N-CSR/A 1 altegrisncsra.htm N-CSR/A

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

form n-csr

certified shareholder report of registered management
investment companies

(AMENDED N-CSR FILING TO CORRECT THE SEGREGATED CASH AT BROKER LINE ITEM ON THE STATEMENT OF ASSETS AN LIABILITIES)

Investment Company Act file number 811-21720

Northern Lights Fund Trust

(Exact name of registrant as specified in charter)

225 Pictoria Drive, Suite 450, Cincinnati, Ohio 45246

(Address of principal executive offices) (Zip code)

Richard 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: 631-470-2600

Date of fiscal year end: 6/30

Date of reporting period: 6/30/19

Item 1. Reports to Stockholders.

(COVER PAGE)

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Fund’s shareholder reports like this one will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website www.altegris.com and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you are a direct investor, by following the instructions included with paper Fund documents that have been mailed to you.

Letter to Shareholders

Annual Report

for Altegris Mutual Funds

Altegris Futures Evolution Strategy Fund

Altegris GSA Trend Strategy Fund

Altegris Managed Futures Strategy Fund

Dear Investor:

US and international equities both gained during the third quarter of 2018, with the S&P 500 rising to its highest levels since the beginning of February. Equities subsequently faced a challenge close to the end of the year. Markets sold off, first on hawkish comments from Jerome Powell, Chair of the US Federal Reserve and then again towards the end of the year on the back of potential for additional rate hikes in 2019. Equities then had a roaring start to 2019. The US Federal Reserve walked back hawkish comments it made at the end of 2018 regarding the continuation of interest rate rises, and both US and international markets reacted positively. In the second quarter of 2019, markets overall extended their positive performance from the first quarter but experienced intermittent bouts of volatility. The US Federal Reserve, facing weaker economic data and the continued overhang of unresolved trade tensions, hinted at the potential for rate cuts at some point later in the year, which buoyed US equity markets. International equity markets also saw secondary benefits from the Fed’s stance and the accommodative positions of other central banks from earlier in the quarter.

In fixed income, US Treasury yields rose in the third quarter of 2018 during a robust US economic backdrop. The yield curve also continued its gradual flattening trend, with the 10-year / 2-year spread finishing the third quarter at 24 basis points, down from 33 basis points at the end of last quarter. Through the end of 2018, the US Treasury yield curve continued its gradual flattening trend, with shorter maturity bills experiencing yield rises, and medium- and longer-maturity notes and bonds seeing falls in yield. The 2-year / 10-year spread finished 2018 at 21 basis points, down from 33 basis points at the end of June 2018. At the end of the first quarter in 2019, the 2-year / 10-year spread finished at 14 basis points, but the most notable news, however, was the “inversion” of the 3-month / 10-year spread, which dipped below 0 for a few days near March-end, before moving back into positive territory. Markets across asset classes briefly reacted negatively in recognition that inversions typically precede recessions. They quickly recovered however on the recognition that no other imminent or noteworthy information had been released to substantiate recession fears. In the second quarter of 2019, fixed income markets benefitted from central banks’ inferences of potential rate cuts, and government bond yields dropped across the world. Although yields from both 2 and 10-year US Treasuries fell, the 2-year / 10-year spread widened. Also notable was the 3-month /10-year spread, which once again inverted during the quarter and finishing the quarter at -10 basis points. Yields in select

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other developed government bond markets remained in negative territory. Notably, the yield on the 10-year German Bund stood at -33 basis points at quarter-end while JGB yields stood at-15 basis points at the 10-year maturity.

Commodities saw substantial volatility throughout the twelve months ended June 30, 2019. Overall, ongoing trade tensions combined with macroeconomic conditions drove the most noteworthy moves in these markets. Oil prices saw continued choppiness over the twelve months, with trade tensions production variations (especially in the Middle East) and economic concerns. Precious metals prices (gold, silver) continued their price slides for most of the twelve months and didn’t rise until June 2019. US-China trade war fears intermittently impacted markets, such as copper, soybean, corn, and lean hogs, that have the most exposure to these countries. Lastly, certain softs such as coffee and sugar dropped for most of the year after a devaluation of the Brazilian real and oversupply.

Lastly, in FX results were mixed for the year, with few currencies showing persistent trends throughout the quarter. The US dollar strengthened versus a basket of currencies, but not without significant volatility and reversals. The euro and Japanese yen experienced weakening during the period, driven in part by the European Central Bank’s and Bank of Japan’s continued dovish stance relative to the US Fed. Emerging market (EM) currencies faced bouts of substantial pressure; for example, the Indian rupee, Brazilian real and Mexican peso ended relatively flat during the period, but not after significant weakening at the end of 2018, and subsequent recovery during 2019.

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Altegris Futures Evolution Strategy Fund

12-Month Period Ending June 30, 2019

Fund Overview

The Altegris Futures Evolution Strategy Fund is an actively managed mutual fund that allocates to what we believe are two of the best trend-following managed futures managers, Winton Capital Management and ISAM, and offers an innovative, active approach to fixed income management via a fixed income industry leader, DoubleLine Capital LP (“DoubleLine”).

The Fund allocates its capital to investments providing exposure to the Winton Diversified Trading Program managed by Winton Capital Management (“Winton”), a London-based commodity trading advisor (“CTA”) with assets under advisement of $22.9B as of June 30, 2019, and the ISAM Systematic Program managed by ISAM, a New York and London-based CTA managing $3.26B in assets as of June 30, 2019. Both programs are trend following-managed futures strategies that utilize proprietary, quantitative trading systems to identify market trends and react to corresponding price movements in futures markets across all major asset classes.

Figure 1: Futures Exposure by Manager | As of June 30, 2019 (unaudited)

(PIE CHART)

Regarding its managed futures strategy, the Fund will invest up to 25% of its total assets in a wholly-owned subsidiary, which in turn invests the majority of its assets in a portfolio of investments. These include investments in a combination of (1) securities of one or more commodity futures trading companies (e.g., underlying pools), (2) swaps, notes or similar derivatives structured to provide exposure to and the returns of managed futures strategies, and (3) investments intended to serve as collateral for such derivative positions (collectively, “managed futures investments”). These investments are selected to provide aggregate exposure to the managed futures managers listed above as if between 100% and 125% of the Fund’s net assets were invested in those managers and their programs. The Fund also holds fixed income securities, cash, and cash equivalents, which are excluded from the chart above.

The fixed income portion of the Fund’s portfolio allocates to fixed income strategies – Core Fixed Income, Low Duration and Opportunistic Income – that are actively managed by the Fund’s sub-adviser, DoubleLine, a fixed income investment specialist based in Los Angeles with assets under management of over $140B as of June 30, 2019. Investments in fixed income securities actively

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managed by DoubleLine represented approximately 75% of Fund assets. Given the uncertain macro environment, we plan to maintain the current sub-strategy allocations over the near term as a cautionary stance. (Figure 2)

Figure 2: Fixed Income Sub-Strategy Allocation | As of June 30, 2019 (unaudited)

(PIE CHART)

The adviser expects less than 100%, typically 60%-80%, of the Fund’s total net assets will be allocated to fixed income strategies managed by the Fund’s sub-adviser, DoubleLine.

Fund Performance Summary

As seen in Figure 3 (below), for the 12 month period ending June 30^th, 2019, the Fund’s Class A (at NAV), Class C, Class I and Class N shares returned -0.63%, -1.32%, -0.34%, and -0.62% respectively, while the BofA Merrill Lynch 3 Month T-Bill Index, the SG Trend Index, and the S&P 500 TR Index returned 2.31%, 4.09%, and 10.42% respectively. The Fund’s net assets under management were approximately $542 million as of June 30, 2019.

Figure 3: Altegris Futures Evolution Strategy Fund Performance Review

July 1, 2018 – June 30, 2019

			Quarterly Returns
	1-Year	Since Inception*	Q2 2019	Q1 2019	Q4 2018	Q3 2018
Class A (NAV)	-0.63%	3.55%	1.36%	1.76%	-5.65%	2.12%
Class A (max load)**	-6.35%	2.75%	-4.44%	-4.05%	-11.08%	-3.76%
Class C (NAV)	-1.32%	2.72%	1.17%	1.64%	-5.90%	1.97%
Class I (NAV)	-0.34%	3.83%	1.55%	1.81%	-5.57%	2.08%
Class N (NAV)	-0.62%	3.55%	1.37%	1.87%	-5.75%	2.11%
BofA ML 3-Month T-Bill Index	2.31%	0.59%	0.63%	0.60%	0.56%	0.49%
SG Trend Index	4.09%	1.73%	4.42%	2.89%	-5.09%	2.09%
S&P 500 TR Index	10.42%	14.16%	4.30%	13.65%	-13.52%	7.71%

Inception date for Class A, Class I and Class N was October 31, 2011. Inception date for Class C was February 16, 2012.

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The maximum sales charge for Class A shares is 5.75%. Class A share investors may be eligible for a reduction in sales charges. See Prospectus for more information.

Performance for periods of less than one year is not annualized.

Per the prospectus dated October 29, 2018, the total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements, is 2.00% for Class A, 2.75% for Class C, 1.75% for Class I and 2.00% for Class N.

The Fund’s adviser has contractually agreed to reduce its fees and to reimburse expenses, at least until October 31, 2019, to ensure that total annual Fund operating expenses will not exceed 1.94%, 2.69%, 1.69% and 1.94% of average daily net assets attributable to Class A, Class C, Class I and Class N shares, respectively, subject to possible recoupment in future years. Results shown reflect the waiver, without which the results would have been lower. A Fund’s performance, especially for very short periods, should not be the sole factor in making your investment decisions. For performance information current to the most recent month-end, please call (888) 524-9441. The referenced indices and benchmarks are shown for general market comparisons and are not meant to represent any particular investment. The returns include reinvestment of income but do not reflect the impact of sales charges or other fees. An index is unmanaged and not available for direct investment. See the end of the letter for a complete description of each index and benchmark.

Drivers of Fund Performance

The Fund was down -0.63% for the period; long positions in energy and FX, and both long and short positions in livestock futures drove losses. Long exposure to both longer- and shorter-dated fixed income futures helped offset the losses.

Fixed income was the lone profitable asset class for the Fund over the trailing twelve months ended June 30, 2019. Within fixed income, longer-dated futures made the most substantial contributions, but shorter-dated contracts added to gains as well. Long positions in Euribor based contracts made the most significant contributions to Fund profits, but aggregate gains in Japanese, Australian, and various Eurozone (France, Germany, Italy) bond futures led to more gains in total from longer-dated contracts than shorter-dated contracts. Fixed income trading was profitable for the entire period, but the Fund made the biggest gains in the sector in the second quarter of 2019 as yields decreased across the globe due to a domino-effect of central bank guidance and interest rate decreases.

Long positions in natural gas, crude oil, and heating oil were the biggest detractors in the energy sector, and most of the losses came during the second half of the period. While short positions in the Euro offset some losses in FX, developed markets currencies proved challenging to trade during the period as four of the five largest detractors were from developed market FX. The British pound was the single biggest detractor during the period in FX trading. Trading in the Chinese yuan, South African rand, and Mexican peso also led to losses. Equities also proved to be a

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challenging sector to trade profitably. The most significant losses came from Asian indices, most notably from the Topix Index (Tokyo), MSCI Taiwan, and MSCI Singapore futures. The Fund experienced the most losses from the sector in the fourth quarter of 2018 as the Fund’s long positions were penalized as global equities sold off. A rebound in the subsequent first quarter of 2019 led to partial recoupment of losses in the sector, however more sideways price action for the remainder of the quarter led to losses overall in the sector.

Figure 4: Futures Performance Attribution by Sector | July 1, 2018 – June 30, 2019

(unaudited)

(BAR GRAPH)

Past performance is no guarantee of future results. The data is estimated and obtained from third parties, including managers, clearing firms, and exchanges. These sources are believed to be reliable, but their accuracy cannot, in all cases, be independently verified. As such, the data is subject to correction or change without notice and should not be relied upon to make an investment decision or recommendation.

Softs, or soft commodities, are commodities such as coffee, cocoa, sugar, and fruit. This term generally refers to commodities that are grown, rather than mined. Bonds are defined as having a maturity of two years or more at inception, and rates are defined as having a maturity of fewer than two years at inception.

Both Winton was down for the year ended June 30, 2019, and ISAM was mostly flat during the same time frame. Winton’s losses were driven by long exposures to energies, base metals, and livestock while gains in fixed income trading (both longer-dated and shorter-dated contracts) helped offset some of the losses.

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FX (long and shorts in the British pound, and longs in the Norwegian Krona and Mexican peso), stock index futures (TOPIX index, MSCI Singapore Index), and livestock futures (longs in live cattle contracts and short positions in lean hogs contracts) drove losses for ISAM. Gains from long positions in fixed income futures, precious metals futures and energy futures mostly offset these losses, however.

The active cash management strategy of the Fund also performed well for the period, adding to positive returns of the Fund with gains in all three DoubleLine strategies. The most substantial contributions came from MBS, corporate bonds, and emerging markets fixed income.

Figure 5: Performance Attribution by Manager | July 1, 2018 – June 30, 2019 (unaudited)

(BAR GRAPH)

Past performance is no guarantee of future results. The data is estimated and is subject to correction or change without notice and should not be relied upon to make an investment decision or recommendation.

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Altegris Managed Futures Strategy Fund

12-Month Period Ending June 30, 2019

Fund Overview

The Fund provides diversified managed futures exposure through allocations to a group of sub-advisors. Trend following managers have the potential to benefit most from clear, prolonged price trends of several months or more and make up approximately 70%-75% of the managed futures universe. The Fund intends to maintain exposure to this sub-strategy, typically ranging from 60% to 100%. The remainder of the Fund provides exposure to specialized and hybrid-trend strategies, a diverse subset comprising approximately 25%-30% of the managed futures universe. These managers may employ a wide variety of trading approaches, including discretionary macro, short-term systematic, and countertrend.

As a reminder, in May 2017, the Fund completed a significant transition to an allocation strategy that features direct relationships with sub-advisors and trading advisors to effectively lower the Fund’s overall expenses. Prior to the start of 2019, the Advisor reduced the allocations to Centurion and Phase Capital to zero and chose not to retain the managers. The choice to not retain Centurion was largely driven by the manager’s persistent underperformance. The choice to not retain Phase Capital was driven by underperformance and the Advisor’s belief that Phase’s core focus had turned away from the strategy in which the Advisor had invested. The total number of managers on the Fund’s roster has decreased from eight at the initial reorganization of the Fund in May 2017 to five currently. We are confident that this array of diverse strategies will more effectively combine to deliver on the Fund’s mandate.

Figure 1: Futures Exposure by Manager | As of June 30, 2019 (unaudited)

Manager	Program	Sub-Strategy	6/30/2019 Exposure	6/30/2018 Exposure
GSA Capital	Trend Strategy	Trend Following	26.4%	25.2%
Millburn	Core Markets	Trend Following	24.7%	18.6%
Three Rock Capital Management	Global Macro Program	Specialized	15.4%	14.9%
Crabel	Advanced Trend	Trend Following	18.7%	18.9%
Crabel	Gemini	Specialized	14.8%	9.8%
PhaseCapital	Dynamic Risk Allocation	Specialized	0.0%	10.1%
Centurion	2x Composite	Specialized	0.0%	2.5%

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Fund Performance Summary

As shown in Figure 2 (below), for the 12 month period ended June 30, 2019, the Fund’s Class A (at NAV), Class C, Class I and Class O shares returned 0.27%, -0.52%, 0.43%, and 0.27%, respectively, while the BofA Merrill Lynch 3 Month T-Bill Index, SG CTA Index, the MSCI World Index, returned 2.31%, 3.45%, and 6.33%, respectively. The Fund’s net assets under management were approximately $67 million as of June 30, 2019.

Figure 2: Altegris Managed Futures Strategy Fund Performance Review

July 1, 2018 – June 30, 2019

			Quarterly Returns
	1-Year	Since Inception *	Q2 2019	Q1 2019	Q4 2018	Q3 2018
Class A (NAV)	0.27%	-0.49%	2.05%	-0.89%	-3.50%	2.72%
Class A (max load)**	-5.47%	-1.16%	-3.87%	-6.59%	-9.08%	-3.15%
Class C (NAV)	-0.52%	-1.90%	1.87%	-1.06%	-3.67%	2.46%
Class I (NAV)	0.43%	-0.26%	2.02%	-0.75%	-3.52%	2.80%
Class O (NAV)	0.27%	0.04%	2.05%	-0.89%	-3.50%	2.72%
BofA ML 3-Month T-Bill Index	2.31%	0.53%	0.63%	0.60%	0.56%	0.49%
SG CTA Index	3.45%	1.24%	2.81%	1.88%	-2.46%	1.24%
MSCI World Index	6.33%	10.52%	4.00%	12.48%	-13.42%	4.98%

The inception date of Class A and Class I is 8/26/10; the inception date of Class C is 2/1/11; the inception date of Class O is 3/13/13. Past performance is not indicative of future results. Returns for periods longer than one year are annualized.

The maximum sales charge (load) for Class A is 5.75%. Class A share investors may be eligible for a reduction in sales charges. See Prospectus for more information.

Per the prospectus dated October 29, 2018, the total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements, is 2.18% for Class A, 2.92% for Class C, 1.89% for Class I and 2.18% for Class O.

The performance data quoted here represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The Fund’s adviser has contractually agreed to reduce its fees and reimburse expenses of the Fund until at least October 31, 2019, to ensure the total annual Fund operating expenses after fee waiver and reimbursement will not exceed 1.90%, 2.65%, 1.65%, and 1.90% of average daily net assets attributable to Class A, Class C, Class I, and Class O shares, respectively, subject to possible recoupment in future years. Results shown reflect the waiver, without which the results would have been lower. A Fund’s performance, especially for very short periods, should not be the sole factor in making your investment decisions. For performance information current to the most recent month-end, please call (888) 524-9441.

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Drivers of Fund Performance

The Fund was up 0.27% for the period; long positions in longer-dated fixed income contracts, and to a lesser extent, shorter-dated fixed income contracts drove the positive performance. Losses came from trading in FX, energy futures, and stock index futures.

The global race to lower interest rates led to substantial profits trading fixed income futures. Within the asset class, longer-dated futures made the most significant contributions, but shorter-dated contracts also made meaningful contributions. Long positions in European government bond futures (Germany, France, Italy) led gainers for the year ended June 30, 2019, with U.S., Australian, Korean, and Japanese longer-dated fixed income futures making substantial contributions as well.

The Fund made gains in FX on the short side of Turkish Lira, Euro, and Swedish Krona trades during the period, but short-side losses in the Japanese yen and Mexican peso, and long-side losses in the Australian dollar led to aggregate losses trading FX for the period. Long positions in crude and heating oil detracted the most within the energy sector with most losses coming in the second half of the period. Exposure to American, Asian, and Australian stock indices led to losses within the sector. The Fund made gains in the sector during the third quarter of 2018 before a fourth-quarter 2019 sell-off in global equities hurt the Fund’s long positions and wiped out previous gains. The subsequent rebound in the first quarter of 2019 led to partial recoupment of losses in the sector, however downwards price action in May 2019 led to losses overall in the sector.

Figure 3: Futures Performance Attribution by Sector | July 1, 2018 – June 30, 2019

(unaudited)

(BAR GRAPH)

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Softs, or soft commodities, are commodities such as coffee, cocoa, sugar, and fruit. This term generally refers to commodities that are grown, rather than mined. Bonds are defined as having a maturity of two or more years at inception, and rates are defined as having a maturity of fewer than two years at inception.

Two managers made contributions for the quarter, while five detracted from the Fund’s performance. A short-term trading strategy, Crabel Gemini’s experienced outsized gains long fixed income futures. The manager experienced losses in FX, commodities (grains, softs), and stock indices, but these were not enough to offset the gains made in fixed income trading. Millburn, a systematic pattern-recognition program, was positive for the period as fixed income, commodity, and currency trading was profitable for the manager.

GSA Trend, a medium-term trend follower, made gains in fixed income trading but they were unable to offset losses in commodities (energies, softs), stock indices, and FX. Three Rock, a discretionary manager, was down for the period driven by losses in FX (AUD, MXN). Crabel Advanced Trend, another medium-term trend follower, was down for the period as losses in stock index, FX, and commodities trading were insufficient to offset gains from fixed income trading. Phase Capital led all detractors with losses driven primarily by trading in stock indices and commodities. The Advisor removed Phase Capital and Centurion from the portfolio before the start of 2019.

Figure 4: Futures Performance Attribution by Manager | July 1, 2018 – June 30, 2019

(unaudited)

(BAR GRAPH)

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Altegris GSA Trend Strategy Fund

July 1, 2018 to June 30, 2019

Fund Overview

The Altegris GSA Trend Strategy Fund is a single-manager mutual fund that seeks long-term capital appreciation through the utilization of a price-based momentum approach diversified across a portfolio of global futures and foreign exchange markets. The Fund’s Trend Strategy is sub-advised by GSA Capital Partners, a leading quantitative investment firm headquartered in London with assets under management of approximately $7.0bln, including roughly $3.9bln in the Trend Strategy.

Figure 1: Fund’s Exposure (unaudited)

Manager	Program	Sub-Strategy	6/30/2019 Exposure
GSA Capital Partners	GSA Trend Strategy	Trend Following	100%

Fund Performance Summary

As shown in Figure 2, for the last year ended June 30, 2019, the Fund’s Class A (at NAV), Class I and Class N shares returned -1.04%, -0.80%, and -1.04%, respectively, while the BofA ML 3-Month T-Bill Index, the SG Trend Index, and the S&P 500 Total Return Index returned 2.31%, 4.09%, and 10.42%, respectively. The Fund’s net assets under management were approximately $31 million as of June 30, 2019.

Figure 2: Altegris GSA Trend Strategy Fund Performance Review | July 1, 2018 – June 30, 2019

			Quarterly Returns
	1-Year	Since Inception*	Q2 2019	Q1 2019	Q4 2018	Q3 2018
Class A (NAV)	-1.04%	-6.42%	3.25%	-5.99%	-3.70%	5.88%
Class A (max load)**	-6.73%	-8.81%	-2.72%	-11.40%	-9.23%	-0.22%
Class I (NAV)	-0.80%	-6.19%	3.35%	-6.07%	-3.58%	5.97%
Class N (NAV)	-1.04%	-6.42%	3.25%	-5.99%	-3.70%	5.88%
BofA ML 3-Month T-Bill Index	2.31%	1.70%	0.63%	0.22%	0.56%	0.49%
SG Trend Index	4.09%	0.20%	4.42%	2.89%	-5.09%	2.09%
S&P 500 TR Index	10.42%	13.80%	4.30%	13.65%	-13.52%	7.71%

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Inception date for Class A, Class I and Class N was December 30, 2016.

The maximum sales charge for Class A shares is 5.75%. Class A share investors may be eligible for a reduction in sales charges. See Prospectus for more information. Performance for periods longer than one year is annualized.

Per the prospectus dated October 29, 2018, the total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements, is 2.39% for Class A, 2.11% for Class I and 2.39% for Class N.

The performance data quoted here represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The Fund’s adviser has contractually agreed to reduce its fees and reimburse expenses of the Fund until at least October 31, 2019, to ensure the total annual Fund operating expenses after fee waiver and reimbursement will not exceed 1.85%, 1.60%, and 1.85% of average daily net assets attributable to Class A, Class I, and Class N shares, respectively, subject to possible recoupment in future years. Results shown reflect the waiver, without which the results would have been lower. A Fund’s performance, especially for very short periods, should not be the sole factor in making your investment decisions. For performance information current to the most recent month-end, please call (888) 524-9441.

Drivers of Fund Performance

The Fund was down -1.04% for the period. Losses from energy, stock index, and livestock futures negated gains from long positions in longer- and shorter-dated fixed income futures, and to a lesser extent, precious metals futures.

The change to a dovish tilt from many central banks across the globe led to substantial profits from the Fund’s long positions in fixed income futures. Within the asset class, longer-dated futures made the most significant contributions, but shorter-dated contracts also made meaningful contributions. Long positions in European government bond futures (Germany, France, Italy) led gainers for the year ended June 30, 2019, with U.S., Australian, and Korean longer-dated fixed income futures making substantial contributions as well.

Long and short positions in crude and heating oil detracted the most within the energy sector. Oil prices’ quick reversal after the fourth quarter of 2018 led to short-side losses, and subsequent weakness in oil led to long-side losses in the sector. Exposure to American, Asian, and Canadian indices led to losses in the asset class. The Fund made gains in the sector during the third quarter of 2018 before a fourth-quarter 2019 sell-off in global equities hurt the Fund’s long positions and wiped out previous gains. The subsequent rebound in the first quarter of 2019 led to partial recoupment of losses in the sector, however downwards price action in May 2019 led to losses overall in the sector.

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Figure 3: Performance by Sector | July 1, 2018 – June 30, 2019 (unaudited)

(BAR GRAPH)

*	Softs, or soft commodities, are commodities such as coffee, cocoa, sugar and fruit. This term generally refers to commodities that are grown, rather than mined. Bonds are defined as having a maturity of two or more years at inception, and rates are defined as having a maturity of less than two years at inception.

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Consolidated Outlook

Most indicators continue to signal that global economic health is stable and may continue to grow. Although the benefits of the Tax Cut and Jobs Act have diminished, no significant sector of the economy (such as business investment spending, housing, or autos) or US job growth show substantial signs of weakening. Furthermore, the Fed continues to signal a steady course of neither rate hikes nor cuts, which overall suggest that it believes the economy is neither overheating nor weakening (and may be corroborated by a low, steady inflation rate). Internationally, signals also remain positive overall with, perhaps, more indications of weakness.

Overall, continued positive prospects do not always translate into continued growth. The US and China have not resolved their dispute nor show signs of any near-term resolution. Additionally, US-China tensions have Asian economies caught in the middle. In Europe, governments continue to face political and economic challenges including Brexit, right-wing populists throughout the EU, and elevated sovereign debt levels in Italy.

Given this environment, it is crucial to find strategies with a long-term focus able to benefit from both price increases and decreases in financial markets. Also, strategies with commodity exposure can be effective diversifiers, as the asset class has typically exhibited less correlation to equity markets and strong directional trends in late-stage economic cycles (which may be starting to show). For these reasons, managed futures strategies present a strong case for increasing a portfolio’s overall ability to generate attractive aggregate risk-adjusted returns.

Sincerely,



Matt Osborne	Eric Bundonis, CFA
Chief Investment Officer	Director of Research & Sourcing
Portfolio Manager	Portfolio Manager

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INDEX DEFINITIONS

The SG Trend Index, which is equal-weighted and reconstituted annually, calculates the net daily rate of return for a group of 10 trend-following CTAs selected from the largest managers open to new investment.

The SG CTA Index, an equal-weighted index reconstituted annually, calculates the net daily rate of return for a group of 20 CTAs selected from the largest managers by AUM open to new investment.

Barclay Global Macro Index tracks the performance of ~175 global macro programs, by ending monthly values, net of fees, as reported to Barclay Hedge.

BofA Merrill Lynch 3 Month T-Bill Index is an unmanaged index that measures returns of three-month Treasury Bills.

MSCI World Index is a free-float adjusted market capitalization-weighted index that measures the equity market performance of 24 developed market country indices.

S&P 500 Total Return Index is the total return version of the S&P 500 index. The S&P 500 index is unmanaged and is generally representative of certain portions of the U.S. equity markets. For the S&P 500 Total Return Index, dividends are reinvested on a daily basis, and the base date for the index is January 4, 1988. All regular cash dividends are assumed reinvested in the S&P 500 index on the ex-date. Special cash dividends trigger a price adjustment in the price return index.

An index is unmanaged and not available for direct investment.

GLOSSARY

Long. Buying an asset/security that gives partial ownership to the buyer of the position. Long positions profit from an increase in price.

Short. Selling an asset/security that may have been borrowed from a third party with the intention of buying back at a later date. Short positions profit from a decline in price. If a short position increases in price, covering the short position at a higher price may result in a loss.

1190-NLD-8/15/2019

Altegris Futures Evolution Strategy Fund

PORTFOLIO REVIEW (Unaudited)

June 30, 2019

The Fund’s performance figures* for the period ended June 30, 2019, compared to its benchmark:

			Since Inception	Since Inception
	One Year	Five Years	February 16, 2012	October 31, 2011
Altegris Futures Evolution Strategy Fund - Class A	(0.63)%	4.24%	N/A	3.55%
Altegris Futures Evolution Strategy Fund - Class A with load **	(6.35)%	3.02%	N/A	2.75%
Altegris Futures Evolution Strategy Fund - Class C	(1.32)%	3.48%	2.72%	N/A
Altegris Futures Evolution Strategy Fund - Class I	(0.34)%	4.53%	N/A	3.83%
Altegris Futures Evolution Strategy Fund - Class N	(0.62)%	4.26%	N/A	3.55%
Bank of America Merrill Lynch 3-Month Treasury Bill Index ***	2.31%	0.87%	0.62%	0.59%
S&P 500 Total Return Index ^	10.42%	10.71%	13.41%	14.16%
SG Trend Index +	4.09%	2.69%	1.38%	1.73%

The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. The Fund’s total annual operating expense ratios, before any fee waivers, are 2.00%, 2.75%, 1.75%, and 2.00% for Class A, Class C, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 29, 2018. 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.

Comparison of the Change in Value of a $10,000 Investment | October 31, 2011– June 30, 2019
Past performance is not necessarily indicative of future results.

(LINE GRAPH)

****

Initial investment has been adjusted for the maximum sales charge of 5.75%.

Holdings by Type of Investment as of June 30, 2019	% of Net Assets
Bonds & Notes
Other Asset Backed Securities		18.5	%
Whole Loan Collateral		11.4	%
Commercial Mortgage Backed Securities		10.0	%
U.S. Government Agency		8.7	%
U.S. Treasuries		4.6	%
Banks		3.1	%
Oil & Gas		1.6	%
Automobile Asset Backed Securities		1.3	%
Other		12.9	%
Purchased Options		22.6	%
Common Stock		0.0	%
Short Term Investments		1.4	%
Other, Cash & Cash Equivalents		3.9	%
		100.0	%

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

Altegris GSA Trend Strategy Fund

PORTFOLIO REVIEW (Unaudited)

June 30, 2019

The Fund’s performance figures* for the period ended June 30, 2019, compared to its benchmark:

		Annualized
		Since Inception ++
	One Year	December 30, 2016
Altegris GSA Trend Strategy Fund - Class A	(1.04)%	(6.42)%
Altegris GSA Trend Strategy Fund - Class A with load **	(6.73)%	(8.81)%
Altegris GSA Trend Strategy Fund - Class I	(0.80)%	(6.19)%
Altegris GSA Trend Strategy Fund - Class N	(1.04)%	(6.42)%
Bank of America Merrill Lynch 3-Month Treasury Bill Index ***	2.31%	1.70%
SG Trend Index +	4.09%	0.20%

The performance data quoted is historical. Past performance is no guarantee of future results . Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. The Fund’s total annual operating expense ratios, gross of fee waivers or expense reimbursements, are 2.39%, 2.11%, and 2.39% for Class A, Class I, and Class N shares, respectively, per the Fund’s prospectus dated October 29, 2018. 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 1-877-772-5838.

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: Consists of U.S. Treasury Bills maturing in 90 days. Investors cannot invest directly in an index.

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

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

Inception date of the Fund is December 30, 2016.

Comparison of the Change in Value of a $10,000 Investment | March 17, 2017 – June 30, 2019

Past performance is not necessary indicative of future results.

(LINE GRAPH)

***

Initial investment has been adjusted for the maximum sales charge of 5.75%.

Holdings by Type of Investment as of June 30, 2019	% of Net Assets
U.S. Treasury Bill		45.3	%
Other, Assets Less Liabilities		54.7	%
		100.0	%

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

Altegris Managed Futures Strategy Fund

PORTFOLIO REVIEW (Unaudited)

June 30, 2019

The Fund’s performance figures* for the period ended June 30, 2019, compared to its benchmark:

			Since Inception	Since Inception	Since Inception
	One Year	Five Year	8/26/2010	2/1/2011	3/13/2013
Altegris Managed Futures Strategy Fund - Class A	0.27%	1.38%	(0.49)%	N/A	N/A
Altegris Managed Futures Strategy Fund - Class A with load **	(5.47)%	0.19%	(1.16)%	N/A	N/A
Altegris Managed Futures Strategy Fund - Class C	(0.52)%	0.59%	N/A	(1.90)%	N/A
Altegris Managed Futures Strategy Fund - Class I	0.43%	1.62%	(0.26)%	N/A	N/A
Altegris Managed Futures Strategy Fund - Class O	0.27%	1.38%	N/A	N/A	0.04%
Bank of America Merill Lynch 3 Month T- Bill Index ***	2.31%	0.87%	0.53%	0.55%	0.70%
MSCI World Index ****	6.33%	6.60%	10.52%	8.25%	9.06%
SG CTA Index *****	3.45%	2.35%	1.24%	0.73%	1.71%

The Performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. Redemptions made within 30 days of purchase may be assessed a redemption fee of 1.00%. Per the fee table in the Fund’s October 29, 2018 prospectus, the total annual operating expense are 2.18%, 2.92%, 1.89%, and 2.18% 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.

Comparison of the Change in Value of a $10,000 Investment | August 26, 2010–June 30, 2019
Past performance is not necessarily indicative of future results.

(LINE GRAPH)

Initial investment has been adjusted for the maximum sales charge of 5.75%.

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

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS

June 30, 2019

Shares						Value ($)
		COMMON STOCK - 0.0% *
	10,554	Frontera Energy Corp.					105,540
		TOTAL COMMON STOCK (Cost - $937,302)					105,540

Principal
Amount ($)			Spread	Interest Rate	Maturity
		BONDS & NOTES - 72.1%
		ADVERTISING - 0.1%
	135,000	Interpublic Group of Cos., Inc.		4.6500	10/1/2028		147,433
	140,000	Interpublic Group of Cos., Inc.		5.4000	10/1/2048		155,694
	387,000	Omnicom Group, Inc.		3.6250	5/1/2022		399,524
							702,651
		AEROSPACE / DEFENSE - 0.1%
	25,000	Bombardier, Inc. (b)		6.0000	10/15/2022		25,107
	240,000	Lockheed Martin Corp.		4.7000	5/15/2046		293,640
	394,000	Northrop Grumman Corp.		2.0800	10/15/2020		393,427
	20,000	Transdigm, Inc. (b)		6.2500	3/15/2026		21,050
	25,000	Transdigm, Inc.		6.3750	6/15/2026		25,187
							758,411
		AGRICULTURE - 0.2%
	150,000	Adecoagro SA		6.0000	9/21/2027		143,250
	190,000	Altria Group, Inc.		3.4900	2/14/2022		195,397
	130,000	Altria Group, Inc.		5.9500	2/14/2049		148,382
	605,000	BAT Capital Corp. (b)		2.2970	8/14/2020		603,742
	125,000	BAT Capital Corp.(b,c)	3 Month Libor + 0.88	3.3980	8/15/2022		125,338
	50,000	Reynolds American, Inc.		4.0000	6/12/2022		51,912
							1,268,021
		AIRLINES - 0.3%
	390,000	Delta Airlines, Inc.		3.4000	4/19/2021		395,870
	280,000	Delta Airlines, Inc.		3.6250	3/15/2022		284,779
	266,180	Guanay Finance Limited		6.0000	12/15/2020		269,508
	400,000	Latam Finance Ltd.		6.8750	4/11/2024		415,304
	200,000	Latam Finance Ltd. (b)		7.0000	3/1/2026		208,800
							1,574,261
		AUTO MANUFACTURERS - 0.3%
	220,000	Daimler Finance North America LLC (b)		2.2500	3/2/2020		219,738
	380,000	Daimler Finance North America LLC (b)		2.3000	2/12/2021		378,526
	140,000	Ford Motor Co.		7.4500	7/16/2031		165,578
	395,000	General Motors Financial Co., Inc.		3.2000	7/6/2021		398,468
	430,000	General Motors Financial Co., Inc. (c)	3 Month LIBOR + 0.99	3.5877	1/5/2023		423,760
							1,586,070
		AUTO PARTS & EQUIPMENT - 0.0% *
	35,000	Panther BF Aggregator 2 LP (b)		6.2500	5/15/2026		36,356

		AUTOMOBILE ABS - 1.3%
	735,424	Flagship Credit Auto Trust 2016-4 (b)		2.4100	10/15/2021		734,797
	100,000	GLS Auto Receivables Trust 2018-2 (b)		3.7100	3/15/2023		101,226
	464,257	GLS Auto Receivables Trust 2018-3 (b)		3.3500	8/15/2022		466,002
	822,451	GLS Auto Receivables Trust 2019-1 (b)		3.3700	1/17/2023		829,280
	2,500,000	Tesla Auto Lease Trust 2018-A (b)		2.7500	2/20/2020		2,501,792
	405,408	Westlake Automobile Receivables Trust 2016-3 (b)		2.4600	1/18/2022		405,344
	1,590,504	Westlake Automobile Receivables Trust 2017-1 (b)		2.7000	10/17/2022		1,591,010
	500,000	Westlake Automobile Receivables Trust 2018-2 (b)		3.2000	1/16/2024		502,663
							7,132,114
		BANKS - 3.1%
	300,000	Banco de Reservas de la Republica Dominicana		7.0000	2/1/2023		309,378
	200,000	Banco do Brasil SA (c)	10 Year Treasury Note + 4.40	6.2500	10/15/2166		190,350
	300,000	Banco Internatcional del Peru SAA/Panama		3.3750	1/18/2023		301,200
	150,000	Banco Macro SA (c)	5 Year Swap Rate + 5.46	6.7500	11/4/2026		129,752
	800,000	Banco Mercantil del Norte SA (c)	5 Year Treasury Note + 5.04	6.8750	10/6/2166		810,960
	200,000	Banco Mercantil del Norte SA (c)	10 Year Treasury Note + 5.35	7.6250	10/6/2166		204,500
	600,000	Banco Nacional de Costa Rica (c)	5 Year Treasury Note + 3.00	3.8000	8/11/2026		604,656
	500,000	Banco Santander Mexico SA (b,c)	5 Year Treasury Note + 3.00	5.9500	10/1/2028		528,130
	250,000	Bancolombia SA		5.9500	6/3/2021		264,700
	100,000	Bancolombia SA		5.1250	9/11/2022		104,450
	200,000	Bancolombia SA (c)	5 Year Treasury Note + 2.93	4.8750	10/18/2027		204,876
	800,000	Banistmo SA		3.6500	9/19/2022		802,000
	390,000	Bank of America Corp. (c)	3 Month LIBOR + 0.79	3.2685	3/5/2024		390,387
	145,000	Bank of America Corp. (c)	3 Month LIBOR + 1.21	3.9740	2/7/2030		155,426
	410,000	Bank of Montreal		2.9000	3/26/2022		416,276
	100,000	Bank of Montreal (c)	5 Year Swap Rate + 1.43	3.8030	12/15/2032		101,411
	280,000	Bank of Nova Scotia		3.4000	2/11/2024		291,220

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		BANKS - 3.1% (Continued)
	750,000	BBVA Bancomer SA		6.5000	3/10/2021		788,250
	200,000	BBVA Bancomer SA (c)	5 Year Treasury Note + 2.65	5.1250	1/18/2033		192,450
	700,000	BDO Unibank, Inc.		2.9500	3/6/2023		698,600
	280,000	Citigroup, Inc. (c)	3 Month LIBOR + 1.10	3.6251	5/17/2024		282,647
	570,000	Citigroup, Inc. (c)	3 Month LIBOR + 1.02	3.5432	6/1/2024		573,050
	70,000	Commonwealth Bank of Australia (b)		3.9000	7/12/2047		75,697
	1,100,000	DBS Group Holdings Ltd. (c)	5 Year Swap + 2.39	3.6000	12/29/2049		1,095,600
	150,000	Gilex Holding Sarl		8.5000	5/2/2023		158,664
	500,000	Global Bank Corp.		4.5000	10/20/2021		515,000
	50,000	Global Bank Corp.(b,c)	3 Month Libor + 3.30	5.2500	4/16/2029		52,188
	270,000	Goldman Sachs Group, Inc.		3.6250	2/20/2024		281,702
	200,000	Grupo Aval Ltd.		4.7500	9/26/2022		206,800
	100,000	Industrial Senior Trust		5.5000	11/1/2022		101,751
	200,000	Itau Unibanco Holding SA Island (b,c)	5 Year Treasury + 3.98	6.1250	6/12/2167		203,200
	200,000	Itau Unibanco Holding SA Island (c)	5 Year Treasury + 3.98	6.1250	6/12/2167		203,200
	395,000	JPMorgan Chase & Co. (c)	3 Month LIBOR + 6.95	3.2070	4/1/2023		403,132
	500,000	Malayan Banking Bhd (c)	5 Year Swap 2.54	3.9050	10/29/2026		507,315
	270,000	Mitsubishi UFJ Financial Group, Inc.		3.2180	3/7/2022		275,698
	290,000	Mitsubishi UFJ Financial Group, Inc. (c)	3 Month LIBOR + 0.74	3.2603	3/2/2023		289,853
	565,000	Morgan Stanley (c)	3 Month LIBOR + 0.93	3.5215	7/22/2022		568,575
	275,000	Morgan Stanley (c)	3 Month LIBOR + 0.85	3.7370	4/24/2024		286,694
	600,000	Multibank, Inc.		4.3750	11/9/2022		613,506
	300,000	Oversea-Chinese Banking, Corp, Ltd.		4.2500	6/19/2024		314,909
	275,000	Santander Holdings USA, Inc.		3.4000	1/18/2023		279,053
	590,000	Sumitomo Mitsui Financial Group, Inc.		2.0580	7/14/2021		587,563
	385,000	Toronto-Dominion Bank (The)		3.2500	6/11/2021		392,627
	200,000	Union Bank of the Philippines		3.3690	11/29/2022		202,197
	200,000	United Overseas Bank Ltd. (c)	5 Year Swap + 1.65	2.8800	3/8/2027		199,402
	600,000	United Overseas Bank Ltd. (c)	5 Year Treasury + 1.50	3.7500	4/15/2029		618,789
							16,777,784
		BEVERAGES - 0.0% *
	140,000	Anheuser-Bush InBev Finance, Inc.		4.9000	2/1/2046		155,880
	30,000	Cott Holdings, Inc. (b)		5.5000	4/1/2025		30,563
							186,443
		BUILDING MATERIALS - 0.2%
	400,000	Cemex SAB de CV		6.1250	5/5/2025		418,500
	200,000	Cemex SAB de CV		7.7500	4/16/2026		220,002
	200,000	CIMPOR Financial Operations BV		5.7500	7/17/2024		175,250
	45,000	Masonite International Corp. (b)		5.6250	3/15/2023		46,350
	165,000	Owens Corning		4.4000	1/30/2048		139,974
	300,000	Tecnoglass Inc		8.2000	1/31/2022		316,500
							1,316,576
		CHEMICALS - 0.4%
	400,000	Braskem Netherlands Finance BV		3.5000	1/10/2023		401,200
	170,000	DowDuPont, Inc.		3.7660	11/15/2020		173,254
	275,000	Mosaic Co. (The)		4.0500	11/15/2027		284,229
	140,000	Nutrien Ltd.		4.2000	4/1/2029		151,386
	200,000	Sherwin-Williams Co. (The)		2.2500	5/15/2020		199,639
	200,000	Syngenta Finance NV		5.6760	4/24/2048		198,771
	700,000	UPL Corp. Ltd.		3.2500	10/13/2021		700,119
	200,000	UPL Corp. Ltd.		4.5000	3/8/2028		203,838
							2,312,436
		COAL - 0.0% *
	30,000	Peabody Energy Corp. (b)		6.0000	3/31/2022		30,713
	25,000	SunCoke Energy Partners LP / SunCoke Energy Partners Finance Corp. (b)		7.5000	6/15/2025		24,406
							55,119
		COMMERCIAL MBS - 10.0%
	1,229,000	Atrium Hotel Portfolio Trust 2017-ATRM E (b,c)	1 Month LIBOR + 3.05	5.4443	11/15/2019		1,238,206
	195,000	Atrium Hotel Portfolio Trust 2018-ATRM A (b,c)	1 Month LIBOR + 3.40	5.7943	6/15/2035		195,973
	265,000	BAMLL Commercial Mortage Securities Trust 2019-AHT (b,c)	1 Month LIBOR + 2.50	4.8943	3/15/2034		264,955
	852,956	Bancorp Commercial Mortgage 2018 CRE4 Trust A (b,c)	1 Month LIBOR + 0.90	3.2942	9/15/2035		850,984
	243,000	Bancorp Commercial Mortgage 2019-CRE5 Trust D (b,c)	1 Month LIBOR + 2.35	4.7442	3/15/2036		243,000
	104,000	BANK 2019-BNK17 C (d)		4.6707	4/15/2052		112,517
	106,000	Barclays Commercial Mortgage Trust 2019-C3		4.0960	5/15/2052		112,517
	101,000	BBCMS 2017-DELC Mortgage Trust C (b,c)	1 Month LIBOR + 1.20	3.5943	8/15/2036		100,240
	115,000	BBCMS 2017-DELC Mortgage Trust D (b,c)	1 Month LIBOR + 1.70	4.0943	8/15/2036		114,999
	231,000	BBCMS 2017-DELC Mortgage Trust E (b,c)	1 Month LIBOR + 2.50	4.8943	8/15/2036		231,288
	230,000	BBCMS 2017-DELC Mortgage Trust F (b,c)	1 Month LIBOR + 3.50	5.8943	8/15/2036		230,286

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		COMMERCIAL MBS - 10.0% (Continued)
	719,000	BBCMS 2018-TALL Mortgage Trust A (b,c)	1 Month LIBOR + 7.22	3.1163	3/15/2037		716,296
	298,000	BBCMS Trust 2018-CBM (b,c)	1 Month LIBOR + 3.15	5.5442	7/15/2037		300,410
	32,734,000	BB-UBS Trust 2012-SHOW XA (b,d,h)		0.7300	11/5/2024		1,020,230
	18,022,000	BB-UBS Trust 2012-SHOW XB (b,d,h)		0.2780	11/5/2024		176,221
	104,000	BENCHMARK 2019-B10 Mortgage Trust		3.7500	3/15/2062		105,880
	784,000	BHMS 2018-ATLS (b,c)	1 Month LIBOR + 1.25	3.6443	7/15/2035		784,235
	144,000	Braemar Hotels & Resorts Trust 2018-Prime F (b,c)	1 Month LIBOR + 2.90	5.2943	6/15/2035		144,168
	57,185	BSPRT 2017 FL2 Issuer Ltd. AS (b,c)	1 Month LIBOR + 1.10	3.4943	10/1/2034		57,501
	124,000	BSPRT 2017 FL2 Issuer Ltd. B (b,c,i)	1 Month LIBOR + 1.40	3.7942	10/1/2034		124,186
	307,000	BX Commercial Mortgage Trust 2018-BIOA D (b,c)	1 Month LIBOR + 1.32	3.7153	3/15/2037		307,188
	734,000	BX Commercial Mortgage Trust 2018-BIOA E (b,c)	1 Month LIBOR + 1.95	4.3453	3/15/2037		736,764
	115,000	BX Commercial Mortgage Trust 2019-IMC D (b,c)	1 Month LIBOR + 1.90	4.3400	4/15/2034		115,216
	454,750	BX Trust 2017-APPL B (b,c)	1 Month LIBOR + 1.15	3.5443	7/15/2034		454,746
	169,150	BX Trust 2017-SLCT D (b,c)	1 Month LIBOR + 2.05	4.4443	7/15/2034		169,682
	286,450	BX Trust 2017-SLCT E (b,c)	1 Month LIBOR + 3.15	5.5442	7/15/2034		287,885
	408,324	BX Trust 2018-EXCL (b,c)	1 Month LIBOR + 1.09	3.4819	9/15/2020		406,921
	100,000	BX Trust 2018-GW D (b,c)	1 Month LIBOR + 1.77	4.1642	5/15/2035		100,499
	200,000	BX Trust 2018-GW G (b,c)	1 Month LIBOR + 2.92	5.3143	5/15/2035		201,374
	419,000	BX Trust 2018-MCSF F (b,c)	1 Month LIBOR + 2.65	5.0407	4/15/2035		421,097
	599,000	BXMT 2017-FL1 Ltd. C (b,c,i)	1 Month LIBOR + 1.95	4.3442	6/15/2035		600,482
	837,000	CAMB Commercial Mortgage Trust 2019-LIFE (b,c)	1 Month LIBOR + 1.07	3.4643	12/15/2037		839,616
	116,000	Carbon Capital VI Commercial Mortgage 2019-FL2 Trust (b,c)	1 Month LIBOR + 2.85	5.2442	10/15/2035		116,000
	2,883,542	CD 2017-CD4 Mortgage Trust XA (d,h)		1.4695	5/10/2050		216,534
	105,000	CFCRE 2017-C8 B (d)		4.1985	6/15/2050		111,939
	6,291,622	CFCRE 2017-C8 XA (d,h)		1.8196	6/15/2050		580,118
	2,302,000	CFCRE 2017-C8 XB (b,h)		1.1200	6/15/2050		152,362
	1,081,000	CFCRE Commercial Mortgage Trust 2018-TAN B (b)		4.6900	2/15/2033		1,148,757
	1,081,000	CFCRE Commercial Mortgage Trust 2018-TAN C (b)		5.2948	2/15/2033		1,155,765
	649,000	CFCRE Commercial Mortgage Trust 2018-TAN D (b)		6.0994	2/15/2033		695,629
	725,000	CGGS Commercial Mortgage Trust 2018-WSS D (b,c)	1 Month LIBOR + 2.30	4.6942	2/15/2020		725,894
	391,000	CHT 2017-COSMO Mortgage Trust E (b,c)	1 Month LIBOR + 3.00	5.3943	11/15/2034		391,975
	209,000	CHT 2017-COSMO Mortgage Trust F (b,c)	1 Month LIBOR + 3.74	6.1355	11/15/2034		209,652
	626,699	Citigroup Commercial Mortgage Trust 2012-GC8 XA (b,d)		2.0531	9/10/2045		28,405
	6,363,132	Citigroup Commercial Mortgage Trust 2014-GC21 XA (d,h)		1.3480	5/10/2047		309,877
	4,467,043	Citigroup Commercial Mortgage Trust 2014-GC25 XA (d)		1.0540	10/10/2047		200,941
	224,000	Citigroup Commercial Mortgage Trust 2015-GC27 D (b,d)		4.5770	2/10/2048		208,656
	96,000	Citigroup Commercial Mortgage Trust 2016-GC36 D (b)		2.8500	2/10/2049		80,944
	1,963,388	Citigroup Commercial Mortgage Trust 2016-GC36 XA (d,h)		1.4460	2/10/2049		130,201
	4,625,628	Citigroup Commercial Mortgage Trust 2016-P3 XA (d,h)		1.8578	4/15/2049		384,942
	796,000	Citigroup Commercial Mortgage Trust 2018-TBR D (b,c)	1 Month LIBOR + 1.80	4.1942	12/15/2019		797,746
	114,000	Citigroup Commercial Mortgage Trust 2018-TBR F (b,c)	1 Month LIBOR + 3.65	6.0442	12/15/2036		114,569
	38,000	CLNS Trust 2017-IKPR D (b,c)	1 Month LIBOR + 2.05	4.4621	6/11/2032		38,167
	414,000	CLNS Trust 2017-IKPR E (b,c)	1 Month LIBOR + 3.50	5.9121	6/11/2032		417,102
	789,616	COMM 2012-CCRE3 Mortgage Trust XA (d)		2.0686	10/15/2045		39,873
	152,000	COMM 2012-CR4 D (d)		4.7203	11/15/2022		69,212
	703,244	COMM 2012-LC4 Mortgage XA Trust (b,d,h)		2.2898	12/10/2044		31,427
	8,276,259	COMM 2013-CCRE12 Mortgage Trust XA (d,h)		1.3348	10/10/2046		335,054
	100,000	COMM 2014-CCRE20 Mortgage Trust C (d)		4.6576	11/10/2047		105,601
	644,150	COMM 2014-UBS4 F Mortgage Trust (b,i)		3.7500	8/10/2047		273,254
	1,153,576	COMM 2014-UBS4 G Mortgage Trust (b,i)		3.7500	8/10/2047		127,777
	5	COMM 2014-UBS4 V Mortgage Trust (b,d,i)		0.0010	8/10/2047		—
	2,556,568	COMM 2015-CCRE22 Mortgage Trust XA (d,h)		1.0865	3/10/2048		90,961
	53,000	COMM 2016-DC2 Mortgage Trust (d)		4.7947	2/10/2049		54,956
	115,000	COMM 2016-GCT Mortgage D Trust (b,d)		3.5768	8/10/2029		115,489
	111,000	COMM 2016-GCT Mortgage E Trust (b,d)		3.5768	8/10/2021		110,380
	396,000	COMM 2018-HCLV Mortgage Trust (b,c)	1 Month LIBOR + 2.18	4.5709	9/15/2033		395,375
	7,395,675	Commercial Mortgage Trust (b,d,h)		1.4935	1/10/2023		292,393
	79,000	Commercial Mortgage Pass Through Certificates C (d)		4.6470	2/10/2049		85,138
	104,844	Core Industrial Trust 2015-CALW (b,d)		3.9787	2/10/2034		107,640
	750,000	Credit Suisse Mortgage Capital Certificates 2019-ICE4 (b,c)	1 Month LIBOR + 0.98	3.4430	5/15/2036		749,433
	9,990,088	CSAIL 2017-CX9 Commercial Mortgage Trust XA (d,h)		1.0279	9/15/2050		410,393
	10,518,564	CSAIL 2017-CX10 Commercial Mortgage Trust (d,h)		0.8620	11/15/2027		503,175
	623,000	CSMC Trust 2017-CHOP D (b,c)	1 Month LIBOR + 1.90	4.2942	7/15/2032		624,161
	57,000	CSMC Trust 2017-CHOP E (b,c)	1 Month LIBOR + 3.30	5.6942	7/15/2032		57,231
	171,000	CSMC Trust 2017-LSTK C (b)		3.2294	4/5/2021		171,578
	204,000	CSMC Trust 2017-LSTK D (b,d)		3.4415	4/5/2021		203,611
	743,000	Exantas Capital Corp 2019-RSO7 Ltd. (b,c,i)	1 Month LIBOR + 1.00	3.3942	4/15/2036		743,232

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		COMMERCIAL MBS - 10.0% (Continued)
	115,000	GPMT 2018-GPP Mortgage Trust (b,c,i)	1 Month LIBOR + 2.95	5.3334	11/21/2035		115,430
	392,000	GPMT 2018-GPP Mortgage Trust (b,c)	1 Month LIBOR + 1.28	3.6743	6/15/2035		391,013
	160,000	Great Wolf Trust 2017 D (b,c)	1 Month LIBOR + 2.10	4.4943	9/15/2034		160,048
	249,000	Great Wolf Trust 2017 E (b,c)	1 Month LIBOR + 3.10	5.4943	9/15/2034		249,153
	132,000	Great Wolf Trust 2017 F (b,c)	1 Month LIBOR + 4.07	6.4643	9/15/2034		132,164
	255,000	GS Mortgage Securities Corp. Trust 2017-500K E (b,c)	1 Month LIBOR + 1.50	3.8942	7/15/2032		254,920
	175,000	GS Mortgage Securities Corp. Trust 2017-500K F (b,c)	1 Month LIBOR + 1.80	4.1942	7/15/2032		174,237
	146,000	GS Mortgage Securities Corp Trust 2018-FBLU (b,c)	1 Month LIBOR + 3.25	5.6442	11/15/2035		145,632
	290,000	GS Mortgage Securities Corp Trust 2018-TWR (b,c)	1 Month LIBOR + 3.93	6.3189	7/15/2031		291,916
	550,000	GS Mortgage Securities Trust 2014-GC26 D (b,d)		4.6709	11/10/2047		470,775
	105,000	GS Mortgage Securities Trust 2017-GS6		3.8690	5/10/2050		109,970
	231,000	Hawaii Hotel Trust 2019-MAUI (b,c)	1 Month LIBOR + 2.75	5.3943	5/15/2038		228,973
	511,000	Hilton Orlando Trust 2018-ORL B (b,c)	1 Month LIBOR + 1.05	3.4442	12/15/2034		510,831
	106,000	HPLY Trust 2019-HIT F (b,c)	1 Month LIBOR + 3.15	5.5442	11/15/2026		106,066
	231,000	HPLY Trust 2019-HIT G (b,c)	1 Month LIBOR + 3.90	6.2943	11/15/2026		231,289
	30,482	J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-LDP8 X (d,g)		0.4197	5/15/2045		34
	143,650	J.P. Morgan Chase Commercial Mortgage Securities Trust 2006-LDP9 AMS		5.3370	5/15/2047		132,211
	115,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3 D (b,d)		5.8525	2/15/2046		113,762
	334,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2011-C3 E (b,d)		5.8525	2/15/2046		319,681
	605,212	J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C6 XA (d)		1.5828	5/15/2045		22,520
	725,073	J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-C8 XA (d)		1.8209	10/15/2045		32,942
	551,138	J.P. Morgan Chase Commercial Mortgage Securities Trust 2012-CBX XA (d)		1.6533	6/15/2045		16,298
	34,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 B		3.4595	8/15/2049		34,532
	26,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-JP2 C (d)		3.9425	8/15/2049		26,510
	104,844	J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI C (b)		3.5537	10/5/2031		106,443
	119,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI E (b,d)		4.1426	10/5/2021		120,042
	1,109,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 B(b,c)	1 Month LIBOR + 1.10	3.4943	2/15/2035		1,107,589
	144,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8 C (b,c)	1 Month LIBOR + 1.30	3.6943	2/15/2035		143,997
	115,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-BCON C (b,d)		3.8809	1/5/2031		118,821
	786,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT (b,c)	1 Month LIBOR + 2.60	5.0299	7/5/2023		786,249
	1,000,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-WPT (b)		5.5422	7/5/2023		1,023,031
	642,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-MFP A (b,c)	1 Month LIBOR + 0.96	3.3400	7/15/2036		642,803
	305,000	J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-MFP F (b,c,i)	1 Month LIBOR + 3.00	5.3010	7/15/2036		305,763
	39,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES (b)		4.3427	5/5/2032		41,145
	40,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES (b,d)		4.6005	5/5/2032		41,878
	47,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES (b,d)		4.6005	5/5/2032		48,164
	49,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES (b,d)		4.6005	5/5/2032		48,735
	77,000	JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON UES (b,d,i)		4.6005	5/5/2032		71,655
	144,000	JPMBB Commercial Mortgage Securities Trust 2014-C23 (b,d)		3.3640	9/15/2047		118,649
	9,570,866	JPMBB Commercial Mortgage Securities Trust 2014-C25 XA (d)		0.9905	11/15/2047		322,799
	100,000	JPMBB Commercial Mortgage Securities Trust 2015-C29 B (d)		4.1180	5/15/2048		104,816
	86,000	JPMBB Commercial Mortgage Securities Trust 2016-C1 C (d)		4.9049	3/15/2049		91,774
	13,020,225	JPMDB Commercial Mortgage Securities Trust 2017-C5 XA (d,h)		1.1412	3/15/2050		744,572
	138,067	LB-UBS Commercial Mortgage Trust 2006-C7 XCL (b,d)		0.6823	11/15/2038		35
	115,056	LB-UBS Commercial Mortgage Trust 2006-C7 XW (b,d,i)		0.6823	11/15/2038		30
	542,000	LCCM Mortgage Trust 2014-PKMD MRC (b,d)		2.9520	11/14/2027		540,702
	17,745	Merrill Lynch Mortgage Trust 2006-C1 AJ (d)		5.8618	5/12/2039		17,877
	500,000	Monarch Beach Resort Trust 2018-MBR MZ (b,c)	1 Month LIBOR + 4.96	7.3542	7/15/2025		499,573
	671,222	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5 XA (b,d)		1.5245	8/15/2045		23,817
	125,000	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 C (d)		4.4893	10/15/2047		131,771
	125,000	Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19 C		4.0000	12/15/2047		127,287
	72,000	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25 C (d)		4.6798	10/15/2048		77,222
	91,000	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 C (d)		4.9083	4/15/2026		95,805
	105,000	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32 AS (d)		3.9940	12/15/2049		111,811
	16,132,500	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34 XB (d,h)		0.2699	11/15/2052		241,863
	303,214	Morgan Stanley Capital I Trust 2011-C1 XA (b,d)		0.4261	9/15/2047		1,255
	116,000	Morgan Stanley Capital I Trust 2014-150E (b)		4.2640	9/9/2032		123,916
	165,000	Morgan Stanley Capital I Trust 2017-ASHF D (b,c)	1 Month LIBOR + 2.20	4.5943	11/15/2034		164,794
	247,000	Morgan Stanley Capital I Trust 2017-ASHF E (b,c)	1 Month LIBOR + 3.15	5.5442	11/15/2034		246,685
	187,000	Morgan Stanley Capital I Trust 2017-ASHF F (b,c)	1 Month LIBOR + 4.35	6.7443	11/15/2034		186,928
	569,000	Morgan Stanley Capital I Trust 2017-CLS E (b,c)	1 Month LIBOR + 1.95	4.3442	11/15/2034		566,087
	632,000	Morgan Stanley Capital I Trust 2017-CLS F (b,c)	1 Month LIBOR + 2.60	4.9943	11/15/2034		629,198
	786,000	Morgan Stanley Capital I Trust 2018-SUN (b,c)	1 Month LIBOR + 0.90	3.2942	7/15/2035		786,003
	150,000	Morgan Stanley Capital I Trust 2018-SUN (b,c)	1 Month LIBOR + 3.05	5.4443	7/15/2035		150,991
	107,000	Morgan Stanley Capital I Trust 2019-H6		3.7000	6/15/2052		111,613
	1,246,000	Morgan Stanley Capital I Trust 2019-PLND (b,c)	1 Month LIBOR + 1.30	3.6943	5/15/2036		1,246,009
	95,200	MSCCG 2016-SNR C (b)		5.2050	11/13/2021		96,388
	378,000	MSCG Trust 2018-SELF (b,c)	1 Month LIBOR + 3.05	5.4443	10/15/2028		378,557
	745,000	Natixis Commercial Mortgage Securities Trust 2018-850T (b,c)	1 Month LIBOR + 1.15	3.5477	7/15/2033		743,357
	752,657	Natixis Commercial Mortgage Securities Trust 2018-FL1 A (b,c)	1 Month LIBOR + 0.95	3.3896	6/15/2035		750,286

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		COMMERCIAL MBS - 10.0% (Continued)
	100,000	Natixis Commercial Mortgage Securities Trust 2018-FL1 C (b,c)	1 Month LIBOR + 2.20	4.6396	6/15/2035		99,090
	515,000	NLY COMMERCIAL MORTGAGE TRUST (b,d,i)		3.9943	2/15/2036		515,966
	114,000	One Market Plaza Trust 2017-1MKT (b)		4.1416	2/10/2032		116,298
	500,000	PFP 2019-5 Ltd. (b,c)	1 Month LIBOR + 0.97	3.3711	4/14/2036		500,156
	734,000	Ready Capital Mortgage Trust 2019-FL3 (b,c)	1 Month LIBOR + 1.00	3.4297	3/25/2034		731,488
	283,000	Rosslyn Portfolio Trust 2017-ROSS A (b,c)	1 Month LIBOR + 0.95	3.3442	6/15/2033		282,657
	283,000	Rosslyn Portfolio Trust 2017-ROSS B (b,c)	1 Month LIBOR + 1.25	3.6443	6/15/2033		281,937
	748,000	Shelter Growth CRE 2019-FL2 Issuer Ltd. (b,c,i)	1 Month LIBOR + 1.80	4.6942	5/15/2036		749,386
	904,416	SLIDE 2018-FUN (b,c)	1 Month LIBOR + 0.90	3.2942	6/15/2031		905,253
	482,094	SLIDE 2018-FUN (b,c)	1 Month LIBOR + 3.00	5.3943	6/15/2031		486,012
	256,728	TPG Real Estate Finance 2018-FL-1 Issuer LTD A (b,c,i)	1 Month LIBOR + 0.75	3.1443	4/15/2035		256,727
	743,422	UBS-Barclays Commercial Mortgage Trust 2012-C3 XA (b,d)		2.1740	8/10/2049		36,666
	4,201,268	UBS Commercial Mortgage Trust 2012-C1 XA (b,d,h)		2.2456	5/10/2045		192,695
	209,000	UBS Commercial Mortgage Trust 2017-C7 C (d)		4.7390	12/15/2050		220,467
	103,000	UBS Commercial Mortgage Trust 2019-C16 B		4.3201	4/15/2052		110,617
	735,835	Velocity Commercial Capital Loan Trust 2016-2 AFX (d)		2.9969	10/25/2046		741,383
	661,049	Velocity Commercial Capital Loan Trust 2017-1 AFX (b,d)		3.0000	5/25/2047		658,587
	709,352	Velocity Commercial Capital Loan Trust 2017-2 AFX (b,d)		3.0700	11/25/2047		714,039
	140,000	Wells Fargo Commercial Mortgage Trust 2014-LC16 D (b)		3.9380	8/15/2050		110,603
	5,197,087	Wells Fargo Commercial Mortgage Trust 2015-C26 XA (d)		1.2989	2/15/2048		276,114
	75,000	Wells Fargo Commercial Mortgage Trust 2015-C31 C (d)		4.7615	11/15/2048		78,535
	60,000	Wells Fargo Commercial Mortgage Trust 2015-LC22 C (d)		4.6946	9/15/2058		62,884
	100,000	Wells Fargo Commercial Mortgage Trust 2015-NXS3 C (d)		4.6382	9/15/2057		105,188
	105,000	Wells Fargo Commercial Mortgage Trust 2015-SG1		4.0470	9/15/2048		111,517
	61,000	Wells Fargo Commercial Mortgage Trust 2016-C32 C (d)		4.7207	1/15/2059		63,740
	148,000	Wells Fargo Commercial Mortgage Trust 2016-C33 (b)		3.1230	3/15/2059		133,223
	89,000	Wells Fargo Commercial Mortgage Trust 2016-C34 C (d)		5.1962	6/15/2049		95,403
	105,000	Wells Fargo Commercial Mortgage Trust 2016-LC25 (d)		3.9677	12/15/2059		112,167
	124,192	Wells Fargo Commercial Mortgage Trust 2018-BXI D (b,c)	1 Month LIBOR + 1.56	3.9507	12/15/2036		123,902
	130,000	Wells Fargo Commercial Mortgage Trust 2018-C46 (d)		5.1456	8/15/2051		138,989
	105,000	Wells Fargo Commercial Mortgage Trust 2019-C49 (d)		4.8660	3/15/2052		112,879
	84,000	Wells Fargo Commercial Mortgage Trust 2019-C50 B		4.1920	5/15/2052		89,562
	84,000	Wells Fargo Commercial Mortgage Trust 2019-C50 C		4.3450	5/15/2052		88,280
	6,265,000	Wells Fargo Commercial Mortgage Trust 2019-C51 (b,d,h)		1.5348	6/15/2052		641,480
	673,238	WFRBS Commercial Mortgage Trust 2012-C8 XA (b,d)		1.9079	8/15/2045		30,947
	706,075	WFRBS Commercial Mortgage Trust 2012-C9 XA (b,d)		2.0761	11/15/2045		36,810
							54,000,420
		COMMERCIAL SERVICES - 0.3%
	600,000	Adani Ports & Special Economic Zone Ltd.		3.9500	1/19/2022		611,840
	25,000	Allied Universal Holdco LLC (b)		6.6250	7/15/2026		25,469
	610,000	Cintas Corp.		2.9000	4/1/2022		620,372
	25,000	Garda World Security Corp. (b)		8.7500	5/15/2025		24,688
	52,619	INVEPAR A-1 **** (i)		0.0000	12/30/2028		225,008
	30,000	Refinitiv US Holdings, Inc. (b)		6.2500	5/15/2026		30,855
	50,000	United Rentals North America, Inc.		6.5000	12/15/2026		54,125
	10,000	United Rentals North America, Inc.		5.2500	1/15/2030		10,275
	43,000	Verscend Escrow Corp. (b)		9.7500	8/15/2026		44,666
							1,647,298
		COMPUTERS - 0.0% *
	40,000	Tempo Acquisition LLC (b)		6.7500	6/1/2025		41,200

		DIVERSIFIED FINANCIAL SERVICES - 1.1%
	205,000	Air Lease Corp.		2.5000	3/1/2021		205,122
	290,000	Air Lease Corp.		3.2500	3/1/2025		291,797
	360,000	American Express Co.		3.7000	11/5/2021		371,113
	280,000	American Express Co.		3.4000	2/22/2024		292,116
	600,000	Banco BTG Pactual SA		5.7500	9/28/2022		623,400
	200,000	Banco BTG Pactual SA (b,c)	5 Year Treasury + 5.26	7.7500	2/15/2029		208,950
	590,000	Capital One Financial Corp.		2.4000	10/30/2020		590,650
	430,000	Capital One Financial Corp. (c)	3 Month LIBOR + 0.72	3.3028	1/30/2023		428,878
	500,000	Credito Real SAB de CV SOFOM ER		7.2500	7/20/2023		524,500
	200,000	Credito Real SAB de CV SOFOM ER (c)	5 Year Treasury + 7.03	9.1250	5/29/2167		202,152
	275,000	Discover Financial Services		4.1000	2/9/2027		286,456
	25,000	Nationstar Mortgage Holdings, Inc. (b)		8.1250	7/15/2023		25,500
	40,000	NFP Corp. (b)		6.8750	7/15/2025		39,588
	854,163	SPARC EM SPC Panama Metro Line 2 SP ****		0.0000	12/5/2022		808,260

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		DIVERSIFIED FINANCIAL SERVICES - 1.1% (Continued)
	20,000	Springleaf Finance Corp.		6.6250	1/5/2028		21,000
	145,000	Synchrony Financial		3.9500	12/1/2027		144,833
	800,000	Unifin Financiera SAB de CV SOFOM ENR		7.2500	9/27/2023		826,000
	200,000	Unifin Financiera SAB de CV SOFOM ENR (c)	5 Year Treasury + 6.31	8.8750	7/29/2066		183,502
							6,073,817
		ELECTRIC - 1.1%
	200,000	AES Andres BV (b)		7.9500	5/11/2026		216,252
	200,000	AES Andres BV		7.9500	5/11/2026		216,252
	800,000	AES Gener SA (b,c)	5 Year Swap + 4.64	7.1250	3/26/2079		853,608
	30,000	Calpine Corp. (b)		5.2500	6/1/2026		30,525
	195,000	Cometa Energia SA de CV		6.3750	4/24/2035		200,606
	5,000	Consolidated Edison, Inc.		2.0000	5/15/2021		4,975
	575,000	Consolidated Edison, Inc.		2.0000	3/15/2020		573,084
	200,000	Empresa de Transmision Electrica SA (b)		5.1250	5/2/2049		218,700
	260,850	Empresa Electrica Angamos SA		4.8750	5/25/2029		272,166
	100,000	Enel Generacion Chile SA		4.2500	4/15/2024		104,993
	200,000	Energuate Trust		5.8750	5/3/2027		204,500
	200,000	Inkia Energy Ltd.		5.8750	11/9/2027		205,252
	200,000	Israel Electric Corp Ltd.		6.8750	6/21/2023		226,598
	200,000	LLPL Capital Pte Ltd. (b)		6.8750	2/4/2039		228,306
	200,000	Minejesa Capital BV		5.6250	8/10/2037		209,830
	440,000	NextEra Energy Capital Holdings, Inc.		2.9000	4/1/2022		447,630
	25,000	NRG Energy, Inc. (b)		5.2500	6/15/2029		26,688
	150,000	Pampa Energia SA		7.5000	1/24/2027		139,200
	350,000	Pampa Energia SA		7.3750	7/21/2023		337,754
	200,000	Perusahaan Listrik Negara PT		5.5000	11/22/2021		211,700
	375,000	PSEG Power LLC		3.8500	6/1/2023		390,732
	191,600	Star Energy Geothermal Wayang Windu Ltd.		6.7500	4/24/2033		192,978
	138,826	Stoneway Capital Corp.		10.0000	3/1/2027		130,845
	40,000	Vistra Operations Co LLC (b)		5.5000	9/1/2026		42,250
	30,000	Vistra Operations Co LLC (b)		5.6250	2/15/2027		31,763
							5,717,187
		ELECTRONICS - 0.0% *
	40,000	Arrow Electronics, Inc.		3.8750	1/12/2028		39,664

		ENERGY - 0.1%
	400,000	Pertamina Persersero PT		4.8750	5/3/2022		421,201

		ENGINEERING & CONSTRUCTION - 0.0% *
	50,000	AECOM		5.1250	3/15/2027		52,000

		ENTERTAINMENT - 0.0% *
	30,000	Caesars Resort Collection LLC / CRC Finco, Inc. (b)		5.2500	10/15/2025		30,094
	20,000	Cedar Fair LP (b)		5.2500	7/15/2029		20,406
	25,000	Eldorado Resorts, Inc.		6.0000	4/1/2025		26,281
	55,000	Lions Gate Capital Holdings LLC (b)		6.3750	2/1/2024		57,819
							134,600
		ENVIRONMENTAL CONTROL - 0.0% *
	20,000	Clean Harbors, Inc. (b)		4.8750	7/15/2027		20,327
	15,000	GFL Environmental, Inc. (b)		8.5000	5/1/2027		16,144
	35,000	Tervita 2018 Escrow Corp. (b)		7.6250	12/1/2021		35,602
	410,000	Waste Management, Inc.		2.9500	6/15/2024		422,618
	150,000	Waste Management, Inc.		4.0000	7/15/2039		160,710
							655,401
		FOOD - 0.6%
	10,000	Albertsons Cos LLC (b)		7.5000	3/15/2026		10,675
	15,000	Albertsons Cos LLC		5.7500	3/15/2025		15,117
	35,000	B&G Foods, Inc.		5.2500	4/1/2025		35,350
	600,000	Grupo Bimbo SAB de CV (c)	5 Year Treasury + 3.28	5.9500	7/17/2166		629,940
	400,000	JBS Investments GmbH		6.2500	2/5/2023		408,004
	5,000	JBS USA LLC / JBS USA Finance, Inc. (b)		5.8750	7/15/2024		5,144
	5,000	JBS USA LLC / JBS USA Finance, Inc. (b)		5.7500	6/15/2025		5,200
	30,000	JBS USA LLC / JBS USA Finance, Inc. (b)		6.7500	2/15/2028		32,588
	20,000	JBS USA LLC / JBS USA Finance, Inc. (b)		6.5000	4/15/2029		21,725
	700,000	MARB Bond Co. PLC		7.0000	3/15/2024		730,247
	200,000	MARB Bond Co. PLC		6.8750	1/19/2025		208,646
	200,000	Minerva Luxembourg SA		6.5000	9/20/2026		208,280
	380,000	Mondelez International, Inc.		3.0000	5/7/2020		381,538
	55,000	Pilgrim’s Pride Corp. (b)		5.8750	9/30/2027		56,994
	15,000	Post Holdings, Inc. (b)		5.5000	12/15/2029		15,038
	280,000	Smithfield Foods, Inc. (b)		4.2500	2/1/2027		284,937
							3,049,423

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		FOOD SERVICE - 0.0% *
	35,000	Aramark Services, Inc. (b)		5.0000	4/1/2025		35,525

		FOREIGN GOVERNMENT - 0.4%
	300,000	Argentine Republic Government International Bond		5.6250	1/26/2022		252,903
	200,000	Argentine Republic Government International Bond		6.8750	1/26/2027		160,302
	100,000	Brazilian Government International Bond		4.8750	1/22/2021		103,950
	500,000	Colombia Government International Bond		4.3750	7/12/2021		517,755
	466,667	Dominican Republic International Bond		7.5000	5/6/2021		491,171
	700,000	Perusahaan Penerbit SBSN Indonesia III		3.4000	3/29/2022		710,563
							2,236,644
		FOREST PRODUCTS & PAPER - 0.2%
	300,000	Celulosa Arauco y Constitucion SA		4.5000	8/1/2024		315,375
	200,000	Celulosa Arauco y Constitucion SA (b)		5.5000	4/30/2049		210,500
	300,000	Inversiones CMPC SA/Cayman Islands Branch		4.3750	5/15/2023		311,608
							837,483
		GAS - 0.0% *
	80,000	Brooklyn Union Gas Co. (b)		4.4870	3/4/2049		89,992

		HAND/MACHINE TOOLS - 0.0% *
	30,000	Colfax Corp. (b)		6.0000	2/15/2024		31,725
	15,000	Colfax Corp (b)		6.3750	2/15/2026		16,087
							47,812
		HEALTHCARE - PRODUCTS - 0.1%
	30,000	Avantor, Inc. (b)		9.0000	10/1/2025		33,450
	555,000	Thermo Fisher Scientific, Inc.		3.6000	8/15/2021		567,860
							601,310
		HEALTHCARE - SERVICES - 0.1%
	410,000	Anthem, Inc.		2.5000	11/21/2020		410,816
	53,000	Centene Corp.		4.7500	1/15/2025		54,707
	15,000	Eagle Holding Co II LLC (b)		7.7500	5/15/2022		15,112
	150,000	HCA, Inc.		4.1250	6/15/2029		154,197
	45,000	HCA, Inc.		5.3750	9/1/2026		48,488
	35,000	MPH Acquisition Holdings LLC (b)		7.1250	6/1/2024		32,820
	55,000	WellCare Health Plans, Inc. (b)		5.3750	8/15/2026		58,300
							774,440
		HOLDING COMPANIES - 0.1%
	750,000	CK Hutchison Capital Securities 17 Ltd. (c)	5 Year Treasury Bond + 2.07	4.0000	11/12/2167		745,331

		HOME EQUITY ABS - 1.0%
	1,318,112	Accredited Mortgage Loan Trust 2005-4 (c)	1 Month LIBOR + 0.32	2.7244	12/25/2035		1,314,067
	141,235	Bayview Financial Acquisition Trust 2007-A 1A5 (f)		6.1010	5/28/2037		145,640
	2,838,162	GSAA Home Equity Trust 2006-18 AF6 (f,g)		5.6816	11/25/2036		1,296,640
	192,230	GSAA Home Equity Trust 2007-10 A1A		6.0000	11/25/2037		162,836
	1,305,160	Nomura Home Equity Loan Trust Series 2007-1 2A2 (c)	1 Month LIBOR + 0.16	2.5644	2/25/2037		1,227,771
							4,146,954
		HOME FURNISHINGS - 0.0% *
	55,000	Tempur Sealy International, Inc.		5.5000	6/15/2026		57,062

		INSURANCE - 0.3%
	40,000	Alliant Holdings Intermediate LLC (b)		8.2500	8/1/2023		40,988
	285,000	Athene Global Funding (b)		3.0000	7/1/2022		288,391
	270,000	AXA Equitable Holdings, Inc. (b)		3.9000	4/20/2023		281,300
	140,000	AXA Equitable Holdings, Inc.		3.9000	4/20/2023		145,859
	100,000	Liberty Mutual Group, Inc. (b)		6.5000	5/1/2042		132,555
	270,000	Marsh & McLennan Cos, Inc. (c)	3 Month LIBOR + 1.20	3.8010	12/29/2021		270,767
	65,000	Prudential Financial, Inc.		3.9050	12/7/2047		67,872
	175,000	Prudential Financial, Inc.		4.5000	11/16/2021		183,985
	130,000	Willis North America, Inc.		4.5000	9/15/2028		139,912
							1,551,629
		INTERNET - 0.1%
	415,000	eBay, Inc.		2.7500	1/30/2023		417,246

		INVESTMENT COMPANIES - 0.1%
	35,000	Icahn Enterprises LP (b)		6.2500	5/15/2026		35,481
	200,000	Grupo de Inversiones Suramericana SA		5.7000	5/18/2021		209,500
							244,981
		IRON/STEEL - 0.0% *
	100,000	CSN Islands XII Corp.		7.0000	12/23/2167		90,250

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		LEISURE TIME - 0.0% *
	150,000	Royal Caribbean Cruises Ltd.		3.7000	3/15/2028		151,106
	65,000	Viking Cruises Ltd. (b)		5.8750	9/15/2027		65,812
							216,918
		LODGING - 0.0% *
	200,000	Gohl Capital Ltd.		4.2500	1/24/2027		205,876
	25,000	Hilton Domestic Operating Co., Inc. (b)		4.2500	9/1/2024		25,375
							231,251
		MACHINERY - CONSTRUCTION & MINING - 0.1%
	135,000	John Deere Capital Corp.		3.4500	1/10/2024		141,798
	180,000	John Deere Capital Corp.		2.6000	3/7/2024		181,949
							323,747
		MEDIA - 0.5%
	45,000	CCO Holdings, LLC / CCO Holdings Capital Corp. (b)		5.7500	2/15/2026		47,194
	50,000	CCO Holdings, LLC / CCO Holdings Capital Corp. (b)		5.0000	2/1/2028		51,060
	25,000	Cengage Learning, Inc. (b)		9.5000	6/15/2024		23,750
	265,000	Charter Communications Operating LLC / Charter Communications Operating Capital		4.9080	7/23/2025		287,695
	380,000	Comcast Corp		3.4500	10/1/2021		390,989
	400,000	Comcast Corp		3.7000	4/15/2024		424,539
	60,000	CSC Holdings LLC		5.2500	6/1/2024		62,325
	600,000	Globo Comunicacao e Participacoes SA		4.8750	4/11/2022		618,006
	35,000	Gray Television, Inc. (b)		7.0000	5/15/2027		37,975
	10,000	iHeartCommunications Inc		6.3750	5/1/2026		10,613
	5,000	iHeartCommunications Inc		8.3750	5/1/2027		5,238
	40,000	Sirius XM Radio, Inc. (b)		5.3750	7/15/2026		41,450
	15,000	Sirius XM Radio, Inc. (b)		5.5000	7/1/2029		15,378
	581,000	VTR Finance BV		6.8750	1/15/2024		601,335
							2,617,547
		MINING - 0.3%
	900,000	Freeport-McMoRan, Inc.		4.5500	11/14/2024		920,025
	150,000	Freeport-McMoRan, Inc.		5.4000	11/14/2034		143,625
	60,000	Freeport-McMoRan, Inc.		5.4500	3/15/2043		54,900
	200,000	Nexa Resources Peru SAA		4.6250	3/28/2023		207,002
	200,000	Vedanta Resources PLC		7.1250	5/31/2023		196,800
	400,000	Vedanta Resources PLC		6.1250	8/9/2024		368,026
							1,890,378
		MISCELLANEOUS MANUFACTURING - 0.1%
	315,000	General Electric Co.		2.7000	10/9/2022		314,649
	140,000	General Electric Co.		5.8750	1/14/2038		158,056
							472,705
		MUNICIPAL - 0.2%
	1,650,000	Commonwealth of Puerto Rico (g)		8.0000	7/1/2035		853,875
	35,000	Missouri Highway & Transportation Commission		5.0630	5/1/2024		39,319
	50,000	State of California		7.5500	4/1/2039		79,156
							972,350
		OIL & GAS - 1.6%
	400,000	Bharat Petroleum Corp Ltd.		4.6250	10/25/2022		421,108
	200,000	Canacol Energy Ltd. (b)		7.2500	5/3/2025		208,000
	95,000	Cenovus Energy, Inc.		5.4000	6/15/2047		103,096
	300,000	CNOOC Finance 2012 Ltd.		3.8750	5/2/2022		309,231
	600,000	CNOOC Finance 2013 Ltd.		3.0000	5/9/2023		605,351
	800,000	CNPC General Capital Ltd.		3.9500	4/19/2022		827,433
	480,000	Delek & Avner Tamar Bond Ltd. (b)		4.4350	12/30/2020		487,009
	100,000	Delek & Avner Tamar Bond Ltd. (b)		5.4120	12/30/2025		103,719
	300,000	Ecopetrol SA		5.8750	9/18/2023		331,740
	200,000	Geopark Ltd.		6.5000	9/21/2024		206,000
	200,000	Gran Tierra Energy International Holdings Ltd. ****		0.0000	2/15/2025		186,250
	25,000	Gulfport Energy Corp.		6.3750	5/15/2025		19,344
	40,000	Hilcorp Energy I LP / Hilcorp Finance Co. (b)		6.2500	11/1/2028		40,200
	400,000	Indian Oil Corp Ltd.		5.7500	8/1/2023		437,812
	300,000	Indian Oil Corp Ltd.		4.7500	1/16/2024		314,787
	20,000	Indigo Natural Resources LLC (b)		6.8750	2/15/2026		17,950
	95,000	Marathon Petroleum Corp.		5.1250	12/15/2026		103,788
	15,000	Oasis Petroleum, Inc.		6.8750	3/15/2022		14,962
	800,000	ONGC Videsh Vankorneft Pte Ltd.		3.7500	5/7/2023		817,538
	133,333	Pan American Energy LLC/Argentina		7.8750	5/7/2021		138,167
	20,000	Parkland Fuel Corp. (b)		5.8750	7/15/2027		20,319
	15,000	Parsley Energy LLC (b)		5.6250	10/15/2027		15,675
	100,000	Petrobras Global Finance BV		5.2990	1/27/2025		106,100
	50,000	Petroleos Mexicanos		6.5000	6/2/2041		44,350
	700,000	PTTEP Treasury Center Co. Ltd. (c)	5 Year Treasury + 2.72	4.6000	1/17/2168		707,108
	30,000	QEP Resources, Inc.		5.6250	3/1/2026		28,200

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		OIL & GAS - 1.6% (Continued)
	650,000	Reliance Holding USA, Inc.		5.4000	2/14/2022		690,683
	500,000	Sinopec Group Overseas Development 2013 Ltd.		4.3750	10/17/2023		531,124
	35,000	Sunoco LP / Sunoco Finance Corp.		5.5000	2/15/2026		36,444
	15,000	Sunoco LP / Sunoco Finance Corp. (b)		6.0000	4/15/2027		15,750
	500,000	YPF SA		8.5000	3/23/2021		508,625
	100,000	YPF SA		8.5000	7/28/2025		100,170
							8,498,033
		OIL & GAS SERVICES - 0.1%
	270,000	Schlumberger Holdings Corp. (b)		3.7500	5/1/2024		281,334
	23,625	Transocean Guardian Ltd. (b)		5.8750	1/15/2024		24,009
	20,000	Transocean, Inc. (b)		7.2500	11/1/2025		18,950
	35,000	Transocean Poseidon Ltd. (b)		6.8750	2/1/2027		36,991
	45,000	USA Compression Partners LP / USA Compression Finance Corp. (b)		6.8750	9/1/2027		47,255
							408,539
		OTHER ABS - 18.5%
	216,348	AASET 2018-1 US Ltd. A (b)		3.8440	1/16/2038		217,078
	788,349	Adams Mill CLO Ltd. (b,c)	3 Month LIBOR + 1.10	3.6968	7/15/2026		788,786
	2,000,000	AIMCO CLO Series 2015-AA AR (b,c)	3 Month LIBOR + 0.85	3.4468	1/15/2028		1,997,300
	3,083,180	Ajax Mortgage Loan Trust 2016-C A (b,d)		3.9500	10/25/2058		3,098,664
	500,000	Anchorage Capital CLO 5 Ltd. 2014-5RA A (b,c)	3 Month LIBOR + 0.99	3.5867	1/15/2030		497,052
	342,029	Apidos CLO XVI 2013-16A A1R (b,c)	3 Month LIBOR + 0.98	3.5715	1/19/2025		342,422
	500,000	Apidos CLO XXI 2015-21A ER (b,c,i)	3 Month LIBOR + 8.25	10.8509	7/18/2027		482,420
	500,000	Apidos CLO XXIV 2016-24A DR (b,c)	3 Month LIBOR + 5.80	8.3915	10/20/2030		477,258
	500,000	Atrium XIII E (b,c)	3 Month LIBOR + 6.05	8.6415	11/21/2030		490,901
	500,000	Atrium XIV 14A E (b,c,i)	3 Month LIBOR + 5.65	8.2510	8/23/2030		475,726
	1,000,000	Avery Point VI CLO Ltd. 2015-6A AR (b,c)	3 Month LIBOR + 1.05	3.6151	8/5/2027		1,000,412
	1,000,000	Avery Point VII CLO 2015-7A A1 Ltd. (b,c)	3 Month LIBOR + 1.14	3.4434	1/15/2028		1,000,000
	500,000	Barings CLO Ltd 2018-III D (b,c)	3 Month LIBOR + 2.90	5.4915	7/20/2029		488,112
	1,000,000	Battalion CLO VII Ltd. 2014-7A A1RR (b,c)	3 Month LIBOR + 1.04	3.6280	7/17/2028		997,520
	1,000,000	Bayview Opportunity Master Fund IVa Trust 2019-SBR1 (b,f)		3.4748	6/28/2034		1,000,000
	748,000	BSPRT 2019-FL5 Issuer Ltd. (b,c)	1 Month LIBOR + 1.15	3.6280	5/9/2029		748,448
	1,000,000	California Street CLO IX LP (b,c)	3 Month LIBOR + 1.45	4.0510	10/16/2028		1,000,464
	500,000	Canyon Capital CLO 2016-1 Ltd DR (b,c)	3 Month LIBOR + 2.80	5.3967	7/15/2031		481,907
	500,000	Canyon Capital CLO 2016-1 Ltd ER (b,c,i)	3 Month LIBOR +5.75	8.3468	7/15/2031		456,042
	500,000	Canyon Capital CLO 2017-1A D Ltd. (b,c)	3 Month LIBOR + 3.60	6.1967	7/15/2030		501,479
	1,000,000	Carbone CLO Ltd. 2017-1A A1 (b,c)	3 Month LIBOR +1.14	3.7315	1/20/2031		994,251
	500,000	Carlyle Global Market Strategies CLO 2014-2R (b,c,i)	3 Month LIBOR +5.35	7.8680	5/15/2031		452,574
	1,000,000	Carlyle Global Market Strategies CLO 2015-1 Ltd. (b,c)	3 Month LIBOR + 1.00	3.5915	4/20/2027		1,001,727
	1,000,000	Carlyle US CLO 2017-1 Ltd. A1A (b,c)	3 Month LIBOR + 1.30	3.8915	4/20/2031		999,999
	1,000,000	Cathedral Lake CLO 2013 Ltd. (b,c)	3 Month LIBOR + 1.20	3.7968	10/15/2029		993,810
	2,000,000	Cathedral Lake V Ltd. 2018-5A (b,c)	3 Month LIBOR + 1.20	3.7915	10/21/2030		1,992,874
	335,368	CENT CLO 19 Ltd. 2013-19A A1A (b,c)	3 Month LIBOR + 1.33	3.9124	10/29/2025		335,593
	500,000	Chenango Park CLO Ltd. 2018-1A (b,c,i)	3 Month LIBOR + 5.80	8.3968	4/15/2030		471,469
	616,369	Citicorp Residential Mortgage Trust Series 2007-2 A4 (f)		5.0824	6/25/2037		620,270
	457,897	Consumer Loan Underlying Bond Credit Trust 2018-P1 A (b)		3.3900	7/15/2025		460,015
	884,891	Consumer Loan Underlying Bond Credit Trust 2018-P2 A (b)		3.4700	10/15/2025		890,100
	2,349	Countrywide Asset-Backed Certificates 2005-15 1AF6 (d)		4.4229	4/25/2036		2,359
	1,287,024	CSMC 2018-RPL8 Trust (b,d)		4.1250	7/25/2058		1,303,991
	500,000	Dorchester Park CLO Ltd 2015-1A DR (b,c)	3 Month LIBOR + 2.40	4.9915	4/20/2028		494,102
	500,000	Dryden 40 Senior Loan Fund 2015-40A (b,c,i)	3 Month LIBOR + 5.75	8.2680	8/15/2031		475,094
	500,000	Fillmore Park CLO Ltd 2018-1A D (b,c)	3 Month LIBOR + 2.90	5.4968	7/15/2030		486,990
	500,000	Fillmore Park CLO Ltd 2018-1A E (b,c,i)	3 Month LIBOR + 5.40	7.9967	7/18/2030		467,568
	2,500,000	GREYWOLF CLO VII Ltd. 2018-2A (b,c)	3 Month LIBOR + 1.18	3.7715	10/20/2031		2,489,032
	250,000	Halcyon Loan Advisors Funding 2013-2 Ltd. C (b,c)	3 Month LIBOR + 2.70	5.2790	8/1/2025		250,098
	121,547	Halcyon Loan Advisors Funding 2014-1 Ltd. A1 (b,c)	3 Month LIBOR + 1.13	3.7309	4/18/2026		121,622
	2,000,000	Halcyon Loan Advisors Funding 2015-3 Ltd. A1R (b,c)	3 Month LIBOR + 0.90	3.5009	10/18/2027		1,992,257
	1,500,000	Hayfin Kingsland VIII Ltd. (b,c)	3 Month LIBOR + 1.12	3.7115	4/20/2031		1,490,553
	500,000	Highbridge Loan Management 8-2016 Ltd. DR (b,c)	3 Month LIBOR + 2.90	5.4915	7/20/2030		478,614
	656,738	Hilton Grand Vacations Trust 2018-A (b)		3.5400	2/25/2032		676,466
	1,000,000	Horizon Aircraft Finance II Ltd. (b)		6.9000	7/15/2039		999,988
	953,014	Invitation Homes 2017-SFR2 Trust A (b,c)	1 Month LIBOR + 0.85	3.2443	12/17/2036		946,659
	1,444,032	Invitation Homes 2018-SFR1 Trust A (b,c)	1 Month LIBOR + 0.70	3.0943	3/17/2037		1,425,973
	255,000	Invitation Homes 2018-SFR1 Trust C (b,c)	1 Month LIBOR + 1.25	3.6443	3/17/2037		253,652
	170,000	Invitation Homes 2018-SFR1 Trust D (b,c)	1 Month LIBOR + 1.45	3.8442	3/17/2037		169,106
	2,000,000	Jamestown CLO Ltd. 2016-9A (b,c)	3 Month LIBOR + 1.50	4.0915	10/20/2028		2,001,160
	924,881	Jamestown CLO IV Ltd. 2014-4A A1A (b,c)	3 Month LIBOR + 0.69	3.2867	7/15/2026		922,629
	1,500,000	Jamestown CLO VIII Ltd 2015-8A A1AR (b,c)	3 Month LIBOR + 0.87	3.4667	1/15/2028		1,495,419
	1,050,000	Jamestown CLO VI-R Ltd 2018-6RA A1 (b,c)	3 Month LIBOR + 1.15	3.7303	4/25/2030		1,044,675
	1,000,000	Jefferson Mill CLO Ltd. 2015-1A (c)	3 Month LIBOR + 1.18	3.7561	10/20/2031		996,368
	982,500	Jimmy Johns Funding LLC 2017-1A (b)		3.6100	7/30/2047		992,207

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		OTHER ABS - 18.5% (Continued)
	1,547,551	JP Morgan Mortgage Acquisition Trust 2006-RM1 A5(c)	1 Month LIBOR + 0.24	2.6444	8/25/2036		914,903
	500,000	LCM Loan Income Fund I Income Note Issuer Ltd. (b,c)	3 Month LIBOR + 5.60	8.2010	7/16/2031		464,092
	500,000	LCM XIV LP DR (b,c)	3 Month LIBOR + 2.75	5.3415	7/20/2031		476,879
	500,000	LCM XIV LP ER (b,c,i)	3 Month LIBOR + 5.50	8.0915	7/20/2031		466,342
	500,000	LCM XVI LP AR (b,c)	3 Month LIBOR + 6.00	8.5967	10/15/2031		457,850
	2,945,793	Legacy Mortgage Asset Trust 2018-GS1 (b,f)		4.0000	3/25/2058		2,972,860
	1,394,420	Legacy Mortgage Asset Trust 2019-GS1 (b,f)		4.0000	1/25/2059		1,416,709
	1,933,442	Legacy Mortgage Asset Trust 2019-GS2 (b,f)		3.7500	1/25/2059		1,969,934
	789,000	LOANCORE 2018-CRE1 (b,d)		3.5242	5/15/2028		789,474
	747,000	LoanCore 2019-CRE2 Issuer Ltd. (b,c)	1 Month LIBOR + 1.50	3.9294	5/9/2036		747,934
	784,000	MACRE 2018-FL1 A (b,i)		3.5443	6/15/2028		786,956
	2,000,000	Madison Park Funding XI Ltd. AR (b,c,i)	3 Month LIBOR + 1.16	3.7515	7/23/2029		2,000,908
	183,209	Marlette Funding Trust 2018-1 A (b)		2.6100	3/15/2028		183,133
	471,125	Marlette Funding Trust 2018-3 A (b)		3.2000	9/15/2028		472,476
	838,590	Mill City Mortgage Loan Trust 2017-1 A1 (b,d)		2.7500	11/25/2058		836,715
	153,830	Mosaic Solar Loans 2017-1 LLC A (b)		4.4500	6/20/2042		159,951
	500,000	Myers Park CLO Ltd. 2018-1A (b,c)	3 Month LIBOR + 5.50	8.0915	10/20/2030		470,053
	1,000,000	Ocean Trails CLO V 2014-5A (b,c)	3 Month LIBOR + 1.28	3.8768	10/13/2031		1,003,650
	1,000,000	OCP CLO 2014-5 Ltd. A1R (b,c)	3 Month LIBOR + 1.08	3.6664	4/26/2031		990,362
	500,000	Octagon Investment Partners XIV Ltd. 2012-1A CR (b,c)	3 Month LIBOR + 4.00	6.5968	7/15/2029		500,234
	500,000	Octagon Investment Partners XVI Ltd 2013-1A ER (b,c,i)	3 Month LIBOR + 5.75	8.3380	7/17/2030		468,145
	500,000	Octagon Investment Partners 26 Ltd 2016-1A FR (b,c,i)	3 Month LIBOR + 8.09	10.6868	7/15/2030		461,675
	500,000	Octagon Investment Partners 37 Ltd. 2018-2A C (b,c)	3 Month LIBOR + 2.85	5.4303	7/25/2030		483,616
	273,587	Palmer Square Loan Funding 2017-1 Ltd A1 (b,c)	3 Month LIBOR + 0.74	3.3368	10/15/2025		273,316
	2,000,000	Park Avenue Institutional Advisers CLO Ltd 2016-1 (b,c)	3 Month LIBOR + 1.20	3.7235	8/23/2031		1,997,951
	2,000,000	Park Avenue Institutional Advisers CLO Ltd 2018-1 (b,c)	3 Month LIBOR + 1.28	3.8715	10/20/2031		1,996,259
	1,240,035	Pretium Mortgage Credit Partners I 2018-NPL2 LLC A1 (b,e,f)		4.1250	8/27/2033		1,248,459
	1,904,812	Pretium Mortgage Credit Partners I 2018-NPL3 LLC A1 (b,e,f)		3.8441	12/25/2058		1,909,164
	504,021	Prosper Marketplace Issuance Trust Series 2018-2 (b)		3.3500	10/15/2024		505,861
	1,143,965	Prosper Marketplace Issuance Trust Series 2019-1 (b)		3.5400	4/15/2025		1,149,194
	500,000	Prosper Marketplace Issuance Trust Series 2019-2 (b)		3.2000	9/15/2025		500,992
	3,320,000	Race Point IX CLO 2015-9A A1AR Ltd. (b,c)	3 Month LIBOR + 1.21	3.8068	10/15/2030		3,320,543
	1,000,000	Regatta XIV Funding Ltd. 2018-3A (b,c)	3 Month LIBOR + 1.19	3.7703	10/25/2031		997,001
	1,000,000	Romark WM-R Ltd 2018-1A A1 (b,c)	3 Month LIBOR + 1.03	3.6215	4/20/2031		991,675
	554,961	SCF Equipment Leasing 2017-2A A LLC (b)		3.4100	12/20/2023		560,410
	2,000,000	Shackleton 2016-IX CLO Ltd. A (b,c)	3 Month LIBOR + 1.50	4.0915	10/20/2028		2,008,647
	196,461	Sierra Timeshare 2016-2 Receivables Funding LLC (b)		2.3300	7/20/2033		195,761
	482,427	Sierra Timeshare 2016-3 Receivables Funding LLC (b)		2.4300	10/20/2033		480,915
	203,425	Sofi Consumer Loan Program 2016-3 A LLC (b)		3.0500	12/26/2025		204,343
	43,149	Sofi Consumer Loan Program 2017-5 A1 LLC (b)		2.1400	9/25/2026		43,123
	48,964	Sofi Consumer Loan Program 2017-6 A1 LLC (b)		2.2000	11/25/2026		48,930
	375,000	Sofi Consumer Loan Program 2017-6 A2 LLC (b)		2.8200	11/25/2026		375,708
	184,323	Sofi Consumer Loan Program 2018-1 Trust A1 (b)		2.5500	2/25/2027		184,233
	442,014	Sofi Consumer Loan Program 2018-3 Trust A1 (b)		3.2000	8/25/2027		443,449
	531,278	Springleaf Funding Trust 2016-A (b)		2.9000	11/15/2029		531,806
	1,000,000	Steele Creek CLO 2018-2 Ltd (b,c)	3 Month LIBOR + 1.20	3.7196	8/18/2031		998,143
	2,000,000	TES 2017-1A B LLC (b)		7.7400	10/20/2047		2,106,709
	500,000	THL Credit Wind River 2014-1 CLO Ltd. DRR (b,c)	3 Month LIBOR + 3.00	5.6009	7/18/2031		475,834
	500,000	THL Credit Wind River 2018-2 CLO Ltd. A (b,c,i)	3 Month LIBOR + 5.75	8.3468	7/15/2030		462,881
	416,185	Triton Container Finance IV LLC 2017-2A (b)		3.6200	8/20/2042		421,165
	1,000,000	Vibrant CLO V Ltd. 2016-5A (b,c)	3 Month LIBOR + 1.55	4.1415	1/20/2029		1,001,332
	1,264,157	VOLT LXIV LLC 2017-NP 11 (b,f)		3.3750	10/25/2047		1,268,108
	914,911	VOLT LXXIII LLC 2018-NPL9 A1 (b,f)		4.4583	10/25/2048		923,462
	1,275,873	VOLT LXXV LLC 2019-NPL1 A1 (b,f)		4.3357	1/25/2049		1,293,107
	500,000	Voya CLO 2018-2 Ltd. D (b,c)	3 Month LIBOR + 2.75	5.3467	7/15/2031		480,088
	500,000	Voya CLO 2018-2 Ltd. E (b,c)	3 Month LIBOR + 5.25	7.8468	7/15/2031		467,348
	500,000	Voya CLO 2019-2 Ltd. (b,c,i)	3 Month LIBOR + 6.60	8.8529	7/20/2032		500,000
	2,000,000	Wellfleet CLO 2016-1 Ltd. AR (b,c)	3 Month LIBOR + 0.91	3.5015	4/20/2028		1,992,295
	716,169	Zais CLO 2 Ltd. 2014-2A A1AR (b,c)	3 Month LIBOR + 1.20	3.7802	7/25/2026		716,607
							100,300,925
		PACKAGING & CONTAINERS - 0.1%
	29,000	Crown Americas LLC		4.7500	2/1/2026		29,797
	20,000	Flex Acquisition Co., Inc. (b)		6.8750	1/15/2025		18,100
	610,000	Packaging Corp. of America		2.4500	12/15/2020		609,500
	135,000	WestRock Co. (b)		3.7500	3/15/2025		131,964
							789,361

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		PHARMACEUTICALS - 0.6%
	149,000	AbbVie, Inc.		4.7000	5/14/2045		151,685
	600,000	AstraZeneca PLC		2.3750	11/16/2020		600,091
	15,000	Bausch Health Cos. Inc. (b)		7.0000	3/15/2024		15,939
	10,000	Bausch Health Cos. Inc. (b)		5.7500	8/15/2027		10,510
	20,000	Bausch Health Cos. Inc. (b)		7.0000	1/15/2028		20,725
	20,000	Bausch Health Cos. Inc. (b)		7.2500	5/30/2029		20,800
	365,000	Bristol-Myers Squibb Co. (b)		2.6000	5/16/2022		369,632
	575,000	Cardinal Health, Inc.		2.6160	6/15/2022		578,453
	360,000	Cigna Corp. (b)		3.4000	9/17/2021		367,019
	215,000	Cigna Corp. (b,c)	3 Month LIBOR + 0.89	3.4868	7/15/2023		214,814
	205,000	Cigna Corp. (b)		4.9000	12/15/2048		222,906
	400,000	CVS Health Corp.		2.8000	7/20/2020		401,022
							2,973,596
		PIPELINES - 0.2%
	250,000	AI Candelaria Spain SLU		7.5000	12/15/2028		275,000
	35,000	Antero Midstream Partners LP (b)		5.7500	3/1/2027		35,000
	30,000	Cheniere Energy Partners LP		5.2500	10/1/2025		31,012
	15,000	Cheniere Energy Partners LP (b)		5.6250	10/1/2026		15,825
	90,000	Energy Transfer LP		4.7500	1/15/2026		96,443
	90,000	EQM Midstream Partners LP		4.7500	7/15/2023		93,587
	80,000	Kinder Morgan Energy Partners LP		6.9500	1/15/2038		102,573
	15,000	NGL Energy Partners LP (b)		7.5000	4/15/2026		15,525
	200,000	Oleoducto Central SA		4.0000	5/7/2021		203,202
	105,000	Sabine Pass Liquefaction LLC		5.0000	3/15/2027		115,128
							983,295
		REGIONAL - 0.0% *
	150,000	Provincia de Buenos Aires/Argentina		7.8750	6/15/2027		110,251

		REITS - 0.2%
	35,000	Alexandria Real Estate Equities, Inc.		4.8500	4/15/2049		40,125
	190,000	Alexandria Real Estate Equities, Inc.		4.0000	1/15/2024		200,971
	140,000	American Tower Corp.		3.9500	3/15/2029		146,547
	145,000	Crown Castle International Corp.		3.6500	9/1/2027		149,320
	60,000	ESH Hospitality, Inc. (b)		5.2500	5/1/2025		61,425
	50,000	MPT Operating Partnership LP / MPT Finance Corp.		5.2500	8/1/2026		52,125
	150,000	Public Storage		3.3850	5/1/2029		156,674
	270,000	Welltower, Inc.		3.9500	9/1/2023		284,031
							1,091,218
		RETAIL - 0.1%
	30,000	1011778 BC ULC / New Red Finance, Inc. (b)		5.0000	10/15/2025		30,234
	40,000	Beacon Roofing Supply, Inc. (b)		4.8750	11/1/2025		39,600
	10,000	Carvana Co. (b)		8.8750	10/1/2023		10,103
	265,000	Dollar Tree Inc		4.0000	5/15/2025		276,235
	50,000	Golden Nugget, Inc. (b)		6.7500	10/15/2024		51,500
	145,000	Home Depot, Inc.		3.9000	6/15/2047		156,932
	20,000	PetSmart, Inc. (b)		7.1250	3/15/2023		18,750
	10,000	PetSmart, Inc. (b)		5.8750	6/1/2025		9,700
	30,000	Staples, Inc. (b)		7.5000	4/15/2026		29,823
							622,877
		SEMICONDUCTORS - 0.2%
	380,000	Analog Devices Inc		2.9500	1/12/2021		383,456
	370,000	Microchip Technology, Inc. (b)		3.9220	6/1/2021		376,640
	140,000	NXP BV / NXP Funding LLC (b)		3.8750	6/18/2026		143,885
							903,981
		SOFTWARE - 0.0% *
	10,000	CDK Global, Inc. (b)		5.2500	5/15/2029		10,362
	20,000	Dun & Bradstreet Corp. (b)		6.8750	8/15/2026		21,125
	30,000	Genesys Telecommunications Laboratories Inc/Greeneden Lux 3 Sarl/Greeneden US Ho (b)		10.0000	11/30/2024		32,588
	30,000	Informatica LLC (b)		7.1250	7/15/2023		30,530
							94,605
		STUDENT LOAN ABS - 1.0%
	721,637	AccessLex Institute 2004-2 A3 (c)	3 Month LIBOR + 0.19	2.7703	10/25/2024		709,650
	582,942	AccessLex Institute 2007-A B (c)	3 Month LIBOR + 0.55	3.0706	2/25/2037		561,557
	652,832	Commonbond Student Loan Trust 2017-BGS C (b)		2.6800	9/25/2042		653,249
	833,211	Commonbond Student Loan Trust 2017-B-GS (b)		4.4400	9/25/2042		830,697
	12,000	Earnest Student Loan Program 2016-D LLC (b) ****		0.0000	1/25/2041		406,080
	232,886	Earnest Student Loan Program 2017-A LLC (b,i)		2.6500	1/25/2041		232,537
	300,000	SMB Private Education Loan Trust 2018-B A2B (b,c)	1 Month LIBOR + 0.72	3.1142	1/15/2037		298,997
	97,793	Sofi Professional Loan Program 2017-B LLC (b)		1.8300	5/25/2040		97,651
	1,115,019	Sofi Professional Loan Program 2018-D Trust (b)		3.1200	2/25/2048		1,124,184
	5,007	Wachovia Student Loan Trust 2006-1 A5 (b,c)	3 Month LIBOR + 0.12	2.7002	7/26/2027		5,006
							4,919,608

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		TELECOMMUNICATIONS - 0.9%
	410,000	AT&T, Inc.		2.8000	2/17/2021		412,568
	260,000	AT&T, Inc.		5.2500	3/1/2037		291,798
	500,000	Bharti Airtel Inernational Netherlands BV		5.1250	3/11/2023		525,440
	600,000	C&W Senior Financing DAC		7.5000	10/15/2026		625,500
	200,000	C&W Senior Financing DAC		6.8750	9/15/2027		206,520
	25,000	CommScope Finance LLC (b)		5.5000	3/1/2024		25,656
	5,000	CommScope Finance LLC (b)		6.0000	3/1/2026		5,125
	200,000	Comunicaciones Celulares SA Via Comcel Trust		6.8750	2/6/2024		206,750
	200,856	Digicel Group Ltd. (b)		9.1250	4/1/2024		42,180
	400,000	Empresa Nacional de Telecomunicaciones SA		4.8750	10/30/2024		421,827
	20,000	Frontier Communications Corp. (b)		8.0000	4/1/2027		20,800
	25,000	Gogo Intermediate Holdings LLC (b)		9.8750	5/1/2024		25,719
	30,000	GTT Communications, Inc. (b)		7.8750	12/31/2024		24,525
	20,000	Level 3 Financing, Inc.		5.3750	1/15/2024		20,450
	400,000	Millicom International Cellular SA		6.0000	3/15/2025		415,200
	200,000	Millicom International Cellular SA		6.6250	10/15/2026		217,980
	200,000	Millicom International Cellular SA		5.1250	1/15/2028		202,500
	25,000	Sprint Capital Corp.		6.8750	11/15/2028		25,695
	45,000	Sprint Corp.		7.1250	6/15/2024		47,713
	200,000	Telefonica Celular del Paraguay S.A. (b)		5.8750	4/15/2027		208,500
	45,000	Telesat Canada / Telesat LLC (b)		8.8750	11/15/2024		48,712
	375,000	Verizon Communications, Inc. (c)	3 Month LIBOR + 1.10	3.6180	5/15/2025		379,819
	210,000	Verizon Communications, Inc.		4.2720	1/15/2036		227,452
							4,628,429
		TOYS/GAMES/HOBBIES - 0.0% *
	145,000	Hasbro, Inc.		3.5000	9/15/2027		147,148

		TRANSPORTATION - 0.2%
	160,000	CSX Corp.		3.8000	11/1/2046		161,982
	235,000	FedEx Corp.		3.4000	1/14/2022		240,928
	200,000	JSL Europe SA		7.7500	7/26/2024		205,750
	380,000	Union Pacific Corp.		3.2000	6/8/2021		386,771
							995,431
		TRUCKING & LEASING - 0.1%
	400,000	Avolon Holdings Funding Ltd. (b)		3.6250	5/1/2022		405,440
	37,000	Avolon Holdings Funding Ltd. (b)		5.1250	10/1/2023		39,165
	35,000	Avolon Holdings Funding Ltd. (b)		5.2500	5/15/2024		37,394
	95,000	Avolon Holdings Funding Ltd. (b)		3.9500	7/1/2024		97,335
	135,000	Penske Truck Leasing Co. Lp / PTL Finance Corp. (b)		4.2000	4/1/2027		140,327
							719,661
		U.S. GOVERNMENT AGENCY - 8.7%
	258,941	Fannie Mae REMICS 2005-2S (c,e,h)	1 Month LIBOR + 6.60	4.1956	2/25/2035		45,254
	818,855	Fannie Mae REMICS 2005-104 NI (c,e,h)	1 Month LIBOR + 6.70	4.2956	3/25/2035		26,167
	461,880	Fannie Mae REMICS 2006-99 AS (c,e,h)	1 Month LIBOR + 6.58	4.1756	10/25/2036		87,729
	270,417	Fannie Mae REMICS 2006-119 PS (c,e,h)	1 Month LIBOR + 6.70	4.2956	12/25/2036		48,186
	499,773	Fannie Mae REMICS 2006-126 CS (c,e,h)	1 Month LIBOR + 6.70	4.2956	1/25/2037		85,061
	314,379	Fannie Mae REMICS 2009-41 ZA (e)		4.5000	6/25/2039		325,453
	260,425	Fannie Mae REMICS 2009-98 DZ (e)		4.5000	12/25/2039		268,818
	451,010	Fannie Mae REMICS 2010-76 ZK (e)		4.5000	7/25/2040		482,723
	278,061	Fannie Mae REMICS 2010-115 SE (c,e,h)	1 Month LIBOR + 6.00	3.5956	10/25/2040		47,965
	126,856	Fannie Mae REMICS 2010-134 CS (c,e,h)	1 Month LIBOR + 6.68	4.2756	12/25/2025		10,968
	126,856	Fannie Mae REMICS 2010-134 SE (c,e,h)	1 Month LIBOR + 6.65	4.2456	12/25/2025		10,947
	256,590	Fannie Mae REMICS 2010-142 SC (c,e,h)	1 Month LIBOR + 6.60	4.1956	12/25/2040		55,691
	254,144	Fannie Mae REMICS 2011-18 UZ (e)		4.0000	3/25/2041		266,047
	362,206	Fannie Mae REMICS 2011-74 KL (e)		5.0000	6/25/2040		389,624
	599,023	Fannie Mae REMICS 2011-93 ES (c,e,h)	1 Month LIBOR + 6.50	4.0956	9/25/2041		107,898
	586,400	Fannie Mae REMICS 2011-111 EZ (e)		5.0000	11/25/2041		649,523
	834,629	Fannie Mae REMICS 2012-3 DS (c,e,h)	1 Month LIBOR + 5.95	3.5456	2/25/2042		117,122
	2,699,462	Fannie Mae REMICS 2012-20 SA (c,e,h)	1 Month LIBOR + 6.45	4.0456	3/25/2042		390,470
	926,305	Fannie Mae REMICS 2012-56 FK (c,e)	1 Month LIBOR + 0.45	2.8544	6/25/2042		925,859
	1,423,735	Fannie Mae REMICS 2012-103 ZP (e)		3.0000	9/25/2042		1,408,966
	1,361,869	Fannie Mae REMICS 2013-74 YS (c,e)	1 Month LIBOR + 6.00	2.3934	7/25/2043		1,257,638
	601,482	Fannie Mae REMICS 2013-122 DS (c,e)	1 Month LIBOR + 5.40	2.5147	7/25/2043		523,483
	868,148	Fannie Mae REMICS 2014-73 PS (c,e,h)	1 Month LIBOR + 6.20	3.7956	11/25/2044		129,774
	1,421,180	Fannie Mae REMICS 2015-95 AP (e)		3.0000	8/25/2042		1,440,909
	2,166,358	Fannie Mae REMICS 2016-73 DZ (e)		3.0000	10/25/2046		2,107,922
	775,904	Fannie Mae REMICS 2016-81 JF (e)		3.0000	2/25/2044		794,316
	1,346,356	Fannie Mae REMICS 2018-15 JF (c,e)	1 Month LIBOR + 0.30	2.7044	3/25/2048		1,338,408
	915,767	Fannie Mae REMICS 2018-21 PO (e) ***		0.0000	4/24/2048		776,698
	864,693	Fannie Mae REMICS 2018-27 JA (e)		3.0000	12/25/2047		876,291

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)			Spread	Interest Rate	Maturity	Value ($)
		U.S. GOVERNMENT AGENCY - 8.7% (Continued)
	865,849	Fannie Mae REMICS 2018-36 A (e)		3.0000	6/25/2048		882,497
	886,490	Fannie Mae REMICS 2018-49 FB (c,e)	1 Month LIBOR + 0.30	2.7044	7/25/2048		882,230
	1,061,006	Fannie Mae REMICS 2018-55 FA (c,e)	1 Month LIBOR + 0.30	2.7044	8/25/2048		1,058,045
	1,403,043	Fannie Mae REMICS 2018-64 FA (c,e)	1 Month LIBOR + 0.35	2.7544	9/25/2048		1,402,729
	10,062,302	Freddie Mac Multifamily Structured Pass Through Certificates K722 X1 (d,e,h)		1.4378	3/25/2023		392,146
	197,851	Freddie Mac REMICS 2663 ZP (e)		5.0000	8/15/2033		213,051
	96,102	Freddie Mac REMICS 2909 Z (e)		5.0000	12/15/2034		104,032
	191,774	Freddie Mac REMICS 3257 SI (c,e,h)	1 Month LIBOR + 6.32	3.9257	12/15/2036		31,361
	789,718	Freddie Mac REMICS 3404 SA (c,e,h)	1 Month LIBOR + 6.00	3.6057	1/15/2038		116,922
	737,746	Freddie Mac REMICS 3753 SB (c,e,h)	1 Month LIBOR + 6.00	3.6057	11/15/2040		125,642
	127,747	Freddie Mac REMICS 3770 SP (c,e,h)	1 Month LIBOR + 6.50	4.1057	11/15/2040		12,720
	903,021	Freddie Mac REMICS 3792 SE (c,e)	1 Month LIBOR + 9.86	5.0715	1/15/2041		1,054,433
	45,819	Freddie Mac REMICS 3818 JA (e)		4.5000	1/15/2040		45,965
	444,942	Freddie Mac REMICS 3926 FS (c,e,h)	1 Month LIBOR + 6.58	4.1857	9/15/2041		84,966
	433,370	Freddie Mac REMICS 3957 DZ (e)		3.5000	11/15/2041		445,987
	430,474	Freddie Mac REMICS 3957 HZ (e)		4.0000	11/15/2041		473,438
	780,344	Freddie Mac REMICS 3984 DS (c,e,h)	1 Month LIBOR + 5.95	3.5557	1/15/2042		119,860
	1,340,236	Freddie Mac REMICS 3998 AZ (e)		4.0000	2/15/2042		1,463,134
	1,794,566	Freddie Mac REMICS 4089 SH (c,e,h)	1 Month LIBOR + 6.00	3.6057	8/15/2042		271,138
	1,009,903	Freddie Mac REMICS 4096 MS (c,e)	1 Month LIBOR + 2.57	1.1771	8/15/2042		867,798
	449,322	Freddie Mac REMICS 4229 MS (c,e)	1 Month LIBOR + 7.70	3.5101	7/15/2043		462,008
	2,494,160	Freddie Mac REMICS 4255 GS (c,e,h)	1 Month LIBOR + 6.15	3.7558	9/15/2043		372,771
	565,573	Freddie Mac REMICS 4291 MS (c,e,h)	1 Month LIBOR + 5.90	3.5057	1/15/2054		89,991
	1,756,390	Freddie Mac REMICS 4314 MS (c,e,h)	1 Month LIBOR + 6.10	3.7058	7/15/2043		186,491
	930,866	Freddie Mac REMICS 4391 MA (e)		3.0000	7/15/2040		947,605
	2,000,000	Freddie Mac REMICS 4435 SA (c,e)	1 Month LIBOR + 9.90	5.1115	1/15/2041		2,393,790
	5,729,910	Freddie Mac REMICS 4440 ZD (e)		2.5000	2/15/2045		5,446,386
	3,019,395	Freddie Mac REMICS 4703 FA (c,e)	1 Month LIBOR + 0.35	2.7443	7/15/2047		3,007,871
	857,149	Freddie Mac REMICS 4734 A (e)		3.0000	7/15/2042		868,069
	876,737	Freddie Mac REMICS 4768 FG (c,e)	1 Month LIBOR + 0.30	2.6943	3/15/2048		870,862
	1,366,732	Freddie Mac REMICS 4818 FC (c,e)	1 Month LIBOR + 0.30	2.6943	4/15/2048		1,363,664
	1,646,230	Government National Mortgage Association 2010-35 DS (c,e,h)	1 Month LIBOR + 5.68	3.2971	3/20/2040		257,809
	2,513,671	Government National Mortgage Association 2010-121 SE (c,e,h)	1 Month LIBOR + 6.00	3.6171	9/20/2040		418,829
	1,436,129	Government National Mortgage Association 2011-69 SC (c,e,h)	1 Month LIBOR + 5.38	2.9971	5/20/2041		173,790
	1,416,793	Government National Mortgage Association 2013-102 BS (c,e,h)	1 Month LIBOR + 6.15	3.7671	3/20/2043		169,759
	2,376,032	Government National Mortgage Association 2013-119 TZ (e)		3.0000	8/20/2043		2,397,997
	186,580	Government National Mortgage Association 2013-120 GS (c,e)	1 Month LIBOR + 5.40	2.5405	8/20/2043		177,849
	345,698	Government National Mortgage Association 2013-148 DS (c,e,h)	1 Month LIBOR + 5.68	3.2857	10/16/2043		53,110
	1,428,560	Government National Mortgage Association 2013-186 SG (c,e,h)	1 Month LIBOR + 6.25	3.8558	2/16/2043		183,460
	1,777,505	Government National Mortgage Association 2014-5 SA (c,e,h)	1 Month LIBOR + 5.55	3.1671	1/20/2044		234,362
	2,139,442	Government National Mortgage Association 2014-58 SG (c,e,h)	1 Month LIBOR + 5.60	3.2057	4/16/2044		298,726
	1,802,298	Government National Mortgage Association 2014-76 SA (c,e,h)	1 Month LIBOR + 5.60	3.2171	1/20/2040		270,983
	763,715	Government National Mortgage Association 2014-95 CS (c,e,h)	1 Month LIBOR + 6.25	3.8558	6/16/2044		117,502
	1,651,649	Government National Mortgage Association 2014-145 CS (c,e,h)	1 Month LIBOR + 5.60	3.2057	5/16/2044		226,611
	988,274	Government National Mortgage Association 2014-156 PS (c,e,h)	1 Month LIBOR + 6.25	3.8671	10/20/2044		150,178
	7,159,439	Government National Mortgage Association 2014-164 SW (c,e,h)	1 Month LIBOR + 6.10	3.7171	12/20/2048		1,022,658
							47,207,135
		U.S. GOVERNMENT AGENCY OBLIGATIONS - 0.8%
	106,028	Fannie Mae Pool AL4292 (e)		4.5000	4/1/2026		110,500
	508,454	Fannie Mae Pool AS4281 (e)		3.0000	1/1/2035		517,815
	912,810	Fannie Mae Pool AS4360 (e)		3.0000	1/1/2035		929,615
	658,394	Fannie Mae Pool AS4645(e)		3.0000	3/1/2045		668,101
	800,126	Fannie Mae Pool AS7661 (e)		3.0000	8/1/2046		800,805
	47,660	Fannie Mae Pool MA1050 (e)		4.5000	3/1/2042		49,198
	656,809	Freddie Mac Gold Pool G61645 (e)		4.0000	10/1/2048		682,754
	158,941	Freddie Mac Gold Pool N70081 (e)		5.5000	7/1/2038		172,499
	258,443	Freddie Mac Gold Pool Q13637 (e)		3.0000	11/1/2042		263,056
	264,680	Freddie Mac Gold Pool Q13638 (e)		3.0000	11/1/2042		269,405
							4,463,748
		TREASURY SECURITIES - 4.6%
	860,000	United States Treasury Bond		2.6250	2/28/2023		887,177
	1,020,000	United States Treasury Bond		2.5000	3/31/2023		1,048,448
	1,010,000	United States Treasury Bond		2.7500	2/15/2028		1,073,914
	90,000	United States Treasury Bond		2.7500	11/15/2042		94,345
	670,000	United States Treasury Bond		3.1250	2/15/2043		747,102
	570,000	United States Treasury Bond		3.6250	8/15/2043		688,030
	530,000	United States Treasury Bond		3.7500	11/15/2043		652,438
	210,000	United States Treasury Bond		2.7500	11/15/2047		219,196
	510,000	United States Treasury Inflation Indexed Note		0.8750	1/15/2029		543,280
	930,000	United States Treasury Inflation Indexed Note		1.0000	2/15/2046		1,050,866
	680,000	United States Treasury Note		1.3750	2/15/2020		677,078

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)				Interest Rate	Maturity	Value ($)
		TREASURY SECURITIES - 4.6% (Continued)
	1,300,000	United States Treasury Note		2.2500	3/31/2020		1,302,184
	1,000,000	United States Treasury Note		2.7500	4/30/2023		1,037,500
	2,110,000	United States Treasury Note		1.6250	4/30/2023		2,101,675
	830,000	United States Treasury Note		1.6250	5/31/2023		826,725
	3,310,000	United States Treasury Note		2.2500	12/31/2023		3,381,372
	1,050,000	United States Treasury Note		1.8750	8/31/2024		1,055,250
	1,060,000	United States Treasury Note		2.1250	9/30/2024		1,077,970
	1,245,000	United States Treasury Note		2.2500	10/31/2024		1,274,034
	1,210,000	United States Treasury Note		3.0000	9/30/2025		1,292,715
	185,000	United States Treasury Note		2.6250	1/31/2026		193,795
	1,040,000	United States Treasury Note		2.3750	5/15/2027		1,075,222
	1,345,000	United States Treasury Note		2.2500	8/15/2027		1,377,627
	1,060,000	United States Treasury Note		2.2500	11/15/2027		1,085,175
							24,763,118
		WHOLE LOAN COLLATERAL - 11.4%
	369,561	Adjustable Rate Mortgage Trust 2005-2 6M2 (c)	1 Month LIBOR + 0.98	3.4098	6/25/2035		366,041
	864,473	Alternative Loan Trust 2006-14CB		6.0000	6/25/2036		696,334
	1,490,142	Alternative Loan Trust 2006-41CB		6.0000	1/25/2037		1,243,806
	1,449,878	Alternative Loan Trust 2006-41CB		5.7500	1/25/2037		1,210,412
	155,717	Alternative Loan Trust 2007-J2		6.0000	7/25/2037		152,685
	2,219,318	American Home Mortgage Investment Trust 2006-1 2A1 (c)	6 Month LIBOR + 1.75	4.2937	12/25/2035		989,226
	236,004	Angel Oak Mortgage Trust I LLC 2018-3 (b,d)		3.6490	9/25/2048		238,716
	275,338	Angel Oak Mortgage Trust I LLC 2018-3 (b,d)		3.7510	9/25/2048		278,494
	275,338	Angel Oak Mortgage Trust I LLC 2018-3 (b,d)		3.8530	9/25/2048		278,486
	780,660	Arroyo Mortgage Trust 2018-1 A3 (b,d)		4.2180	4/25/2048		799,896
	1,500,000	Bank of America Funding 2005-B 3M1 Trust (c)	1 Month LIBOR + 0.68	3.0579	4/20/2035		1,454,572
	252,474	Bank of America Funding 2006-3A1 Trust		5.7500	3/25/2036		265,744
	1,040,076	Bank of America Funding 2007-1 Trust TA3B (f)		5.9426	1/25/2037		1,038,345
	1,774,856	BCAP LLC 2010-RR6 Trust 1716 (b,d)		6.0000	7/26/2036		1,397,978
	53,805	Bear Stearns Asset Backed Securities I Trust 2004-AC2 2A		5.0000	5/25/2034		55,630
	414,495	CHL Mortgage Pass-Through Trust 2007-5		5.7500	5/25/2037		344,102
	454,670	CHL Mortgage Pass-Through Trust 2007-12		5.7500	8/25/2037		399,288
	2,000,000	CIM Trust 2016-1RR B2 (b,d)		7.4525	7/26/2055		2,041,605
	2,000,000	CIM Trust 2016-2RR B2 (b,d)		8.2727	2/27/2056		2,048,188
	2,000,000	CIM Trust 2016-3RR B2 (b,d)		7.3124	2/27/2056		2,041,698
	2,197,271	CIM Trust 2017-8 A1 (b,d)		3.0000	12/25/2065		2,192,384
	1,051	Citicorp Mortgage Securities Trust Series 2007-2 3A1		5.5000	2/25/2037		1,044
	1,077,419	Citigroup Mortgage Loan Trust 2011-12 1A2 (b,d)		4.1258	4/25/2036		943,508
	2,891,524	Citigroup Mortgage Loan Trust 2018-A (b,d)		4.0000	1/25/2068		2,929,718
	84,348	CitiMortgage Alternative Loan Trust Series 2007-A1 2A1		5.5000	1/25/2022		83,923
	370,714	Civic Mortgage LLC 2018-1 A1 (b,e,f)		3.8915	6/25/2022		369,933
	664,384	COLT 2018-3 Mortgage Loan Trust (b,d)		3.7630	10/26/2048		673,554
	590,564	COLT 2018-3 Mortgage Loan Trust (b,d)		3.8650	10/26/2048		598,701
	722,821	Credit Suisse First Boston Mortgage Securities Corp. 2002-AR28 2A1 (d)		4.5223	11/25/2032		722,605
	134,545	Credit Suisse First Boston Mortgage Securities Corp. 2005-8 1A3		5.2500	9/25/2035		123,743
	778,527	CSFB Mortgage-Backed Pass-Through Certificates Series 2005-9 5A12		5.5000	10/25/2035		693,007
	151,504	CSMC Mortgage-Backed Trust 2006-7 1A3		5.0000	8/25/2036		143,078
	314,963	CSMC Mortgage-Backed Trust 2006-9 2A1		5.5000	11/25/2036		267,796
	366,702	CSMC Mortgage-Backed Trust 2007-1 5A14		6.0000	2/25/2037		322,520
	233,499	CSMC Series 2010-4R 3A17 (b,d)		6.0000	6/26/2037		218,987
	1,000,000	CSMC Series 2011-12R 3A5 (b,d)		3.7567	7/27/2036		993,983
	52,384	CSMC Trust 2013-3R 1A1 (b,d)		3.6066	4/27/2035		52,570
	699,639	Deephaven Residential Mortgage Trust 2018-3 (b,d)		3.8910	8/25/2058		708,002
	539,478	Ellington Financial Mortgage Trust 2017-1 A1 (b,d)		2.6870	10/25/2047		537,742
	539,478	Ellington Financial Mortgage Trust 2017-1 A2 (b,d)		2.7390	10/25/2047		537,741
	404,609	Ellington Financial Mortgage Trust 2017-1 A3 (b,d)		2.8410	10/25/2047		403,530
	169,012	First Horizon Alternative Mortgage Securities Trust 2005-AA4 1A1 (d)		3.9769	5/25/2035		135,432
	1,000,000	FMC GMSR Issuer Trust 2019-GT1 A (b,d)		5.0700	5/25/2024		1,009,307
	1,000,000	FMC GMSR Issuer Trust 2019-GT1 B (b,d)		5.6600	5/25/2024		1,003,617
	249,976	GSR Mortgage Loan Trust 2005-AR7 3A1 (d)		4.6316	11/25/2035		241,900
	658,291	GSR Mortgage Loan Trust 2006-AR1 3A1 (d)		4.6205	1/25/2036		651,822
	402,185	GSR Mortgage Loan Trust 2007-1F 2A2		5.5000	1/25/2037		480,840
	166,179	HomeBanc Mortgage Trust 2005-3 A1 (c)	1 Month LIBOR + 0.24	2.6697	7/25/2035		165,645
	913,095	Homeward Opportunities Fund I Trust 2018-1 A2 (b,d)		3.8970	6/25/2048		928,075
	1,046,255	Homeward Opportunities Fund I Trust 2018-1 A3 (b,d)		3.9990	6/25/2048		1,062,219
	18,985	JP Morgan Mortgage Trust 2007-S1 1A1		5.0000	3/25/2022		18,543
	794,285	JP Morgan Mortgage Trust 2007-S2 1A11		6.0000	6/25/2037		604,322
	2,256,725	JP Morgan Mortgage Trust 2007-S2 1A15		6.7500	6/25/2037		1,838,608
	874,856	Lehman Mortgage Trust 2005-1 2A4		5.5000	11/25/2035		821,882
	405,041	Lehman Mortgage Trust 2006-1 1A3		5.5000	2/25/2036		324,105
	368,801	Lehman Mortgage Trust 2006-2 2A3		5.7500	4/25/2036		378,945

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Principal
Amount ($)				Interest Rate	Maturity	Value ($)
		WHOLE LOAN COLLATERAL - 11.4% (Continued)
	232,305	MASTR Adjustable Rate Mortgages Trust 2006-2 2A1 (d)		4.6408	4/25/2036		205,859
	1,000,000	Mello Warehouse Securitization Trust 2019-1 (b,c)	1 Month LIBOR + 5.50	7.9044	6/25/2052		1,003,163
	587,047	Merrill Lynch Mortgage Investors Trust Series 2006-AF2		6.2500	10/25/2036		504,491
	3,067	Morgan Stanley Mortgage Loan Trust 2004-1 1A1		5.0000	11/25/2033		3,147
	619,329	Morgan Stanley Mortgage Loan Trust 2005-9AR 2A (d)		4.3629	12/25/2035		589,488
	171,578	Morgan Stanley Mortgage Loan Trust 2006-7 3A (d)		5.0247	6/25/2036		147,660
	959,835	Morgan Stanley Mortgage Loan Trust 2007-12 3A4		6.2500	8/25/2037		758,853
	202,119	Morgan Stanley Reremic Trust 2012-R3 2A (b,c)	1 Month LIBOR + 0.23	2.7066	2/26/2037		201,841
	1,123,094	Nomura Asset Acceptance Corp. Alternative Loan Trust Series 2007-1 11A1A (f)		5.9950	3/25/2047		1,062,302
	6,977	Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates 2005-5 2AN (d)		5.6750	12/25/2035		7,034
	174,152	PHH Alternative Mortgage Trust Series 2007-2 3A1		6.0000	5/25/2037		160,868
	939,625	PRPM 2019-1 LLC (b,f)		4.5000	1/25/2024		950,763
	4,100,000	Radnor RE 2019-1 Ltd. (b,c)	1 Month LIBOR + 1.20	0.0001	6/25/2029		4,105,269
	273,325	RALI Series 2006-QA1 1A21 Trust (d)		4.9375	1/25/2036		247,244
	947,870	RALI Series 2006-QO10 Trust A1 (c)	1 Month LIBOR + 0.16	2.5644	1/25/2037		906,546
	246,206	RALI Series 2006-QS10 Trust A9		6.5000	8/25/2036		234,428
	469,900	RALI Series 2006-QS12 2A3 Trust		6.0000	9/25/2036		457,242
	337,121	RALI Series 2007-QS6 A6 Trust		6.2500	4/25/2037		325,904
	409,185	Residential Asset Securitization Trust 2004-A9		5.7500	12/25/2034		413,927
	395,256	Residential Asset Securitization Trust 2006-A2 A3		6.0000	1/25/2046		282,756
	239,168	Residential Asset Securitization Trust 2006-A6 2A11		6.0000	7/25/2036		199,567
	395,929	Residential Asset Securitization Trust 2006-A11 1A4		6.2500	10/25/2036		404,494
	536,837	Residential Asset Securitization Trust 2007-A1 A8		6.0000	3/25/2037		314,735
	409,239	Residential Asset Securitization Trust 2007-A3 1A1 (c)	1 Month LIBOR + 0.45	2.8544	4/25/2037		214,760
	53,379	Residential Asset Securitization Trust 2007-A3 1A2 (c)	1 Month LIBOR + 46.38	27.9498	4/25/2037		118,255
	167,407	RFMSI Series 2006-S3 Trust A7		5.5000	3/25/2036		162,427
	280,441	RFMSI Series 2006-S7 Trust A3		6.2500	8/25/2036		269,682
	110,826	RFMSI Series 2006-S7 Trust A7		6.2500	8/25/2036		106,574
	517,541	RFMSI Series 2007-S1 A5 Trust		6.0000	1/25/2037		510,296
	184,125	RFMSI Series 2007-S2 A4 Trust		6.0000	2/25/2037		175,268
	438,208	RFMSI Series 2007-S6 Trust 1A11		6.0000	6/25/2037		429,445
	1,090,749	Sequoia Mortgage Trust 2013-1 2A1 (d)		1.8550	2/25/2043		1,020,674
	1,471,968	Starwood Mortgage Residential Trust 2018-IMC1 (b,d)		3.8950	3/25/2048		1,498,297
	866,683	Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust 2A8		6.0000	11/25/2035		855,081
	1,232,937	Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-2 Trust 1A2		6.0000	4/25/2037		1,114,977
	471,268	Wells Fargo Alternative Loan 2007-PA3 Trust 1A4		5.7500	7/25/2037		456,826
	186,676	Wells Fargo Mortgage Backed Securities 2006-2 Trust 3A1		5.7500	3/25/2036		184,964
	151,184	Wells Fargo Mortgage Backed Securities 2007-3 Trust 1A4		6.0000	4/25/2037		155,003
	119,485	Wells Fargo Mortgage Backed Securities 2007-7 Trust A38		6.0000	6/25/2037		122,355
	654,267	Wells Fargo Mortgage Backed Securities 2007-10 Trust 1A5		6.0000	7/25/2037		662,274
	57,224	Wells Fargo Mortgage Backed Securities 2007-13 Trust A6		6.0000	9/25/2037		57,896
							62,127,212

		TOTAL BONDS & NOTES (Cost - $388,052,297)					390,888,179

		WARRANT - 0.0%*
	43,904	OAS SA WARRANT *** (i) (Cost - $11,414)					—

				Yield **
		SHORT-TERM INVESTMENTS - 1.4%
		U.S. TREASURY BILLS - 1.4%
	95,000	United States Treasury Bill		1.3000	7/30/2019		94,829
	1,710,000	United States Treasury Bill		0.2600	8/15/2019		1,705,527
	1,190,000	United States Treasury Bill		1.9200	9/19/2019		1,184,506
	1,060,000	United States Treasury Bill		0.7600	10/10/2019		1,053,770
	3,495,000	United States Treasury Bill		0.8700	11/7/2019		3,469,170
		TOTAL SHORT-TERM INVESTMENTS (Cost - $7,503,225)					7,507,802

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Contracts			Notional	Counterparty	Value ($)
		PURCHASED OPTIONS (a) - 22.6%
	1,147,750	ISAM, August 2019, Call @ 0.001	40,766,800	Nomura		40,766,800
	494,702	WNTN, August 2019, Call @ 0.001	81,606,922	Nomura		81,606,922
		TOTAL PURCHASED OPTIONS (Cost - $120,727,083)				122,373,722

		TOTAL INVESTMENTS - 96.1% (Cost - $517,231,321)			$	520,875,243
		OTHER ASSETS LESS LIABILITIES - 3.9%				21,383,241
		TOTAL NET ASSETS - 100.0%			$	542,258,484

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%

Represents annualized yield at date of purchase for discount securities.

***

Principal only bond.

****

Zero coupon bond.

(a)

The value of these securities have been determined in good faith under the policies of the Board of Trustees as of June 30, 2019.

(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 June 30, 2019, these securities amounted to $196,982,392 or 36.4% of net assets.

(c)

Variable rate security; the rate shown represents the rate as of June 30, 2019.

(d)

Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

(e)

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

(f)

Step-Up Bond; the interest rate shown is the rate in effect as of June 30, 2019.

(g)

Security in default.

(h)

Interst only bond.

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Winton Top 50 Holdings ^

FUTURES CONTRACTS
						Unrealized
Number of			Expiration	Notional Value at		Appreciation/			% of Fund
Contracts		Description	Date	June 30, 2019		(Depreciation)			Net Assets
Short Contracts
	42	90 Day Euro$ Future	Mar-20		10,320,450	$	(53,025	)		(0.01	)%
	40	90 Day Euro$ Future	Mar-20		9,829,000		(51,000	)		(0.01	)%
	224	AUD/USD Currency Future	Sep-19		15,760,640		(72,800	)		(0.01	)%
	145	E-Mini Russell 2000 Future	Sep-19		11,361,475		(201,550	)		(0.04	)%
	176	Euro FX Currency Future	Sep-19		25,182,300		(165,000	)		(0.03	)%
	162	Euro FX Currency Future	Sep-19		23,179,163		(171,113	)		(0.03	)%
	115	Euro FX Currency Future	Sep-19		16,454,344		(102,063	)		(0.02	)%
	85	Euro FX Currency Future	Sep-19		12,161,906		(123,781	)		(0.02	)%
	79	Euro FX Currency Future	Sep-19		11,303,419		(63,694	)		(0.01	)%
	70	Euro FX Currency Future	Sep-19		10,015,688		(45,938	)		(0.01	)%
	84	US 5 Year Treasury Note Future	Sep-19		9,925,125		(121,406	)		(0.02	)%
	83	US 5 Year Treasury Note Future	Sep-19		9,806,969		(130,336	)		(0.02	)%
		Subtotal					(1,301,706	)

Long Contracts
	38	3 Month Euro Euribor Future	Mar-20		10,857,291	$	17,827			0.00	%
	39	3 Month Euro Euribor Future	Jun-20		11,143,564		16,917			0.00	%
	35	3 Month Euro Euribor Future	Jun-20		10,000,634		19,405			0.00	%
	58	3 Month Euro Euribor Future	Sep-20		16,571,655		23,144			0.00	%
	44	3 Month Euro Euribor Future	Sep-20		12,571,600		34,631			0.01	%
	50	3 Month Euro Euribor Future	Dec-20		14,283,777		22,149			0.00	%
	48	3 Month Euro Euribor Future	Dec-20		13,712,426		27,295			0.01	%
	38	3 Month Euro Euribor Future	Dec-20		10,855,671		32,697			0.01	%
	73	3 Month Euro Euribor Future	Mar-21		20,850,164		31,048			0.01	%
	52	3 Month Euro Euribor Future	Mar-21		14,852,171		47,738			0.01	%
	50	3 Month Euro Euribor Future	Jun-21		14,277,380		29,726			0.01	%
	41	3 Month Euro Euribor Future	Jun-21		11,707,452		31,276			0.01	%
	67	3 Month Euro Euribor Future	Sep-21		19,125,022		28,148			0.01	%
	44	3 Month Euro Euribor Future	Sep-21		12,559,716		47,624			0.01	%
	35	3 Month Euro Euribor Future	Dec-21		9,987,200		26,371			0.00	%
	126	Euro BOBL Future	Sep-19		19,265,225		68,465			0.01	%
	94	Euro BOBL Future	Sep-19		14,372,470		55,000			0.01	%
	93	Euro BOBL Future	Sep-19		14,219,571		54,522			0.01	%
	86	Euro BOBL Future	Sep-19		13,149,281		81,681			0.02	%
	65	Euro Bund Future	Sep-19		12,769,718		128,014			0.02	%
	60	Euro Bund Future	Sep-19		11,787,432		121,464			0.02	%
	56	Euro Bund Future	Sep-19		11,001,603		125,672			0.02	%
	213	Euro Shatz Future	Sep-19		27,200,469		19,289			0.00	%
	124	Euro Shatz Future	Sep-19		15,835,015		28,205			0.01	%
	106	Euro Shatz Future	Sep-19		13,536,383		41,182			0.01	%
	28	Japanese 10 Year Bond (OSE)	Sep-19		39,942,513		28,234			0.01	%
	28	Japanese 10 Year Bond (OSE)	Sep-19		39,942,513		28,071			0.01	%
	25	Japanese 10 Year Bond (OSE)	Sep-19		35,662,958		34,121			0.01	%
	8	Japanese 10 Year Bond (OSE)	Sep-19		11,412,147		91,562			0.02	%
	7	Japanese 10 Year Bond (OSE)	Sep-19		9,985,628		96,059			0.02	%
	7	Japanese 10 Year Bond (OSE)	Sep-19		9,985,628		80,482			0.01	%
	164	S&P 500 E-Mini Future	Sep-19		24,142,850		274,850			0.05	%
	116	S&P 500 E-Mini Future	Sep-19		17,076,650		276,660			0.05	%
	115	S&P 500 E-Mini Future	Sep-19		16,929,438		148,420			0.03	%
	102	US 10YR NOTE (CBT)	Sep-19		13,052,813		199,555			0.04	%
	89	US 10YR NOTE (CBT)	Sep-19		11,389,219		248,625			0.05	%
	71	US Long Bond Future	Sep-19		11,047,156		384,398			0.07	%
	55	US Ultra Bond Future	Sep-19		9,765,938		304,219			0.06	%
		Subtotal				$	3,354,746

		All Other Investments					79,553,882
		Total Unrealized Depreciation of Purchased Option					81,606,922

This investment is not a direct holding of the Fund. The top 50 holdings were determined based on the absolute notional values of the positions within the underlying basket.

See accompanying notes to consolidated financial statements.

Altegris Futures Evolution Strategy Fund

PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

ISAM Top 50 Holdings ^

FUTURES CONTRACTS
						Unrealized
Number of			Expiration	Notional Value at		Appreciation/			% of Fund
Contracts		Description	Date	June 30, 2019		(Depreciation)			Net Assets
Long Contracts
	88	90 Day Bank Bill Future	Mar-20		61,201,483	$	143,711			0.03	%
	74	90 Day Bank Bill Future	Mar-20		51,464,884		115,771			0.02	%
	48	90 Day Bank Bill Future	Mar-20		33,382,627		75,918			0.01	%
	48	90 Day Bank Bill Future	Mar-20		33,382,627		74,271			0.01	%
	32	90 Day Bank Bill Future	Mar-20		22,255,085		47,867			0.01	%
	24	90 Day Bank Bill Future	Mar-20		16,691,314		31,370			0.01	%
	20	90 Day Bank Bill Future	Mar-20		13,909,428		31,976			0.01	%
	19	90 Day Bank Bill Future	Mar-20		13,213,957		24,508			0.00	%
	34	90 Day Bank Bill Future	Jun-20		23,650,801		47,363			0.01	%
	34	90 Day Bank Bill Future	Jun-20		23,650,801		38,606			0.01	%
	33	90 Day Bank Bill Future	Jun-20		22,955,189		40,871			0.01	%
	30	90 Day Bank Bill Future	Jun-20		20,868,354		37,156			0.01	%
	27	90 Day Bank Bill Future	Jun-20		18,781,519		22,771			0.00	%
	25	90 Day Bank Bill Future	Jun-20		17,390,295		27,099			0.00	%
	23	90 Day Bank Bill Future	Jun-20		15,999,071		27,696			0.01	%
	20	90 Day Bank Bill Future	Jun-20		13,912,236		25,114			0.00	%
	19	90 Day Bank Bill Future	Jun-20		13,216,624		20,921			0.00	%
	19	90 Day Bank Bill Future	Jun-20		13,216,624		18,636			0.00	%
	35	90 Day Bank Bill Future	Sep-20		24,341,499		2,412			0.00	%
	22	90 Day Bank Bill Future	Sep-20		15,300,371		—			0.00	%
	21	90 Day Bank Bill Future	Sep-20		14,604,899		(1,086	)		(0.00	)%
	20	90 Day Bank Bill Future	Sep-20		13,909,428		2,067			0.00	%
	129	90 Day Sterling Future	Mar-20		20,314,663		52,204			0.01	%
	85	90 Day Sterling Future	Mar-20		13,385,631		49,237			0.01	%
	102	90 Day Sterling Future	Jun-20		16,065,996		39,661			0.01	%
	95	90 Day Sterling Future	Jun-20		14,963,428		36,939			0.01	%
	97	90 Day Sterling Future	Sep-20		15,279,215		28,479			0.01	%
	89	90 Day Sterling Future	Sep-20		14,019,074		26,130			0.00	%
	87	90 Day Sterling Future	Sep-20		13,704,039		23,472			0.00	%
	85	90 Day Sterling Future	Sep-20		13,389,003		24,281			0.00	%
	876	Australian 3 Year Bond Future	Sep-19		60,929,444		187,375			0.03	%
	169	Canadian 10 Year Bond Future	Sep-19		18,446,102		207,782			0.04	%
	138	Euro Bobl Future	Sep-19		21,100,008		111,433			0.02	%
	104	Euro BPT Future	Sep-19		15,884,897		675,374			0.12	%
	93	Euro Oat Future	Sep-19		17,438,119		352,210			0.06	%
	86	Euro Oat Future	Sep-19		16,125,572		324,722			0.06	%
	602	Euro Schatz Future	Sep-19		76,876,442		147,201			0.03	%
	583	Euro Schatz Future	Sep-19		74,450,109		145,870			0.03	%
	21	Japan 10 Year Bond Future	Sep-19		29,956,885		65,229			0.01	%
	15	Japan 10 Year Bond Future	Sep-19		21,397,775		54,242			0.01	%
	14	Japan 10 Year Bond Future	Sep-19		19,971,256		38,943			0.01	%
	10	Japan 10 Year Bond Future	Sep-19		14,265,183		30,830			0.01	%
	9	Japan 10 Year Bond Future	Sep-19		12,838,665		32,545			0.01	%
	707	Korea 3 Year Bond Future	Sep-19		67,589,886		(24,489	)		(0.00	)%
	155	Short-Euro BTP Future	Sep-19		19,655,387		232,692			0.04	%
	123	US 2 Yr Note Future	Sep-19		26,467,102		295,922			0.05	%
	145	US 5 Yr Note Future	Sep-19		17,132,656		153,750			0.03	%
	107	US 10 Yr Note Future	Sep-19		13,692,656		219,766			0.04	%
		Subtotal					4,386,817

FORWARD FOREIGN CURRENCY CONTRACTS
	Currency to						Unrealized
Settlement	Deliver/		In Exchange				Appreciation/
Date	Receive	Value	For	Value	U.S. Dollar Value		(Depreciation)
To Buy:
9/18/2019	NOK	116,000	SEK	13,270,400	$	13,625,498	$	354,402		0.07	%

To Sell:
9/18/2019	SEK	14,800,000	NOK	13,269,537	$	13,599,989	$	(328,893	)	(0.06	)%

All Other Investments								36,354,474
Total Unrealized Depreciation of Purchased Option								40,766,800

This investment is not a direct holding of the Fund. The top 50 holdings were determined based on the absolute notional values of the positions within the underlying basket.

See accompanying notes to consolidated financial statements.

Altegris GSA Trend Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS

June 30, 2019

Principal
Amount ($)			Yield (a)			Maturity	Value
		SHORT-TERM INVESTMENT - 45.3%
		U.S. TREASURY BILL - 45.3%
	13,700,000	U.S. Treasury Bill		2.3850	%	8/1/2019	$	13,676,287
		TOTAL SHORT-TERM INVESTMENT (Cost - $13,671,015)						13,676,287

		TOTAL INVESTMENTS - 45.3% (Cost - $13,671,015)					$	13,676,287
		OTHER ASSETS LESS LIABILITIES - 54.7%						16,532,261
		TOTAL NET ASSETS - 100.0%					$	30,208,548

(a)

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

						Unrealized
				Notional Value at		Appreciation/
Contracts		Long Futures Contracts - 5.8%	Expiration	June 30, 2019		(Depreciation)
	200	3 Month Euro EURIBOR Future	June-20		57,221,874	$	84,652
	111	90-Day Bank Bill Future	March-20		77,716,058		40,298
	90	90 Day Euro Future	September-20		22,150,125		85,813
	192	90 Day Sterling Future	June-20		30,315,738		23,115
	8	Amsterdam Index Future	July-19		1,022,060		2,454
	183	Australian 3 Year Bond Future	September-19		14,768,027		28,458
	54	Australian 10 Year Bond Future	September-19		5,443,551		47,327
	63	Bank Accept Future	June-20		11,845,495		14,091
	18	CAC40 10 Euro Future	July-19		1,134,177		7,293
	43	Canadian 10 Year Bond Future	September-19		4,703,264		41,607
	21	Cocoa Future (b)	September-19		509,250		(11,040	)
	20	Cocoa Future (b)	September-19		459,445		349
	52	Corn Future (b)	December-19		1,121,900		(69,075	)
	2	Dax Index Future	September-19		705,373		6,754
	8	Dija Mini Future	September-19		1,063,720		7,535
	26	Dollar Index Future	September-19		2,487,316		(20,774	)
	95	Euro BOBL Future	September-19		14,544,531		52,030
	18	Euro BTP Future	September-19		2,752,936		116,769
	38	Euro Bund Future	September-19		7,475,223		74,545
	12	Euro Buxl Future	September-19		2,772,751		80,921
	17	Euro CHF 3 Month Future	March-20		4,397,769		4,266
	37	Euro OAT Future	September-19		6,946,899		106,797
	218	Euro-Schatz Future	September-19		27,875,704		38,833
	29	Euro Stoxx 50 Future	September-19		1,144,654		7,658
	12	FTSE 100 index Future	September-19		1,125,424		3,199
	39	FTSE China A50 Future	July-19		526,695		7,550
	8	FTSE/JSE Index Future	September-19		297,460		(2,366	)
	5	FTSE/MIB Index Future	September-19		602,312		420
	28	Gold 100oz Future (b)	August-19		3,958,360		197,310
	2	IBEX 35 Index Future (a)	July-19		208,924		(152	)
	6	Japan 10 Year Bond Future	September-19		8,567,849		21,020
	21	Japanese Yen Currency Future	September-19		2,449,388		1,906
	157	Korea 3 Year Bond Future	September-19		15,011,302		(12,423	)
	61	Korea 10 Year Bond Future	September-19		6,933,919		3,320
	30	Long Gilt Future	September-19		4,974,988		27,649
	67	Mexican Peso Future	September-19		1,723,910		330
	148	Mini BoveSpa Future (a)	August-19		784,437		6,705
	2	MSCI Emerging Markets Future	September-19		192,330		595
	10	MSCi Sing Index Future	July-19		279,500		1,615
	7	MSCI Taiwan Index Future	July-19		270,550		1,925
	5	Nasdaq 100 E-Mini Future	September-19		769,375		5,570
	42	OMXS30 Index Future (a)	July-19		733,671		12,311
	8	Palladium Future (b)	September-19		1,230,080		152,670
	138	Russia Trading System Index Future (a)	September-19		373,400		6,178
	10	S&P/TSX 60 Index Future	September-19		1,496,384		2,037
	7	S&P 500 E-Mini Future	September-19		1,030,470		8,733
	95	Set50 Future (a)	September-19		711,365		4,354
	36	SGX Nifty 50 Future	July-19		852,336		(343	)
	14	SPI 200 Future	September-19		1,610,973		12,823

See accompanying notes to consolidated financial statements.

Altegris GSA Trend Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

								Unrealized
					Notional Value at			Appreciation/
Contracts			Long Futures Contracts (Continued) - 5.8%	Expiration	June 30, 2019			(Depreciation)
	65		Short-Euro BTP Future	September-19		8,253,456		$	84,755
	49		Stoxx Europe Future	September-19		1,068,593			11,110
	67		US 2 Year Note Future	September-19		14,417,039			64,492
	63		US 5 Year Note Future	September-19		7,443,844			72,570
	43		US 10 Year Note Future	September-19		5,502,656			75,406
	33		US 10 Year Ultra Future	September-19		4,558,125			76,203
	21		US Long Bond Future	September-19		3,267,469			65,844
	13		US Ultra Bond Future	September-19		2,308,313			62,531
	7		Wheat Future (b)	September-19		184,538			(5,200	)
								$	1,741,323

								Unrealized
					Notional Value at			Appreciation/
Contracts			Short Futures Contracts - (2.0)%	Expiration	June 30, 2019			(Depreciation)
	(47	)	AUD/USD Currecny Future	September-19		(3,306,920	)	$	(35,550	)
	(214	)	BIST National 30 Index Future (a)	August-19		(462,945	)		(3,448	)
	(40	)	BP Currency Future	September-19		(3,187,250	)		3,644
	(6	)	Brent Crude Oil Future (b)	September-19		(388,440	)		(5,570	)
	(13	)	Canadian Dollar Future	September-19		(995,215	)		(17,745	)
	(41	)	Canola Future (b)	November-19		(286,082	)		6,512
	(12	)	Cattle Feeder Future (b)	August-19		(821,100	)		39,850
	(6	)	CHF Currency Future	September-19		(774,150	)		(12,900	)
	(46	)	Coffee Future (b)	September-19		(1,888,013	)		(168,206	)
	(28	)	Coffee Robusta Future (b)	September-19		(406,280	)		(4,510	)
	(26	)	Copper Future (b)	September-19		(1,763,775	)		15,600
	(40	)	Cotton Future (b)	December-19		(1,321,600	)		7,370
	(3	)	E-Mini Russell Futre	September-19		(235,065	)		(1,155	)
	(22	)	Euro FX Future	September-19		(3,147,788	)		(14,300	)
	(11	)	FTSE KLCI Index Future (a)	July-19		(223,327	)		(61	)
	(3	)	Gasoline Future (b)	August-19		(238,972	)		(24,965	)
	(8	)	HSCI Future Index	July-19		(554,752	)		(9,292	)
	(38	)	KC HRW Wheat Future (b)	September-19		(876,850	)		20,437
	(15	)	KOSPI 200 Index Future (a)	September-19		(904,170	)		(19,020	)
	(7	)	Lean Hogs Future (b)	August-19		(212,800	)		1,620
	(46	)	Live Cattle Future (b)	August-19		(1,920,040	)		38,020
	(12	)	LME Copper Future (b)	September-19		(1,798,800	)		(55,725	)
	(6	)	LME Lead Future (b)	September-19		(289,800	)		(8,288	)
	(12	)	LME Nickel Future (b)	September-19		(914,760	)		(60,719	)
	(32	)	LME PRI Aluminum Future (b)	September-19		(1,440,200	)		(34,400	)
	(15	)	LME Zinc Future (b)	September-19		(937,875	)		(20,944	)
	(17	)	Low Sulfer Gasoil (b)	August-19		(1,015,750	)		(31,175	)
	(9	)	MSCI Emerging Markets Index Future	September-19		(474,030	)		1,404
	(130	)	Natural Gas Future (b)	August-19		(3,000,400	)		(72,450	)
	(21	)	New Zealand Future	September-19		(1,412,670	)		(25,060	)
	(4	)	Nikki 225 (SGX) Future	September-19		(393,911	)		(2,082	)
	(14	)	NY Harbor Future (b)	August-19		(1,140,367	)		(56,015	)
	(29	)	Platinum Future (b)	October-19		(1,219,595	)		(48,670	)
	(1	)	S&P Mid 400 E-Mini Future	September-19		(195,000	)		(3,405	)
	(33	)	Silver Future (b)	September-19		(2,531,265	)		(565	)
	(38	)	Soybean Future (b)	November-19		(1,753,700	)		23,275
	(12	)	Soybean Meal Future (b)	December-19		(387,480	)		6,000
	(43	)	Soybean Oil Future (b)	December-19		(743,814	)		7,470
	(109	)	Sugar #11 (World) Future (b)	October-19		(1,540,650	)		21,549
	(7	)	Topix Index Future	September-19		(1,007,704	)		6
	(20	)	White Sugar (ICE) Future (b)	August-19		(328,400	)		8,905
	(18	)	WIG20 Index Future (a)	September-19		(221,163	)		(2,956	)
	(14	)	WTI Cruide Oil Future (b)	August-19		(818,580	)		(79,850	)
								$	(617,364	)

			TOTAL UNREALIZED APPRECIATION ON FUTURES CONTRACTS					$	1,123,959

(a)

Illiquid holding.

(b)

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

See accompanying notes to consolidated financial statements.

Altegris GSA Trend Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Schedule of Forward Foreign Currency Contracts

			Currency Amount			Cost of U.S. Dollar						Unrealized Appreciation/
Foreign Currency	Settlement Date	Counterparty	Purchased			Sold			U.S. $ Value			(Depreciation)
To Buy:
Brazilian Real	7/2/2019	BAML		21,424,682			5,574,842			5,590,046		$	15,204
Brazilian Real	8/2/2019	BAML		1,513,963			392,106			393,884			1,778
Australian Dollar	9/18/2019	BAML		73,000			51,271			51,351			80
British Pound	9/18/2019	BAML		146,000			186,215			186,472			257
Canadian Dollar	9/18/2019	BAML		60,882			46,000			46,658			658
Czech Koruna	9/18/2019	BAML		39,341,588			1,752,891			1,763,050			10,159
Euro	9/18/2019	BAML		407,000			464,837			466,407			1,570
Hong Kong Dollar	9/18/2019	BAML		1,693,635			216,421			216,862			441
Hungary Forint	9/18/2019	BAML		120,280,927			424,356			426,464			2,108
Indian Rupee	9/18/2019	BAML		378,184,079			5,381,708			5,424,151			42,443
Israeli Shekel	9/18/2019	BAML		1,431,869			402,335			403,422			1,087
Japanese Yen	9/18/2019	BAML		9,375,803			87,326			87,533			207
Norwegian Krone	9/18/2019	BAML		7,452,450			875,198			876,023			826
Philippine Peso	9/18/2019	BAML		122,317,834			2,333,694			2,379,031			45,337
Polish Zloty	9/18/2019	BAML		8,063,318			2,150,357			2,166,097			15,740
Russian Ruble	9/18/2019	BAML		247,998,539			3,811,655			3,887,458			75,803
Singapore Dollar	9/18/2019	BAML		164,915			121,234			122,039			805
South African Rand	9/18/2019	BAML		2,146,617			145,264			150,720			5,456
South Korean Won	9/18/2019	BAML		1,095,339,221			946,659			950,972			4,313
Swedish Krona	9/18/2019	BAML		4,891,829			524,413			530,240			5,827
Taiwan Dollar	9/18/2019	BAML		4,078,065			130,931			131,891			960
Turkish Lira New	9/18/2019	BAML		7,024,872			1,152,252			1,164,234			11,981
Chilean Peso	9/23/2019	BAML		7,845,905			11,369			11,564			195
												$	243,235

			Currency Amount			Cost of U.S. Dollar						Unrealized Appreciation/
Foreign Currency	Settlement Date	Counterparty	Purchased			Sold			U.S. $ Value			(Depreciation)
To Sell:
Brazilian Real	7/2/2019	BAML		(21,424,682	)		(5,468,485	)		(5,590,046	)	$	(121,560	)
Brazilian Real	8/2/2019	BAML		(4,424,363	)		(1,146,069	)		(1,151,076	)		(5,007	)
Australian Dollar	9/18/2019	BAML		(1,140,000	)		(795,368	)		(801,916	)		(6,548	)
British Pound	9/18/2019	BAML		(34,000	)		(43,411	)		(43,425	)		(14	)
Canadian Dollar	9/18/2019	BAML		(90,019	)		(67,515	)		(68,988	)		(1,473	)
Czech Koruna	9/18/2019	BAML		(85,423,401	)		(3,777,990	)		(3,828,161	)		(50,171	)
Euro	9/18/2019	BAML		(1,735,000	)		(1,967,182	)		(1,988,241	)		(21,060	)
Hungary Forint	9/18/2019	BAML		(879,120,800	)		(3,120,435	)		(3,116,967	)		3,468
Israeli Shekel	9/18/2019	BAML		(2,063,229	)		(576,957	)		(581,306	)		(4,349	)
Norwegian Krone	9/18/2019	BAML		(24,852,361	)		(2,878,792	)		(2,921,354	)		(42,562	)
Polish Zloty	9/18/2019	BAML		(13,807,073	)		(3,672,594	)		(3,709,075	)		(36,481	)
Singapore Dollar	9/18/2019	BAML		(8,892,383	)		(6,524,400	)		(6,580,515	)		(56,115	)
South African Rand	9/18/2019	BAML		(28,020,035	)		(1,869,077	)		(1,967,360	)		(98,283	)
South Korean Won	9/18/2019	BAML		(8,626,951,788	)		(7,318,227	)		(7,489,910	)		(171,683	)
Swedish Krona	9/18/2019	BAML		(29,897,540	)		(3,194,669	)		(3,240,691	)		(46,022	)
Taiwan Dollar	9/18/2019	BAML		(236,367,716	)		(7,534,491	)		(7,644,497	)		(110,005	)
Turkish Lira New	9/18/2019	BAML		(7,811,516	)		(1,275,226	)		(1,294,605	)		(19,379	)
Philippine Peso	9/18/2019	BAML		(985,638	)		(18,964	)		(19,170	)		(206	)
Chilean Peso	9/23/2019	BAML		(2,439,021,168	)		(3,519,229	)		(3,594,751	)		(75,523	)
												$	(862,973	)

Net unrealized depreciation on forward foreign currency contracts												$	(619,738	)

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS

June 30, 2019

TOTAL INVESTMENTS - 0% (Cost - $0)	$	—
OTHER ASSETS LESS LIABILITIES - 100%		66,964,005
TOTAL NET ASSETS - 100.0%	$	66,964,005

						Unrealized
				Notional Value at		Appreciation/
Contracts		Long Futures Contracts	Expiration	June 30, 2019		(Depreciation)
	120	3MO Euro EURIBOR	June-20		34,333,124	$	49,341
	3	3MO Euro EURIBOR	September-20		858,285		114
	5	3MO Euro EURIBOR	December-20		1,430,262		6,518
	1	3MO Euro EURIBOR	March-21		285,995		1,876
	1	3MO Euro EURIBOR	December-21		285,725		2,767
	1	3MO Euro EURIBOR	March-22		285,611		966
	1	3MO Euro EURIBOR	June-22		285,483		1,263
	62	90 - Day Bank Bill	March-20		43,408,969		22,856
	3	90 - Day Bank Bill	June-20		2,100,537		2,441
	33	90 - Day EURO$ Future	December-19		8,092,425		5,775
	10	90 - Day EURO$ Future	March-20		2,457,250		15,625
	15	90 - Day EURO$ Future	June-20		3,689,250		17,275
	51	90 - Day EURO$ Future	September-20		12,551,738		48,650
	6	90 - Day EURO$ Future	June-21		1,476,600		13,725
	4	90 - Day EURO$ Future	June-22		983,200		7,775
	2	90 - Day EURO$ Future	June-23		490,900		4,000
	8	90 - Day Sterling Future	March-20		1,262,901		2,235
	109	90 - Day Sterling Future	June-20		17,210,497		12,839
	10	Amsterdam Index Future	July-19		1,277,575		(2,356	)
	141	Australian 3Y Bond Future	September-19		11,378,644		16,093
	60	Australian 10Y Bond Future	September-19		6,048,390		38,979
	36	Bank Accept Future	June-20		6,768,854		8,049
	2	Bank Accept Future	September-20		376,277		(222	)
	15	Brent Crude Future (b)	September-19		971,100		28,770
	1	Brent Fiancial Future (b)	September-19		64,740		(800	)
	23	CAC40 10 Euro Future	July-19		1,449,226		2,624
	51	Canadian 10YR Bond Future	September-19		5,578,290		40,321
	1	Canola Future (b)	November-19		6,978		(191	)
	12	CBOE VIX Future (b)	August-19		198,900		(4,150	)
	1	CHF Currency Future	September-19		129,025		2,238
	15	Cocoa Future (b)	September-19		363,750		(6,900	)
	12	Cocoa Future (b)	September-19		275,667		300
	1	Cocoa Future (b)	December-19		24,580		(540	)
	1	Cocoa Future (b)	March-20		23,278		(179	)
	1	Coffee “C” Future (b)	September-19		41,044		3,675
	2	Coffee Robusta Future (b)	September-19		29,020		420
	10	Copper Future (b)	September-19		678,375		(1,463	)
	29	Corn Future (b)	December-19		625,675		(38,613	)
	6	Corn Future (b)	March-20		131,850		(8,088	)
	3	DAX Index Future	September-19		1,058,059		4,152
	1	DAX Mini Future	September-19		70,537		(25	)
	16	Djia Mini Index Future	September-19		2,127,440		10,865
	18	Dollar Index Future	September-19		1,721,988		(14,462	)
	8	E-Mini Russell 2000 Future	September-19		626,840		13,130
	3	E-Mini S&P 500 Real Estate Future	September-19		133,575		128
	110	Euro BOBL Future	September-19		16,841,036		58,577
	30	Euro BTP Future	September-19		4,588,227		139,676
	36	Euro Bund Future	September-19		7,081,790		70,944
	14	Euro BUXL 30Yr Bond	September-19		3,234,876		80,564
	9	Euro CHF 3 Month ICE Future	March-20		2,328,231		2,209
	48	Euro OAT Future	September-19		9,012,193		125,448
	173	Euro SCHATZ Future	September-19		22,121,545		31,664
	54	Euro Stoxx 50 Future	September-19		2,131,424		10,837
	16	FTSE 100 Index	September-19		1,500,565		3,441
	34	FTSE China A50 Future	July-19		459,170		6,876
	8	FTSE/JSE Top 40 Future	September-19		297,460		(1,858	)
	9	FTSE/MIB Index Future	September-19		1,084,161		333
	3	Gasoline RBOB Future (b)	August-19		238,972		(3,146	)

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

						Unrealized
				Notional Value at		Appreciation/
Contracts		Long Futures Contracts (Continued)	Expiration	June 30, 2019		(Depreciation)
	1	Gasoline RBOB Future (b)	October-19		71,316	$	(416	)
	1	Gasoline RBOB Future (b)	November-19		69,573		(336	)
	22	Gold 100 OZ Future (b)	August-19		3,110,140		159,110
	2	Gold 100 OZ Future (b)	December-19		285,020		16,170
	7	Hang Seng Index	July-19		1,277,024		6,347
	11	HSCEI Future	July-19		762,784		5,964
	1	IBEX 35 Index	July-19		104,462		(76	)
	3	ICE ECX Emission (b)	December-19		89,783		(2,015	)
	1	INR/USD Future (a)	July-19		28,860		134
	11	JPN 10YR Bond (OSE)	September-19		15,707,722		37,420
	11	JPN Yen Currency Future	September-19		1,283,013		788
	89	Korea 3 Year Bond Future	September-19		8,509,592		(8,538	)
	35	Korea 10 Year Bond Future	September-19		3,978,478		1,880
	3	LME Nickel Future (b)	July-19		227,520		(4,456	)
	6	LME Zinc Future (b)	July-19		381,750		(55,035	)
	51	Long Gilt	September-19		8,457,480		28,743
	2	Low SU Gasoil (b)	August-19		119,500		575
	1	MDAX Index Future	September-19		145,647		746
	39	Mexican Peso Future	September-19		1,003,470		(15	)
	2	Mill Wheat Euro Future (b)	December-19		21,096		(322	)
	2	Mill Wheat Euro Future (b)	March-20		21,466		253
	83	Mini BoveSpa Future (a)	August-19		439,921		3,862
	3	Mini FTSE/MIB Future	September-19		72,277		(156	)
	3	Mini H-Shares Future	July-19		41,606		316
	4	Mini HSI Index Future	July-19		145,946		2,276
	1	MSCI EAFE Future	September-19		96,165		435
	10	MSCI Sing IX Future	July-19		279,500		2,299
	11	MSCI Taiwan Index Future	July-19		425,150		(121	)
	17	NASDAQ 100 E-Mini	September-19		2,615,875		12,791
	33	NIKKEI 225 (Mini)	September-19		651,179		2,330
	6	NIKKEI 225 (OSE)	September-19		1,183,961		4,084
	17	NIKKEI 225 (SGX)	September-19		1,674,123		5,600
	2	NY Harb ULSD Future (b)	August-19		162,910		1,029
	1	Oat Future (b)	December-19		13,825		(625	)
	53	OMXS30 Index Future	July-19		925,823		10,472
	4	Palladium Future (b)	September-19		615,040		86,520
	5	Platinum Future (b)	October-19		210,275		2,760
	1	Red Wheat Future (b)	September-19		27,713		375
	78	RTS Index Future (a)	September-19		211,052		3,464
	1	S&P Mid 400 E-Mini Future	September-19		195,000		2,620
	12	S&P/TSX 60 Index Future	September-19		1,795,661		1,729
	42	S&P 500 E-mini Future	September-19		6,182,820		19,863
	54	Set50 Future (a)	September-19		404,355		2,359
	30	SGX NIFTY 50	July-19		710,280		480
	48	Short Euro-BTP Future	September-19		6,094,860		61,046
	4	Soybean Future (b)	November-19		184,600		(338	)
	1	Soybean Future (b)	January-20		46,725		100
	5	Soybean Oil Future (b)	December-19		86,490		(204	)
	15	SPI 200 Future	September-19		1,726,042		6,381
	39	Stoxx Europe 600 Future	September-19		850,513		5,316
	8	Sugar #11 (World) Future (b)	October-19		113,075		(403	)
	81	SX5E Dividend Future	December-19		1,123,518		11,010
	2	Tpoix Index Future	September-19		287,915		1,485
	87	US 2YR Note (CBT)	September-19		18,720,633		86,672
	115	US 5YR Note (CBT)	September-19		13,587,969		83,781
	55	US 10YR Note (CBT)	September-19		7,038,281		90,305
	34	US 10 Year Ultra Future	September-19		4,696,250		89,937
	28	US Long Bond (CBT)	September-19		4,356,625		74,953
	16	US Ultra Bond (CBT)	September-19		2,841,000		78,727
	7	Wheat Future (b)	September-19		184,538		(3,438	)
	1	Wheat Future (b)	December-19		26,925		75

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

								Unrealized
					Notional Value at			Appreciation/
Contracts			Long Futures Contracts (Continued)	Expiration	June 30, 2019			(Depreciation)
	2		Wheat Future (b)	March-20		54,875		$	(263	)
	2		WTI Crude Oil Future (b)	August-19		116,940			(1,260	)
	1		XAE Energy	September-19		64,240			930
	1		XAI E-Mini Industry Future	September-19		77,810			2,220
	2		XAP Consumer Staples Future	September-19		117,060			(800	)
	2		XAU Utilities Future	September-19		120,500			(500	)
	2		XAV Health Care Future	September-19		186,300			3,280
	1		XAY Consumer Discretinary Future	September-19		120,700			670
	157		Yen Denom Nikkei Future	September-19		15,522,949			117,063
								$	1,891,789

								Unrealized
					Notional Value at			Appreciation/
Contracts			Short Futures Contracts	Expiration	June 30, 2019			(Depreciation)
	(28	)	AUD/USD Currency Future	September-19		(1,970,080	)	$	(21,210	)
	(15	)	Australian 10Y Bond Future	September-19		(1,512,098	)		(5,067	)
	(121	)	BIST National 30 Index (a)	August-19		(261,759	)		(1,948	)
	(24	)	BP Currency Future	September-19		(1,912,350	)		2,313
	(4	)	Brent Crude Future (b)	September-19		(258,960	)		(4,040	)
	(4	)	Brent Crude Future (b)	October-19		(257,400	)		(90	)
	(7	)	Canadian Dollar Future	September-19		(535,885	)		(9,560	)
	(6	)	CAC40 10 Euro Future	July-19		(378,059	)		(682	)
	(25	)	Canola Future (WCE) (b)	November-19		(174,440	)		4,100
	(1	)	Canola Future (WCE) (b)	January-20		(7,088	)		172
	(9	)	Cattle Feeder Future (b)	August-19		(615,825	)		23,450
	(2	)	CBOE Volatility Index Future (b)	July-19		(31,050	)		1,000
	(8	)	CBOE Volatility Index Future	July-19		(124,200	)		6,420
	(4	)	CBOE Volatility Index Future	August-19		(66,300	)		1,740
	(1	)	CBOE Volatility Index Future (b)	October-19		(17,075	)		75
	(2	)	CBOE Volatility Index Future (b)	December-19		(33,650	)		550
	(3	)	CHF Currency Future	September-19		(387,075	)		(6,450	)
	(26	)	Coffee ‘C’ Future (b)	September-19		(1,067,138	)		(95,081	)
	(16	)	Coffee Robusta Future (b)	September-19		(232,160	)		(2,580	)
	(31	)	Copper Future (b)	September-19		(2,102,963	)		12,863
	(1	)	Copper Future (b)	December-19		(68,013	)		(75	)
	(14	)	Corn Future (b)	December-19		(302,050	)		4,550
	(25	)	Cotton Future (b)	December-19		(826,000	)		5,555
	(2	)	Cotton Future (b)	March-20		(66,690	)		330
	(1	)	Crude Palm Oil Future (b)	August-19		(11,615	)		1,006
	(6	)	Crude Palm Oil Future (b)	September-19		(70,817	)		4,018
	(3	)	Crude Palm Oil Future (b)	October-19		(35,989	)		999
	(1	)	DAX Index	September-19		(352,686	)		(3,061	)
	(3	)	E-Mini Crude Oil Future (b)	August-19		(87,705	)		(4,043	)
	(4	)	E-Mini Russ 2000 Future	September-19		(313,420	)		(3,555	)
	(3	)	Euro Bobl Future	September-19		(459,301	)		(251	)
	(14	)	Euro Bund Future	September-19		(2,754,029	)		(2,447	)
	(12	)	Euro FX Currency Future	September-19		(1,716,975	)		(9,219	)
	(8	)	Euro Oat Future	September-19		(1,502,032	)		(2,447	)
	(8	)	FTSE 100 Index	September-19		(750,283	)		(1,927	)
	(14	)	FTSE CHINA A50	July-19		(189,070	)		(2,713	)
	(8	)	FTSE KLCI Future (a)	July-19		(162,420	)		6
	(9	)	Gasoline RBOB (b)	August-19		(716,915	)		(29,518	)
	(4	)	HSCEI Future	July-19		(277,376	)		(4,652	)
	(5	)	IBEX 35 Index	July-19		(522,311	)		(931	)
	(3	)	Japan 10Y Bond (OSE) Future	September-19		(4,283,924	)		(2,425	)
	(24	)	KC HRW Wheat Future (b)	September-19		(553,800	)		12,988
	(1	)	KC HRW Wheat Future (b)	December-19		(24,225	)		913
	(9	)	KOSPI2 Index Future (a)	September-19		(542,502	)		(10,821	)
	(6	)	Lean Hogs Future (b)	August-19		(182,400	)		6,460
	(2	)	Lean Hogs Future (b)	October-19		(56,680	)		5,960
	(1	)	Lean Hogs Future (b)	December-19		(28,460	)		1,900

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

								Unrealized
					Notional Value at			Appreciation/
Contracts			Short Futures Contracts (Continued)	Expiration	June 30, 2019			(Depreciation)
	(32	)	Live Cattle Future (b)	August-19		(1,335,680	)	$	26,600
	(2	)	Live Cattle Future (b)	October-19		(84,340	)		1,790
	(2	)	Live Cattle Future (b)	December-19		(88,200	)		1,640
	(7	)	LME Copper Future (b)	September-19		(1,049,300	)		(32,506	)
	(3	)	LME Lead Future (b)	September-19		(144,900	)		(4,144	)
	(3	)	LME Nickle Future (b)	July-19		(227,520	)		(8,031	)
	(7	)	LME Nickle Future (b)	September-19		(533,610	)		(35,752	)
	(18	)	LME PRI Aluminum (b)	September-19		(810,113	)		(19,350	)
	(6	)	LME Zinc Future (b)	July-19		(381,750	)		12,788
	(9	)	LME Zinc Future (b)	September-19		(562,725	)		(11,869	)
	(21	)	Low Sulfur Gasoil Future (b)	August-19		(1,254,750	)		(17,350	)
	(2	)	Low Sulfur Gasoil Future (b)	September-19		(120,100	)		(4,050	)
	(1	)	Low Sulfur Gasoil Future (b)	October-19		(60,350	)		(3,925	)
	(3	)	Mill Wheat Euro Future (b)	September-19		(30,790	)		86
	(2	)	Mini TPX Index Future	September-19		(28,792	)		111
	(4	)	MSCI EAFE Future	September-19		(384,660	)		(10,735	)
	(14	)	MSCI Emerging Markets	September-19		(737,380	)		(5,285	)
	(13	)	MSCI Taiwan Index	July-19		(502,450	)		(130	)
	(106	)	Natural Gas Future (b)	August-19		(2,446,480	)		(33,550	)
	(7	)	Natural Gas Future (b)	September-19		(159,740	)		1,470
	(12	)	New Zealand Future	September-19		(807,240	)		(14,130	)
	(142	)	NIKKEI 225 (CME)	September-19		(15,137,200	)		(102,850	)
	(2	)	NIKKEI 225 (SGX)	September-19		(196,956	)		(991	)
	(14	)	NY Harbor ULSD Futures (b)	August-19		(1,140,367	)		(27,199	)
	(1	)	NY Harbor ULSD Futures (b)	December-19		(82,383	)		5,048
	(19	)	Platinum Future (b)	October-19		(799,045	)		(29,920	)
	(1	)	Rapseed Euro Future (b)	August-19		(20,740	)		258
	(1	)	Red Wheat Future (b)	September-19		(27,713	)		(425	)
	(1	)	SGX Nifty 50	July-19		(23,676	)		(54	)
	(29	)	Silver Future (b)	September-19		(2,224,445	)		(50	)
	(1	)	Silver Future (b)	December-19		(77,235	)		40
	(37	)	Soybean Future (b)	November-19		(1,707,550	)		(10,025	)
	(5	)	Soybean Future (b)	January-20		(233,625	)		4,600
	(14	)	Soybean Meal Future (b)	December-19		(452,060	)		3,710
	(2	)	Soybean Meal Future (b)	January-20		(64,960	)		1,160
	(34	)	Soybean Oil Future (b)	December-19		(588,132	)		7,044
	(2	)	Soybean Oil Future (b)	January-20		(34,884	)		324
	(6	)	SPI 200 Future	September-19		(690,417	)		1,942
	(2	)	STOXX 600 Bank	September-19		(15,112	)		112
	(70	)	Sugar #11 (World) Future (b)	October-19		(989,408	)		12,578
	(1	)	Sugar #11 (World) Future (b)	May-20		(15,266	)		168
	(12	)	TOPIX Index Future	September-19		(1,727,492	)		(3,330	)
	(10	)	US 10Y Note Future	September-19		(1,279,688	)		(1,750	)
	(6	)	Vstoxx Future (b)	July-19		(9,771	)		603
	(2	)	Vstoxx Future (b)	August-19		(3,451	)		135
	(2	)	Wheat (CBT) Future (b)	September-19		(52,725	)		1,600
	(11	)	White Sugar (ICE) (b)	August-19		(180,620	)		4,860
	(10	)	WIG20 Index Future (a)	September-19		(122,868	)		(1,643	)
	(1	)	WTI Crude Future (b)	August-19		(58,470	)		(5,900	)
	(11	)	WTI Crude Future (b)	August-19		(643,170	)		(42,920	)
	(1	)	WTI Crude Future (b)	September-19		(58,520	)		(6,300	)
	(2	)	WTI Crude Future (b)	September-19		(117,040	)		600
	(1	)	WTI Crude Future (b)	October-19		(58,400	)		(5,710	)
	(3	)	WTI Crude Future (b)	December-19		(173,940	)		1,100
								$	(476,932	)

			TOTAL UNREALIZED APPRECIATION ON FUTURES CONTRACTS					$	1,414,857

(a)

Illiquid holding.

(b)

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

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

Schedule of Forward Foreign Currency Contracts

									Unrealized
	Settlement		Currency Amount						Appreciation/
Foreign Currency	Date	Counterparty	Purchased		Cost of USD Sold		U.S. $ Value		(Depreciation)
To Buy:
Australian Dollar	7/1/2019	BAML		1,010,460	$	707,036	$	709,110	$	2,074
British Pound	7/1/2019	BAML		192,742		244,625		245,304		679
Euro	7/1/2019	BAML		1,053,187		1,197,306		1,199,362		2,056
Japanese Yen	7/1/2019	BAML		15,000,000		139,037		139,230		193
Mexican Peso	7/1/2019	BAML		1,300,000		67,915		67,675		(240	)
New Zealand Dollar	7/1/2019	BAML		110,000		73,506		73,886		380
Norwegian Krone	7/1/2019	BAML		500,000		58,684		58,643		(41	)
Polish Zloty	7/1/2019	BAML		250,000		66,818		67,040		222
Russian Ruble	7/1/2019	BAML		6,295,750		100,053		99,814		(239	)
Singapore Dollar	7/1/2019	BAML		1,626,272		1,200,000		1,202,019		2,019
South African Rand	7/1/2019	BAML		780,000		55,119		55,314		195
Swedish Krona	7/1/2019	BAML		2,140,000		230,752		230,651		(101	)
Swiss Franc	7/1/2019	BAML		2,345,000		2,401,615		2,405,125		3,510
Turkish Lira New	7/1/2019	BAML		230,000		39,875		39,767		(108	)
Australian Dollar	7/2/2019	BAML		660,000		462,516		463,164		648
Brazilian Real	7/2/2019	BAML		12,092,455		3,146,587		3,155,116		8,529
British Pound	7/2/2019	BAML		225,000		286,054		286,359		305
Canadian Dollar	7/2/2019	BAML		706,709		539,782		540,811		1,029
Chinese Yen	7/2/2019	BAML		687,714		100,000		100,060		60
Euro	7/2/2019	BAML		371,813		422,579		423,422		843
Japanese Yen	7/2/2019	BAML		60,000,000		556,884		556,899		15
Mexican Peso	7/2/2019	BAML		1,290,000		67,222		67,147		(75	)
New Zealand Dollar	7/2/2019	BAML		280,000		187,861		188,061		200
Norwegian Krone	7/2/2019	BAML		270,000		31,709		31,667		(42	)
Polish Zloty	7/2/2019	BAML		160,000		42,862		42,906		44
South African Rand	7/2/2019	BAML		360,000		25,418		25,531		113
Swedish Krona	7/2/2019	BAML		1,410,000		151,867		151,970		103
Swiss Franc	7/2/2019	BAML		2,150,000		2,202,525		2,205,128		2,603
South Korean Won	7/5/2019	BAML		2,838,360,000		2,400,000		2,458,423		58,423
Taiwan Dollar	7/5/2019	BAML		25,095,200		800,000		808,120		8,120
Chilean Peso	7/8/2019	BAML		69,321,000		100,000		102,113		2,113
Indian Rupee	7/8/2019	BAML		111,400,000		1,600,000		1,612,627		12,627
South Korean Won	7/12/2019	BAML		2,843,112,000		2,400,000		2,463,062		63,062
Taiwan Dollar	7/12/2019	BAML		25,185,600		800,000		811,379		11,379
Chilean Peso	7/15/2019	BAML		69,535,000		100,000		102,442		2,442
Indian Rupee	7/15/2019	BAML		112,114,080		1,600,000		1,621,528		21,528
Australian Dollar	7/17/2019	BAML		4,590,000		3,188,152		3,222,800		34,648
Brazilian Real	7/17/2019	BAML		9,190,000		2,364,848		2,394,553		29,705
British Pound	7/17/2019	BAML		2,610,000		3,322,312		3,324,344		2,032
Canadian Dollar	7/17/2019	BAML		3,170,000		2,377,171		2,426,749		49,578
Euro	7/17/2019	BAML		3,320,000		3,768,365		3,785,656		17,291
Japanese Yen	7/17/2019	BAML		318,000,000		2,949,482		2,955,093		5,611
Mexican Peso	7/17/2019	BAML		21,940,000		1,138,848		1,139,167		319
New Zealand Dollar	7/17/2019	BAML		2,860,000		1,881,650		1,921,599		39,949
Norwegian Krone	7/17/2019	BAML		21,440,000		2,492,540		2,515,965		23,425
Polish Zloty	7/17/2019	BAML		5,420,000		1,439,666		1,454,013		14,347
Russian Ruble	7/17/2019	BAML		98,170,000		1,528,631		1,553,001		24,370
South African Rand	7/17/2019	BAML		18,700,000		1,275,671		1,323,597		47,926
Swedish Krona	7/17/2019	BAML		24,010,000		2,563,521		2,590,844		27,323
Swiss Franc	7/17/2019	BAML		2,390,000		2,430,750		2,454,855		24,105
Turkish Lira New	7/17/2019	BAML		2,610,000		441,977		447,447		5,470
South Korean Won	7/19/2019	BAML		2,768,568,000		2,400,000		2,398,992		(1,008	)
Taiwan Dollar	7/19/2019	BAML		24,740,000		800,000		797,366		(2,634	)

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

												Unrealized
	Settlement		Currency Amount									Appreciation/
Foreign Currency	Date	Counterparty	Purchased			Cost of USD Sold			U.S. $ Value			(Depreciation)
To Buy (Continued):
Chilean Peso	7/22/2019	BAML		67,835,000		$	100,000		$	99,951		$	(49	)
Colombian Peso	7/22/2019	BAML		159,566,500			50,000			49,679			(321	)
Indian Rupee	7/22/2019	BAML		111,450,080			1,600,000			1,610,497			10,497
Taiwan Dollar	7/22/2019	BAML		25,017,402			800,000			806,455			6,455
South Korean Won	7/24/2019	BAML		2,783,657,122			2,400,000			2,412,433			12,433
Chilean Peso	7/25/2019	BAML		68,332,045			100,000			100,690			690
Colombian Peso	7/25/2019	BAML		478,791,000			150,000			149,030			(970	)
South Korean Won	7/25/2019	BAML		2,421,237,000			2,100,000			2,098,409			(1,591	)
Taiwan Dollar	7/25/2019	BAML		15,455,000			500,000			498,295			(1,705	)
Colombian Peso	7/26/2019	BAML		319,103,490			100,000			99,318			(682	)
Colombian Peso	7/29/2019	BAML		319,814,000			100,000			99,516			(484	)
Brazilian Real	8/2/2019	BAML		855,466			221,565			222,564			999
Australian Dollar	8/8/2019	BAML		800,000			560,687			562,129			1,442
British Pound	8/8/2019	BAML		500,000			638,547			637,535			(1,012	)
Canadian Dollar	8/8/2019	BAML		2,293,291			1,745,277			1,756,427			11,150
Chinese Yen	8/8/2019	BAML		1,375,671			200,000			200,132			132
Euro	8/8/2019	BAML		2,943,187			3,362,350			3,362,167			(183	)
Japanese Yen	8/8/2019	BAML		125,000,000			1,168,049			1,163,579			(4,470	)
Mexican Peso	8/8/2019	BAML		2,000,000			103,652			103,456			(196	)
Russian Ruble	8/8/2019	BAML		31,676,710			500,000			499,468			(532	)
Singapore Dollar	8/8/2019	BAML		1,622,867			1,200,000			1,200,278			278
Swiss Franc	8/8/2019	BAML		2,750,000			2,828,563			2,830,559			1,996
Australian Dollar	9/18/2019	BAML		41,000			28,796			28,841			45
British Pound	9/18/2019	BAML		101,000			128,820			128,998			178
Canadian Dollar	9/18/2019	BAML		46,141			34,847			35,361			514
Czech Koruna	9/18/2019	BAML		22,249,462			991,340			997,085			5,745
Euro	9/18/2019	BAML		235,000			268,398			269,301			903
Hong Kong Dollar	9/18/2019	BAML		962,999			123,057			123,307			250
Hungary Forint	9/18/2019	BAML		68,298,718			240,951			242,158			1,207
Indian Rupee	9/18/2019	BAML		213,370,633			3,036,288			3,060,295			24,007
Israeli Shekel	9/18/2019	BAML		809,260			227,390			228,005			615
Japanese Yen	9/18/2019	BAML		3,876,556			36,107			36,192			85
Norwegian Krone	9/18/2019	BAML		4,203,699			493,690			494,137			447
Philippine Peso	9/18/2019	BAML		68,962,828			1,315,678			1,341,299			25,621
Polish Zloty	9/18/2019	BAML		4,561,510			1,216,469			1,225,383			8,914
Russian Ruble	9/18/2019	BAML		139,920,374			2,150,459			2,193,297			42,838
Singapore Dollar	9/18/2019	BAML		92,888			68,317			68,739			422
South African Rand	9/18/2019	BAML		1,120,483			75,911			78,672			2,761
South Korean Won	9/18/2019	BAML		620,533,568			536,319			538,747			2,428
Swedish Krona	9/18/2019	BAML		2,824,080			302,773			306,110			3,337
Taiwan Dollar	9/18/2019	BAML		2,504,731			80,394			81,005			611
Turkish Lira New	9/18/2019	BAML		3,972,919			651,640			658,433			6,793
Chilean Peso	9/23/2019	BAML		2,686,774			3,853			3,960			107
													708,830

												Unrealized
	Settlement		Currency Amount									Appreciation/
Foreign Currency	Date	Counterparty	Purchased			Cost of USD Sold			U.S. $ Value			(Depreciation)
To Sell:
Australian Dollar	7/1/2019	BAML		(1,010,000	)	$	(707,464	)	$	(708,772	)	$	(1,308	)
British Pound	7/1/2019	BAML		(192,500	)		(244,029	)		(244,995	)		(966	)
Euro	7/1/2019	BAML		(1,053,187	)		(1,197,089	)		(1,199,370	)		(2,281	)
Japanese Yen	7/1/2019	BAML		(15,072,340	)		(139,913	)		(139,898	)		15
Mexican Peso	7/1/2019	BAML		(1,300,000	)		(67,905	)		(67,667	)		238
New Zealand Dollar	7/1/2019	BAML		(110,314	)		(73,902	)		(74,093	)		(191	)
Norwegian Krone	7/1/2019	BAML		(500,000	)		(58,782	)		(58,643	)		139
Polish Zloty	7/1/2019	BAML		(250,000	)		(66,773	)		(67,038	)		(265	)
Russian Ruble	7/1/2019	BAML		(6,295,750	)		(100,000	)		(99,814	)		186

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

												Unrealized
	Settlement		Currency Amount									Appreciation/
Foreign Currency	Date	Counterparty	Purchased			Cost of USD Sold			U.S. $ Value			(Depreciation)
To Sell (Continued):
Singapore Dollar	7/1/2019	BAML		(1,626,272	)	$	(1,201,661	)	$	(1,202,019	)	$	(358	)
South African Rand	7/1/2019	BAML		(780,000	)		(55,064	)		(55,317	)		(253	)
Swedish Krona	7/1/2019	BAML		(2,140,000	)		(230,768	)		(230,648	)		120
Swiss Franc	7/1/2019	BAML		(2,345,000	)		(2,400,170	)		(2,405,119	)		(4,949	)
Turkish Lira New	7/1/2019	BAML		(230,000	)		(39,739	)		(39,765	)		(26	)
Australian Dollar	7/2/2019	BAML		(360,000	)		(252,499	)		(252,631	)		(132	)
Brazilian Real	7/2/2019	BAML		(12,092,455	)		(3,086,466	)		(3,155,116	)		(68,650	)
British Pound	7/2/2019	BAML		(100,000	)		(126,844	)		(127,270	)		(426	)
Canadian Dollar	7/2/2019	BAML		(900,000	)		(687,694	)		(688,738	)		(1,044	)
Chinese Yen	7/2/2019	BAML		(687,583	)		(100,000	)		(100,041	)		(41	)
Euro	7/2/2019	BAML		(690,000	)		(784,701	)		(785,775	)		(1,074	)
Japanese Yen	7/2/2019	BAML		(22,500,000	)		(208,694	)		(208,838	)		(144	)
Mexican Peso	7/2/2019	BAML		(1,290,000	)		(67,237	)		(67,155	)		82
New Zealand Dollar	7/2/2019	BAML		(180,000	)		(120,670	)		(120,906	)		(236	)
Norwegian Krone	7/2/2019	BAML		(270,000	)		(31,676	)		(31,666	)		10
Polish Zloty	7/2/2019	BAML		(160,000	)		(42,841	)		(42,906	)		(65	)
South African Rand	7/2/2019	BAML		(360,000	)		(25,472	)		(25,530	)		(58	)
Swedish Krona	7/2/2019	BAML		(1,410,000	)		(152,045	)		(151,970	)		75
Swiss Franc	7/2/2019	BAML		(400,000	)		(410,118	)		(410,247	)		(129	)
South Korean Won	7/5/2019	BAML		(2,833,896,000	)		(2,400,000	)		(2,454,556	)		(54,556	)
Taiwan Dollar	7/5/2019	BAML		(25,078,400	)		(800,000	)		(807,579	)		(7,579	)
Chilean Peso	7/8/2019	BAML		(69,519,000	)		(100,000	)		(102,404	)		(2,404	)
Indian Rupee	7/8/2019	BAML		(111,316,160	)		(1,600,000	)		(1,611,413	)		(11,413	)
South Korean Won	7/12/2019	BAML		(2,838,240,000	)		(2,400,000	)		(2,458,841	)		(58,841	)
Taiwan Dollar	7/12/2019	BAML		(25,096,000	)		(800,000	)		(808,493	)		(8,493	)
Chilean Peso	7/15/2019	BAML		(69,336,000	)		(100,000	)		(102,149	)		(2,149	)
Indian Rupee	7/15/2019	BAML		(111,536,000	)		(1,600,000	)		(1,613,167	)		(13,167	)
Australian Dollar	7/17/2019	BAML		(5,070,000	)		(3,506,574	)		(3,559,828	)		(53,254	)
Brazilian Real	7/17/2019	BAML		(7,220,000	)		(1,859,696	)		(1,881,265	)		(21,569	)
British Pound	7/17/2019	BAML		(2,440,000	)		(3,081,608	)		(3,107,816	)		(26,208	)
Canadian Dollar	7/17/2019	BAML		(2,450,000	)		(1,856,977	)		(1,875,561	)		(18,584	)
Euro	7/17/2019	BAML		(3,260,000	)		(3,678,619	)		(3,717,242	)		(38,623	)
Japanese Yen	7/17/2019	BAML		(382,000,000	)		(3,536,944	)		(3,549,829	)		(12,885	)
Mexican Peso	7/17/2019	BAML		(10,650,000	)		(553,112	)		(552,968	)		144
New Zealand Dollar	7/17/2019	BAML		(3,170,000	)		(2,082,064	)		(2,129,886	)		(47,822	)
Norwegian Krone	7/17/2019	BAML		(18,760,000	)		(2,161,128	)		(2,201,471	)		(40,343	)
Polish Zloty	7/17/2019	BAML		(3,130,000	)		(825,775	)		(839,679	)		(13,904	)
Russian Ruble	7/17/2019	BAML		(57,080,000	)		(888,510	)		(902,979	)		(14,469	)
South African Rand	7/17/2019	BAML		(15,310,000	)		(1,033,601	)		(1,083,651	)		(50,050	)
Swedish Krona	7/17/2019	BAML		(27,550,000	)		(2,919,007	)		(2,972,835	)		(53,828	)
Swiss Franc	7/17/2019	BAML		(3,090,000	)		(3,132,475	)		(3,173,851	)		(41,376	)
Turkish Lira New	7/17/2019	BAML		(1,010,000	)		(171,510	)		(173,149	)		(1,639	)
South Korean Won	7/19/2019	BAML		(2,843,208,000	)		(2,400,000	)		(2,463,668	)		(63,668	)
Taiwan Dollar	7/19/2019	BAML		(25,190,400	)		(800,000	)		(811,882	)		(11,882	)
Chilean Peso	7/22/2019	BAML		(69,552,000	)		(100,000	)		(102,481	)		(2,481	)
Colombian Peso	7/22/2019	BAML		(163,612,755	)		(50,000	)		(50,939	)		(939	)
Indian Rupee	7/22/2019	BAML		(112,266,080	)		(1,600,000	)		(1,622,289	)		(22,289	)
Taiwan Dollar	7/22/2019	BAML		(24,738,400	)		(800,000	)		(797,460	)		2,540
South Korean Won	7/24/2019	BAML		(2,768,568,000	)		(2,400,000	)		(2,399,357	)		643
Chilean Peso	7/25/2019	BAML		(67,860,000	)		(100,000	)		(99,994	)		6
Colombian Peso	7/25/2019	BAML		(480,550,255	)		(150,000	)		(149,578	)		422
South Korean Won	7/25/2019	BAML		(2,438,369,699	)		(2,100,000	)		(2,113,260	)		(13,260	)
Taiwan Dollar	7/25/2019	BAML		(15,440,846	)		(500,000	)		(497,838	)		2,162
Colombian Peso	7/26/2019	BAML		(319,839,000	)		(100,000	)		(99,547	)		453
South Korean Won	7/26/2019	BAML		(2,421,426,000	)		(2,100,000	)		(2,098,635	)		1,365
Taiwan Dollar	7/26/2019	BAML		(15,460,500	)		(500,000	)		(498,503	)		1,497

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

																Unrealized
		Settlement		Currency Amount												Appreciation/
Foreign Currency		Date	Counterparty	Purchased			Cost of USD Sold			U.S. $ Value						(Depreciation)
To Sell (Continued):
Colombian Peso		7/29/2019	BAML		(638,557,500	)	$	(200,000	)	$	(198,698	)				$	1,302
Indian Rupee		7/29/2019	BAML		(111,602,080	)		(1,600,000	)		(1,611,265	)					(11,265	)
Colombian Peso		7/31/2019	BAML		(318,331,510	)		(100,000	)		(99,039	)					961
Brazilian Real		8/2/2019	BAML		(2,496,861	)		(646,776	)		(649,602	)					(2,826	)
Australian Dollar		8/8/2019	BAML		(2,500,000	)		(1,740,419	)		(1,756,653	)					(16,234	)
British Pound		8/8/2019	BAML		(875,000	)		(1,116,980	)		(1,115,687	)					1,293
Canadian Dollar		8/8/2019	BAML		(2,300,000	)		(1,747,217	)		(1,761,566	)					(14,349	)
Chinese Yen		8/8/2019	BAML		(9,633,337	)		(1,400,000	)		(1,401,455	)					(1,455	)
Euro		8/8/2019	BAML		(4,625,000	)		(5,277,983	)		(5,283,395	)					(5,412	)
Hungary Forint		8/8/2019	BAML		(453,782,080	)		(1,600,000	)		(1,604,890	)					(4,890	)
Israeli Shekel		8/8/2019	BAML		(3,595,082	)		(1,000,000	)		(1,010,365	)					(10,365	)
Japanese Yen		8/8/2019	BAML		(87,500,000	)		(816,647	)		(814,506	)					2,141
Mexican Peso		8/8/2019	BAML		(14,000,000	)		(725,427	)		(724,193	)					1,234
New Zealand Dollar		8/8/2019	BAML		(1,500,000	)		(993,185	)		(1,008,316	)					(15,131	)
Norwegian Krone		8/8/2019	BAML		(10,152,614	)		(1,200,000	)		(1,192,247	)					7,753
Polish Zloty		8/8/2019	BAML		(7,456,624	)		(2,000,000	)		(2,001,518	)					(1,518	)
Russian Ruble		8/8/2019	BAML		(63,559,000	)		(1,000,000	)		(1,002,178	)					(2,178	)
Singapore Dollar		8/8/2019	BAML		(1,759,053	)		(1,300,000	)		(1,301,002	)					(1,002	)
South African Rand		8/8/2019	BAML		(5,758,042	)		(400,000	)		(406,403	)					(6,403	)
Swedish Krona		8/8/2019	BAML		(13,929,036	)		(1,500,000	)		(1,505,570	)					(5,570	)
Swiss Franc		8/8/2019	BAML		(3,250,000	)		(3,344,402	)		(3,345,207	)					(805	)
Turkish Lira New		8/8/2019	BAML		(3,613,082	)		(600,000	)		(611,729	)					(11,729	)
Australian Dollar		9/18/2019	BAML		(642,000	)		(447,915	)		(451,606	)					(3,691	)
British Pound		9/18/2019	BAML		(20,000	)		(25,536	)		(25,544	)					(8	)
Canadian Dollar		9/18/2019	BAML		(40,067	)		(30,000	)		(30,706	)					(706	)
Czech Koruna		9/18/2019	BAML		(48,248,699	)		(2,133,879	)		(2,162,216	)					(28,337	)
Euro		9/18/2019	BAML		(966,000	)		(1,095,227	)		(1,106,996	)					(11,769	)
Hungary Forint		9/18/2019	BAML		(496,537,776	)		(1,762,472	)		(1,760,500	)					1,972
Israeli Shekel		9/18/2019	BAML		(1,165,469	)		(325,908	)		(328,364	)					(2,456	)
Norwegian Krone		9/18/2019	BAML		(14,020,642	)		(1,624,096	)		(1,648,104	)					(24,008	)
Polish Zloty		9/18/2019	BAML		(7,803,441	)		(2,075,666	)		(2,096,284	)					(20,618	)
Singapore Dollar		9/18/2019	BAML		(5,018,980	)		(3,682,458	)		(3,714,130	)					(31,672	)
South African Rand		9/18/2019	BAML		(15,807,213	)		(1,054,385	)		(1,109,867	)					(55,482	)
South Korean Won		9/18/2019	BAML		(4,846,620,692	)		(4,111,332	)		(4,207,831	)					(96,499	)
Swedish Krona		9/18/2019	BAML		(16,902,850	)		(1,806,177	)		(1,832,154	)					(25,977	)
Taiwan Dollar		9/18/2019	BAML		(133,561,215	)		(4,257,364	)		(4,319,575	)					(62,211	)
Turkish Lira New		9/18/2019	BAML		(4,455,493	)		(727,356	)		(738,410	)					(11,054	)
Philippine Peso		9/18/2019	BAML		(507,868	)		(9,769	)		(9,878	)					(109	)
Chilean Peso		9/23/2019	BAML		(1,374,344,040	)		(1,982,926	)		(2,025,579	)					(42,653	)
																	(1,291,900	)

																Unrealized
		Settlement		Currency Amount			Currency Amount			Market Value			Market Value			Appreciation/
Foreign Currency		Date	Counterparty	Purchased Buy			Purchased Sell			Buy			Sell			(Depreciation)
To Buy:	To Sell:
Australian Dollar	British Pound	7/1/2019	BAML		225,917			(125,000	)		158,537			(159,088	)		(551	)
Australian Dollar	New Zealand Dollar	7/1/2019	BAML		600,000			(627,438	)		421,052			(421,418	)		(368	)
British Pound	Australian Dollar	7/1/2019	BAML		125,000			(226,377	)		159,088			(158,860	)		228
British Pound	Euro	7/1/2019	BAML		89,445			(100,000	)		113,837			(113,880	)		(43	)
Euro	British Pound	7/1/2019	BAML		100,000			(89,687	)		113,880			(114,144	)		(264	)
Euro	Japanese Yen	7/1/2019	BAML		200,000			(24,461,600	)		227,760			(227,043	)		717
Japanese Yen	Euro	7/1/2019	BAML		24,533,940			(200,000	)		227,713			(227,761	)		(45	)
New Zealand Dollar	Australian Dollar	7/1/2019	BAML		627,752			(600,000	)		421,630			(421,050	)		579
Australian Dollar	New Zealand Dollar	7/2/2019	BAML		200,000			(208,767	)		140,350			(140,218	)		132
British Pound	Euro	7/2/2019	BAML		358,209			(400,000	)		455,891			(455,519	)		371
Canadian Dollar	Japanese Yen	7/2/2019	BAML		400,000			(32,842,005	)		306,104			(304,826	)		1,275
Euro	British Pound	7/2/2019	BAML		300,000			(269,199	)		341,641			(342,610	)		(972	)

See accompanying notes to consolidated financial statements.

Altegris Managed Futures Strategy Fund

CONSOLIDATED PORTFOLIO OF INVESTMENTS (Continued)

June 30, 2019

														Unrealized
		Settlement		Currency Amount		Currency Amount			Market Value		Market Value			Appreciation/
Foreign Currency		Date	Counterparty	Purchased Buy		Purchased Sell			Buy		Sell			(Depreciation)
To Buy:	To Sell:
Euro	Swedish Krona	7/2/2019	BAML		125,000	$	(1,321,078	)	$	142,350	$	(142,385	)	$	(35	)
Japanese Yen	Canadian Dollar	7/2/2019	BAML		32,905,058		(400,000	)		305,413		(306,105	)		(694	)
Japanese Yen	Euro	7/2/2019	BAML		24,517,918		(200,000	)		227,565		(227,758	)		(194	)
Swiss Franc	Japanese Yen	7/2/2019	BAML		250,000		(27,600,926	)		256,411		(256,181	)		229
Australian Dollar	British Pound	8/8/2019	BAML		228,950		(125,000	)		160,875		(159,384	)		1,491
Australian Dollar	New Zealand Dollar	8/8/2019	BAML		800,000		(837,998	)		562,129		(563,311	)		(1,182	)
British Pound	Australian Dollar	8/8/2019	BAML		1,125,000		(2,062,435	)		1,434,455		(1,449,194	)		(14,740	)
British Pound	Euro	8/8/2019	BAML		268,756		(300,000	)		342,683		(342,708	)		(25	)
British Pound	Japanese Yen	8/8/2019	BAML		125,000		(17,096,363	)		159,384		(159,144	)		240
Canadian Dollar	Australian Dollar	8/8/2019	BAML		3,116,460		(3,400,000	)		2,386,892		(2,389,049	)		(2,158	)
Canadian Dollar	Euro	8/8/2019	BAML		2,446,353		(1,625,000	)		1,873,658		(1,856,328	)		17,330
Canadian Dollar	Japanese Yen	8/8/2019	BAML		400,000		(32,859,600	)		306,359		(305,878	)		481
Euro	Australian Dollar	8/8/2019	BAML		1,125,000		(1,847,745	)		1,285,150		(1,298,339	)		(13,189	)
Euro	British Pound	8/8/2019	BAML		1,500,000		(1,341,888	)		1,713,534		(1,711,001	)		2,532
Euro	Japanese Yen	8/8/2019	BAML		1,800,000		(220,148,150	)		2,056,241		(2,049,278	)		6,963
Euro	Norwegian Krone	8/8/2019	BAML		1,250,000		(12,090,523	)		1,427,945		(1,419,820	)		8,125
Euro	Polish Zloty	8/8/2019	BAML		100,000		(426,232	)		114,236		(114,410	)		(174	)
Euro	Swedish Krona	8/8/2019	BAML		2,125,000		(22,559,268	)		2,427,506		(2,438,400	)		(10,894	)
Euro	Hungary Forint	8/8/2019	BAML		200,000		(64,847,440	)		228,471		(229,346	)		(875	)
Japanese Yen	Australian Dollar	8/8/2019	BAML		59,583,840		(800,000	)		554,644		(562,129	)		(7,485	)
Japanese Yen	British Pound	8/8/2019	BAML		85,436,250		(625,000	)		795,295		(796,919	)		(1,625	)
Japanese Yen	Canadian Dollar	8/8/2019	BAML		113,756,720		(1,400,000	)		1,058,919		(1,072,257	)		(13,338	)
Japanese Yen	Euro	8/8/2019	BAML		257,203,070		(2,100,000	)		2,394,208		(2,398,947	)		(4,738	)
Japanese Yen	New Zealand Dollar	8/8/2019	BAML		155,802,240		(2,200,000	)		1,450,305		(1,478,864	)		(28,559	)
Japanese Yen	Swiss Franc	8/8/2019	BAML		275,411,200		(2,500,000	)		2,563,701		(2,573,235	)		(9,534	)
New Zealand Dollar	Australian Dollar	8/8/2019	BAML		3,992,716		(3,800,000	)		2,683,948		(2,670,114	)		13,834
New Zealand Dollar	Japanese Yen	8/8/2019	BAML		200,000		(14,268,080	)		134,442		(132,816	)		1,626
Norwegian Krone	Swedish Krona	8/8/2019	BAML		14,000,000		(15,366,260	)		1,644,054		(1,660,918	)		(16,864	)
Swedish Krona	Euro	8/8/2019	BAML		1,319,602		(125,000	)		142,634		(142,794	)		(159	)
Swiss Franc	British Pound	8/8/2019	BAML		155,182		(125,000	)		159,728		(159,384	)		344
Swiss Franc	Euro	8/8/2019	BAML		2,498,292		(2,250,000	)		2,571,478		(2,570,300	)		1,177
Swiss Franc	Japanese Yen	8/8/2019	BAML		250,000		(27,541,300	)		257,324		(256,372	)		952
															(70,079	)

Net unrealized depreciation on forward currency contracts															(653,149	)

BAML - Bank of America Merrill Lynch

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES

June 30, 2019

	Altegris Futures Evolution			Altegris GSA Trend		Altegris Managed Futures
ASSETS	Strategy Fund			Strategy Fund		Strategy Fund
Investment securities:
At cost	$	517,231,321		$	13,671,015	$	—
At value	$	520,875,243		$	13,676,287	$	—
Cash		21,978,546			10,164,597		2,987,584
Foreign cash (Cost: $0, $36,284, and $29,303, respectively)		—			36,593		29,188
Segregated cash at custodian		—			—		57,198,000
Segregated cash at broker		—			5,969,779		6,152,419
Receivable for securities sold		2,761,327			—		—
Receivable for Fund shares sold		599,793			19,319		33,743
Interest receivable		2,295,360			—		—
Unrealized appreciation on futures contracts		—			2,064,358		2,241,834
Unrealized appreciation on forward foreign currency exchange contracts		—			246,703		810,892
Prepaid expenses and other assets		254,723			37,700		38,290
TOTAL ASSETS		548,764,992			32,215,336		69,491,950

LIABILITIES
Foreign cash due to custodian (Cost: $11,570, $0, and $0, respectively)		11,570			—		—
Unrealized depreciation on futures contracts		—			940,399		826,977
Unrealized depreciation on forward foreign currency exchange contracts		—			866,441		1,464,041
Payable for investments purchased		5,204,857			—		—
Payable for Fund shares repurchased		641,577			17,313		19,826
Investment advisory fees payable		567,755			37,722		67,010
Distribution (12b-1) fees payable		36,138			5,972		11,432
Payable to related parties		5,039			7,314		40,302
Accrued expenses and other liabilities		39,572			131,627		98,357
TOTAL LIABILITIES		6,506,508			2,006,788		2,527,945
NET ASSETS	$	542,258,484		$	30,208,548	$	66,964,005

Composition of Net Assets:
Paid in capital	$	558,147,850		$	28,958,278	$	67,473,210
Accumulated earnings/(loss)		(15,889,366	)		1,250,270		(509,205	)
NET ASSETS	$	542,258,484		$	30,208,548	$	66,964,005

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED STATEMENTS OF ASSETS AND LIABILITIES (Continued)

June 30, 2019

	Altegris Futures Evolution		Altegris GSA Trend			Altegris Managed Futures
Net Asset Value Per Share:	Strategy Fund		Strategy Fund			Strategy Fund
Class A Shares:
Net Assets	$	21,668,871	$	9		$	37,091,883
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		2,328,575		1			4,673,639
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share (a)(b)	$	9.31	$	8.60	(e)	$	7.94
Maximum offering price per share (net asset value plus maximum sales charge of 5.75%) (c)	$	9.88	$	9.12		$	8.42

Class C Shares:
Net Assets	$	15,877,839	$	—		$	4,973,321
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		1,706,571		—			654,586
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)(d)	$	9.30	$	—		$	7.60

Class I Shares:
Net Assets	$	424,680,170	$	1,749,242		$	24,402,218
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		45,823,014		202,504			3,027,173
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)	$	9.27	$	8.64		$	8.06

Class N Shares:
Net Assets	$	80,031,604	$	28,459,297		$	—
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		8,603,744		3,315,385			—
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)	$	9.30	$	8.58		$	—

Class O Shares:
Net Assets	$	—	$	—		$	496,943
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		—		—			62,611
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)	$	—	$	—		$	7.94

(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 does not recalculate due to rounding.

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED STATEMENTS OF OPERATIONS

June 30, 2019

	Altegris Futures Evolution			Altegris GSA Trend			Altegris Managed Futures
	Strategy Fund			Strategy Fund			Strategy Fund
INVESTMENT INCOME
Dividends	$	2,942		$	—		$	175,799
Interest		19,495,191			432,604			1,096,209
TOTAL INVESTMENT INCOME		19,498,133			432,604			1,272,008

EXPENSES
Advisory fees		9,314,559			484,294			1,280,353
Distribution (12b-1) fees:
Class A		75,034			—			116,997
Class C		188,122			—			63,607
Class N		206,148			83,785			—
Class O		—			—			1,611
Administrative services fees		556,572			60,482			10,223
Third party administrative services fees		560,403			2,655			11,048
Transfer agent fees		373,638			37,057			70,259
Registration fees		52,153			67,144			81,710
Printing and postage expenses		81,465			22,073			7,434
Custodian fees		114,207			818			136,079
Audit fees		52,752			2,113			38,722
Accounting services fees		74,058			8,636			15,532
Compliance officer fees		60,281			23,154			38,586
Legal fees		28,773			31,188			41,487
Insurance expense		17,649			393			133
Trustees fees and expenses		27,617			46,354			22,601
Other expenses		15,084			1,977			126
TOTAL EXPENSES		11,798,515			872,123			1,936,508
Less: Fees waived by the Advisor		(840,952	)		(214,920	)		(347,680	)
NET EXPENSES		10,957,563			657,203			1,588,828

NET INVESTMENT INCOME/(LOSS)		8,540,570			(224,599	)		(316,820	)

NET REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
Net realized gain/(loss) from:
Forward exchange contracts and translations		(156	)		660,758			(828,647	)
Futures contracts		—			(519,164	)		1,222,636
Investments		(3,033,315	)		285			(591,980	)
Purchased Options		(10,317,387	)		—			—
Swaps		—			—			13,302
Net Realized Gain/(Loss)		(13,350,858	)		141,879			(184,689	)

Net change in unrealized appreciation/(depreciation) on:
Foreign currency translations		—			42,908			69,585
Forward foreign currency exchange contracts		—			(457,345	)		(588,055	)
Futures contracts		—			111,925			360,891
Investments		10,082,877			3,079			156,054
Purchased Options		(8,699,100	)		—			—
Net change in unrealized appreciation/(depreciation) on:		1,383,777			(299,433	)		(1,525	)

NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS		(11,967,081	)		(157,554	)		(186,214	)

NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS	$	(3,426,511	)	$	(382,153	)	$	(503,034	)

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

	Altegris Futures Evolution Strategy Fund
	For the Year Ended			For the Year Ended
	June 30,			June 30,
	2019			2018

INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income	$	8,540,570		$	6,906,210
Net realized gain/(loss) on investments, purchased options and swaps		(13,350,858	)		8,950,356
Net change in unrealized appreciation on investments, purchased options and swaps		1,383,777			13,872,222
Net increase/(decrease) in net assets resulting from operations		(3,426,511	)		29,728,788

DISTRIBUTIONS TO SHAREHOLDERS
From net investment income:
Class A		—			(587,306	)
Class C		—			(136,565	)
Class I		—			(6,666,335	)
Class N		—			(1,115,095	)
Total Distributions Paid *
Class A		(1,348,881	)		—
Class C		(604,858	)		—
Class I		(25,683,120	)		—
Class N		(3,882,180	)		—
Total distributions to shareholders		(31,519,039	)		(8,505,301	)

SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		4,558,152			13,717,737
Class C		1,685,313			3,569,154
Class I		250,420,509			300,734,876
Class N		34,926,220			46,485,120
Net asset value of shares issued in reinvestment of distributions:
Class A		1,244,429			553,149
Class C		595,857			132,383
Class I		21,331,401			5,689,698
Class N		2,443,279			823,455
Redemption fee proceeds:
Class A		235			3,363
Class C		—			1,191
Class I		10,539			8,012
Class N		8,851			2,650
Payments for shares redeemed:
Class A		(22,916,956	)		(35,571,222	)
Class C		(7,716,660	)		(14,165,670	)
Class I		(334,803,983	)		(183,059,320	)
Class N		(43,133,990	)		(51,452,593	)
Net increase/(decrease) from shares of beneficial interest transactions		(91,346,804	)		87,471,983

NET INCREASE/(DECREASE) IN NET ASSETS		(126,292,354	)		108,695,470

NET ASSETS
Beginning of Year		668,550,838			559,855,368
End of Year **	$	542,258,484		$	668,550,838

Distributions from net investment income and net realized capital gains are combined for the year ended June 30, 2019. See “New Accounting Pronouncements” in the Notes to Financial Statements for more information. The dividends and distributions to shareholders for the year ended June 30, 2018 have not been reclassified to conform to the current year presentation.

Net Assets - End of Year includes distributions in excess of net investment income of ($153,337) as of June 30, 2018.

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Altegris Futures Evolution Strategy Fund
	For the Year Ended			For the Year Ended
	June 30,			June 30,
	2019			2018
SHARE ACTIVITY
Class A:
Shares Sold		477,215			1,365,949
Shares Reinvested		134,597			56,097
Shares Redeemed		(2,418,281	)		(3,627,266	)
Net decrease in shares of beneficial interest outstanding		(1,806,469	)		(2,205,220	)

Class C:
Shares Sold		178,727			361,356
Shares Reinvested		64,680			13,579
Shares Redeemed		(818,129	)		(1,454,068	)
Net decrease in shares of beneficial interest outstanding		(574,722	)		(1,079,133	)

Class I:
Shares Sold		27,135,458			30,149,284
Shares Reinvested		2,317,075			576,589
Shares Redeemed		(36,212,667	)		(18,668,042	)
Net increase/(decrease) in shares of beneficial interest outstanding		(6,760,134	)		12,057,831

Class N:
Shares Sold		3,712,832			4,696,176
Shares Reinvested		264,518			83,506
Shares Redeemed		(4,552,912	)		(5,213,172	)
Net decrease in shares of beneficial interest outstanding		(575,562	)		(433,490	)

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS *

	Altegris GSA Trend Strategy Fund
	For the Year Ended			For the Year Ended
	June 30,			June 30,
	2019			2018

INCREASE IN NET ASSETS FROM OPERATIONS
Net investment loss	$	(224,599	)	$	(591,297	)
Net realized gain/(loss) on futures and foreign exchange contracts		141,879			(2,133,261	)
Net change in unrealized appreciation/(depreciation) on futures and foreign exchange contracts		(299,433	)		2,083,494
Net decrease in net assets resulting from operations		(382,153	)		(641,064	)

SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class I		352,129			1,384,248
Class N		6,218,476			15,943,305
Redemption fee proceeds:
Class I		2			71
Class N		37			689
Payments for shares redeemed:
Class I		(1,413,491	)		(7,885,111	)
Class N		(15,236,854	)		(17,295,588	)
Net decrease from shares of beneficial interest transactions		(10,079,701	)		(7,852,386	)

NET DECREASE IN NET ASSETS		(10,461,854	)		(8,493,450	)

NET ASSETS
Beginning of Year		40,670,402			49,163,852
End of Year **	$	30,208,548		$	40,670,402

SHARE ACTIVITY
Class A:
Shares Sold		—			—
Net increase in shares of beneficial interest outstanding		—			—

Class I:
Shares Sold		39,860			147,490
Shares Redeemed		(161,674	)		(828,408	)
Net decrease in shares of beneficial interest outstanding		(121,814	)		(680,918	)

Class N:
Shares Sold		715,876			1,714,129
Shares Redeemed		(1,763,327	)		(1,853,066	)
Net decrease in shares of beneficial interest outstanding		(1,047,451	)		(138,937	)

Distributions from net investment income and net realized capital gains are combined for the year ended June 30, 2019, if any. See “New Accounting Pronouncements” in the Notes to Financial Statements for more information. The dividends and distributions to shareholders for the year ended June 30, 2018, if any have not been reclassified to conform to the current year presentation.

Net Assets- End of Year includes distributions in excess of net investment income of ($969,402) as of June 30, 2018.

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

	Altegris Managed Futures Strategy Fund
	For the Year Ended			For the Year Ended
	June 30,			June 30,
	2019			2018

DECREASE IN NET ASSETS FROM OPERATIONS
Net investment loss	$	(316,820	)	$	(1,241,870	)
Net realized gain/(loss) on investments, futures, forward foreign exchange contracts and swaps		(184,689	)		291,880
Net change in unrealized appreciation on investments, futures forward foreign exchange contracts and swaps		(1,525	)		5,911,335
Net increase/(decrease) in net assets resulting from operations		(503,034	)		4,961,345

DISTRIBUTIONS TO SHAREHOLDERS
From Return of Capital
Class A		(282,366	)		—
Class C		(21,257	)		—
Class I		(203,242	)		—
Class N		(3,454	)		—
Total Distributions Paid:*
Class A		(627,981	)		—
Class C		(47,274	)		—
Class I		(452,009	)		—
Class O		(7,682	)		—
Total distributions to shareholders		(1,645,265	)		—

SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		7,631,001			11,269,736
Class C		254,506			1,268,761
Class I		11,085,130			16,653,281
Class O		15,337			992,151
Net asset value of shares issued in reinvestment of distributions:
Class A		352,222			—
Class C		55,528			—
Class I		322,764			—
Class O		10,751			—
Redemption fee proceeds:
Class A		2,524			1,246
Class C		—			234
Class I		336			10
Class O		—			—
Payments for shares redeemed:
Class A		(24,255,213	)		(32,526,828	)
Class C		(2,893,846	)		(4,450,716	)
Class I		(24,713,682	)		(80,048,291	)
Class O		(547,922	)		(1,068,340	)
Net decrease from shares of beneficial interest transactions		(32,680,564	)		(87,908,756	)

NET DECREASE IN NET ASSETS		(34,828,863	)		(82,947,411	)
NET ASSETS
Beginning of Year		101,792,868			184,740,279
End of Year **	$	66,964,005		$	101,792,868

Net Assets- End of Year includes distributions in excess of net investment income of ($1,831,442) as of June 30, 2018.

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS (Continued)

	Altegris Managed Futures Strategy Fund
	For the Year Ended			For the Year Ended
	June 30,			June 30,
	2019			2018
SHARE ACTIVITY
Class A:
Shares Sold		963,390			1,348,885
Shares Reinvested		45,272			—
Shares Redeemed		(3,087,137	)		(3,922,163	)
Net decrease in shares of beneficial interest outstanding		(2,078,475	)		(2,573,278	)

Class C:
Shares Sold		33,364			157,122
Shares Reinvested		7,423			—
Shares Redeemed		(383,062	)		(553,820	)
Net decrease in shares of beneficial interest outstanding		(342,275	)		(396,698	)

Class I:
Shares Sold		1,386,559			1,965,925
Shares Reinvested		40,908			—
Shares Redeemed		(3,091,319	)		(9,387,125	)
Net decrease in shares of beneficial interest outstanding		(1,663,852	)		(7,421,200	)

Class O:
Shares Sold		1,962			118,009
Shares Reinvested		1,382			—
Shares Redeemed		(68,353	)		(128,129	)
Net decrease in shares of beneficial interest outstanding		(65,009	)		(10,120	)

See accompanying notes to consolidated financial statements.

Altegris Funds

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⁾
	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended			Year Ended
	June 30,			June 30,			June 30,			June 30,			June 30,			September 30,
	2019			2018^			2017^			2016^			2015*^			2014^

Net asset value, beginning of year/period	$	9.82		$	9.37		$	10.84		$	10.68		$	10.73		$	9.25

Income/(loss) from investment operations:
Net investment income/(loss) (2)		0.11			0.09			0.12			0.15			0.11			0.10
Net realized and unrealized gain/(loss) on investments		(0.17	)		0.48			(0.90	)		0.82			1.06			1.53
Total from investment operations		(0.06	)		0.57			(0.78	)		0.97			1.17			1.63

Less distributions from:
Net investment income		(0.45	)		(0.12	)		(0.69	)		(0.81	)		(1.22	)		(0.15	)
Total distributions		(0.45	)		(0.12	)		(0.69	)		(0.81	)		(1.22	)		(0.15	)

Redemption fees collected (3)		0.00			0.00			0.00			0.00			0.00			0.00

Net assets, at end of year/period	$	9.31		$	9.82		$	9.37		$	10.84		$	10.68		$	10.73

Total return (4)		(0.52	)% (6)		6.06	% (6)		(7.36	)%		9.63	%		11.02	% (5)		17.79	%

Net assets, at end of year/period (000s)	$	21,669		$	40,624		$	59,411		$	100,131		$	59,517		$	30,795

Ratios including the expenses and income of AFES Fund Limited:
Ratio of gross expenses to average net assets (7,9)		2.08	%		2.00	%		1.99	%		1.97	%		1.98	% (8)		2.08	%
Ratio of net expenses to average net assets (10)		1.94	%		1.94	%		1.94	%		1.94	%		1.94	% (8)		1.94	%
Ratio of net investment income to average net assets (11)		1.17	%		0.94	%		1.14	%		1.36	%		1.27	% (8)		1.04	%


Portfolio Turnover Rate		64	%		53	%		77	%		59	%		68	% (5)		97	%

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

^		Consolidated.

(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)	2.08	%	2.00	%	1.99	%	1.97	%	1.98	% (8)	2.08	%

(10)	Ratio of net expenses to average net assets
	excluding the expenses and income of AFES Fund Limited:	1.94	%	1.94	%	1.94	%	1.94	%	1.94	% (8)	1.94	%

(11)	Ratio of net investment income/(loss) to average net assets
	excluding the expenses and income of AFES Fund Limited:	1.17	%	0.92	%	1.13	%	1.32	%	1.26	% (8)	1.04	%

See accompanying notes to consolidated financial statements.

Altegris Funds

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⁾
	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended			Year Ended
	June 30,			June 30,			June 30,			June 30,			June 30,			September 30,
	2019			2018^			2017^			2016^			2015*^			2014^

Net asset value, beginning of year/period	$	9.75		$	9.31		$	10.78		$	10.57		$	10.63		$	9.18

Income/(loss) from investment operations:
Net investment income/(loss) (2)		0.04			0.02			0.04			0.07			0.04			0.03
Net realized and unrealized gain/(loss) on investments		(0.18	)		0.47			(0.88	)		0.83			1.07			1.50
Total from investment operations		(0.14	)		0.49			(0.84	)		0.90			1.11			1.53

Less distributions from:
Net investment income		(0.31	)		(0.05	)		(0.63	)		(0.69	)		(1.17	)		(0.08	)
Total distributions		(0.31	)		(0.05	)		(0.63	)		(0.69	)		(1.17	)		(0.08	)

Redemption fees collected (3)		0.00			0.00			0.00			0.00			0.00			0.00

Net assets, at end of year/period	$	9.30		$	9.75		$	9.31		$	10.78		$	10.57		$	10.63

Total return (4)		(1.42	)% (6)		5.26	% (6)		(8.02	)%		8.93	%		10.46	% (5)		(16.82	)%

Net assets, at end of year/period (000s)	$	15,878		$	22,237		$	31,270		$	33,831		$	20,459		$	7,274


Ratios including the expenses and income of AFES Fund Limited:
Ratio of gross expenses to average net assets (7,9)		2.83	%		2.75	%		2.74	%		2.72	%		2.73	% (8)		2.83	%
Ratio of net expenses to average net assets (10)		2.69	%		2.69	%		2.69	%		2.69	%		2.69	% (8)		2.69	%
Ratio of net investment income to average net assets (11)		0.45	%		0.18	%		0.40	%		0.62	%		0.52	% (8)		(0.29	)%


Portfolio Turnover Rate		64	%		53	%		77	%		59	%		68	% (5)		97	%

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

^		Consolidated.

(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)	2.83	%	2.75	%	2.74	%	2.72	%	2.73	% (8)	2.83	%

(10)	Ratio of net expenses to average net assets
	excluding the expenses and income of AFES Fund Limited:	2.69	%	2.69	%	2.69	%	2.69	%	2.69	% (8)	2.69	%

(11)	Ratio of net investment income/(loss) to average net assets
	excluding the expenses and income of AFES Fund Limited:	0.45	%	0.17	%	0.39	%	0.58	%	0.52	% (8)	(0.29	)%

See accompanying notes to consolidated financial statements.

Altegris Funds

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⁾
	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended			Year Ended
	June 30,			June 30,			June 30,			June 30,			June 30,			September 30,
	2019			2018^			2017^			2016^			2015*^			2014^

Net asset value, beginning of year/period	$	9.80		$	9.36		$	10.82		$	10.70		$	10.75		$	9.27

Income/(loss) from investment operations:
Net investment income (2)		0.14			0.12			0.14			0.17			0.13			0.13
Net realized and unrealized gain/(loss) on investments		(0.17	)		0.46			(0.88	)		0.83			1.06			1.53
Total from investment operations		(0.03	)		0.58			(0.74	)		1.00			1.19			1.66

Less distributions from:
Net investment income		(0.50	)		(0.14	)		(0.72	)		(0.88	)		(1.24	)		(0.18	)
Total distributions		(0.50	)		(0.14	)		(0.72	)		(0.88	)		(1.24	)		(0.18	)

Redemption fees collected (3)		0.00			0.00			0.00			0.00			0.00			0.00

Net assets, at end of year/period	$	9.27		$	9.80		$	9.36		$	10.82		$	10.70		$	10.75

Total return (4)		(0.24	)% (6)		6.22	% (6)		(7.05	)%		9.94	%		11.20	% (5)		(18.07	)% (6)

Net assets, at end of year/period (000s)	$	424,680		$	515,569		$	379,132		$	353,331		$	344,564		$	201,388


Ratios including the expenses and income of AFES Fund Limited:
Ratio of gross expenses to average net assets (7,9)		1.83	%		1.75	%		1.74	%		1.72	%		1.74	% (8)		1.83	%
Ratio of net expenses to average net assets (10)		1.69	%		1.69	%		1.69	%		1.69	%		1.69	% (8)		1.69	%
Ratio of net investment income to average net assets (11)		1.45	%		1.20	%		1.41	%		1.57	%		1.51	% (8)		1.29	%


Portfolio Turnover Rate		64	%		53	%		77	%		59	%		68	% (5)		97	%

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

^		Consolidated.

(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)	1.83	%	1.75	%	1.74	%	1.72	%	1.74	% (8)	1.83	%

(10)	Ratio of net expenses to average net assets
	excluding the expenses and income of AFES Fund Limited:	1.69	%	1.69	%	1.69	%	1.69	%	1.69	% (8)	1.69	%

(11)	Ratio of net investment income/(loss) to average net assets
	excluding the expenses and income of AFES Fund Limited:	1.45	%	1.19	%	1.40	%	1.53	%	1.50	% (8)	1.29	%

See accompanying notes to consolidated financial statements.

Altegris Funds

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⁾
	Year Ended			Year Ended			Year Ended			Year Ended			Period Ended			Year Ended
	June 30,			June 30,			June 30,			June 30,			June 30,			September 30,
	2019			2018^			2017^			2016^			2015*^			2014^

Net asset value, beginning of year/period	$	9.82		$	9.37		$	10.84		$	10.67		$	10.72		$	9.25

Income/(loss) from investment operations:
Net investment income/(loss) (2)		0.11			0.09			0.12			0.14			0.11			0.10
Net realized and unrealized gain/(loss) on investments		(0.19	)		0.48			(0.90	)		0.83			1.06			1.52
Total from investment operations		(0.07	)		0.57			(0.78	)		0.97			1.17			1.62

Less distributions from:
Net investment income		(0.45	)		(0.12	)		(0.69	)		(0.80	)		(1.22	)		(0.15	)
Total distributions		(0.45	)		(0.12	)		(0.69	)		(0.80	)		(1.22	)		(0.15	)

Redemption fees collected (3)		0.00			0.00			0.00			0.00			0.00			0.00

Net assets, at end of year/period	$	9.30		$	9.82		$	9.37		$	10.84		$	10.67		$	10.72

Total return (4)		(0.62	)% (6)		6.07	% (6)		(7.35	)%		9.71	%		11.04	% (5)		(17.69	)%

Net assets, at end of year/period (000s)	$	80,032		$	90,121		$	90,042		$	97,811		$	67,179		$	43,434


Ratios including the expenses and income of AFES Fund Limited:
Ratio of gross expenses to average net assets (7,9)		2.08	%		2.00	%		1.99	%		1.97	%		1.99	% (8)		2.08	%
Ratio of net expenses to average net assets (10)		1.94	%		1.94	%		1.94	%		1.94	%		1.94	% (8)		1.94	%
Ratio of net investment income to average net assets (11)		1.21	%		0.95	%		1.15	%		1.33	%		1.27	% (8)		(1.04	)%


Portfolio Turnover Rate		64	%		53	%		77	%		59	%		68	% (5)		97	%

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

^		Consolidated.

(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)	2.08	%	2.00	%	1.99	%	1.97	%	1.99	% (8)	2.08	%

(10)	Ratio of net expenses to average net assets
	excluding the expenses and income of AFES Fund Limited:	1.94	%	1.94	%	1.94	%	1.94	%	1.94	% (8)	1.94	%

(11)	Ratio of net investment income/(loss) to average net assets
	excluding the expenses and income of AFES Fund Limited:	1.21	%	0.93	%	1.13	%	1.29	%	1.26	% (8)	1.04	%

See accompanying notes to consolidated financial statements.

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 ⁽¹⁾
	Year Ended			Year Ended			Period Ended
	June 30,			June 30,			June 30,
	2019			2018			2017

Net asset value, beginning of year/period	$	8.68		$	8.93		$	10.00

Income/(loss) from investment operations:
Net investment loss (2)		(0.05	)		(0.20	)		(0.11	)
Net realized and unrealized loss on investments		(0.03	)		(0.05	)		(0.96	)
Total from investment operations		(0.08	)		(0.25	)		(1.07	)

Redemption fees collected (3)		0.00			0.00			0.00

Net asset value, end of period	$	8.60		$	8.68		$	8.93

Total return (4)		(0.92	)% (11)		(2.80	)%		(10.70	)% (5)

Net assets, at end of year/period (12)	$	9		$	9		$	9

Ratios including the expenses and income of AGSAT Fund Limited:
Ratio of gross expenses to average net assets (6,8)		2.45	%		3.01	%		1.85	% (7)
Ratio of net expenses to average net assets (9)		2.45	%		3.01	%		1.85	% (7)
Ratio of net investment loss to average net assets (10)		(1.39	)%		(2.15	)%		(1.85	)% (7)

Portfolio Turnover Rate		0	%		0	%		0	% (5)

(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)		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)	2.45	%	3.01	%	1.85	% (7)

(9)	Ratio of net expenses to average net assets
	excluding the expenses and income of AGSAT Fund Limited:	2.45	%	3.01	%	1.85	% (7)

(10)	Ratio of net investment loss to average net assets
	excluding the expenses and income of AGSAT Fund Limited:	(1.39	)%	(2.15	)%	(1.85	)% (7)

(11)	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.

(12)	Actual net assets

See accompanying notes to consolidated financial statements.

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 ⁽¹⁾
	Year Ended			Year Ended			Period Ended
	June 30,			June 30,			June 30,
	2019			2018			2017

Net asset value, beginning of year/period	$	8.71		$	8.93		$	10.00

Income/(loss) from investment operations:
Net investment loss (2)		(0.03	)		(0.10	)		(0.03	)
Net realized and unrealized loss on investments		(0.04	)		(0.12	)		(1.04	)
Total from investment operations		(0.07	)		(0.22	)		(1.07	)

Redemption fees collected (3)		0.00			0.00			0.00

Net assets, at end of year/period	$	8.64		$	8.71		$	8.93
Total return (4)		(0.80	)%		(2.46	)%		(10.70	)% (5)
Net assets, at end of year/period (000s)	$	1,749		$	2,824		$	8,981

Ratios including the expenses and income of AGSAT Fund Limited:
Ratio of gross expenses to average net assets (6,8)		2.20	%		2.11	%		2.34	% (7)
Ratio of net expenses to average net assets (9)		1.60	%		1.60	%		1.60	% (7)
Ratio of net investment loss to average net assets (10)		(0.40	)%		(1.04	)%		(1.23	) (7)

Portfolio Turnover Rate		0	%		0	%		0	% (5)

(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)	2.20	%	2.11	%	2.34	% (7)

(9)	Ratio of net expenses to average net assets
	excluding the expenses and income of AGSAT Fund Limited:	1.60	%	1.60	%	1.60	% (7)

(10)	Ratio of net investment loss to average net assets
	excluding the expenses and income of AGSAT Fund Limited:	(0.40	)%	(1.04	)%	(1.27	)% (7)

See accompanying notes to consolidated financial statements.

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 ⁽¹⁾
	Year Ended			Year Ended			Period Ended
	June 30,			June 30,			June 30,
	2019			2018			2017

Net asset value, beginning of year/period	$	8.67		$	8.93		$	10.00

Income/(loss) from investment operations:
Net investment loss (2)		(0.06	)		(0.11	)		(0.04	)
Net realized and unrealized loss on investments		(0.03	)		(0.15	)		(1.03	)
Total from investment operations		(0.09	)		(0.26	)		(1.07	)

Redemption fees collected (3)		0.00			0.00			0.00

Net assets, at end of year/period	$	8.58		$	8.67		$	8.93
Total return (4)		(1.04	)%		(2.91	)%		(10.70	)% (5)
Net assets, at end of year/period (000s)	$	28,459		$	37,846		$	40,183

Ratios including the expenses and income of AGSAT Fund Limited:
Ratio of gross expenses to average net assets (7,8)		2.45	%		2.39	%		2.38	% (7)
Ratio of net expenses to average net assets (9)		1.85	%		1.85	%		1.85	% (7)
Ratio of net investment loss to average net assets (10)		(0.64	)%		(1.19	)%		(1.49	)% (7)

Portfolio Turnover Rate		0	%		0	%		0	% (5)

(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)	2.45	%	2.39	%	2.38	% (7)

(9)	Ratio of net expenses to average net assets
	excluding the expenses and income of AGSAT Fund Limited:	1.85	%	1.85	%	1.85	% (7)

(10)	Ratio of net investment loss to average net assets
	excluding the expenses and income of AGSAT Fund Limited:	(0.64	)%	(1.19	)%	(1.54	)% (7)

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

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

	Altegris Managed Futures Strategy Fund Class A *
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	June 30,			June 30,			June 30,			June 30,			June 30,
	2019			2018			2017			2016			2015

Net asset value, beginning of year	$	8.08		$	7.99		$	9.56		$	9.51		$	8.91

Income/(loss) from investment operations:
Net investment loss (1)		(0.03	)		(0.08	)		(0.12	)		(0.16	)		(0.17	)
Net realized and unrealized gain/(loss) on investments		0.04	(10)		0.17			(0.80	)		1.05			0.77
Total from investment operations		0.01			0.09			(0.92	)		0.89			0.60
Less distributions from:
Net investment income		(0.15	)		—			(0.65	)		(0.84	)		—
Total distributions		(0.15	)		—			(0.65	)		(0.84	)		—
Redemption fees collected (2)		0.00			0.00			0.00			0.00			0.00
Net asset value, end of year	$	7.94		$	8.08		$	7.99		$	9.56		$	9.51
Total return (3)		0.14	% (9)		1.13	%		8.96	%		(9.91	)%		(6.73	)%
Net assets, at end of year (000s)	$	37,092		$	54,558		$	74,542		$	105,874		$	88,326

Ratios including the expenses and income of AMFS Fund Limited:
Ratio of gross expenses to average net assets (4,5,6)		2.31	%		2.17	%		2.04	%		1.98	%		1.99	%
Ratio of net expenses to average net assets (5,7)		1.90	%		1.90	%		1.90	%		1.90	%		1.90	%
Ratio of net investment loss to average net assets (5,8)		(0.40	)%		(0.91	)%		(1.41	)%		(1.68	)%		(1.79	)%

Portfolio Turnover Rate		280	%		479	%		472	%		231	%		179	%

*		Class A commenced operations on August 26, 2010.

(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)	2.31	%	2.17	%	2.04	%	1.98	%	1.99	%

(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	)%

(8)	Ratio of net investment loss to average net assets
	excluding the expenses and income of AMFS Fund Limited: (5)	(0.40	)%	(0.91	)%	(1.46	)%	(1.71	)%	(1.79	)%

(9)	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.

(10)	Realized and unrealized gain/loss per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.

See accompanying notes to consolidated financial statements.

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 *
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	June 30,			June 30,			June 30,			June 30,			June 30,
	2019			2018			2017			2016			2015

Net asset value, beginning of year	$	7.73		$	7.69		$	9.23		$	9.21		$	8.70

Income/(loss) from investment operations:
Net investment loss (1)		(0.09	)		(0.13	)		(0.19	)		(0.22	)		(0.23	)
Net realized and unrealized gain/(loss) on investments		0.04	(10)		0.17			(0.77	)		1.10			0.74
Total from investment operations		(0.05	)		0.04			(0.96	)		0.88			0.51
Less distributions from:
Net investment income		(0.08	)		—			(0.58	)		(0.86	)		—
Total distributions		(0.08	)		—			(0.58	)		(0.86	)		—
Redemption fees collected (2)		0.00			0.00			0.00			0.00			0.00
Net asset value, end of year	$	7.60		$	7.73		$	7.69		$	9.23		$	9.21
Total return (3)		(0.65	)% (9)		0.52	%		(9.63	)%		9.08	%		5.86	%
Net assets, at end of year (000s)	$	4,973		$	7,704		$	10,713		$	20,483		$	18,268

Ratios including the expenses and income of AMFS Fund Limited:
Ratio of gross expenses to average net assets (4,5,6)		3.06	%		2.91	%		2.79	%		2.73	%		2.74	%
Ratio of net expenses to average net assets (5,7)		2.65	%		2.65	%		2.65	%		2.65	%		2.65	%
Ratio of net investment loss to average net assets (5,8)		(1.16	)%		(1.66	)%		(2.17	)%		(2.43	)%		(2.54	)%

Portfolio Turnover Rate		280	%		479	%		472	%		231	%		179	%

*		Class C commenced operations on February 1, 2011.

(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)	3.06	%	2.91	%	2.79	%	2.73	%	2.74	%

(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	%

(8)	Ratio of net investment loss to average net assets
	excluding the expenses and income of AMFS Fund Limited: (5)	(1.16	)%	(1.66	)%	(2.23	)%	(2.47	)%	(2.54	)%

(9)	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.

(10)	Realized and unrealized gain/loss per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

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

	Altegris Managed Futures Strategy Fund Class I *
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	June 30,			June 30,			June 30,			June 30,			June 30,
	2019			2018			2017			2016			2015

Net asset value, beginning of year	$	8.21		$	8.12		$	9.68		$	9.62		$	8.99

Income (loss) from investment operations:
Net investment loss (1)		(0.01	)		(0.06	)		(0.10	)		(0.14	)		(0.15	)
Net realized and unrealized gain/(loss) on investments		0.03	(10)		0.15			(0.78	)		0.97			0.78
Total from investment operations		0.02			0.09			(0.88	)		0.83			0.63
Less distributions from:
Net investment income		(0.17	)		—			(0.68	)		(0.77	)		—
Total distributions		(0.17	)		—			(0.68	)		(0.77	)		—
Redemption fees collected (2)		0.00			0.00			0.00			0.00			0.00
Net asset value, end of year	$	8.06		$	8.21		$	8.12		$	9.68		$	9.62
Total return (3)		0.30	% (9)		1.11	%		(8.72	)%		10.19	%		(7.01	)%
Net assets, at end of year(000s)	$	24,402		$	38,500		$	98,384		$	106,609		$	110,681

Ratios including the expenses and income of AMFS Fund Limited:
Ratio of gross expenses to average net assets (4,5,6)		2.06	%		1.88	%		1.79	%		1.73	%		1.74	%
Ratio of net expenses to average net assets (5,7)		1.65	%		1.65	%		1.65	%		1.65	%		1.65	%
Ratio of net investment loss to average net assets (5,8)		(0.16	)%		(0.68	)%		(1.15	)%		(1.43	)%		(1.54	)%

Portfolio Turnover Rate		280	%		479	%		472	%		231	%		179	%

*		Class I commenced operations on August 26, 2010.

(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)	2.06	%	1.88	%	1.79	%	1.73	%	1.74	%

(7)	Ratio of net expenses to average net assets
	excluding the expenses and income of AMFS Fund Limited: (5)	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)	(0.16	)%	(0.68	)%	(1.21	)%	(1.46	)%	(1.54	)%

(9)	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.

(10)	Realized and unrealized gain/loss per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.

See accompanying notes to consolidated financial statements.

Altegris Funds

CONSOLIDATED FINANCIAL HIGHLIGHTS

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

	Altegris Managed Futures Strategy Fund Class O *
	Year Ended			Year Ended			Year Ended			Year Ended			Year Ended
	June 30,			June 30,			June 30,			June 30,			June 30,
	2019			2018			2017			2016			2015

Net asset value, beginning of year	$	8.08		$	7.99		$	9.55		$	9.51		$	8.91

Income/(loss) from investment operations:
Net investment loss (1)		(0.03	)		(0.08	)		(0.13	)		(0.16	)		(0.17	)
Net realized and unrealized gain/(loss) on investments		0.04	(10)		0.17			(0.79	)		1.05			0.77
Total from investment operations		0.01			0.09			(0.92	)		0.89			0.60
Less distributions from:
Net investment income		(0.15	)		—			(0.65	)		(0.85	)		—
Total distributions		(0.15	)		—			(0.65	)		(0.85	)		—
Redemption fees collected		0.00	(2)		0.00	(2)		0.01			0.00	(2)		0.00	(2)
Net asset value, end of year	$	7.94		$	8.08		$	7.99		$	9.55		$	9.51
Total return (3)		0.14	% (9)		1.13	%		(8.95	)%		9.91	%		(6.73	)%
Net assets, at end of year (000s)	$	497		$	1,031		$	1,100		$	1,696		$	2,009

Ratios including the expenses and income of AMFS Fund Limited:
Ratio of gross expenses to average net assets (4,5,6)		2.31	%		2.17	%		2.04	%		1.97	%		1.97	%
Ratio of net expenses to average net assets (5,7)		1.90	%		1.90	%		1.90	%		1.90	%		1.90	%
Ratio of net investment loss to average net assets (5,8)		(0.42	)%		(0.90	)%		(1.41	)%		(1.68	)%		(1.80	)%

Portfolio Turnover Rate		280	%		479	%		472	%		231	%		179	%

*		Class N commenced operations on March 13, 2013.

(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)	2.31	%	2.17	%	2.04	%	1.97	%	1.97	%

(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	%

(8)	Ratio of net investment loss to average net assets
	excluding the expenses and income of AMFS Fund Limited: (5)	(0.42	)%	(0.90	)%	(1.47	)%	(1.72	)%	(1.80	)%

(9)	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.

(10)	Realized and unrealized gain/loss per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains and losses in the statement of operations due to the share transactions for the period.

See accompanying notes to consolidated financial statements.

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS

June 30, 2019

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 Date	Diversification Status	Investment Objective
Futures Evolution Strategy Fund	October 31, 2011	Diversified	Long term capital appreciation.
GSA Trend Strategy Fund	March 17, 2017	Non-Diversified	Long term capital appreciation through utilization of an absolute return strategy.
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.

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 2013-08. 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

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

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. Futures shall be valued at the final settlement 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. Options are valued based on the daily price reported from the counterparty or pricing agent. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. 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 (Continued)

June 30, 2019

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 June 30, 2019 for each Fund’s assets and liabilities measured at fair value:

FUTURES EVOLUTION STRATEGY FUND

Assets *	Level 1		Level 2		Level 3		Total
Common Stock	$	105,540	$	—	$	—	$	105,540
Bonds and Notes		—		390,888,179		—		390,888,179
Warrant		—		—		—		—
Short-Term Investments		—		7,507,802		—		7,507,802
Purchased Options		—		122,373,722		—		122,373,722
Total	$	105,540	$	520,769,703	$	—	$	520,875,243

GSA TREND STRATEGY FUND

Assets	Level 1		Level 2		Level 3		Total
Investments *
U.S. Treasury Bills	$	—	$	13,676,287	$	—	$	13,676,287
Derivatives
Futures Contracts		2,064,358		—		—		2,064,358
Currency Contracts		—		246,703		—		246,703
Total:	$	2,064,358	$	13,922,990	$	—	$	15,987,348

Liabilities
Derivatives
Futures Contracts	$	940,399	$	—	$	—	$	940,399
Currency Contracts		—		866,441		—		866,441
Derivative Total	$	940,399	$	866,441	$	—	$	1,806,840

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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

MANAGED FUTURES STRATEGY FUND

Assets *	Level 1		Level 2		Level 3		Total
Derivatives
Futures Contracts	$	2,241,834	$	—	$	—	$	2,241,834
Currency Contracts		—		810,892		—		810,892
Total:	$	2,241,834	$	810,892	$	—	$	3,052,726

Liabilities *	Level 1		Level 2		Level 3		Total
Derivatives
Futures	$	826,977	$	—	$	—	$	826,977
Currency Contracts		—		1,464,041		—		1,464,041
Total:	$	826,977	$	1,464,041	$	—	$	2,291,018

Refer to the Consolidated Portfolios of Investments for security classification.

The Funds did not hold any Level 3 securities as of June 30, 2019.

Consolidation of Subsidiaries – The consolidated financial statements of 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 and AMFS (collectively the “CFCs”) as wholly-owned and controlled foreign corporation subsidiaries, in which each Fund may invest up to 25% of its total assets.

Altegris Advisors, L.L.C. (the “Advisor”) fair values Altegris Futures Evolution Strategy Funds Options Purchased investments daily based on the Commodity Trading Advisors (“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, as of June 30, 2019, 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.

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

	Inception Date of	AGSAT Net Assets at	% of Fund Net Assets at
	AGSAT	June 30, 2019	June 30, 2019
AGSAT	3/17/2017	$ 1,720,919	5.70%

	Inception Date of	AMFS Net Assets at	% of Fund Net Assets at
	AMFS	June 30, 2019	June 30, 2019
AMFS	09/11/10	$ 1,330,311	1.99%

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. 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

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

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 isolates 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. It is shown on the Statements of Operations as net change in unrealized depreciation on foreign currency transactions.

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.

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 (2016-2018) or expected to be taken in each Fund’s 2019 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, AGSAT, and AMFS are exempted Cayman investment companies. 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, 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.

Futures Contracts – The Funds are each subject to equity price risk in the normal course of pursuing their investment objectives. Each Fund may sell futures contracts to hedge against market risk and to reduce return volatility. A futures contract provides for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a stock index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are incurred when a futures contract is bought or sold and initial and variation margin deposits must be maintained. Entering into a contract to buy is commonly referred to as buying or purchasing a contract or holding a long

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

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.

Option Transactions – When the Futures Evolution Strategy Fund purchases an option, an amount equal to the premium paid by the Futures Evolution Strategy Fund is recorded as an investment and is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the Futures Evolution Strategy Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. Written and purchased options are non-income producing securities. The Futures Evolution Strategy Fund invests in options which are not traded on an exchange. In doing so, it is assuming a credit risk with regard to the party with which it trades and also bears the risk of settlement default. These risks may differ materially from risks associated with transactions effected on an exchange, which generally are backed by clearing organization guarantees, daily mark-to-market and settlement, segregation and minimum capital requirements applicable to intermediaries. Relying on a counterparty exposes the Futures Evolution Strategy Fund to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss. If a counterparty defaults on its payment obligations to the Futures Evolution Strategy Fund, this default will cause the value of an investment in the Futures Evolution Strategy Fund to decrease. In addition, to the extent the Futures Evolution Strategy Fund deals with a limited number of counterparties, it will be more susceptible to the credit risks associated with those counterparties. The Futures Evolution Strategy Fund is neither restricted from dealing with any particular counterparty nor from concentrating any or all of its transactions with one counterparty. The ability of the Futures Evolution Strategy Fund to transact business with any one or number of counterparties and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Futures Evolution Strategy Fund. The Futures Evolution Strategy Fund holds fully funded options with Nomura Securities (Bermuda), Ltd. The options provide exposure to the daily returns of a reference asset on a 1 to 1 basis. According to the terms of the option, the Adviser may increase or decrease this exposure on a daily basis. The Futures Evolution Strategy Fund pays an upfront premium of 1.10% per annum, which is charged based on the contract year, which is accrued daily over the contract period. The option contracts were initially entered into as of August 16, 2017, and have a two year valuation period, which may be extended or reduced to zero at any time. Based on the terms of the call option agreement, the Futures Evolution Strategy Fund amortizes the option premiums on a straight-line basis for a one-year period with the unamortized balance due from the counterparty as a rebate in the case of an early exercise subject to an early exercise fee. For the year ended June 30, 2019, $1,520,795 of option premiums was amortized.

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

As of June 30, 2019, the fair value on the option contracts was $122,373,722. For the year ended June 30, 2019, the Fund had realized gain/loss of $10,317,387 from options purchased contracts as disclosed on the Statement of Operations. The fair value on option contracts is disclosed on the portfolio of investments. As of June 30, 2019, the net change in unrealized depreciation on option purchased contracts was $8,699,100.

INVESTMENT TRANSACTIONS AND ASSOCIATED RISKS

For the year ended June 30, 2019, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and U.S. Government securities, amounted to the following:

	Purchases		Sales
Futures Evolution Strategy Fund	$	295,584,241	$	367,442,738
GSA Trend Strategy Fund		—		—
Managed Futures Strategy Fund		12,158,459		27,187,232

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

Liquidity Risk: 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.

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

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 June 30, 2019:

Location on the Statement of Assets and Liabilities
Derivative Investment Type		Asset Derivatives
Futures Contracts		Unrealized appreciation on futures contracts
Forward Foreign Currency Exchange Contracts		Unrealized appreciation on forward foreign currency exchange contracts

Derivative Investment Type		Liability Derivatives
Futures Contracts		Unrealized depreciation on futures contracts
Forward Foreign Currency Exchange Contracts		Unrealized depreciation on forward foreign currency exchange contracts
Purchased Options		Unrealized depreciation on purchased options

The following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of June 30, 2019:

Futures Evolution Strategy Fund
	Equity Risk		Interest Rate Risk		Currency Risk			Commodity Risk			Total
Purchased Options	$	—	$	—	$	—		$	(10,317,387	)	$	(10,317,387	)
	$	—	$	—	$	—		$	(10,317,387	)	$	(10,317,387	)

GSA Trend Strategy Fund
	Equity Risk		Interest Rate Risk		Currency Risk			Commodity Risk			Total
Futures Contracts	$	73,949	$	1,380,889	$	(120,449	)	$	(210,430	)	$	1,123,959
Forward Foreign Exchange Contracts		—		—		(619,738	)		—			(619,738	)
	$	73,949	$	1,380,889	$	(740,187	)	$	(210,430	)	$	504,221

Managed Futures Strategy Fund
	Equity Risk		Interest Rate Risk		Currency Risk			Commodity Risk			Total
Futures Contracts	$	136,122	$	1,438,882	$	(69,573	)	$	(90,574	)	$	1,414,857
Forward Foreign Exchange Contracts		—		—		(653,149	)		—			(653,149	)
	$	136,122	$	1,438,882	$	(722,722	)	$	(90,574	)	$	761,708

The following is a summary of the location of derivative investments on each Fund’s Consolidated Statement of Operations for the year ended June 30, 2019:

Derivative Investment Type		Location of Gain (Loss) on Derivative
Options		Net realized gain/(loss) on purchased options
		Net change unrealized appreciation/(depreciation) on purchased options
Futures Contracts		Net realized gain/(loss) from future contracts
		Net change unrealized appreciation/(depreciation) on future contracts
Foreign Exchange Contracts		Net realized gain/(loss) on forward exchange contracts
		Net change unrealized appreciation/(depreciation) on Forward currency contracts

The effect of Derivative Instruments on the Consolidated Statement of Operations for the year ended June 30, 2019:

						Change in
						Unrealized
			Realized Loss			Depreciation
Risk Type	Derivative	Location of Gain/Loss Derivatives	Derivatives			on Derivatives
Futures Evolution Strategy Fund
Equity Risk	Options purchased	Net realized loss on options purchased	$	(10,317,387	)
Equity Risk		Net change in unrealized adepreciation on options purchased				$	(8,699,100	)
Total			$	(10,317,387	)	$	(8,699,100	)

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

						Change in
			Realized			Unrealized
		Location of Gain/(Loss) On	Gain/(Loss)			Appreciation
Risk Type	Derivative	Derivatives	Derivatives			on Derivatives
GSA Trend Strategy Fund
Commodity Risk	Futures	Net realized loss on futures contracts	$	(2,629,239	)
Currency Risk		Net realized gain on futures contracts	$	168,162
Equity Risk		Net realized loss on futures contracts	$	(1,934,530	)
Interest Rate Risk		Net realized gain on futures contracts	$	3,876,443
Currency Risk	Forward Contracts	Net realized gain on forward currency contracts	$	660,758
Commodity Risk	Futures
		Net change in unrealized depreciation on futures contracts				$	(1,028,154	)
Currency Risk
		Net change in unrealized depreciation on futures contracts				$	(266,631	)
Equity Risk
		Net change in unrealized appreciation on futures contracts				$	361,755
Interest Rate Risk
		Net change in unrealized appreciation on futures contracts				$	1,044,955
Currency Risk	Forward Contracts	Net change in unrealized depreciation on forward currency contracts				$	(457,345	)
Total			$	141,594		$	(345,420	)
Managed Futures Strategy Fund
Currency Risk	Forward Contract	Net realized loss on forward currency contracts	$	(828,287	)
Commodity Risk	Futures	Net realized loss on futures contracts	$	(1,773,324	)
Currency Risk		Net realized loss on futures contracts	$	(2,172,286	)
Equity Risk		Net realized loss on futures contracts	$	(2,060,562	)
Interest Risk		Net realized gain on futures contracts	$	7,228,808
Currency Risk		Net change in unrealized depreciation on forward foreign
	Forward Contract	exchange contracts				$	(588,055	)
Commodity Risk
	Futures	Net change in unrealized depreciation on futures contracts				$	(1,078,029	)
Currency Risk
		Net change in unrealized depreciation on futures contracts				$	(141,009	)
Equity Risk
		Net change in unrealized appreciation on futures contracts				$	687,227
Interest Risk
		Net change in unrealized appreciation on futures contracts				$	892,702
Total			$	394,349		$	(227,164	)

The notional value of the derivative instruments outstanding as of June 30, 2019 as disclosed in the Consolidated Portfolios of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Consolidated Statements of Operations serve as indicators of the volume of derivative activity for a Fund.

Offsetting of Financial Assets and Derivative Assets

The Funds 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 June 30, 2019, 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.

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

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:

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
Description	Assets		& Liabilities		of Assets & Liabilities		Financial Instruments			Net Amount
Forward Contracts	$	246,703	$	—	$	246,703	$	(246,703	)	$	—
Total	$	246,703	$	—	$	246,703	$	(246,703	)	$	—

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	$	866,441	$	—	$	866,441	$	(246,703	)	$	619,738
Total	$	866,441	$	—	$	866,441	$	(246,703	)	$	619,738


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	$	810,892	$	—	$	810,892	$	(810,892	)	$	—
Total	$	810,892	$	—	$	810,892	$	(810,892	)	$	—

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	$	1,464,041	$	—	$	1,464,041	$	(810,792	)	$	653,249
Total	$	1,464,041	$	—	$	1,464,041	$	(810,792	)	$	653,249

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

Altegris Advisors, L.L.C., serves as the Funds’ investment advisor (the “Advisor”). The Advisor delegates management of the Futures Evolution Strategy Fund’s Fixed Income strategy portfolio to DoubleLine Capital, L.P., who serves as that Fund’s sub-advisor. The Advisor delegates management of the GSA Trend Strategy Fund’s portfolio to GSA Capital Partners LLP who serves as that Fund’s sub-advisor. The Advisor delegates management of the Managed Futures Strategy Fund to Crabel Capital Management, LLC, Centurion Investment Management, LLC, GSA Capital Partners LLP, 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% on the first $400 Million and 1.20% on assets over $400 Million. 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 year ended June 30, 2019, the Advisor earned the following in advisory fees:

ADVISORY FEES
Futures Evolution Strategy Fund	$	9,314,559
GSA Trend Strategy Fund		484,294
Managed Futures Strategy Fund		1,280,353

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, 2019, 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			Class O
Futures Evolution Strategy Fund		1.94	%		2.69	%		1.69	%		1.94	%		NA
GSA Trend Strategy Fund		1.85	%		NA			1.60	%		1.85	%		NA
Managed Futures Strategy Fund		1.90	%		2.65	%		1.65	%		NA			1.90	%

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

During the year ended June 30, 2019, the Advisor waived the following amounts pursuant to the Waiver Agreement:

WAIVED FEES
Futures Evolution Strategy Fund	$	840,952
GSA Trend Strategy Fund		214,920
Managed Futures Strategy Fund		347,680

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 a Fund’s operating expenses subsequently exceed the respective expense limitation, the reimbursement for the Fund shall be suspended. The Advisor may seek reimbursement only for expenses waived or paid by it during the three years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement). Cumulative expenses previously waived or reimbursed subject to the aforementioned conditions will expire as presented in the table below:

FUTURES EVOLUTION			GSA TREND STRATEGY			MANAGED FUTURES
STRATEGY FUND			FUND			STRATEGY FUND
Jun-20		305,925	Jun-20	$	81,339	Jun-20	$	287,366
Jun-21		369,004	Jun-21		269,806	Jun-21		365,961
Jun-22		840,952	Jun-22		214,920	Jun-22		347,680
	$	1,515,881		$	566,065		$	1,001,007

On September 30, 2017, $386,313 of previously waived fees pursuant to the Waiver Agreement expired without recoupment by the Advisor for the Altegris Futures Evolution Strategy Fund. On June 30, 2017, $571,492 of previously waived fees pursuant to the Waiver Agreement expired without recoupment by the Advisor for the Altegris Managed Futures Strategy Fund. On June 30, 2019, $143,860 and $174,316 of previously waived fees expired without recoupment by the Advisor for the Altegris Futures Evolution Strategy Fund and the Altegris Managed Futures Strategy Fund, respectively.

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 year ended June 30, 2019, pursuant to the Plans, the Funds incurred the following:

	12b-1 Fees
	Futures Evolution		GSA Trend		Managed Futures
	Strategy Fund		Strategy Fund		Strategy Fund
Class A	$	75,034	$	—	$	116,997
Class C		188,122		N/A		63,607
Class N		206,148		83,785		N/A
Class O		N/A		N/A		1,611

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ Class A and Class C shares. During the year ended June 30, 2019, the Distributor received underwriting commissions for sales of Class A and Class C shares, respectively. The amounts of underwriting commissions received from the Funds and retained by the Distributor are as follows:

	Received				Retained
	Class A		Class C		Class A		Class C
Futures Evolution Strategy Fund	$	39,509	$	16,739	$	5,095	$	2,074
GSA Trend Strategy Fund		—		N/A		—		N/A
Managed Futures Strategy Fund		1,437		1,875		187		—

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 AACA Opportunistic Real Estate Fund, and Altegris/AACA Real Estate Income 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.

On February 1, 2019, NorthStar Financial Services Group, LLC, the parent company of Gemini Fund Services, LLC (“GFS”) and its affiliated companies including Northern Lights Distributors, LLC (“NLD”), Northern Lights Compliance Services, LLC (“NLCS”) and Blu Giant, LLC (“Blu Giant”) (collectively, the “Gemini Companies”), sold its interest in the Gemini Companies to a third party private equity firm that contemporaneously acquired Ultimus Fund Solutions, LLC (an independent mutual fund administration firm) and its affiliates (collectively, the “Ultimus Companies”). As a result of these separate transactions, the Gemini Companies and the Ultimus Companies are now indirectly owned through a common parent entity, The Ultimus Group, LLC.

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 year ended June 30, 2019, redemption fees for the Funds were as follows:

	Futures Evolution		GSA Trend		Managed Futures
	Strategy Fund		Strategy Fund		Strategy Fund
Class A	$	235	$	—	$	2,524
Class C		—		N/A		—
Class I		10,539		2		336
Class N		8,851		37		N/A
Class O		N/A		N/A		—

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

								Net Unrealized
			Gross Unrealized		Gross Unrealized			Appreciation/
	Tax Cost		Appreciation		Depreciation			Depreciation
Futures Evolution Strategy Fund	$	517,509,650	$	18,807,018	$	(15,441,425	)	$	3,365,593
GSA Trend Strategy Fund		14,264,451		1,021,054		(1,104,996	)		(83,942	)
Managed Futures Strategy Fund		837,072		1,702,459		(1,778,184	)		(75,725	)

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, 2019
	Ordinary		Long-Term		Return of
Fund	Income		Capital Gains		Capital		Total
Futures Evolution Strategy Fund	$	31,519,039	$	—	$	—	$	31,519,039
GSA Trend Strategy Fund		—		—		—		—
Managed Futures Strategy Fund		—		1,134,946		510,319		1,645,265

	For the period ended June 30, 2018
	Ordinary		Long-Term		Return of
Fund	Income		Capital Gains		Capital		Total
Futures Evolution Strategy Fund	$	8,505,301	$	—	$	—	$	8,505,301
GSA Trend Strategy Fund		—		—		—		—
Managed Futures Strategy Fund		—		—		—		—

As of June 30, 2019, the components of accumulated earnings/(deficit) on a tax basis was as follows:

	Undistributed		Undistributed		Post October Loss			Capital Loss			Unrealized			Total
	Ordinary		Long-Term		and			Carry			Appreciation/			Accumulated
Fund	Income		Capital Gains		Late Year Loss			Forwards			(Depreciation)			Earnings/(Deficits)
Futures Evolution Fund	$	255,567	$	—	$	(2,306,607	)	$	(17,203,919	)	$	3,365,593		$	(15,889,366	)
GSA Trend Strategy Fund		186,899		1,115,244		—			—			(51,873	)		1,250,270
Managed Futures Strategy Fund		—		—		(450,160	)		—			(59,045	)		(509,205	)

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 on open forward foreign currency and futures contracts, and tax adjustments for defaulted bonds, bonds with perpetual maturities, and the Funds’ wholly owned subsidiary.

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

	Late Year
Fund	Losses
Managed Futures Strategy Fund		5,948

Altegris Funds

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)

June 30, 2019

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 below incurred and elected to defer such capital losses as follows:

	Post October
Fund	Losses
Futures Evolution Strategy Fund	$	2,306,607
GSA Trend Strategy Fund		444,212

At June 30, 2019, the Futures Evolution Strategy Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

	Non-Expiring		Non-Expiring				CLCF
Fund	Short-Term		Long-Term		Total		Utilized
Futures Evolution Strategy Fund	$	10,980,648	$	6,223,271	$	17,203,919	$	—

Permanent book and tax differences, primarily attributable to differences in book and tax treatment of net operating losses, Controlled Foreign Corporations and the options issued from Nomura, resulted in reclassifications for the Funds for the fiscal year ended June 30, 2019 as follows:

	Paid
	In			Accumulated
Fund	Capital			Earnings (Losses)
Futures Evolution Strategy Fund	$	(17,001,026	)	$	17,001,026
GSA Trend Strategy Fund		(5,506,606	)		5,506,606
Managed Futures Strategy Fund		(5,285,412	)		5,285,412

NEW ACCOUNTING PRONOUNCEMENTS

In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2017-08, Receivables—Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.

In August 2018, the FASB issued Accounting Standards Update (“ASU”) No. 2018-13, which changes certain fair value measurement disclosure requirements. The new ASU, in addition to other modifications and additions, removes the requirement to disclose the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, and the policy for the timing of transfers between levels. For investment companies, the amendments are effective for financial statements issued for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Early adoption is allowed. These amendments have been adopted with these financial statements.

In August 2018, the Securities and Exchange Commission adopted amendments to certain disclosure requirements under Regulation S-X to conform to US GAAP, including: (i) an amendment to require presentation of the total, rather than the components, of distributable earnings on the Statements of Assets and Liabilities; and (ii) an amendment to require presentation of the total, rather than the components, of distributions to shareholders, except for tax return of capital distributions, if any, on the Statements of Changes in Net Assets. The amendments also removed the requirement for parenthetical disclosure of undistributed net investment income on the Statements of Changes in Net Assets. These amendments have been adopted with these financial statements.

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 determined that no events or transactions occurred requiring adjustment or disclosure in the consolidated financial statements.

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

To the shareholders and the Board of Trustees of The Northern Lights Fund Trust

Opinion on the Financial Statements and Financial Highlights

We have audited the accompanying consolidated statements of assets and liabilities of Altegris Futures Evolution Strategy Fund, Altegris Managed Futures Strategy Fund, and Altegris GSA Trend Strategy Fund (the “Funds”), including the consolidated portfolios of investments as of June 30, 2019 (as to Altegris Futures Evolution Strategy Fund, the statement of assets and liabilities, including the portfolio of investments, as of June 30, 2019), the related consolidated statements of operations for the year then ended, the consolidated statements of changes in net assets for each of the two years in the period then ended, the consolidated financial highlights for each of the five years in the period then ended, and the related notes (as to Altegris Futures Evolution Strategy Fund, the statement of operations for the year ended June 30, 2019, the statement of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period ended June 30, 2018, the period from October 1, 2014 to June 30, 2015, and for the year ended September 30, 2014, and as to Altegris GSA Trend Strategy Fund, the consolidated financial highlights for each of the two years ended June 30, 2019 and the period from March 17, 2017 (commencement of operations) through June 30, 2017). In our opinion, the financial statements and financial highlights of each of the Funds present fairly, in all material respects, the financial position of the Funds as of June 30, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended (as to Altegris Futures Evolution Strategy Fund, the financial highlights for each of the three years in the period ended June 30, 2018, the period from October 1, 2014 to June 30, 2015, and for the year ended September 30, 2014, and as to Altegris GSA Trend Strategy Fund, the consolidated financial highlights for each of the two years ended June 30, 2019 and the period from March 17, 2017 (commencement of operations) through June 30, 2017) , in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of June 30, 2019, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

(-s- DELOITTE & TOUCHE LLP)

Costa Mesa, CA

August 29, 2019

We have served as the auditor of one or more Altegris Funds investment companies since 2014.

Altegris Funds

EXPENSE EXAMPLES (Unaudited)

June 30, 2019

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 January 1, 2019 and ending June 30, 2019.

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

Futures Evolution Strategy Fund
	Annualized	Beginning	Ending Account	Expenses Paid During
Actual	Expense	Account Value	Value	Period *
Expenses	Ratio	1/1/2019	6/30/2019	1/1/19 – 6/30/19
Class A	1.94%	$1,000.00	$1,030.40	$9.77
Class C	2.69%	$1,000.00	$1,026.10	$13.51
Class I	1.69%	$1,000.00	$1,031.60	$8.51
Class N	1.94%	$1,000.00	$1,030.50	$9.77

Hypothetical	Annualized	Beginning	Ending Account	Expenses Paid During
(5% return before	Expense	Account Value	Value	Period *
expenses)	Ratio	1/1/2019	6/30/2019	1/1/19 – 6/30/19
Class A	1.94%	$1,000.00	$1,015.17	$9.69
Class C	2.69%	$1,000.00	$1,011.46	$13.42
Class I	1.69%	$1,000.00	$1,016.41	$8.45
Class N	1.94%	$1,000.00	$1,015.17	$9.69

Altegris Funds

EXPENSE EXAMPLES (Unaudited)(Continued)

June 30, 2019

GSA Trend Strategy Fund
	Annualized	Beginning	Ending Account	Expenses Paid During
Actual	Expense	Account Value	Value	Period *
Expenses	Ratio	1/1/2019	6/30/2019	1/1/19 – 6/30/19
Class A	1.85%	$1,000.00	$971.80	$9.04
Class I	1.60%	$1,000.00	$970.80	$7.82
Class N	1.85%	$1,000.00	$969.50	$9.03

Hypothetical	Annualized	Beginning	Ending Account	Expenses Paid During
(5% return before	Expense	Account Value	Value	Period *
expenses)	Ratio	1/1/2019	6/30/2019	1/1/19 – 6/30/19
Class A	1.85%	$1,000.00	$1,015.62	$9.25
Class I	1.60%	$1,000.00	$1,016.86	$8.00
Class N	1.85%	$1,000.00	$1,015.62	$9.25

Managed Futures Strategy Fund
	Annualized	Beginning	Ending Account	Expenses Paid During
Actual	Expense	Account Value	Value	Period *
Expenses	Ratio	1/1/2019	6/30/2019	1/1/19 – 6/30/19
Class A	1.90%	$1,000.00	$1,011.50	$9.48
Class C	2.65%	$1,000.00	$1,007.90	$13.19
Class I	1.65%	$1,000.00	$1,012.50	$8.23
Class O	1.90%	$1,000.00	$1,011.50	$9.48

Hypothetical	Annualized	Beginning	Ending Account	Expenses Paid During
(5% return before	Expense	Account Value	Value	Period *
expenses)	Ratio	1/1/2019	6/30/2019	1/1/19 – 6/30/19
Class A	1.90%	$1,000.00	$1,015.37	$9.49
Class C	2.65%	$1,000.00	$1,011.65	$13.22
Class I	1.65%	$1,000.00	$1,016.61	$8.25
Class O	1.90%	$1,000.00	$1,015.37	$9.49

Expenses are equal to each Fund’s annualized expense ratio, multiplied by the number of days in the period (181) divided by the number of days in the fiscal year (365).

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)

June 30, 2019

Adviser – Altegris Advisors, LLC (Adviser to Altegris Opportunistic, Altegris Futures Evolution, Altegris GSA, and Altegris Managed)

In connection with the regular meeting held on June 25-26, 2019 of the Board of Trustees (the “Trustees” or the “Board”) of the Northern Lights Fund Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of an investment advisory agreement (the “Advisory Agreement”) between Altegris Advisors, LLC (“Adviser”) and the Trust, with respect to the Altegris/AACA Opportunistic Real Estate Income Fund (“Altegris Opportunistic”), Altegris Futures Evolution Strategy Fund (“Altegris Futures Evolution”), Altegris GSA Trend Strategy Fund (“Altegris GSA”), and Altegris Managed Futures Strategy Fund (“Altegris Managed”) (collectively referred to as the “Altegris Funds”) In considering the renewal of the Advisory Agreement, the Board received materials specifically relating to the Advisory Agreement.

The Trustees were assisted by independent legal counsel throughout the Advisory Agreement review process. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Advisory Agreement.

Nature, Extent and Quality of Service.

The Trustees noted that Altegris was founded in 2002 and specialized in identifying, evaluating, selecting, and monitoring alternative strategies and managers for the purpose of offering these strategies to financial professionals and individuals seeking portfolio diversification. The Trustees remarked positively on the educational and professional backgrounds of the firm’s key personnel responsible for servicing the Altegris Funds. They observed a robust investment team with multi-faceted asset management and financial industry experience supported by dedicated teams providing research, compliance, legal, operations and marketing to the Funds. The Trustees noted that the adviser’s investment team applied a rigorous due diligence process to source, evaluate and select managers for each strategy. The Trustees observed that the adviser conducted a comprehensive supervision of its sub-advisers with a process that monitored performance characteristics and compliance with each Fund’s investment limitations. The Trustees found that the adviser continued to be fully engaged with its sub-advisers and fully abreast of the strategies employed by each sub-adviser. The Trustees expressed satisfaction with the culture and direction of the adviser under its new management and the adviser’s continued commitment to enhance resources. The Trustees concluded that the adviser should continue to provide a high level of quality service to the Altegris Funds to the benefit of each Fund’s shareholders.

Performance.

Altegris Opportunistic. The Trustees discussed the Fund’s investment objectives and strategy. The Trustees noted that the Fund outperformed its peer group, Morningstar category, and benchmark average over the three year, five year and since inception periods and while positive, recent performance trailed the relevant comparables. The Trustees further noted that the Fund had a five star Morningstar rating and had top rated Sharpe and Sortino metrics over the three year period. After further discussion, the Trustees agreed that the Fund’s performance was satisfactory.

Altegris Managed. The Trustees discussed the Fund’s investment objective and strategy. The Trustees noted that the Fund had underperformed its Morningstar category average over the one year, three year, five year, and since inception periods. The Trustees further noted that, notwithstanding its investment results, the Fund’s risk metrics outperformed its peer group median over the three year period. The Trustees considered the adviser’s explanation that the Fund’s underperformance occurred, in part, due to the recent adverse performance of commodities in general. After further discussion, the Trustees agreed that the Fund’s performance was consistent for its asset class and not unsatisfactory at this time.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

June 30, 2019

Altegris Futures Evolution. The Trustees discussed the Fund’s investment objective and strategy. The Trustees noted that the Fund outperformed its Morningstar category average over the one year, three year, five year, and since inception periods. The Trustees further noted that the Fund’s Sharpe and Sortino ratios outperformed the Fund’s peer group and category medians over one and three year periods. The Trustees considered the adviser’s analysis of each strategy and the Sub-adviser. The Trustees reasoned that Altegris continued to provide shareholders with solid long-term performance.

Altegris GSA. The Trustees discussed the Fund’s investment objective and strategy. The Trustees noted that the Fund underperformed its Morningstar category average and median over the one year and since inception periods. The Trustees commented that the Fund’s Sharpe and Sortino ratios underperformed its peer group median over one year and since inception periods. The Trustees noted that the Fund’s adviser attributed the Fund’s poor performance to non-ideal market conditions, which the adviser believed would be temporary. After further discussion, the Trustees agreed that the Fund’s adviser should be granted additional opportunities to improve the Fund’s performance.

Fees and Expenses.

Altegris Opportunistic. The Trustees noted the Fund’s advisory fee of 1.30% was higher than the Fund’s Morningstar category median and average, and tied for highest in the category. They further noted that the fee was within the range of fees of its peer group. The Trustees discussed the Fund’s net expense ratio. They noted that it was higher than the Morningstar category and peer group median. The Trustees observed that the Fund appeared to be the only fund in its peer group and Morningstar category that employed a shorting strategy, which allowed investors to benefit from both short term and long term gains. After further discussion, the Trustees concluded that the Fund’s advisory fee was not unreasonable.

Altegris Managed. The Trustees noted the Fund’s advisory fee of 1.50% was higher than the Morningstar category average and median; however, they commented that it was well within the range of fees within the peer group and Morningstar category. The Trustees discussed the Fund’s net expense ratio. They noted that it was only slightly higher than the peer group median and within the range of both the peer group and Morningstar category metrics. After further discussion, the Trustees concluded that the Fund’s advisory fee was not unreasonable.

Altegris Futures Evolution. The Trustees noted that the Fund’s advisory fee of 1.50% was higher than the Morningstar category median and average and slightly higher than the peer group median. The Trustees discussed the Fund’s net expense ratio and noted that it was slightly higher than its peer group median but well within range of the peer group. After further discussion, the Trustees concluded that the Fund’s advisory fee was not unreasonable.

Altegris GSA. The Trustees reviewed the Fund’s advisory fee of 1.35% and considered the fee relative to fees charged by funds in its Morningstar category and peer group. They noted that the advisory fee was lower than its Morningstar category average and only marginally higher than the Morningstar category and peer group median. The Trustees reviewed the Fund’s net expense ratio of 1.60%, and they commented that the expense ratio was equal to the Morningstar category median and only slightly higher than the peer group median. After further discussion, the Trustees concluded that the Fund’s advisory fee was not unreasonable.

Economies of Scale.

The Trustees considered whether economies of scale had been realized in connection with Altegris’ advisory services. They noted that the adviser had implemented breakpoints for each of the Funds with the exception of Altegris Opportunistic. The Trustees further noted that the adviser indicated it would be willing to discuss breakpoints for Altegris Opportunistic once the Fund’s assets reached higher asset levels. With respect to Altegris Opportunistic, the Trustees concluded that at this time the absence of breakpoints was reasonable and agreed to consider implementing breakpoints as the Fund’s assets increased and with respect to the other Funds, that the breakpoints remained appropriate.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

June 30, 2019

Profitability.

The Trustees reviewed the profitability analysis provided by Altegris and noted that Altegris realized a profit with respect to each Fund over the period with the exception of Altegris GSA. They discussed the advisory fees relative to the sub-advisory fees of each Fund, as applicable, the allocation of responsibilities among the adviser and one or more sub-advisers, and the reasonableness of the fees and profits based on those allocations. They noted that adviser’s stated profits appeared reasonable in terms of actual dollars and as a percentage of revenue. They considered the adviser’s assertion that it had devoted significant resources and personnel to manage the Funds and supervise the sub-advisers, and concluded that, with respect to each Fund, excessive profitability was not a concern at this time.

Conclusion.

Having requested and received such information from Altegris as the Trustees believed to be reasonably necessary to evaluate the terms of the advisory agreement, and as assisted by the advice of counsel, the Trustees concluded that the fee structure was not unreasonable and that renewal of the advisory agreement was in the best interests of each Altegris Fund and the shareholders of each Fund.

Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Funds.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)

June 30, 2019

Altegris Managed Futures Strategy Fund (Sub-Adviser – Crabel Capital Management, LLC)

In connection with the regular meeting held on June 25-26, 2019 of the Board, including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “Sub-Advisory Agreement”) between Altegris Advisors, LLC and Crabel Capital Management, LLC (“Crabel”), with respect to the Altegris Managed Futures Strategy Fund (referred to as the “Fund”). In considering the renewal of the Sub-Advisory Agreement, the Board received materials specifically relating to the Sub-Advisory Agreement.

The Trustees were assisted by independent legal counsel throughout the Sub-Advisory Agreement review process. The Board relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Sub-Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Sub-Advisory Agreement.

Performance.

The Trustees reviewed the overall performance of the Fund and the performance of the Fund’s assets managed by Crabel. They noted that Crabel had managed approximately $34 million or 44% of the Fund’s assets. They further noted that Crabel utilized two of its proprietary programs called Advanced Trend and Gemini to achieve the Fund’s investment objectives. The Trustees acknowledged that based on Crabel’s attribution analysis, the Advanced Trend program returned -11.78% and the Gemini program contributed 6.67% over a one year period. After a discussion, the Trustees agreed that Crabel’s performance was not unsatisfactory.

Fees and Expenses.

The Trustees noted that Crabel received an annual fee equal to 0.50% of the assets allocated to the Advanced Trend program and 1.25% of the assets allocated to the Gemini program. They compared the fees for both programs and acknowledged that both fees were less than those charged to similar separately managed accounts. After a discussion, the Trustees concluded that the sub-advisory fee was not unreasonable.

Economies of Scale.

The Trustees considered whether the sub-adviser had realized economies of scale with respect to the management of the Fund. The Trustees agreed that this was primarily an adviser level issue and should be considered with respect to the overall advisory contract, taking into consideration the impact of the sub-advisory expense.

Profitability.

The Trustees reviewed the profit analysis provided by Crabel. They noted that Crabel did not realize a profit over the applicable period in connection with its relationship with the Fund. The Trustees concluded that excessive profitability was not an issue at this time.

Conclusion.

Having requested and received such information from the sub-adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the Sub-Advisory Agreement and as assisted by the advice of counsel, the Trustees concluded that the fee structure was not unreasonable and that renewal of the Sub-Advisory Agreement with Crabel was in the best interests of the shareholders of the Fund.

Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)

June 30, 2019

Altegris Futures Evolution Strategy Fund (Sub-Adviser – DoubleLine Capital LP)

In connection with the regular meeting held on June 25-26, 2019 of the Board, including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “Sub-Advisory Agreement”) between Altegris Advisers, LLC and DoubleLine Capital LP (“DoubleLine”), with respect to the Altegris Future Evolution Strategy Fund (referred to as the “Fund” or “Altegris Futures Evolution”). In considering the renewal of the Sub-Advisory Agreement, the Board received materials specifically relating to the Sub-Advisory Agreement.

Nature, Extent & Quality of Services.

The Trustees noted that DoubleLine was founded in 2009 and had $130 billion in assets under management. They further noted that DoubleLine was a leading money management firm offering a wide variety of equity and various fixed income investment strategies. The Trustees reviewed the background information on the sub-adviser’s key personnel, taking into consideration their education and financial industry experience. The Trustees acknowledged that DoubleLine had a team of over 200 professionals to support its portfolio managers with research, trading, client service, compliance, legal, risk management, operations, and information technology. They observed that DoubleLine had robust compliance policies and procedures that were designed to meet regulatory requirements associated with its investment strategies. They noted that DoubleLine’s compliance department performed post-trade compliance reviews as well as utilized an approved list of counterparty broker-dealers that were selected through a best execution process. The Trustees considered the adviser’s recommendation that the sub-adviser be retained, and they concluded that DoubleLine had provided and could continue to provide quality service to the Fund and its shareholders.

Performance.

The Trustees discussed the Fund’s investment objective and strategy. The Trustees noted that the Fund outperformed its Morningstar category average over the one year, three year, five year, and since inception periods. They considered that DoubleLine was responsible for managing approximately 60-80% of the Fund’s assets, allocated to three separate DoubleLine fixed income strategies which had performed well overall. The Trustees further noted that the Fund’s Sharpe and Sortino ratios outperformed the Fund’s peer group and category median over one and three year periods. The Trustees reasoned that sub-adviser continued to provide shareholders with solid long-term performance and that the adviser recommended that the sub-adviser be retained.

Fees and Expenses.

The Trustees reviewed the fee structure for DoubleLine and noted that the adviser had agreed to pay DoubleLine a fee based on the amount of Fund assets that the adviser allocated to DoubleLine. They further noted that DoubleLine had approximately $413 million in Fund assets allocated to it and received an annual fee of 0.50% of allocated assets from the Fund’s adviser, not the Fund. The Trustees reviewed the agreement between the adviser and DoubleLine and acknowledged that DoubleLine’s rate was adjusted based on the amount of assets allocated to it from the Fund’s adviser. The Trustees considered the fees associated with DoubleLine’s other accounts and agreed that the current fee arrangement was consistent with fees charged by the sub-adviser to its other clients.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

June 30, 2019

Economies of Scale.

Profitability.

The Trustees reviewed the profit analysis provided by DoubleLine. They noted that DoubleLine earned a healthy profit over the period in connection with its relationship with the Fund. The Trustees further noted that based on DoubleLine’s representations, its profits were consistent with the profits that it had received from managing separate accounts. They agreed that DoubleLine’s profits were not excessive.

Conclusion.

Having requested and received such information from the sub-adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the sub-advisory agreement and as assisted by the advice of counsel, the Trustees concluded that the fee structure was not unreasonable and that renewal of the sub-advisory agreement with DoubleLine was in the best interests of the shareholders of the Fund.

Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)

June 30, 2019

Altegris GSA Trend Strategy Fund and Altegris Managed Futures Strategy Fund (Sub-Adviser – GSA Capital Partners, LLP)

In connection with the regular meeting held on June 25-26, 2019 of the Board, including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “Sub-Advisory Agreement”) between Altegris Advisers, LLP and GSA Capital Partners, LLP (“GSA”), with respect to the Altegris GSA Trend Strategy Fund and Altegris Managed Futures Strategy Fund (collectively referred to as the “Funds”). In considering the renewal of the Sub-Advisory Agreement, the Board received materials specifically relating to the Sub-Advisory Agreement.

Nature, Extent & Quality of Services.

The Trustees noted that GSA was founded in 2005 and had $7.5 billion in assets under management. The further noted that GSA utilized systematic and quantitative management techniques to implement alternative investment strategies while utilizing various types of securities. The Trustees acknowledged that in addition to mutual funds, GSA provided investment services for hedge funds and institutional investors. The Trustees reviewed the background information on the sub-adviser’s key personnel, taking into consideration their education and financial industry experience, and they noted the investment team’s skill in mathematics, technology, and alternative investments. They observed that GSA’s investments process employed quantitative signals that identified long and short investment opportunities based on directional trends. The Trustees acknowledged that GSA utilized proprietary and non-proprietary data, exchange data, software and intellectual property that was licensed from various sources to generate its directional signals. The Trustees reviewed GSA’s risk management process and noted that GSA set defined risk parameters, implemented real-time pre-trade limit checks and post-trade risk reports which were reviewed daily by GSA’s compliance department. They further noted that GSA selected its broker-dealers by considering various factors including the broker’s financial stability, services available, and commission rates. The Trustees considered the adviser’s recommendation that the sub-adviser be retained, and they concluded that GSA had provided quality service to the Funds and their shareholders.

Performance.

Altegris GSA. The Trustees discussed the Fund’s investment objective and strategy. The Trustees noted that the Fund underperformed its Morningstar category average and median over the one year and since inception periods. The Trustees commented that the Fund’s risk metrics underperformed its peer group median over one year and since inception periods. The Trustees noted that the Fund’s adviser attributes the Fund’s poor performance to non-ideal market conditions and further noted that GSA managed the Fund in accordance with the Fund’s prospectus. After further discussion, the Trustees agreed that the sub-adviser should be granted additional opportunities to improve the Fund’s performance.

Altegris Managed. The Trustees discussed the Fund’s investment objective and strategy. The Trustees noted that the adviser allocated to GSA approximately $23 million in assets or 30% of the Fund’s assets. They noted the performance of GSA’s portion of the Fund attributed -2.42% to the Fund’s overall performance over the one year period. They further noted that GSA’s management of Fund assets resulted in strong gains from fixed income futures contracts but acknowledged that those gains were overshadowed by significant losses in investments in equity futures contracts. The Trustees acknowledged the adviser’s recommendation to retain GSA and requested that the adviser conduct a six month performance review as a condition of GSA’s retention.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

June 30, 2019

Fees and Expenses.

Altegris GSA and Altegris Managed. The Trustees noted that, with respect to each Fund, GSA received an annual maximum sub-advisory fee of 0.75% of assets allocated to the sub-adviser, as compared to the adviser’s advisory fee of 1.50% with respect to Altegris Managed and a maximum of 1.35% with respect to Altegris GSA. They reviewed GSA’s fee agreement and acknowledged the fee rate was adjusted based on the amount of assets allocated to GSA. They explained that as the adviser increased the amount of assets allocated to GSA, the rate of the fee paid to GSA decreased. The Trustees discussed that, based on representations of GSA, its fee was in each case within the range of fees that GSA charged for managing separate accounts or similar mutual fund strategies. After further discussion, the Trustees concluded that, with respect to each Fund, the sub-advisory fee was not unreasonable.

Economies of Scale.

The Trustees considered whether the sub-adviser had realized economies of scale with respect to the management of the Funds. The Trustees agreed that this was primarily an adviser level issue and should be considered with respect to the overall advisory contract, taking into consideration the impact of the sub-advisory expense.

Profitability.

The Trustees reviewed the profitability analysis provided by GSA. They acknowledged that GSA realized a modest profit over the period from its relationship with each Fund, especially when considered in terms of actual dollars. After a discussion, the Trustees agreed that GSA’s profits were not excessive.

Conclusion.

Having requested and received such information from the sub-adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the sub-advisory agreement and as assisted by the advice of counsel, the Trustees concluded that the fee structure was not unreasonable and that renewal of the sub-advisory agreement with GSA was in the best interests of the shareholders of each Fund.

Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)

June 30, 2019

Altegris Managed Futures Strategy Fund (Sub-Adviser – Millburn Ridgefield Corporation)

In connection with the regular meeting held on June 25-26, 2019 of the Board, including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “Sub-Advisory Agreement”) between Altegris Advisers, LLC and Millburn Ridgefield Corporation (“Millburn”), with respect to the Altegris Managed Futures Strategy Fund (referred to as the “Fund”). In considering the renewal of the Sub-Advisory Agreement, the Board received materials specifically relating to the Sub-Advisory Agreement.

Nature, Extent & Quality of Services.

The Trustees noted that Millburn was founded in 1971 and was registered as an investment adviser with the SEC, was registered with the Commodity Futures Trading Commission (“CFTC”) as a commodity pool operator and commodity trading adviser, and was a member of the NFA. They further noted that Millburn had $6.8 billion in assets under management and specialized in providing alternative investment management through a variety of managed futures strategies. The Trustees reviewed the background information on Millburn’s key personnel, taking into consideration their education and financial industry experience. They reviewed Millburn’s investment process and noted that it utilized a scientific systematic approach to produce quantitative models and trading systems. They further noted that Millburn’s research relied upon individual prices, price derivatives, and non-price data to predict market direction and forecast near-term returns. The Trustees discussed Millburn’s risk management policies and procedures and acknowledged that the procedures covered a multitude of strategy related risks. They further acknowledged that Millburn incorporated the Fund’s investment limitations into the firm’s trading models and performed pre and post trade checks. The Trustees noted that Millburn recently underwent an NFA exam that resulted in no deficiencies reported. The Trustees considered the adviser’s recommendation that the sub-adviser be retained, and they concluded that Millburn provided quality service to the Fund and its shareholders.

Performance.

The Trustees reviewed the Fund’s performance and the performance of the Fund’s assets managed by Millburn. They noted that Millburn was allocated approximately $22.5 million in Fund assets or approximately 29% of the Fund. The Trustees acknowledged that Millburn was responsible for the managed futures portion of the Fund’s strategy and noted that performance of the assets allocated to Millburn attributed 2.78% to the Fund’s overall performance, based on Millburn’s attribution analysis, over a one year period. The Trustees concluded that Millburn had the ability to continue to produce positive performance for the Fund and its shareholders.

Fees and Expenses.

The Trustees reviewed Millburn’s fee agreement with the Fund’s adviser and noted that Millburn received 0.75% on Fund assets allocated to it, which was half of the adviser’s 1.50% fee. They further noted that Millburn’s sub-advisory fee was equal to the amount that Millburn charged for similar separately managed accounts. After a discussion, the Trustees concluded that Millburn’s fee was not unreasonable.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

June 30, 2019

Economies of Scale.

Profitability.

The Trustees reviewed a profitability analysis provided by Millburn. They acknowledged that Millburn received a modest profit in terms of actual dollars and percentage from its relationship with the Fund. The Trustees agreed that Millburn’s profits were not excessive.

Conclusion.

Having requested and received such information from the sub-adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the sub-advisory agreement and as assisted by the advice of counsel, the Trustees concluded that the fee structure was not unreasonable and that renewal of the sub-advisory agreement with Millburn was in the best interests of the shareholders of the Fund.

Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)

June 30, 2019

Altegris Managed Futures Strategy Fund (Sub-Adviser – QMS Capital Management LP)

In connection with the regular meeting held on June 25-26, 2019 of the Board, including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “Sub-Advisory Agreement”) between Altegris Advisors, LLC and QMS Capital Management, LP (“QMS”), with respect to the Altegris Managed Futures Strategy Fund (referred to as the “Fund”). In considering the renewal of the Sub-Advisory Agreement, the Board received materials specifically relating to the Sub-Advisory Agreement.

Nature, Extent & Quality of Services.

The Trustees noted that QMS was founded in 2008 and had approximately $2.78 billion in assets under management. They acknowledged that QMS was registered with the CFTC as a commodity trading adviser and commodity pool operator and specialized in providing investment management to institutional and high net worth individuals. The Trustees reviewed the background information on QMS’ key personnel, taking into consideration their education and financial industry experience. They discussed QMS’ investment process and noted that it was based on a blend of academic research and asset management experience. The Trustees reviewed the firm’s risk management process and acknowledged that QMS utilized a multifaceted approach to risk management. They noted that QMS conducted rigorous back-testing of its quantitative investment process in an attempt to mitigate market, product, model and currency risks. They further noted that QMS automated its execution management system to perform pre and post trade checks against the list of permissible instruments with real-time exception reporting. The Trustees considered the adviser’s recommendation that the agreement with QMS be renewed to allow QMS to continue to be available to the adviser as an allocation option.

Performance.

The Trustees reviewed the Fund’s performance and noted that QMS had not yet been allocated a portion of the Fund’s assets. They further noted that the adviser attributed this decision to declining assets within the Fund, the need for each sub-adviser allocation to be of sufficient size to allow efficiency, and other factors not attributable to QMS. The Trustees acknowledged that the adviser intended on providing QMS with an allocation as soon as the Fund’s assets increased to a suitable level and recommended retention of QMS as a sub-adviser to the Fund.

Fees and Expenses.

The Trustees reviewed the fee agreement between the adviser and QMS and noted that QMS was entitled to receive 1.00% on Fund assets allocated to it, which would be paid by the adviser. They further noted that the amount of the fee was similar to the fees that QMS charged for its comparable separately managed accounts. The Trustees concurred that QMS’ sub-advisory fee was not unreasonable.

Economies of Scale.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

June 30, 2019

Profitability.

The Trustees reviewed a profitability analysis provided by QMS. They noted the sub-adviser did not realize a profit in connection with its relationship with the Fund because it was not allocated any assets over the period. The Trustees concluded that excessive profitability was not an issue.

Conclusion.

Having requested and received such information from the sub-adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the sub-advisory agreement and as assisted by the advice of counsel, the Trustees concluded that the fee structure was not unreasonable and that renewal of the sub-advisory agreement with QMS was in the best interests of the shareholders of the Fund.

Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund.

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)

June 30, 2019

Altegris Managed Futures Strategy Fund (Sub-Adviser – Three Rock Capital Management Limited)

In connection with the regular meeting held on June 25-26, 2019 of the Board, including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “Sub-Advisory Agreement”) between Altegris Advisors, LLC and Three Rock Capital Management Limited (“Three Rock”), with respect to the Altegris Managed Futures Strategy Fund (referred to as the “Fund”). In considering the approval of the Sub-Advisory Agreement, the Board received materials specifically relating to the Sub-Advisory Agreement.

Nature, Extent & Quality of Services.

The Trustees noted that Three Rock was founded in 2008 and had its headquarters in Dublin, Ireland. They further noted that the firm had approximately $78 million in assets under management, was registered with the CFTC as a commodity trading adviser, was a member of the NFA, and was authorized by the Central Bank of Ireland to operate as an alternative investment fund manager. The Trustees acknowledged that Three Rock provided its discretionary global macro program only to eligible qualified persons and professional European investors. The Trustees reviewed the background information on Three Rock’s key personnel, taking into consideration their education and financial industry experience. They considered Three Rock’s discretionary global macro program and noted that it was based on macroeconomic analysis and tactical research. They further noted that Three Rock mitigated investment risk by utilizing stop loss orders for every open position and created trading limits for its exchange traded futures contracts. The Trustees considered Three Rock’s broker-dealer selection process and acknowledged that Three Rock selected its brokers based on several factors including global presence, efficiency and quality of execution, and quality of operation. The Trustees considered the adviser’s recommendation that Three Rock be retained, and they concluded that Three Rock had provided quality services to the Fund.

Performance.

The Trustees reviewed the Fund’s overall performance and the performance of the portion of the Fund’s assets managed by Three Rock. They noted that Three Rock managed approximately $14 million in Fund assets or 18% of the Fund. They reviewed Three Rock’s investment strategy and remarked that based on the sub-adviser’s attribution analysis, it attributed a positive 3.00% return to the Fund’s performance over a one year period. They acknowledged that Three Rock’s performance outperformed a comparable market index over the same time period. The Trustees concluded that Three Rock had the ability to continue to produce positive performance for the Fund and its shareholders.

Fees and Expenses.

The Trustees reviewed the fee agreement between the Fund’s adviser and Three Rock. They acknowledged that Three Rock received from the adviser an annual fee 0.80% of Fund assets allocated to it, which was paid by the adviser. The Trustees noted that the fee agreement was within the range of similar fees for Three Rock’s separately managed accounts. They concluded that Three Rock’s fee was not unreasonable.

100

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited) (Continued)

June 30, 2019

Economies of Scale.

Profitability.

The Trustees reviewed a profit analysis provided by Three Rock. The Trustees noted that Three Rock did not realize a profit in connection with its relationship with the Fund. They concluded that excessive profitability was not an issue at this time.

Conclusion.

Having requested and received such information from Three Rock as the Trustees believed to be reasonably necessary to evaluate the terms of the sub-advisory agreement and as assisted by the advice of counsel, the Trustees concluded that the fee structure was not unreasonable and that renewal of the sub-advisory agreement with Three Rock was in the best interests of the shareholders of the Fund.

Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Fund.

101

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)

June 30, 2019

The following is a list of the Trustees and executive officers of the Trust and each person’s principal occupation over the last five years. Unless otherwise noted, the address of each Trustee and Officer is 17645 Wright Street, Suite 200, Omaha, Nebraska 68130.

Independent Trustees

Name, Address and Year of Birth	Position/Term of Office*	Principal Occupation During the Past Five Years	Number of Portfolios in Fund Complex** Overseen by Trustee	Other Directorships held by Trustee During the Past Five Years
Mark Garbin Born in 1951	Trustee Since 2013	Managing Principal, Coherent Capital Management LLC (since 2007).	3	Northern Lights Fund Trust (for series not affiliated with the Funds since 2013); Two Roads Shared Trust (since 2012); Forethought Variable Insurance Trust (since 2013); Northern Lights Variable Trust (since 2013); OHA Mortgage Strategies Fund (offshore), Ltd. (2014 - 2017); and Altegris KKR Commitments Master Fund (since 2014); and OFI Carlyle Private Credit Fund (since March 2018)
Mark D. Gersten Born in 1950	Trustee Since 2013	Independent Consultant (since 2012).	3	Northern Lights Fund Trust (for series not affiliated with the Funds since 2013); Northern Lights Variable Trust (since 2013); Two Roads Shared Trust (since 2012); Altegris KKR Commitments Master Fund (since 2014); previously, Ramius Archview Credit and Distressed Fund (2015-2017); and Schroder Global Series Trust (2012 to 2017)
Anthony J. Hertl Born in 1950	Trustee Since 2005; Chairman of the Board since 2013	Retired, previously held several positions in a major Wall Street firm including Capital Markets Controller, Director of Global Taxation, and CFO of the Specialty Finance Group.	3	Northern Lights Fund Trust (for series not affiliated with the Funds since 2005); Northern Lights Variable Trust (since 2006); Alternative Strategies Fund (since 2010); Satuit Capital Management Trust (2007-2019).
Gary W. Lanzen Born in 1954	Trustee Since 2005	Retired (since 2012). Formerly, Founder, President, and Chief Investment Officer, Orizon Investment Counsel, Inc. (2000-2012).	3	Northern Lights Fund Trust (for series not affiliated with the Funds since 2005) Northern Lights Variable Trust (since 2006); AdvisorOne Funds (since 2003); Alternative Strategies Fund (since 2010); and previously, CLA Strategic Allocation Fund (2014-2015)
John V. Palancia Born in 1954	Trustee Since 2011	Retired (since 2011). Formerly, Director of Futures Operations, Merrill Lynch, Pierce, Fenner & Smith Inc. (1975-2011).	3	Northern Lights Fund Trust (for series not affiliated with the Funds since 2011); Northern Lights Fund Trust III (since February 2012); Alternative Strategies Fund (since 2012) and Northern Lights Variable Trust (since 2011)
Mark H. Taylor Born in 1964	Trustee Since 2007; Chairman of the Audit Committee since 2013	Director, Lynn Pippenger School of Accountancy Muma College of Business (since 2019); Chair, Department of Accountancy and Andrew D. Braden Professor of Accounting and Auditing, Weatherhead School of Management, Case Western Reserve University (2009-2019); Vice President-Finance, American Accounting Association (2017-2020); President, Auditing Section of the American Accounting Association (2012-15). AICPA Auditing Standards Board Member (2009-2012).	3	Northern Lights Fund Trust (for series not affiliated with the Funds since 2007); Alternative Strategies Fund (since 2010); Northern Lights Fund Trust III (since 2012); and Northern Lights Variable Trust (since 2007)

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102

Altegris Funds

SUPPLEMENTAL INFORMATION (Unaudited)(Continued)

June 30, 2019

Officers

Name, Address and Year of Birth	Position/Term of Office*	Principal Occupation During the Past Five Years	Number of Portfolios in Fund Complex** Overseen by Trustee	Other Directorships held by Trustee During the Past Five Years
Kevin E. Wolf 80 Arkay Drive Hauppauge, NY 11788 Born in 1969	President Since June 2017	Vice President, The Ultimus Group, LLC and Executive Vice President, Gemini Fund Services, LLC (since 2019); President, Gemini Fund Services, LLC (2012-2019) Treasurer of the Trust (2006-June 2017); Director of Fund Administration, Gemini Fund Services, LLC (2006 - 2012); and Vice-President, Blu Giant, LLC, (2004 -2013).	N/A	N/A
Richard Malinowski 80 Arkay Drive Hauppauge, NY 11788 Born in 1983	Vice President Since March 2018	Senior Vice President (since 2017); Vice President and Counsel (2016-2017) and Assistant Vice President, Gemini Fund Services, LLC (2012-2016)	N/A	N/A
James Colantino 80 Arkay Drive Hauppauge, NY 11788 Born in 1969	Treasurer Since June 2017	Assistant Treasurer of the Trust (2006-June 2017); Senior Vice President - Fund Administration, Gemini Fund Services, LLC (since 2012).	N/A	N/A
Stephanie Shearer 80 Arkay Drive Hauppauge, NY 11788 Born in 1979	Secretary Since February 2017	Assistant Secretary of the Trust (2012-February 2017); Manager of Legal Administration, Gemini Fund Services, LLC (since 2018); Senior Paralegal, Gemini Fund Services, LLC (from 2013 - 2018); Paralegal, Gemini Fund Services, LLC (2010-2013).	N/A	N/A
Lynn Bowley Born in 1958	Chief Compliance Officer Since 2017	Senior Compliance Officer of Northern Lights Compliance Services, LLC (since 2007).	N/A	N/A

The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed.

As of June 30, 2019, the Trust was comprised of 79 active portfolios managed by unaffiliated investment advisors. The term “Fund Complex” applies only to the Funds in the Trust advised by the Fund’s advisor. The Funds do not hold themselves out as related to any other series within the Trust that is not advised by the Fund’s advisor.

The Funds’ SAI includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-888-524-9441.

6/30/19 – NLFT_v4

103

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

104

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.

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, 25^th Floor	610 W Germantown Pike
Boston, MA 02116	Plymouth Meeting, PA 19462

Millburn Ridgefield Corporation	GSA Capital Partners, LLP
411 West Putnam Avenue #305	Stratton House 5 Stratton Street
Greenwich, CT 06830	London W1J 8LA United Kingdom

QMS Capital Management LP	Three Rock Capital Management Limited
240 Leigh Farm Rd #450	149 Francis St, Merchants Quay
Durham, NC 27707	Dublin 8, D08 K030, Ireland

Item 2. Code of Ethics.

(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.

(b) For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:

(1)

Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships;

(2)

Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant;

(3) Compliance with applicable governmental laws, rules, and regulations;

(4)

The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and

(5) Accountability for adherence to the code.

(c) Amendments: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.

(d) Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.

(e) The Code of Ethics is not posted on Registrant’ website.

(f) A copy of the Code of Ethics is attached as an exhibit.

Item 3. Audit Committee Financial Expert.

(a)

The Registrant’s board of trustees has determined that Mark H. Taylor are audit committee financial experts, as defined in Item 3 of Form N-CSR. Mr. Taylor are independent for purposes of this Item 3.

Item 4. Principal Accountant Fees and Services.

(a)

Audit Fees

2019- $100,200

2018 - $100,590

2017 - $79,570

2016 - $83,430

2015 - $81,000

2014 - $90,000

(b)

Audit-Related Fees

2019 - None

2018 - None

2017 - None

2016 - None

2015 - None

2014 - None

(c)

Tax Fees

2019 - $29,760

2018 - $28,890

2017 - $28,890

2016 - $26,265

2015 - $25,000

2014 - $24,000

Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.

(d)

All Other Fees

2019 – None

2018 - None

2017 - None

2016 - None

2015 - None

2014 - None

(e)

(1) Audit Committee’s Pre-Approval Policies

The registrant’s Audit Committee is required to pre-approve all audit services and, when appropriate, any non-audit services (including audit-related, tax and all other services) to the registrant. The registrant’s Audit Committee also is required to pre-approve, when appropriate, any non-audit services (including audit-related, tax and all other services) to its adviser, or any entity controlling, controlled by or under common control with the adviser that provides ongoing services to the registrant, to the extent that the services may be determined to have an impact on the operations or financial reporting of the registrant. Services are reviewed on an engagement by engagement basis by the Audit Committee.

(2)

Percentages of Services Approved by the Audit Committee

2018 2017 2016 2015 2014

Audit-Related Fees: 100% 100% 100% 100% 100%

Tax Fees: 100% 100% 100% 100% 100%

All Other Fees: 100% 100% 100% 100% 100%

(f)

During the audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees.

(g)

The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant:

2019 - $29,760

2018 - $28,890

2017 - $28,890

2016 - $26,265

2015 - $25,000

2014 - $24,000

(h) The registrant's audit committee has considered whether the provision of non-audit services to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.

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. Vote of security holders is included under item 1.

Item 11. Controls and Procedures.

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

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

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

Not applicable

Item 13. Exhibits.

(a)(1) Code of Ethics filed herewith.

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

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

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

SIGNATURES

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

(Registrant) Northern Lights Fund Trust

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer

Date 10/9/2019

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

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer

Date 10/9/2019

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Principal Financial Officer

Date 10/9/2019