2018  Bank of America Merrill Lynch  7,584,109  KRW  6,978  USD   7,094    (116)
3/21/2018  Bank of America Merrill Lynch  127,259  KRW  117  USD   119    (2)
3/21/2018  Bank of America Merrill Lynch  1,507,538,685  KRW  1,389,949  USD   1,410,078    (20,129)
3/21/2018  Bank of America Merrill Lynch  67,283,243  KRW  62,327  USD   62,933    (606)
3/21/2018  Bank of America Merrill Lynch  9,904,396  KRW  9,205  USD   9,264    (59)
3/21/2018  Bank of America Merrill Lynch  7,457,275  KRW  6,935  USD   6,975    (40)
3/21/2018  Bank of America Merrill Lynch  228,340  NOK  27,316  USD   27,980    (664)
3/21/2018  Bank of America Merrill Lynch  230,423  NOK  27,732  USD   28,235    (503)
3/21/2018  Bank of America Merrill Lynch  245,049  NOK  29,383  USD   30,028    (645)
3/21/2018  Bank of America Merrill Lynch  267,320  NOK  32,485  USD   32,757    (272)
3/21/2018  Bank of America Merrill Lynch  1,526,812  NOK  184,869  USD   187,091    (2,222)
3/21/2018  Bank of America Merrill Lynch  2,655,513  NOK  320,461  USD   325,399    (4,938)
3/21/2018  Bank of America Merrill Lynch  119,727  NOK  14,448  USD   14,671    (223)
3/21/2018  Bank of America Merrill Lynch  129,587  NOK  15,691  USD   15,879    (188)
3/21/2018  Bank of America Merrill Lynch  21,413  NOK  2,561  USD   2,624    (63)
3/21/2018  Bank of America Merrill Lynch  694,593  NOK  83,074  USD   85,113    (2,039)
3/21/2018  Bank of America Merrill Lynch  151,376  NOK  18,153  USD   18,549    (396)
3/21/2018  Bank of America Merrill Lynch  597,390  NOK  71,649  USD   73,202    (1,553)
3/21/2018  Bank of America Merrill Lynch  4,609,172  NOK  553,308  USD   564,795    (11,487)
3/21/2018  Bank of America Merrill Lynch  91,937  NOK  11,054  USD   11,266    (212)
3/21/2018  Bank of America Merrill Lynch  170,861  NOK  20,376  USD   20,937    (561)
3/21/2018  Bank of America Merrill Lynch  219,924  NOK  26,383  USD   26,949    (566)
3/21/2018  Bank of America Merrill Lynch  186,977  NOK  22,628  USD   22,912    (284)
3/21/2018  Bank of America Merrill Lynch  90,133  NOK  10,922  USD   11,045    (123)
3/21/2018  Bank of America Merrill Lynch  53,509  NOK  6,543  USD   6,557    (14)
3/21/2018  Bank of America Merrill Lynch  201,054  NZD  140,633  USD   142,849    (2,216)
3/21/2018  Bank of America Merrill Lynch  5,312  NZD  3,716  USD   3,774    (58)
3/21/2018  Bank of America Merrill Lynch  7,934,268  NZD  5,551,869  USD   5,637,289    (85,420)
3/21/2018  Bank of America Merrill Lynch  46,730,073  PHP  922,371  USD   932,721    (10,350)
3/21/2018  Bank of America Merrill Lynch  33,178  PLN  9,323  USD   9,552    (229)
3/21/2018  Bank of America Merrill Lynch  17,181  PLN  4,792  USD   4,946    (154)

 

See accompanying notes to consolidated financial statements.

62

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
3/21/2018  Bank of America Merrill Lynch  35,634  PLN  10,010  USD  $10,259   $(249)
3/21/2018  Bank of America Merrill Lynch  6,449  PLN  1,807  USD   1,857    (50)
3/21/2018  Bank of America Merrill Lynch  2,085,735  PLN  588,480  USD   600,459    (11,979)
3/21/2018  Bank of America Merrill Lynch  26,265  PLN  7,405  USD   7,562    (157)
3/21/2018  Bank of America Merrill Lynch  47,577  PLN  13,452  USD   13,697    (245)
3/21/2018  Bank of America Merrill Lynch  43,083  PLN  12,177  USD   12,403    (226)
3/21/2018  Bank of America Merrill Lynch  6,360  PLN  1,798  USD   1,831    (33)
3/21/2018  Bank of America Merrill Lynch  379,355  RUB  6,314  USD   6,518    (204)
3/21/2018  Bank of America Merrill Lynch  291,855  RUB  4,894  USD   5,015    (121)
3/21/2018  Bank of America Merrill Lynch  292,738  RUB  4,929  USD   5,030    (101)
3/21/2018  Bank of America Merrill Lynch  125,385  RUB  2,104  USD   2,154    (50)
3/21/2018  Bank of America Merrill Lynch  70,444  RUB  1,187  USD   1,210    (23)
3/21/2018  Bank of America Merrill Lynch  30,539,036  RUB  514,934  USD   524,734    (9,800)
3/21/2018  Bank of America Merrill Lynch  90,524  RUB  1,525  USD   1,555    (30)
3/21/2018  Bank of America Merrill Lynch  1,366,345  RUB  23,083  USD   23,477    (394)
3/21/2018  Bank of America Merrill Lynch  101,288  RUB  1,718  USD   1,740    (22)
3/21/2018  Bank of America Merrill Lynch  6,888  RUB  118  USD   118    — 
3/21/2018  Bank of America Merrill Lynch  66,894  SEK  7,931  USD   8,210    (279)
3/21/2018  Bank of America Merrill Lynch  45,601  SEK  5,449  USD   5,597    (148)
3/21/2018  Bank of America Merrill Lynch  42,112  SEK  5,023  USD   5,169    (146)
3/21/2018  Bank of America Merrill Lynch  79,588  SEK  9,518  USD   9,769    (251)
3/21/2018  Bank of America Merrill Lynch  758,427  SEK  90,697  USD   93,089    (2,392)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  253,332  USD   259,920    (6,588)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,988  USD   259,920    (6,932)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,635  USD   259,920    (7,285)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,635  USD   259,920    (7,285)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,699  USD   259,920    (7,221)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,622  USD   259,920    (7,298)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,513  USD   259,920    (7,407)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,676  USD   259,920    (7,244)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  253,042  USD   259,920    (6,878)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,773  USD   259,920    (7,147)
3/21/2018  Bank of America Merrill Lynch  2,117,660  SEK  252,941  USD   259,920    (6,979)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,811  USD   259,920    (7,109)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,546  USD   259,920    (7,374)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,216  USD   259,920    (7,704)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,497  USD   259,920    (7,423)
3/21/2018  Bank of America Merrill Lynch  2,117,659  SEK  252,483  USD   259,920    (7,437)
3/21/2018  Bank of America Merrill Lynch  1,996,059  SEK  238,176  USD   244,995    (6,819)
3/21/2018  Bank of America Merrill Lynch  4,391,330  SEK  524,316  USD   538,988    (14,672)
3/21/2018  Bank of America Merrill Lynch  4,391,330  SEK  524,245  USD   538,988    (14,743)
3/21/2018  Bank of America Merrill Lynch  4,270,613  SEK  509,610  USD   524,171    (14,561)
3/21/2018  Bank of America Merrill Lynch  4,391,330  SEK  523,826  USD   538,988    (15,162)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,051  USD   86,640    (2,589)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,049  USD   86,640    (2,591)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,049  USD   86,640    (2,591)
3/21/2018  Bank of America Merrill Lynch  4,391,331  SEK  523,825  USD   538,988    (15,163)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,142  USD   86,640    (2,498)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,114  USD   86,640    (2,526)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,114  USD   86,640    (2,526)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,155  USD   86,640    (2,485)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,112  USD   86,640    (2,528)

 

See accompanying notes to consolidated financial statements.

63

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
3/21/2018  Bank of America Merrill Lynch  3,882,375  SEK  462,652  USD  $476,519   $(13,867)
3/21/2018  Bank of America Merrill Lynch  3,882,375  SEK  463,073  USD   476,519    (13,446)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,281  USD   86,640    (2,359)
3/21/2018  Bank of America Merrill Lynch  705,886  SEK  84,268  USD   86,640    (2,372)
3/21/2018  Bank of America Merrill Lynch  705,889  SEK  84,273  USD   86,640    (2,367)
3/21/2018  Bank of America Merrill Lynch  570,288  SEK  68,205  USD   69,997    (1,792)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,515  USD   38,490    (975)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,464  USD   38,490    (1,026)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,411  USD   38,490    (1,079)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,411  USD   38,490    (1,079)
3/21/2018  Bank of America Merrill Lynch  313,590  SEK  37,421  USD   38,490    (1,069)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,409  USD   38,490    (1,081)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,393  USD   38,490    (1,097)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,417  USD   38,490    (1,073)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,472  USD   38,490    (1,018)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,432  USD   38,490    (1,058)
3/21/2018  Bank of America Merrill Lynch  313,589  SEK  37,456  USD   38,490    (1,034)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,437  USD   38,490    (1,053)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,398  USD   38,490    (1,092)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,349  USD   38,490    (1,141)
3/21/2018  Bank of America Merrill Lynch  313,594  SEK  37,391  USD   38,490    (1,099)
3/21/2018  Bank of America Merrill Lynch  313,590  SEK  37,389  USD   38,490    (1,101)
3/21/2018  Bank of America Merrill Lynch  295,587  SEK  35,270  USD   36,280    (1,010)
3/21/2018  Bank of America Merrill Lynch  650,290  SEK  77,643  USD   79,816    (2,173)
3/21/2018  Bank of America Merrill Lynch  650,290  SEK  77,633  USD   79,816    (2,183)
3/21/2018  Bank of America Merrill Lynch  632,411  SEK  75,465  USD   77,621    (2,156)
3/21/2018  Bank of America Merrill Lynch  650,290  SEK  77,571  USD   79,816    (2,245)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,447  USD   12,830    (383)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,446  USD   12,830    (384)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,446  USD   12,830    (384)
3/21/2018  Bank of America Merrill Lynch  650,286  SEK  77,570  USD   79,815    (2,245)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,460  USD   12,830    (370)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,456  USD   12,830    (374)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,456  USD   12,830    (374)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,462  USD   12,830    (368)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,456  USD   12,830    (374)
3/21/2018  Bank of America Merrill Lynch  574,921  SEK  68,512  USD   70,565    (2,053)
3/21/2018  Bank of America Merrill Lynch  574,921  SEK  68,574  USD   70,565    (1,991)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,481  USD   12,830    (349)
3/21/2018  Bank of America Merrill Lynch  104,532  SEK  12,479  USD   12,830    (351)
3/21/2018  Bank of America Merrill Lynch  104,524  SEK  12,479  USD   12,829    (350)
3/21/2018  Bank of America Merrill Lynch  84,451  SEK  10,100  USD   10,365    (265)
3/21/2018  Bank of America Merrill Lynch  41,918  SEK  5,027  USD   5,145    (118)
3/21/2018  Bank of America Merrill Lynch  373,417  SEK  44,435  USD   45,833    (1,398)
3/21/2018  Bank of America Merrill Lynch  20,689  SEK  2,473  USD   2,539    (66)
3/21/2018  Bank of America Merrill Lynch  2,699,148  SEK  319,845  USD   331,291    (11,446)
3/21/2018  Bank of America Merrill Lynch  1,080,840  SEK  128,078  USD   132,661    (4,583)
3/21/2018  Bank of America Merrill Lynch  29,220  SEK  3,476  USD   3,586    (110)
3/21/2018  Bank of America Merrill Lynch  1,773,467  SEK  211,855  USD   217,674    (5,819)
3/21/2018  Bank of America Merrill Lynch  25,712  SEK  3,095  USD   3,156    (61)
3/21/2018  Bank of America Merrill Lynch  74,761  SEK  8,941  USD   9,176    (235)
3/21/2018  Bank of America Merrill Lynch  33,072  SEK  3,969  USD   4,059    (90)

 

See accompanying notes to consolidated financial statements.

64

 

Altegris Managed Futures Strategy Fund
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
December 31, 2017

 

Schedule of Forward Foreign Currency Contracts

 

                      Unrealized 
      Currency Units to               Appreciation/ 
Settlement Date  Counterparty  Receive/Deliver     In Exchange For  U.S. $ Value   (Depreciation) 
To Sell:                         
3/21/2018  Bank of America Merrill Lynch  7,316  SEK  895  USD  $898   $(3)
3/21/2018  Bank of America Merrill Lynch  205,486  SGD  152,108  USD   153,952    (1,844)
3/21/2018  Bank of America Merrill Lynch  13,209  SGD  9,782  USD   9,896    (114)
3/21/2018  Bank of America Merrill Lynch  3,204  SGD  2,373  USD   2,400    (27)
3/21/2018  Bank of America Merrill Lynch  13,375  SGD  9,942  USD   10,021    (79)
3/21/2018  Bank of America Merrill Lynch  13,535  SGD  10,061  USD   10,140    (79)
3/21/2018  Bank of America Merrill Lynch  1,410,228  SGD  1,047,714  USD   1,056,554    (8,840)
3/21/2018  Bank of America Merrill Lynch  2,495  SGD  1,855  USD   1,870    (15)
3/21/2018  Bank of America Merrill Lynch  68,886  SGD  51,256  USD   51,610    (354)
3/21/2018  Bank of America Merrill Lynch  1,269  SGD  945  USD   951    (6)
3/21/2018  Bank of America Merrill Lynch  5,243  SGD  3,905  USD   3,928    (23)
3/21/2018  Bank of America Merrill Lynch  4,210,144  TRY  1,066,352  USD   1,084,369    (18,017)
3/21/2018  Bank of America Merrill Lynch  195,292  TWD  6,557  USD   6,594    (37)
3/21/2018  Bank of America Merrill Lynch  167,861  TWD  5,631  USD   5,668    (37)
3/21/2018  Bank of America Merrill Lynch  324,062  TWD  10,906  USD   10,942    (36)
3/21/2018  Bank of America Merrill Lynch  587,171  TWD  19,732  USD   19,825    (93)
3/21/2018  Bank of America Merrill Lynch  348,318  TWD  11,701  USD   11,761    (60)
3/21/2018  Bank of America Merrill Lynch  32,784,248  TWD  1,102,974  USD   1,106,935    (3,961)
3/21/2018  Bank of America Merrill Lynch  294,504  TWD  9,933  USD   9,944    (11)
3/21/2018  Bank of America Merrill Lynch  1,898,895  TWD  63,977  USD   64,115    (138)
3/21/2018  Bank of America Merrill Lynch  332,991  TWD  11,226  USD   11,243    (17)
3/21/2018  Bank of America Merrill Lynch  393,045  TWD  13,272  USD   13,271    1 
3/21/2018  Bank of America Merrill Lynch  290,861  TWD  9,813  USD   9,821    (8)
3/21/2018  Bank of America Merrill Lynch  329,356  TWD  11,188  USD   11,120    68 
3/22/2018  Bank of America Merrill Lynch  31,525,785  JPY  279,394  USD   281,036    (1,642)
3/22/2018  Bank of America Merrill Lynch  5,525,735  JPY  49,000  USD   49,259    (259)
3/22/2018  Bank of America Merrill Lynch  85,818,583  JPY  766,815  USD   765,027    1,788 
3/22/2018  Bank of America Merrill Lynch  85,818,583  JPY  766,815  USD   765,027    1,788 
3/22/2018  Bank of America Merrill Lynch  85,818,582  JPY  766,815  USD   765,027    1,788 
3/22/2018  Bank of America Merrill Lynch  124,419,863  JPY  1,111,013  USD   1,109,137    1,876 
3/22/2018  Bank of America Merrill Lynch  1,079,386  ZAR  77,888  USD   86,143    (8,255)
3/22/2018  Bank of America Merrill Lynch  267,419  ZAR  19,297  USD   21,342    (2,045)
                       $(2,639,225)
   Net unrealized appreciation on forward foreign currency contracts   $556,091 

 

See accompanying notes to consolidated financial statements.

65

 

Altegris Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
December 31, 2017

 

   Altegris Futures Evolution   Altegris GSA Trend   Altegris Managed Futures 
   Strategy Fund   Strategy Fund   Strategy Fund 
ASSETS               
Investment securities:               
At cost  $568,099,026   $28,674,946   $49,798,926 
At value  $571,082,643   $28,674,946   $49,926,742 
Cash   87,184,867    13,267,491    80,013,974 
Foreign cash (Cost: $0, $20,279, $0)   —    20,560    — 
Segregated cash at broker   —    9,346,817    — 
Receivable for securities sold   188,322    —    7,670 
Receivable for Fund shares sold   1,674,121    4,427    122,454 
Interest receivable   2,569,736    —    — 
Unrealized appreciation on futures contracts   —    2,234,173    2,867,258 
Unrealized appreciation on forward foreign currency exchange contracts   —    776,969    3,399,989 
Prepaid expenses and other assets   193,096    59,574    115,775 
TOTAL ASSETS   662,892,785    54,384,957    136,453,862 
                
LIABILITIES               
Due to broker - futures contracts (Cost: $0, $0, $3,464,131)   —    —    4,625,858 
Foreign cash due to custodian (Cost: $0, $0, $3,728,944)   —    —    3,754,965 
Unrealized depreciation on futures contracts   —    1,476,849    1,934,386 
Unrealized depreciation on forward foreign currency exchange contracts   —    191,941    2,843,898 
Payable for investments purchased   3,361,819    —    — 
Payable for Fund shares repurchased   919,221    24,460    59,234 
Investment advisory fees payable   737,572    30,975    180,046 
Distribution (12b-1) fees payable   58,253    10,213    22,047 
Payable to related parties   32,762    6,101    52,268 
Accrued expenses and other liabilities   3,430    49,421    12,940 
TOTAL LIABILITIES   5,113,057    1,789,960    13,485,642 
NET ASSETS  $657,779,728   $52,594,997   $122,968,220 
                
Composition of Net Assets:               
Paid in capital  $651,267,257   $53,412,253   $121,990,657 
Accumulated undistributed net investment loss   (298,245)   (2,298,102)   (5,358,690)
Accumulated net realized gain from investments, futures, forward foreign exchange contracts and swaps   3,827,099    91,390    4,723,552 
Net unrealized appreciation/(depreciation) of investments, futures, forward foreign exchange contracts, and swaps   2,983,617    1,389,456    1,612,701 
NET ASSETS  $657,779,728   $52,594,997   $122,968,220 

 

See accompanying notes to consolidated financial statements.

66

 

Altegris Funds
CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)(Continued)
December 31, 2017

 

   Altegris Futures Evolution   Altegris GSA Trend   Altegris Managed Futures 
   Strategy Fund   Strategy Fund   Strategy Fund 
Net Asset Value Per Share:               
Class A Shares:               
Net Assets  $53,563,755   $10   $64,691,769 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   5,193,496    1    7,610,043 
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share (a)(b)  $10.31   $9.69 (e)  $8.50 
Maximum offering price per share (net asset value plus maximum sales charge of 5.75%) (c)  $10.94   $10.28   $9.02 
                
Class C Shares:               
Net Assets  $28,765,694   $—   $10,042,642 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   2,810,604    —    1,230,630 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)(d)  $10.23   $—   $8.16 
                
Class I Shares:               
Net Assets  $474,718,895   $4,019,277   $47,125,978 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   46,101,266    413,582    5,464,440 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)  $10.30   $9.72   $8.62 
                
Class N Shares:               
Net Assets  $100,731,384   $48,575,710   $— 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   9,771,215    5,011,627    — 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)  $10.31   $9.69   $— 
                
Class O Shares:               
Net Assets  $—   $—   $1,107,831 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   —    —    130,316 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)  $—   $—   $8.50 

 

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

 

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

 

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

 

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

 

(e)NAV may not recalculate due to rounding.

 

See accompanying notes to consolidated financial statements.

67

 

Altegris Funds
CONSOLIDATED STATEMENTS OF OPERATIONS (Unaudited)
December 31, 2017

 

   Altegris Futures Evolution   Altegris GSA Trend   Altegris Managed Futures 
   Strategy Fund   Strategy Fund   Strategy Fund 
INVESTMENT INCOME               
Dividends  $8,078   $—   $179,896 
Interest (net of foreign withholding tax of $31,043, $0, and $0, respectively)   8,460,082    126,243    636,709 
TOTAL INVESTMENT INCOME   8,468,160    126,243    816,605 
                
EXPENSES               
Advisory fees   4,419,057    356,233    1,349,545 
Distribution (12b-1) fees:               
Class A   68,160    —    86,114 
Class C   148,271    —    52,360 
Class N   117,633    56,441    — 
Class O   —    —    1,590 
Administrative services fees   250,380    7,748    76,101 
Non 12b-1 shareholder servicing fees   249,296    4,035    41,788 
Transfer agent fees   95,851    22,879    25,213 
Registration fees   54,808    40,303    31,089 
Printing and postage expenses   47,890    8,070    18,148 
Custodian fees   78,430    9,684    25,953 
Audit fees   66,719    66,199    15,879 
Accounting services fees   26,627    9,684    15,206 
Compliance officer fees   14,856    8,070    12,887 
Legal fees   12,602    18,207    21,173 
Insurance expense   8,067    1,614    3,428 
Trustees fees and expenses   7,566    6,457    7,566 
Other expenses   4,789    4,035    2,269 
TOTAL EXPENSES   5,671,002    619,659    1,786,309 
Less: Fees waived by the Advisor   (358,023)   (128,458)   (164,817)
NET EXPENSES   5,312,979    491,201    1,621,492 
                
NET INVESTMENT INCOME/(LOSS)   3,155,181    (364,958)   (804,887)
                
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS               
Net realized gain/(loss) from:               
Forward exchange contracts and translations   —    (333,936)   (1,976,726)
Futures contracts   —    2,458,282    6,769,119 
Investments   48,675,354    (393)   377,606 
Swaps   (5,959,790)   —    — 
Broker commissions   —    (48,814)   (514,072)
Net Realized Gain/(Loss)   42,715,564    2,075,139    4,655,927 
                
Net change in unrealized appreciation/(depreciation) on:               
Foreign currency translations   —    53,271    8,731 
Forward foreign currency exchange contracts   —    937,851    1,474,946 
Futures contracts   —    1,640,832    5,236,444 
Investments   5,466,464    —    24,003 
Swaps   9,129,230    —    — 
Net Change in Unrealized Appreciation/(Depreciation)   14,595,694    2,631,954    6,744,124 
                
NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS   57,311,258    4,707,093    11,400,051 
                
NET INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $60,466,439   $4,342,135   $10,595,164 

 

See accompanying notes to consolidated financial statements.

68

 

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, 2017   June 30, 
   (Unaudited)   2017 
         
INCREASE IN NET ASSETS FROM OPERATIONS          
Net investment income  $3,155,181   $7,869,844 
Net realized gain/(loss) on investments and swaps   42,715,564    (26,840,154)
Net change in unrealized appreciation/(depreciation) on investments and swaps   14,595,694    (27,115,347)
Net increase/(decrease) in net assets resulting from operations   60,466,439    (46,085,657)
           
DISTRIBUTIONS TO SHAREHOLDERS          
From net investment income:          
Class A   (296,532)   (5,409,779)
Class C   (67,816)   (2,236,985)
Class I   (519,364)   (27,780,472)
Class N   (2,739,497)   (7,212,110)
Total distributions to shareholders   (3,623,209)   (42,639,346)
           
SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class A   8,844,149    26,900,367 
Class C   2,013,164    10,308,927 
Class I   136,753,061    255,064,962 
Class N   19,570,233    64,440,137 
Net asset value of shares issued in reinvestment of distributions:          
Class A   281,014    5,163,647 
Class C   65,082    2,140,877 
Class I   2,335,480    24,040,584 
Class N   397,636    5,071,540 
Redemption fee proceeds:          
Class A   1,610    1,274 
Class C   183    299 
Class I   5,514    33,408 
Class N   1,730    3,725 
Payments for shares redeemed:          
Class A   (20,003,857)   (60,856,378)
Class C   (7,350,935)   (9,780,129)
Class I   (83,473,145)   (196,474,989)
Class N   (18,359,789)   (62,581,741)
Net increase from shares of beneficial interest transactions   41,081,130    63,476,510 
           
NET INCREASE/(DECREASE) IN NET ASSETS   97,924,360    (25,248,493)
           
NET ASSETS          
Beginning of Period   559,855,368    585,103,861 
End of Period *  $657,779,728   $559,855,368 
* Includes accumulated net investment income/(loss) of:  $(298,245)  $169,783 

 

See accompanying notes to consolidated financial statements.

69

 

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, 2017   June 30, 
   (Unaudited)   2017 
SHARE ACTIVITY          
Class A:          
Shares Sold   888,055    2,677,515 
Shares Reinvested   28,915    526,196 
Shares Redeemed   (2,063,738)   (6,096,873)
Net decrease in shares of beneficial interest outstanding   (1,146,768)   (2,893,162)
           
Class C:          
Shares Sold   206,667    994,701 
Shares Reinvested   6,815    220,519 
Shares Redeemed   (763,303)   (993,320)
Net increase/(decrease) in shares of beneficial interest outstanding   (549,821)   221,900 
           
Class I:          
Shares Sold   13,975,592    25,304,267 
Shares Reinvested   240,019    2,459,433 
Shares Redeemed   (8,639,660)   (19,884,279)
Net increase in shares of beneficial interest outstanding   5,575,951    7,879,421 
           
Class N:          
Shares Sold   2,014,201    6,403,428 
Shares Reinvested   40,889    518,659 
Shares Redeemed   (1,896,670)   (6,334,238)
Net increase in shares of beneficial interest outstanding   158,420    587,849 

 

See accompanying notes to consolidated financial statements.

70

 

Altegris Funds
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

 

   Altegris GSA Trend Strategy Fund 
   For the Six Months Ended   For the Period Ended 
   December 31, 2017   June 30, 
   (Unaudited)   2017^ 
         
INCREASE IN NET ASSETS FROM OPERATIONS          
Net investment loss  $(364,958)  $(208,703)
Net realized gain/(loss) on futures and foreign exchange contracts   2,075,139    (3,714,023)
Net change in unrealized appreciation/(depreciation) on futures and foreign exchange contracts   2,631,954    (1,242,498)
Net decrease in net assets resulting from operations   4,342,135    (5,165,224)
           
SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class A   —    10 
Class I   705,627    14,748,153 
Class N   11,465,708    49,583,561 
Redemption fee proceeds:          
Class I   14    176 
Class N   66    39 
Payments for shares redeemed:          
Class I   (6,400,978)   (4,750,719)
Class N   (6,681,427)   (5,252,144)
Net increase/(decrease) from shares of beneficial interest transactions   (910,990)   54,329,076 
           
NET INCREASE IN NET ASSETS   3,431,145    49,163,852 
           
NET ASSETS          
Beginning of Period   49,163,852    — 
End of Period *  $52,594,997   $49,163,852 
*Includes accumulated net investment loss of:  $(2,298,102)  $(1,933,144)
           
SHARE ACTIVITY          
Class A:          
Shares Sold   —    1 
Net increase in shares of beneficial interest outstanding   —    1 
           
Class I:          
Shares Sold   76,101    1,503,161 
Shares Redeemed   (667,755)   (497,925)
Net increase/(decrease) in shares of beneficial interest outstanding   (591,654)   1,005,236 
           
Class N:          
Shares Sold   1,235,537    5,059,597 
Shares Reinvested   —    — 
Shares Redeemed   (725,683)   (557,824)
Net increase in shares of beneficial interest outstanding   509,854    4,501,773 

 

^Altegris GSA Trend Strategy Fund commenced operations on March 17, 2017.

 

See accompanying notes to consolidated financial statements.

71

 

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, 2017   June 30, 
   (Unaudited)   2017 
         
DECREASE IN NET ASSETS FROM OPERATIONS          
Net investment loss  $(804,887)  $(2,740,125)
Net realized gain/(loss) on investments, futures, forward foreign exchange contracts and swaps   4,655,927    (3,409,132)
Net change in unrealized appreciation/(depreciation) on investments, futures, forward foreign exchange contracts and swaps   6,744,124    (14,221,524)
Net increase/(decrease) in net assets resulting from operations   10,595,164    (20,370,781)
           
DISTRIBUTIONS TO SHAREHOLDERS          
From net investment income:          
Class A   —    (6,828,773)
Class C   —    (1,145,475)
Class I   —    (5,844,672)
Class O   —    (104,482)
Total distributions to shareholders   —    (13,923,402)
           
SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class A   5,659,899    39,404,740 
Class C   864,374    2,932,890 
Class I   10,484,840    108,807,638 
Class O   689,659    665,734 
Net asset value of shares issued in reinvestment of distributions:          
Class A   —    2,891,362 
Class C   —    950,673 
Class I   —    3,631,334 
Class O   —    100,077 
Redemption fee proceeds:          
Class A   7    418 
Class C   —    880 
Class I   9    1,065 
Class O   —    1,123 
Payments for shares redeemed:          
Class A   (19,782,225)   (57,435,033)
Class C   (2,161,371)   (10,727,294)
Class I   (67,365,790)   (105,740,960)
Class O   (756,625)   (1,112,409)
Net decrease from shares of beneficial interest transactions   (72,367,223)   (15,627,762)
           
NET DECREASE IN NET ASSETS   (61,772,059)   (49,921,945)
           
NET ASSETS          
Beginning of Period   184,740,279    234,662,224 
End of Period *  $122,968,220   $184,740,279 
* Includes accumulated net investment loss of:  $(5,358,690)  $(4,553,803)

 

See accompanying notes to consolidated financial statements.

72

 

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, 2017   June 30, 
   (Unaudited)   2017 
SHARE ACTIVITY          
Class A:          
Shares Sold   685,281    4,502,776 
Shares Reinvested   —    341,365 
Shares Redeemed   (2,400,630)   (6,592,970)
Net decrease in shares of beneficial interest outstanding   (1,715,349)   (1,748,829)
           
Class C:          
Shares Sold   108,292    343,670 
Shares Reinvested   —    115,936 
Shares Redeemed   (271,221)   (1,285,145)
Net decrease in shares of beneficial interest outstanding   (162,929)   (825,539)
           
Class I:          
Shares Sold   1,246,874    12,516,497 
Shares Reinvested   —    423,232 
Shares Redeemed   (7,894,659)   (11,839,394)
Net increase/(decrease) in shares of beneficial interest outstanding   (6,647,785)   1,100,335 
           
Class O:          
Shares Sold   83,323    74,305 
Shares Reinvested   —    11,815 
Shares Redeemed   (90,746)   (126,046)
Net decrease in shares of beneficial interest outstanding   (7,423)   (39,926)

 

See accompanying notes to consolidated financial statements.

73

 

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 (1) 
   Six Months Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   December 31, 2017   June 30,   June 30,   June 30,   September 30,   September 30, 
   (Unaudited)   2017   2016   2015 *   2014   2013 
                         
Net asset value, beginning of period  $9.37   $10.84   $10.68   $10.73   $9.25   $9.85 
                               
Income/(loss) from investment operations:                              
Net investment income/(loss) (2)   0.04    0.12    0.15    0.11    0.10    (0.01)
Net realized and unrealized gain/(loss) on investments   0.94    (0.90)   0.82    1.06    1.53    (0.55)
Total from investment operations   0.99    (0.78)   0.97    1.17    1.63    (0.56)
                               
Less distributions from:                              
Net investment income   (0.05)   (0.69)   (0.81)   (1.22)   (0.15)   (0.02)
Net realized gains   —    —    —    —    —    (0.02)
Total distributions   (0.05)   (0.69)   (0.81)   (1.22)   (0.15)   (0.04)
                               
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00 
                               
Net asset value, end of period  $10.31   $9.37   $10.84   $10.68   $10.73   $9.25 
                               
Total return (4)   10.64% (5)   (7.36)%   9.63%   11.02% (5)   (17.79)%   (5.68)% (6)
                               
Net assets, at end of period (000s)  $53,564   $59,411   $100,131   $59,517   $30,795   $73,686 
                               
Ratios including the expenses and income of AFES Fund Limited:                              
Ratio of gross expenses to average net assets (7,9)   2.06% (8)   1.99%   1.97%   1.98% (8)   2.08%   2.45%
Ratio of net expenses to average net assets (10)   1.94% (8)   1.94%   1.94%   1.94% (8)   1.94%   2.38%
Ratio of net investment income to average net assets (11)   0.91% (8)   1.14%   1.36%   1.27% (8)   1.04%   (0.08)%
                               
Portfolio Turnover Rate   20% (5)   77%   59%   68% (5)   97%   82%

 

 
*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)   2.06% (8)   1.99%   1.97%   1.98% (8)   2.08%   2.29%
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited   1.94% (8)   1.94%   1.94%   1.94% (8)   1.94%   2.23%
                                 
(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited   0.88% (8)   1.13%   1.32%   1.26% (8)   1.04%   0.06%

 

See accompanying notes to consolidated financial statements.

74

 

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 (1) 
   Six Months Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   December 31, 2017   June 30,   June 30,   June 30,   September 30,   September 30, 
   (Unaudited)   2017   2016   2015 *   2014   2013 
                         
Net asset value, beginning of period  $9.31   $10.78   $10.57   $10.63   $9.18   $9.83 
                               
Income/(loss) from investment operations:                              
Net investment income/(loss) (2)   0.01    0.04    0.07    0.04    0.03    (0.08)
Net realized and unrealized gain/(loss) on investments   0.93    (0.88)   0.83    1.07    1.50    (0.55)
Total from investment operations   0.94    (0.84)   0.90    1.11    1.53    (0.63)
                               
Less distributions from:                              
Net investment income   (0.02)   (0.63)   (0.69)   (1.17)   (0.08)   (0.00) (3)
Net realized gains   —    —    —    —    —    (0.02)
Total distributions   (0.02)   (0.63)   (0.69)   (1.17)   (0.08)   (0.02)
                               
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00 
                               
Net asset value, end of period  $10.23   $9.31   $10.78   $10.57   $10.63   $9.18 
                               
Total return (4)   10.24% (5)   (8.02)%   8.93%   10.46% (5)   (16.82)%   (6.42)% (6)
                               
Net assets, at end of period (000s)  $28,766   $31,270   $33,831   $20,459   $7,274   $6,932 
                               
Ratios including the expenses and income of AFES Fund Limited:                              
Ratio of gross expenses to average net assets (7,9)   2.81% (8)   2.74%   2.72%   2.73% (8)   2.83%   3.20%
Ratio of net expenses to average net assets (10)   2.69% (8)   2.69%   2.69%   2.69% (8)   2.69%   3.13%
Ratio of net investment income to average net assets (11)   0.16% (8)   0.40%   0.62%   0.52% (8)   (0.29)%   (0.83)%
                               
Portfolio Turnover Rate   20% (5)   77%   59%   68% (5)   97%   82%

 

 
*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)   2.81% (8)   2.74%   2.72%   2.73% (8)   2.83%   3.04%
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited   2.69% (8)   2.69%   2.69%   2.69% (8)   2.69%   2.98%
                                 
(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited   0.13% (8)   0.39%   0.58%   0.52% (8)   (0.29)%   (0.69)%

 

See accompanying notes to consolidated financial statements.

75

 

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 (1) 
   Six Months Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   December 31, 2017   June 30,   June 30,   June 30,   September 30,   September 30, 
   (Unaudited)   2017   2016   2015 *   2014   2013 
                         
Net asset value, beginning of period  $9.36   $10.82   $10.70   $10.75   $9.27   $9.86 
                               
Income/(loss) from investment operations:                              
Net investment income/(loss) (2)   0.06    0.14    0.17    0.13    0.13    0.02 
Net realized and unrealized gain/(loss) on investments   0.95    (0.88)   0.83    1.06    1.53    (0.55)
Total from investment operations   1.01    (0.74)   1.00    1.19    1.66    (0.53)
                               
Less distributions from:                              
Net investment income   (0.07)   (0.72)   (0.88)   (1.24)   (0.18)   (0.04)
Net realized gains   —    —    —    —    —    (0.02)
Total distributions   (0.07)   (0.72)   (0.88)   (1.24)   (0.18)   (0.06)
                               
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00 
                               
Net asset value, end of period  $10.30   $9.36   $10.82   $10.70   $10.75   $9.27 
                               
Total return (4)   10.78% (5)   (7.05)%   9.94%   11.20% (5)   (18.07)% (6)   (5.44)% (6)
                               
Net assets, at end of period (000s)  $474,719   $379,132   $353,331   $344,564   $201,388   $162,008 
                               
Ratios including the expenses and income of AFES Fund Limited:                              
Ratio of gross expenses to average net assets (7,9)   1.81% (8)   1.74%   1.72%   1.74% (8)   1.83%   2.20%
Ratio of net expenses to average net assets (10)   1.69% (8)   1.69%   1.69%   1.69% (8)   1.69%   2.13%
Ratio of net investment income to average net assets (11)   1.18% (8)   1.41%   1.57%   1.51% (8)   1.29%   (0.17)%
                               
Portfolio Turnover Rate   20% (5)   77%   59%   68% (5)   97%   82%

 

 
*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)   1.81% (8)   1.74%   1.72%   1.74% (8)   1.83%   2.04%
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited   1.69% (8)   1.69%   1.69%   1.69% (8)   1.69%   1.98%
                                 
(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited   1.15% (8)   1.40%   1.53%   1.50% (8)   1.29%   0.31%

 

See accompanying notes to consolidated financial statements.

76

 

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 (1) 
   Six Months Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   December 31, 2017   June 30,   June 30,   June 30,   September 30,   September 30, 
   (Unaudited)   2017   2016   2015 *   2014   2013 
                         
Net asset value, beginning of period  $9.37   $10.84   $10.67   $10.72   $9.25   $9.84 
                               
Income/(loss) from investment operations:                              
Net investment income/(loss) (2)   0.05    0.12    0.14    0.11    0.10    (0.01)
Net realized and unrealized gain/(loss) on investments   0.94    (0.90)   0.83    1.06    1.52    (0.54)
Total from investment operations   0.99    (0.78)   0.97    1.17    1.62    (0.55)
                               
Less distributions from:                              
Net investment income   (0.05)   (0.69)   (0.80)   (1.22)   (0.15)   (0.02)
Net realized gains   —    —    —    —    —    (0.02)
Total distributions   (0.05)   (0.69)   (0.80)   (1.22)   (0.15)   (0.04)
                               
Redemption fees collected (3)   0.00    0.00    0.00    0.00    0.00    0.00 
                               
Net asset value, end of period  $10.31   $9.37   $10.84   $10.67   $10.72   $9.25 
                               
Total return (4)   10.64% (5)   (7.35)%   9.71%   11.04% (5)   (17.69)%   (5.58)% (6)
                               
Net assets, at end of period (000s)  $100,731   $90,042   $97,811   $67,179   $43,434   $56,717 
                               
Ratios including the expenses and income of AFES Fund Limited:                              
Ratio of gross expenses to average net assets (7,9)   2.06% (8)   1.99%   1.97%   1.99% (8)   2.08%   2.45%
Ratio of net expenses to average net assets (10)   1.94% (8)   1.94%   1.94%   1.94% (8)   1.94%   2.38%
Ratio of net investment income to average net assets (11)   0.92% (8)   1.15%   1.33%   1.27% (8)   (1.04)%   (0.08)%
                               
Portfolio Turnover Rate   20% (5)   77%   59%   68% (5)   97%   82%

 

 
*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)   2.06% (8)   1.99%   1.97%   1.99% (8)   2.08%   2.29%
                                 
(10) Ratio of net expenses to average net assets excluding the expenses and income of AFES Fund Limited   1.94% (8)   1.94%   1.94%   1.94% (8)   1.94%   2.23%
                                 
(11) Ratio of net investment income/(loss) to average net assets excluding the expenses and income of AFES Fund Limited   0.89% (8)   1.13%   1.29%   1.26% (8)   1.04%   0.06%

 

See accompanying notes to consolidated financial statements.

77

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris GSA Trend Strategy Fund Class A 
   Six Months Ended   Period Ended 
   December 31, 2017   June 30, 
   (Unaudited)   2017 (1) 
         
Net asset value, beginning of period  $8.93   $10.00 
           
Income/(loss) from investment operations:          
Net investment loss (2)   (0.06)   (0.11)
Net realized and unrealized loss on investments   0.82    (0.96)
Total from investment operations   0.76    (1.07)
           
Net asset value, end of period  $9.69   $8.93 
           
Total return (3,4)   8.51%   (10.70)%
           
Net assets, at end of period  $10   $9 
           
Ratios including the expenses and income of AGSAT Fund Limited:          
Ratio of gross expenses to average net assets (5,6,7)   3.43%   1.85%
Ratio of net expenses to average net assets (6,8)   3.43%   1.85%
Ratio of net investment loss to average net assets (6,9)   (3.22)%   (1.85)%
           
Portfolio Turnover Rate (4)   0%   0%

 

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

 

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

 

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

 

(4)Not annualized.

 

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

 

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

 

(7) Ratio of gross expenses to average net assets excluding the expenses and income of AGSAT Fund Limited (5,6)   3.43%   1.85%
           
(8) Ratio of net expenses to average net assets excluding the expenses and income of AGSAT Fund Limited (6)   3.43%   1.85%
           
(9) Ratio of net investment loss to average net assets excluding the expenses and income of AGSAT Fund Limited (6)   (3.22)%   (1.85)%

 

See accompanying notes to consolidated financial statements.

78

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris GSA Trend Strategy Fund Class I 
   Six Months Ended   Period Ended 
   December 31, 2017   June 30, 
   (Unaudited)   2017 (1) 
         
Net asset value, beginning of period  $8.93   $10.00 
           
Income/(loss) from investment operations:          
Net investment loss (2)   (0.05)   (0.03)
Net realized and unrealized loss on investments   0.84    (1.04)
Total from investment operations   0.79    (1.07)
           
Net asset value, end of period  $9.72   $8.93 
           
Total return (4,5)   8.85%   (10.70)%
           
Net assets, at end of period (000s)  $4,019   $8,981 
           
Ratios including the expenses and income of AGSAT Fund Limited:          
Ratio of gross expenses to average net assets (6,7,8)   2.08%   2.34%
Ratio of net expenses to average net assets (7,9)   1.60%   1.60%
Ratio of net investment loss to average net assets (7,10)   (1.15)%   (1.23)
           
Portfolio Turnover Rate (5)   0%   0%

 

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

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

(8) Ratio of gross expenses to average net assets excluding the expenses and income of AGSAT Fund Limited: (6,7)   2.08%   2.34%
           
(9) Ratio of net expenses to average net assets excluding the expenses and income of AGSAT Fund Limited: (7)   1.60%   1.60%
           
(10) Ratio of net investment loss to average net assets excluding the expenses and income of AGSAT Fund Limited: (7)   (1.15)%   (1.27)%

 

See accompanying notes to consolidated financial statements.

79

 

Altegris Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS

 

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

 

   Altegris GSA Trend Strategy Fund Class N 
   Six Months Ended   Period Ended 
   December 31, 2017   June 30, 
   (Unaudited)   2017 (1) 
         
Net asset value, beginning of period  $8.93   $10.00 
           
Income/(loss) from investment operations:          
Net investment loss (2)   (0.06)   (0.04)
Net realized and unrealized loss on investments   0.82    (1.03)
Total from investment operations   0.76    (1.07)
           
Net asset value, end of period  $9.69   $8.93 
           
Total return (4,5)   8.51%   (10.70)%
           
Net assets, at end of period (000s)  $48,576   $40,183 
           
Ratios including the expenses and income of AGSAT Fund Limited:          
Ratio of gross expenses to average net assets (6,7,8)   2.32%   2.38%
Ratio of net expenses to average net assets (7,9)   1.85%   1.85%
Ratio of net investment loss to average net assets (7,10)   (1.38)%   (1.49)%
           
Portfolio Turnover Rate (5)   0%   0%

 

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

 

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

 

(3)Represents less than $0.01 per share.

 

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

 

(5)Not annualized.

 

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

 

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

 

(8) Ratio of gross expenses to average net assets excluding the expenses and income of AGSAT Fund Limited: (6,7)   2.32%   2.38%
           
(9) Ratio of net expenses to average net assets excluding the expenses and income of AGSAT Fund Limited: (7)   1.85%   1.85%
           
(10) Ratio of net investment loss to average net assets excluding the expenses and income of AGSAT Fund Limited: (7)   (1.38)%   (1.54)%

 

See accompanying notes to consolidated financial statements.

80

 

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, 2017   June 30,   June 30,   June 30,   June 30,   June 30, 
   (Unaudited)   2017   2016   2015   2014   2013 
                         
Net asset value, beginning of period  $7.99   $9.56   $9.51   $8.91   $8.98   $9.63 
                               
Income/(loss) from investment operations:                              
Net investment loss (1)   (0.04)   (0.12)   (0.16)   (0.17)   (0.16)   (0.22)
Net realized and unrealized gain/(loss) on investments   0.55    (0.80)   1.05    0.77    0.09    (0.43)
Total from investment operations   0.51    (0.92)   0.89    0.60    (0.07)   (0.65)
                               
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  $8.50   $7.99   $9.56   $9.51   $8.91   $8.98 
                               
Total return (3)   5.20%   8.96%   (9.91)%   (6.73)%   0.78%   6.75%
                               
Net assets, at end of period (000s)  $64,692   $74,542   $105,874   $88,326   $116,598   $275,579 
                               
Ratios including the expenses and income of AMFS Fund Limited:                              
Ratio of gross expenses to average net assets (4,5,6)   2.08%   2.04%   1.98%   1.99%   2.01%   2.48%
Ratio of net expenses to average net assets (5,7)   1.90%   1.90%   1.90%   1.90%   1.90%   2.42%
Ratio of net investment loss to average net assets (5,8)   (0.99)%   (1.41)%   (1.68)%   -(1.79)%   (1.79)%   (2.30)%
                               
Portfolio Turnover Rate   472%   472%   231%   179%   346%   277%

 

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

 

(2)Represents less than $0.01 per share.

 

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

 

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

 

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

 

(6) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (4,5)   2.08%   2.04%   1.98%   1.99%   2.01%   1.96%
                               
(7) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)   1.90%   1.90%   1.90%   (1.90)%   1.90%   1.90%
                               
(8) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited: (5)   (0.99)%   (1.46)%   (1.71)%   (1.79)%   (1.80)%   (1.79)%

 

See accompanying notes to consolidated financial statements.

81

 

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, 2017   June 30,   June 30,   June 30,   June 30,   June 30, 
   (Unaudited)   2017   2016   2015   2014   2013 
                         
Net asset value, beginning of period  $7.69   $9.23   $9.21   $8.70   $8.83   $9.54 
                               
Income/(loss) from investment operations:                              
Net investment loss (1)   (0.07)   (0.19)   (0.22)   (0.23)   (0.22)   (0.29)
Net realized and unrealized gain/(loss) on investments   0.54    (0.77)   1.10    0.74    0.09    (0.42)
Total from investment operations   0.47    (0.96)   0.88    0.51    (0.13)   (0.71)
                               
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  $8.16   $7.69   $9.23   $9.21   $8.70   $8.83 
                               
Total return (3)   4.75%   (9.63)%   9.08%   5.86%   (1.47)%   (7.44)%
                               
Net assets, at end of period (000s)  $10,043   $10,713   $20,483   $18,268   $18,457   $24,838 
                               
Ratios including the expenses and income of AMFS Fund Limited:                              
Ratio of gross expenses to average net assets (4,5,6)   2.84%   2.79%   2.73%   2.74%   2.76%   3.23%
Ratio of net expenses to average net assets (5,7)   2.65%   2.65%   2.65%   2.65%   2.65%   3.17%
Ratio of net investment loss to average net assets (5,8)   (1.74)%   (2.17)%   (2.43)%   (2.54)%   (2.54)%   (3.05)%
                               
Portfolio Turnover Rate   472%   472%   231%   179%   346%   277%

 

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

 

(2)Represents less than $0.01 per share.

 

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

 

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

 

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

 

(6) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (4,5)   2.84%   2.79%   2.73%   2.74%   2.76%   2.71%
                               
(7) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)   2.65%   2.65%   2.65%   2.65%   2.65%   2.65%
                               
(8) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited: (5)   2.74%   (2.23)%   (2.47)%   (2.54)%   (2.55)%   (2.54)%

 

See accompanying notes to consolidated financial statements.

82

 

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, 2017   June 30,   June 30,   June 30,   June 30,   June 30, 
   (Unaudited)   2017   2016   2015   2014   2013 
                         
Net asset value, beginning of period  $8.12   $9.68   $9.62   $8.99   $9.04   $9.67 
                               
Income (loss) from investment operations:                              
Net investment loss (1)   (0.03)   (0.10)   (0.14)   (0.15)   (0.14)   (0.20)
Net realized and unrealized gain/(loss) on investments   0.53    (0.78)   0.97    0.78    0.09    (0.43)
Total from investment operations   0.50    (0.88)   0.83    0.63    (0.05)   (0.63)
                               
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  $8.62   $8.12   $9.68   $9.62   $8.99   $9.04 
                               
Total return (3)   5.37%   (8.72)%   10.19%   (7.01)%   0.55%   6.51%
                               
Net assets, at end of period (000s)  $47,126   $98,384   $106,609   $110,681   $149,407   $530,964 
                               
Ratios including the expenses and income of AMFS Fund Limited:                              
Ratio of gross expenses to average net assets (4,5,6)   1.83%   1.79%   1.73%   1.74%   1.76%   2.23%
Ratio of net expenses to average net assets (5,7)   1.64%   1.65%   1.65%   1.65%   1.65%   2.17%
Ratio of net investment loss to average net assets (5,8)   (0.73)%   (1.15)%   (1.43)%   (1.54)%   (1.54)%   (2.05)%
                               
Portfolio Turnover Rate   472%   472%   231%   179%   346%   277%

 

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

 

(2)Represents less than $0.01 per share.

 

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

 

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

 

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

 

(6) Ratio of gross expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (4,5)   1.83%   1.79%   1.73%   1.74%   1.76%   1.71%
                               
(7) Ratio of net expenses to average net assets excluding the expenses and income of AMFS Fund Limited: (5)   1.64%   1.65%   1.65%   1.65%   1.65%   1.65%
                               
(8) Ratio of net investment loss to average net assets excluding the expenses and income of AMFS Fund Limited: (5)   (0.73)%   (1.21)%   (1.46)%   (1.54)%   (1.55)%   (1.54)%

 

See accompanying notes to consolidated financial statements.

83

 

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   Year Ended   Period Ended 
   December 31, 2017   June 30,   June 30,   June 30,   June 30,   June 30, 
   (Unaudited)   2017   2016   2015   2014   2013 (1) 
                               
Net asset value, beginning of period  $7.99   $9.55   $9.51   $8.91   $8.98   $9.52 
                               
Income/(loss) from investment operations:                              
Net investment loss (2)   (0.04)   (0.13)   (0.16)   (0.17)   (0.16)   (0.07)
Net realized and unrealized gain/(loss) on investments   0.55    (0.79)   1.05    0.77    0.09    (0.47)
Total from investment operations   0.51    (0.92)   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   0.00 (3)   0.01    0.00 (3)   0.00 (3)   0.00 (3)   — 
                               
Net asset value, end of period  $8.50   $7.99   $9.55   $9.51   $8.91   $8.98 
                               
Total return (4)   5.20%   (8.95)%   9.91%   (6.73)%   (0.78)%   (5.67)% (5)
                               
Net assets, at end of period (000s)  $1,108   $1,100   $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)   2.09%   2.04%   1.97%   1.97%   2.01%   2.48% (8)
Ratio of net expenses to average net assets (7,10)   1.90%   1.90%   1.90%   1.90%   1.90%   2.42% (8)
Ratio of net investment loss to average net assets (7,11)   (0.99)%   (1.41)%   (1.68)%   (1.80)%   (1.79)%   (2.30)% (8)
                               
Portfolio Turnover Rate   472%   472%   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)   2.09%   2.04%   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%   1.90%   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)   (0.99)%   (1.47)%   (1.72)%   (1.80)%   (1.80)%   (1.79)% (8)

 

See accompanying notes to consolidated financial statements.

84

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)
December 31, 2017

 

1.ORGANIZATION AND CONSOLIDATION OF SUBSIDIARY

 

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

 

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

 

The Altegris Futures Evolution Strategy Fund (the “Futures Evolution Strategy Fund”) offers Class A, Class C, Class I, and Class N shares. The Altegris GSA Trend Strategy Fund (the “GSA Trend Strategy Fund”) offers Class A, Class I, and Class N shares. The Altegris Managed Futures Strategy Fund (the “Managed Futures Strategy Fund”) offers Class A, Class C, Class I, and Class O shares. Class A shares are offered at net asset value (“NAV”) plus a maximum sales charge of 5.75%. Investors that purchase $1,000,000 or more of a Fund’s Class A shares will not pay any initial sales charge on the purchase. However, purchases of $1,000,000 or more of Class A shares may be subject to a contingent deferred sales charge (“CDSC”) on shares redeemed during the first 18 months after their purchase of up to 1.00% (the amount of the commissions paid on the shares redeemed). Class C, Class N, and Class O shares of the Funds are offered at their NAV without an initial sales charge. Purchases of $1,000,000 of more of Class C shares are subject to a CDSC of up to 1.00% on shares redeemed within 12 months of purchase. If you redeem Class C shares within one year after purchase, you will be charged a CDSC of up to 1.00%. The charge will apply to the lesser of the original cost of the Class C shares being redeemed or the proceeds of your redemption and will be calculated without regard to any redemption fee. When you redeem Class C shares, the redemption order is processed so that the lowest CDSC is charged. Class I shares of the Funds are sold at NAV without an initial sales charge and are not subject to 12b-1 distribution fees, but have a higher minimum initial investment than Class A and Class C shares. All classes are subject to a 1.00% redemption fee on redemptions made with 30 days of the original purchase. Each share class of each Fund represents an interest in the same assets of the Fund and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. 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 including FASB Accounting Standard Update ASU 2013-8. 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

85

 

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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

 

Security Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the primary exchange on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. 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.

  

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.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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

 

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

 

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

 

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

 

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

 

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

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2017 for each Fund’s assets and liabilities measured at fair value:

 

ALTEGRIS FUTURES EVOLUTION STRATEGY FUND

 

Assets *  Level 1   Level 2   Level 3   Total 
Common Stock  $369,215   $—   $—   $369,215 
Warrant   5    —    —    5 
Bonds and Notes   —    406,998,422    —    406,998,422 
Short-Term Investments   —    7,207,309    —    7,207,309 
Purchased Options   156,507,692    —    —    156,507,692 
Total  $156,876,912   $414,205,731   $—   $571,082,643 
                     
ALTEGRIS GSA TREND STRATEGY FUND 
                     
Assets  Level 1   Level 2   Level 3   Total 
Investments *                    
U.S. Treasury Bills  $—   $28,674,946   $—    28,674,946 
Derivatives                    
Futures Contracts   2,234,173    —    —    2,234,173 
Currency Contracts   —    776,969    —    776,969 
Total:  $2,234,173   $29,451,915   $—   $31,686,088 
                     
Liabilities                    
Derivatives                    
Futures Contracts  $1,476,849   $—   $—   $1,476,849 
Currency Contracts   —    191,941    —    191,941 
Derivative Total  $1,476,849   $191,941   $—   $1,668,790 

87

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

ALTEGRIS MANAGED FUTURES STRATEGY FUND 
                     
Assets *  Level 1   Level 2   Level 3   Total 
Investments                    
Exchange Traded Funds  $9,334,831   $—   $—   $9,334,831 
Exchange Traded Notes   73,872    —    —    73,872 
Certificates of Deposit   —    6,070,000    —    6,070,000 
Commercial Paper   —    12,450,411    —    12,450,411 
Discount Agency Notes   —    21,997,628    —    21,997,628 
Derivatives                    
Futures Contracts   2,867,258    —    —    2,867,258 
Currency Contracts   —    3,399,989    —    3,399,989 
Total:  $12,275,961   $43,918,028   $—   $56,193,989 
Liabilities *  Level 1   Level 2   Level 3   Total 
Derivatives                    
Futures  $1,934,386   $—   $—   $1,934,386 
Currency Contracts   —    2,843,898    —    2,843,898 
Total:  $1,934,386   $2,843,898   $—   $4,778,284 

 

*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, 2017.

 

Consolidation of Subsidiaries – The consolidated financial statements of Altegris Futures Evolution Strategy Fund with AFES Fund Limited (“AFES”), Altegris GSA Trend Strategy Fund with AGSAT Fund Limited (“AGSAT”) and Altegris Managed Futures Strategy Fund with AMFS Fund Limited (“AMFS”) include the accounts of AGSAT, 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.

 

AFES invests 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”)

 

Altegris Advisors, L.L.C. (the “Advisor”) fair values AFES 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 Advisor’s fair value NAV is back reviewed daily and reviewed by the Fund’s fair valuation committee on a regular basis. For financial reporting purposes, at December 31, 2017, 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.

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Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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, 2017    December 31, 2017  
AFES    10/31/2011    $ 0    0%  
                  
     Inception Date of    AGSAT Net Assets at    % of Fund Net Assets at  
     AGSAT    December 31, 2017    December 31, 2017  
AGSAT    3/17/2017    $ 5,377,343    10.2%  
                  
     Inception Date of    AMFS Net Assets at    % of Fund Net Assets at  
     AMFS    December 31, 2017    December 31, 2017  
AMFS    09/11/10    $ 6,866,732    5.6%  

 

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

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Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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 (2014-2016) or expected to be taken in each Fund’s 2017 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, AGSAT, and AMFS are exempted Cayman investment companies. AFES, AGSAT, and AMFS have received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, AFES, AGSAT, and AMFS are CFCs and as such are not subject to U.S. income tax.

 

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

 

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

 

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.

 

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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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

 

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

 

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, 2017, 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 
Altegris Futures Evolution Strategy Fund  $155,362,664   $98,116,735 
Altegris GSA Trend Strategy Fund   —    — 
Altegris Managed Futures Strategy Fund   40,228,068    43,177,907 

 

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

 

Market Risk: The risk that changes in interest rates, foreign exchange rates or equity prices will affect the positions held by the Funds. The Funds are exposed to market risk on financial instruments that are valued at market prices as disclosed in the schedule of investments. The prices of derivative instruments, including options, forwards and futures prices, can be highly volatile. Price movements of derivative contracts in which a Fund’s assets may be invested are influenced by, among other

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Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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 Altegris Futures Evolution Strategy Fund invests 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, 2017:

 

Location on the Statement of Assets and Liabilities
Derivative Investment Type  Asset Derivatives
Futures Contracts  Unrealized appreciation/(depreciation) on futures contracts
    
Forward Foreign Currency Exchange Contracts  Unrealized appreciation/(depreciation) on forward foreign currency exchange contracts
Derivative Investment Type  Liability Derivatives
Total Return Swaps  Unrealized appreciation/(depreciation) on swap contracts
    
Futures Contracts  Unrealized appreciation/(depreciation) on futures contracts
    
Forward Foreign Currency Exchange  Contracts  Unrealized appreciation/(depreciation) on forward foreign currency exchange contracts

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Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of December 31, 2017:

 

Altegris GSA Trend Strategy Fund 
                     
   Equity Risk   Interest Rate Risk   Currency Risk   Commodity Risk   Total 
Forward Foreign                         
Exchange Contracts  $—   $—   $585,028   $—   $585,028 
Futures Contracts   184,553    (372,506)   105,633    839,644    757,324 
   $184,553   $(372,506)  $690,661   $839,644   $1,342,352 
                          
   Altegris Managed Futures Strategy Fund
                     
   Equity Risk   Interest Rate Risk   Currency Risk   Commodity Risk   Total 
Futures Contracts  $333,437   $(542,904)  $76,441   $1,065,898   $932,872 
Forward Foreign                         
Exchange Contracts   —    —    556,091    —    556,091 
   $333,437   $(542,904)  $632,532   $1,065,898   $1,488,963 

 

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, 2017:

 

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 periods ended December 31, 2017:

 

ALTEGRIS FUTURES EVOLUTION STRATEGY FUND

 

          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  $(5,959,790)     
Equity Risk  Net change in unrealized depreciation on swap contract       $9,129,230 
Total     $(5,959,790)  $9,129,230 

93

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

ALTEGRIS GSA TREND STRATEGY FUND 
  
          Change in 
      Realized   Unrealized 
Contract Type/  Location of Gain/(Loss) On  Gain/(Loss)   Appreciation 
Primary Risk Exposure  Derivatives  Derivatives   on Derivatives 
Commodity Risk  Net realized loss on future contract  $(407,265)     
Currency Risk  Net realized loss on future contract  $(177,423)     
   Net realized loss on foreign currency  $(333,936)     
Equity Risk  Net realized gain on future contract  $3,487,811      
Interest Rate Risk  Net realized loss on future contract  $(444,841)     
Commodity Risk  Net change in unrealized appreciation/(depreciation) on future contracts       $1,171,326 
Currency Risk  Net change in unrealized appreciation/(depreciation) on future contracts       $170,267 
   Net change in unrealized appreciation/(depreciation) on forward foreign exchange contracts       $937,851 
Equity Risk  Net change in unrealized appreciation/(depreciation) on future contracts       $205,662 
Interest Rate Risk  Net change in unrealized appreciation/(depreciation) on future contracts       $93,577 
Total     $2,124,346   $2,578,683 

 

   ALTEGRIS MANAGED FUTURES STRATEGY FUND        
            
          Change in 
          Unrealized 
          Appreciation/ 
Contract Type/  Location of Gain/Loss On  Realized Loss   Depreciation 
Primary Risk Exposure  Derivatives  Derivatives   on Derivatives 
Currency Risk  Net realized loss on foreign currency  $(1,976,726)     
Commodity Risk  Net realized loss on futures contracts  $(1,283,071)     
Currency Risk  Net realized loss on futures contracts  $(25,902)     
Equity Risk  Net realized gain on futures contracts  $9,483,757      
Interest Risk  Net realized loss on futures contracts  $(1,405,665)     
Commodity Risk  Net change in unrealized appreciation/(depreciation) on futures contracts       $1,717,437 
Currency Risk  Net change in unrealized appreciation/(depreciation) on futures contracts       $327,551 
   Net change in unrealized appreciation/(depreciation) on futures contracts       $1,474,946 
Equity Risk  Net change in unrealized appreciation/(depreciation) on futures contracts       $568,934 
Interest Risk  Net change in unrealized appreciation/(depreciation) on futures contracts       $2,622,522 
Total     $4,792,393   $6,711,390 

 

The notional value of the derivative instruments outstanding as of December 31, 2017 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.

94

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

Offsetting of Financial Assets and Derivative Assets

 

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

 

As of December 31, 2017, the Funds hold financial instruments and derivative instruments that are eligible for offset in the statement of assets and liabilities and are subject to a master netting arrangement. The master netting arrangement allows the counterparty or the Funds to net any collateral held on behalf of the Funds or the counterparty or liabilities or payment obligations of the counterparty or the Funds against any liabilities or payment obligations of the Funds or the counterparty to each other.

 

The Funds have not elected to offset assets and liabilities in the statement of assets and liabilities.

 

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

 

Altegris GSA Trend Strategy Fund

 

Assets                    
                     
               Gross Amounts Not     
               Offset in the     
               Consolidated     
               Statement of Assets     
               & Liabilities     
       Gross Amounts             
       Offset in the   Net Amounts of Assets         
   Gross Amounts   Consolidated   Presented in the         
   of Recognized   Statement of Assets   Consolidated Statement   Financial     
Description  Assets   & Liabilities   of Assets & Liabilities   Instruments   Net Amount 
Forward Contracts  $776,969        $776,969   $(191,941)  $585,028 
Futures Contracts   2,234,173         2,234,173    (1,476,849)  $757,324 
Total  $3,011,142   $—   $3,011,142   $(1,668,790)  $1,342,352 
                          
Liabilities                    
               Gross Amounts Not     
               Offset in the     
               Consolidated     
               Statement of Assets     
               & Liabilities     
       Gross Amounts   Net Amounts of         
       Offset in the   Liabilities Presented in         
   Gross Amounts   Consolidated   the Consolidated         
   of Recognized   Statement of Assets   Statement of Assets &   Financial     
Description  Liabilities   & Liabilities   Liabilities   Instruments   Net Amount 
Forward Contracts  $191,941        $191,941   $(191,941)  $— 
Futures Contracts   1,476,849         1,476,849    (1,476,849)  $— 
Total  $1,668,790   $—   $1,668,790   $(1,668,790)  $— 

95

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

Altegris Managed Futures Strategy Fund

 

Assets                    
               Gross Amounts Not Offset     
               in the Consolidated     
               Statement of Assets &     
               Liabilities     
       Gross Amounts   Net Amounts of         
       Offset in the   Liabilities Presented in         
   Gross Amounts   Consolidated   the Consolidated         
   of Recognized   Statement of Assets   Statement of Assets &         
Description  Liabilities   & Liabilities   Liabilities   Financial Instruments   Net Amount 
Forward Contracts  $3,399,989        $3,399,989   $(2,843,898)  $556,091 
Futures Contracts   2,867,258         2,867,258    (1,934,386)  $932,872 
Total  $6,267,247   $—   $6,267,247   $(4,778,284)  $1,488,963 
                          
Liabilities                    
               Gross Amounts Not Offset     
               in the Consolidated     
               Statement of Assets &     
               Liabilities     
       Gross Amounts   Net Amounts of         
       Offset in the   Liabilities Presented in         
   Gross Amounts   Consolidated   the Consolidated         
   of Recognized   Statement of Assets   Statement of Assets &         
Description  Liabilities   & Liabilities   Liabilities   Financial Instruments   Net Amount 
Forward Contracts  $2,843,898        $2,843,898   $(2,843,898)  $— 
Futures Contracts   1,934,386         1,934,386    (1,934,386)  $— 
Total  $4,778,284   $—   $4,778,284   $(4,778,284)  $— 

 

4.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Altegris Advisors, L.L.C., serves as the Funds’ investment advisor. The Advisor delegates managements of the Altegris 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 managements of the Altegris GSA Trend Strategy Fund’s portfolio to GSA Capital Partners LLP who serves as the Fund’s sub-advisor. The Advisor delegates management of the Altegris Managed Futures Strategy Fund to Crabel Capital Management, LLC, Centurion Investment Management, LLC, GSA Capital Partners LLP, J.P. Morgan Investment Management, Inc., Millburn Ridgefield Corporation, Phase Capital LP, QMS Capital Management LP and Three Rock Capital Management Limited who serve as the sub-advisors.

 

Pursuant to an advisory agreement with the Trust, on behalf of the Funds, the Advisor, under the oversight of the Board, directs the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Altegris Futures Evolution Strategy Fund and the Altegris Managed Futures Strategy Fund pay the Advisor a fee computed and accrued daily and paid monthly, based on each respective Fund’s average daily net assets computed at the following annual rates: 1.50% on the first $1 billion, 1.40% on net assets greater than $1 billion and less than or equal to $1.5 billion, 1.30% on net assets greater than $1.5 billion and less than or equal to $2 billion, 1.20% on net assets greater than $2 billion and less than or equal to $2.5 billion, 1.10% on net assets greater than $2.5 billion and less than or equal to $3 billion and 1.00% on net assets greater than $3 billion. The Altegris GSA Trend Strategy Fund pays the Advisor a fee computed and accrued daily and paid monthly, based on the Fund’s average daily net asset at an annual rate of 1.35%. 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, 2017, the Advisor earned the following in advisory fees:

 

ADVISORY FEES 
Altegris Futures Evolution Strategy Fund  $4,419,057 
Altegris GSA Trend Strategy Fund   356,233 
Altegris Managed Futures Strategy Fund   1,349,545 

96

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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, 2018, 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
Altegris Futures Evolution Strategy Fund  1.94%  2.69%  1.69%  1.94%
Altegris GSA Trend Strategy Fund  1.85%  N/A  1.60%  1.85%
Altegris Managed Futures Strategy Fund  1.90%  2.65%  1.65%  1.90%

 

During the six months ended December 31, 2017, the Advisor waived the following amounts:

 

WAIVED FEES 
Altegris Futures Evolution Strategy Fund  $358,023 
Altegris GSA Trend Strategy Fund   128,458 
Altegris Managed Futures Strategy Fund   164,817 

 

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:

 

ALTEGRIS FUTURES   ALTEGRIS GSA TREND   ALTEGRIS MANAGED 
EVOLUTION STRATEGY FUND   STRATEGY FUND   FUTURES STRATEGY FUND 
Sep-17  $386,313   Jun-20   81,339   Jun-17  $571,492 
Jun-18   158,179      $81,339   Jun-18   230,827 
Jun-19   143,860           Jun-19   174,316 
Jun-20   305,925           Jun-20   287,366 
   $994,277              $1,264,001 

 

On September 30, 2017, $386,313 of previously waived fees expired without recoupment by the Advisor for the Altegris Futures Evolution Strategy Fund.

97

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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, 2017, pursuant to the Plans, the Funds incurred the following:

 

    12b-1 Fees 
   Altegris Futures   Altegris GSA   Altegris Managed 
   Evolution Strategy   Trend Strategy   Futures Strategy 
   Fund   Fund   Fund 
Class A  $68,160   $—   $86,114 
Class C   148,271    N/A    52,360 
Class N   117,633    56,441    N/A 
Class O   N/A    N/A    1,590 

 

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ Class A, and Class C shares. During the period ended December 31, 2017, 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 
Altegris Futures Evolution Strategy Fund  $30,584   $19,585   $4,210   $95 
Altegris GSA Trend Strategy Fund   —    N/A    —    N/A 
Altegris Managed Futures Strategy Fund   147    7,422    20    150 
                     

The administration of FEL 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 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 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. 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.

98

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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, 2017, redemption fees for the Funds were as follows:

 

             
   Altegris Futures   Altegris GSA   Altegris Managed 
   Evolution Strategy   Trend Strategy   Futures Strategy 
   Fund   Fund   Fund 
Class A  $1,610   $—   $7 
Class C   183    N/A    — 
Class I   5,514    14    9 
Class N   1,730    66    N/A 
Class O   N/A    N/A    — 

 

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, 2017 
   Ordinary   Long-Term   Return of     
Fund  Income   Capital Gains   Capital   Total 
Altegris Futures Evolution Strategy Fund  $42,547,503   $—   $91,843   $42,639,346 
Altegris GSA Trend Strategy Fund   —    —    —    — 
Altegris Managed Futures Strategy Fund   13,922,986    —    416    13,923,402 
                     
   For the period ended June 30, 2016 
   Ordinary   Long-Term   Return of     
Fund  Income   Capital Gains   Capital   Total 
Altegris Futures Evolution Strategy Fund  $36,967,399   $—   $—   $36,967,399 
Altegris GSA Trend Strategy Fund   —    —    —    — 
Altegris Managed Futures Strategy Fund   —    —    —    — 

 

As of June 30, 2017, 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  $—   $—   $(9,385,377)  $(35,713,766)  $(2,487,884)  $(2,743,732)  $(50,330,759)
GSA Trend Strategy Fund   —    —    —    (1,538,644)   (3,072,124)   (548,623)   (5,159,391)
Managed Futures Strategy Fund   —    —    —    (538,014)   (5,667,617)   (3,411,970)   (9,617,601)

 

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 and the Funds’ wholly owned subsidiary.

99

 

Altegris Funds
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Unaudited)(Continued)
December 31, 2017

 

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  $2,487,884 
GSA Trend Strategy Fund   751,517 
Managed Futures Strategy Fund   98,379 

 

At June 30, 2017, 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
Altegris Futures Evolution Strategy Fund  $6,282,867   $3,102,510   $9,385,377   Non-expiring
Altegris GSA Trend Strategy Fund   —    —    —    
Altegris 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 foreign currency gains/(losses), paydowns, and defaulted bonds, resulted in reclassification for the year ended June 30, 2017 as follows:

             
   Paid   Undistributed   Undistributed 
   In   Ordinary   Net Realized 
Fund  Capital   Income (Loss)   Gains (Loss) 
Altegris Futures Evolution Strategy Fund  $(91,843)  $3,093,578   $(3,001,735)
Altegris GSA Trend Strategy Fund   (5,833)   (1,724,441)   1,730,274 
Altegris Managed Futures Strategy Fund   (1,663,495)   (1,813,043)   3,476,538 

 

7.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.

100

 

Altegris Funds
EXPENSE EXAMPLES (Unaudited)
December 31, 2017

 

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, 2017 and ending December 31, 2017.

 

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  7/1/2017  12/31/2017  7/1/17 – 12/31/17
Class A  1.94%  $1,000.00  $1,106.40  $10.30
Class C  2.69%  $1,000.00  $1,102.40  $14.25
Class I  1.69%  $1,000.00  $1,107.80  $8.98
Class N  1.94%  $1,000.00  $1,106.40  $10.30
             
Hypothetical  Annualized  Beginning  Ending Account  Expenses Paid During
(5% return before  Expense  Account Value  Value  Period *
expenses)  Ratio  7/1/2017  12/31/2017  7/1/17 – 12/31/17
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

101

 

Altegris Funds
EXPENSE EXAMPLES (Unaudited)(Continued)
December 31, 2017

 

Altegris GSA Trend Strategy Fund
             
   Annualized  Beginning  Ending Account  Expenses Paid During
Actual  Expense  Account Value  Value  Period *
Expenses  Ratio  7/1/2017  12/31/2017  7/1/17 – 12/31/17
Class A  1.85%  $1,000.00  $1,085.10  $9.72
Class I  1.60%  $1,000.00  $1,088.50  $8.42
Class N  1.85%  $1,000.00  $1,085.10  $9.72
             
Hypothetical  Annualized  Beginning  Ending Account  Expenses Paid During
(5% return before  Expense  Account Value  Value  Period *
expenses)  Ratio  7/1/2017  12/31/2017  7/1/17 – 12/31/17
Class A  1.85%  $1,000.00  $1,015.88  $9.40
Class I  1.60%  $1,000.00  $1,017.14  $8.13
Class N  1.85%  $1,000.00  $1,015.88  $9.40
             
Altegris Managed Futures Strategy Fund
             
   Annualized  Beginning  Ending Account  Expenses Paid During
Actual  Expense  Account Value  Value  Period *
Expenses  Ratio  7/1/2017  12/31/2017  7/1/17 – 12/31/17
Class A  1.90%  $1,000.00  $1,052.00  $9.83
Class C  2.65%  $1,000.00  $1,047.50  $13.68
Class I  1.65%  $1,000.00  $1,053.70  $8.54
Class O  1.90%  $1,000.00  $1,052.00  $9.83
             
Hypothetical  Annualized  Beginning  Ending Account  Expenses Paid During
(5% return before  Expense  Account Value  Value  Period *
expenses)  Ratio  7/1/2017  12/31/2017  7/1/17 – 12/31/17
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).

102

 

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

103

 

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.

104

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

This Page Intentionally Left Blank

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

105

 

PROXY VOTING POLICY

 

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

 

PORTFOLIO HOLDINGS

 

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

 

 

   
INVESTMENT ADVISOR ADMINISTRATOR
Altegris Advisors, L.L.C. Gemini Fund Services, LLC
1200 Prospect Street, Suite 400 80 Arkay Drive, Suite 110
La Jolla, CA 92037 Hauppauge, New York 11788
   
   
   
   
INVESTMENT SUB-ADVISORS
   
Doubleline Capital LP Crabel Capital Management, LLC
333 South Grand Ave. Suite 1800 200 Pequot Ave
Los Angeles, CA 90071 Southport, CT 06890
   
PhaseCapital LP Centurion Investment Management, LLC
200 Clarendon Street, 25th Floor 610 W Germantown Pike
Boston, MA 02116 Plymouth Meeting, PA 19462
   
J.P. Morgan Investment Management, Inc. Millburn Ridgefield Corporation
270 Park Avenue 411 West Putnam Avenue #305
New York, NY 10017 Greenwich, CT 06830
   
GSA Capital Partners, LLP QMS Capital Management LP
Stratton House 5 Stratton Street 240 Leigh Farm Rd #450
London W1J 8LA United Kingdom Durham, NC 27707
   
Three Rock Capital Management Limited  
149 Francis St, Merchants Quay  
Dublin 8, D08 K030, Ireland  

 

 

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/ Kevin E. Wolf

Kevin E. Wolf, President

 

Date 3/9/2018

 

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

 

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, President

 

Date 3/9/2018

 

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Treasurer

 

Date 3/9/2018