N-CSR 1 astorncsr.htm N-CSR

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

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-21720

 

Northern Lights Fund Trust

(Exact name of registrant as specified in charter)

 

225 Pictoria Drive, Suite 450, Cincinnati, OH 45246

(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company

1209 Orange Street, Wilmington, DE  19801

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2600

 

Date of fiscal year end: 7/31

 

Date of reporting period: 7/31/20

 

Item 1. Reports to Stockholders.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Astor Dynamic Allocation Fund

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

Astor Sector Allocation Fund

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

Astor Macro Alternative Fund

Class I: GBLMX

 

 

 

 

 

Annual Report

July 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1-877-738-0333

 

Distributed by Northern Lights Distributors, LLC

Member FINRA

 

 

 

 

 

 

 

 

 

 

 

 

 

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ 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 Funds’ website www.astorimfunds.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 Funds electronically or to continue receiving paper copies of shareholder reports, which are available free of charge, 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.

 

 

Market Overview

 

The financial markets for the period of 8-1-19 through 7-31-20 will forever be synonymous with the COVID-19 pandemic. While this was the main determinant of the market behavior, it may help to split this into parts.

 

Pre-COVID, equity markets did well to finish off 2019. The S&P 500 led broad markets by posting over a 9% return from 7-31-19 through year end. If we recall, the trade war, along with the interest-rate induced market panic of Q4 ’18, started the year on soft footing. Manufacturing gauges slid throughout 2019 on swelling growth concerns. To be certain, the ISM Manufacturing Purchasing Manager’s Index, a national gauge of economic activity in the manufacturing sector, had consecutive readings below 50 (contracting activity) from August through December. While the service part of the economy did back off somewhat as well, the consumer remained fairly resilient to general slowing growth concerns. Increasingly strong labor markets were the main reason. As we headed into 2019, the consumer was the established bedrock of the U.S. economy.

 

The tables turned in Q1 ’20 as COVID-19 began to spread globally. The pandemic impact really began to hit the financial markets in the U.S. in early-to-mid March, as cities began to see outbreaks. The subsequent social distancing rules and shutdowns were a suppression to the global economy. As a result, we saw the largest ever single-month job loss of over 20 million as measured by the U.S. Nonfarm payroll report. In total, we saw over 55m American file for unemployment claims from 3-20-20 to 7-31-20. While not typically a focal point for macroeconomic analysts, continuing jobless claims may be the best current gauge of the impact of the pandemic. Prior to the 3-20-20 reading, this gauge typically read around 1.7m (workers filing for continuing claims for more than one week). As of 7-31, there were ~15.5m workers that were on unemployment benefits for more than one week. While the numbers are large and subject to volatility, many workers are still without jobs for one reason or another.

 

As a result of the dramatic falloff/suppression in economic activity, the Astor Economic Index® (“AEI”), Astor’s proprietary index for measuring macroeconomic activity and trends, dropped substantially in early Q2 ’20. The recovery in the economic data as the quarter progressed and into early Q3 ’20, caused the AEI to rebound some in late Q2/early Q3 but not back to pre-COVID levels. The overall magnitude of the data change, as a result of the economic suppression, was unprecedented in modern economics.

 

Astor Dynamic Allocation Fund

 

The Astor Dynamic Allocation Fund was down -1.74% for the one-year period 8-1-19 to 7-31-20. This compares to the S&P 500 Index which was up 11.96% for the same period. This also compares to the HFRI Macro (Total) Index which was up 2.48%.

 

As discussed in the above section, COVID-19 hit the markets and economy hard and swiftly. The fund came into Q1 ’20 with a beta target in the mid-.50s relative to the S&P 500 Index as the market experienced one of the fastest sell offs in history. The S&P 500 experienced a 33.79% drawdown from 2-19-20 (the market peak date) to 3-23-20 (the market bottom date). Large capitalization stocks fared better than small companies as the Russell 2000 Index fell 40.67%. Over that same period, the Astor Dynamic Allocation Fund had a drawdown of 22.48%. With a beta in the mid-.50s, the fund was able to mitigate some of the market drawdown. However, non-equity exposure was not immune to the market meltdown and these positions weighed on the fund’s performance. Short-duration, investment grade

1

 

credit, a typically stable part of the fixed income asset class, was down 4.63%, as measured by the Bloomberg Barclays U.S. Corporate 1-3 Year Index. Even worse for comparison, the Bloomberg Barclays U.S. Long Corporate Bond Index was down 18.40%.

 

As the weak data expectations materialized in late March/early April, the impacts on the Astor Economic Index® were apparent. The AEI moved down swiftly, indicating substantially reduced risk exposure. The fund’s beta was reduced to ~0.05 in April. With such an initial, sharp suppression of economic activity, proceeding months saw bounce backs in most employment and output gauges. However, absolute levels of economic activity remained substantially below pre-COVID levels. Nonetheless, equity markets in the U.S. and worldwide staged substantial recovery rallies from the lows in March. The Astor Economic Index®, which measures the movement in macro data, began to move back higher in June (based on May data) and into July as economic activity thawed. The beta of the fund approached ~0.25 by the end of July, still well below pre-COVID highs.

 

Astor Sector Allocation Fund

 

The Astor Sector Allocation Fund was up 0.03% for the one-year period 8-1-19 to 7-31-2020. This compares to the S&P 500 Index which was up 11.96% for the same period. COVID-19 hit the markets and economy hard and swiftly, as discussed in previous sections.

 

The fund came into Q1 ’20, having reduced overall equity exposure somewhat in the second half of 2019. Manufacturing weakness had weighed on the overall measure of economic activity. As trade tensions eased, manufacturing was looking to rebound in early 2020 pre-COVID. A such, Astor’s Investment Committee added equity early in the quarter, bringing exposure above 80%. The fund had a drawdown (peak to valley) of 27.63%, compared to a 33.79% drawdown for the S&P 500 Index, from 2-19-20 (the market peak date) to 3-23-20 (the market bottom date).

 

As economic data weakness triggered risk management readings for the fund, the overall equity level was reduced in April to ~25%. With the reduction, the sector exposures remained constant. Technology, Health Care and Communication, some of the best performing segments of the equity market, remained among the fund’s largest holdings throughout.

 

Astor Macro Alternative Fund

 

The Astor Macro Alternative Fund was up 9.93% for the one-year period 8-1-19 to 7-31-20. This compares to the HFRI Macro (Total) Index, which was up 2.48%. It also compares to the S&P 500 Index, which was up 11.96% for the same period.

 

The asset allocation component of the fund (long ETFs), was a positive contributor to performance. Long Nasdaq 100 and Treasury holdings’ gains outweighed losses in other large cap U.S. equity and emerging market positions. The fund experienced a drawdown (peak to trough) of 10.61%. The equity hedge component helped to mitigate a portion of equity market losses during the pandemic-led crisis. The futures and commodity component of the fund was positive as well, led by foreign currency (long dollar) positions.

2

 

Market and Economy Looking Forward

 

The economy has broadly stabilized but is still insecure, as a result of COVID-led disruptions. A portion of the jobs that were lost in the initial fury of the virus found their way back. More granular data on the economic, such as restaurants and travel bookings, have shown Americans’ willingness to resume some activity. The Federal Reserve is stationed to provide as much liquidity as possible to help the financial system function as needed, which also provides reassurance to investors. As we head into the last quarter of the year, the major U.S. equity markets have erased all or nearly all of their losses. Now we find ourselves at a crossroads of whether the recovery will extend beyond here. Many Americans are still without work and the virus has reasserted itself. The recent positive trends in economic activity are juxtaposed with potential caps in absolute levels, given questions on the capacity of the economy to return to previous levels in the near term.

 

3976-NLD-9/10/2020

 

AIM-9/10/20-OP148

3

 

ASTOR DYNAMIC ALLOCATION FUND
PORTFOLIO REVIEW (Unaudited)
July 31, 2020

 

Average Annual Total Return through July 31, 2020*, as compared to its benchmarks:

 

    Annualized Annualized Annualized Annualized Annualized Annualized
  One Year Three Year Five Year Ten Year Inception (1) Inception (2) Inception (3)
Astor Dynamic Allocation Fund - Class A Shares (2.02)% 3.59% 4.22% N/A N/A N/A 4.95%
Astor Dynamic Allocation Fund - Class A Shares With Load (6.67)% 1.93% 3.21% N/A N/A N/A 4.37%
Astor Dynamic Allocation Fund - Class C Shares (2.74)% 2.82% 3.44% 3.75% N/A 3.26% N/A
Astor Dynamic Allocation Fund - Class I Shares (1.74)% 3.85% 4.48% 4.79% 4.32% N/A N/A
S&P 500 Total Return Index ** 11.96% 12.01% 11.49% 13.84% 12.97% 12.90% 14.11%
Bloomberg Barclays Capital U.S. Aggregate Bond Index *** 10.12% 5.69% 4.47% 3.87% 4.20% 4.15% 3.69%

 

*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual operating expenses, including underlying funds, are 1.71%, 2.46%, and 1.46% for Class A, Class C, and Class I respectively, per the most recent prospectus. After fee waivers and/or reimbursements, the Fund’s net operating expense, including underlying funds, is 1.61%, 2.36%, and 1.36% for Class A, Class C, and Class I shares, respectively. Pursuant to a written contract (the “Waiver Agreement”), the advisor has agreed, at least until November 30, 2020, to waive a portion of its advisory fee and has agreed to reimburse the Fund for other expenses to the extent necessary so that the total expenses incurred by the Fund (excluding any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers, other than the advisor)) do not exceed 1.40%, 2.15%, and 1.15% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge of 4.75% of the purchase price. Performance figures for periods greater than one year are annualized. For performance information current to the most recent month-end, please call 1-877-738-0333.

 

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

 

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

 

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

 

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

 

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

 

Comparison of the Change in Value of a $10,000 Investment

 

(LINE GRAPH)

 

The Fund’s holdings by asset class, as of July 31, 2020 are as follows:
 
Asset Classes  % of Net Assets 
Exchange Traded Funds - Debt   58.4%
Exchange Traded Funds - Equity   24.9%
Short-Term Investments   20.9%
Exchange Traded Funds - Commodity   15.8%
Liabilities in Excess of Other Assets   (20.0)%
Total   100.0%

 

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

4

 

ASTOR SECTOR ALLOCATION FUND
PORTFOLIO REVIEW (Unaudited)
July 31, 2020

 

Average Annual Total Return through July 31, 2020*, as compared to its benchmarks:

 

    Annualized Annualized Annualized Since Annualized Since
  One Year Three Year Five Year Inception (1) Inception (2)
Astor Sector Allocation Fund - Class A Shares (0.23)% 4.41% 3.84% 7.60% N/A
Astor Sector Allocation Fund - Class A Shares With Load (4.99)% 2.73% 2.84% 6.99% N/A
Astor Sector Allocation Fund - Class C Shares (0.97)% 3.60% 3.06% 6.79% N/A
Astor Sector Allocation Fund - Class I Shares 0.03% 4.65% 4.10% N/A 4.83%
S&P 500 Total Return Index ** 11.96% 12.01% 11.49% 14.11% 11.53%

 

*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual operating expenses, including underlying funds, are 1.98%, 2.73%, and 1.73% for Class A, Class C, and Class I respectively, per the most recent prospectus. After fee waivers and/or reimbursements, the Fund’s net operating expenses, including underlying funds, are 1.72%, 2.47%, and 1.47% for Class A, Class C and Class I shares, respectively. Pursuant to a written contract (the “Waiver Agreement”), the advisor has agreed, at least until November 30, 2020, to waive a portion of its advisory fee and has agreed to reimburse the Fund for other expenses to the extent necessary so that the total expenses incurred by the Fund (excluding any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers, other than the advisor)) do not exceed 1.40%, 2.15% and 1.15%, for Class A, Class C, Class I shares, respectively. Class A shares are subject to a maximum sales charge of 4.75% of the purchase price. For performance information current to the most recent month-end, please call 1-877-738-0333.

 

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

 

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

 

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

 

Comparison of the Change in Value of a $10,000 Investment

 

(LINE GRAPH)

 

Comparison of the Change in Value of a $10,000 Investment

 

(LINE GRAPH)

5

 

ASTOR SECTOR ALLOCATION FUND
PORTFOLIO REVIEW (Unaudited) (Continued)
July 31, 2020

 

The Fund’s holdings by asset class, as of July 31, 2020 are as follows:
 
Asset Classes  % of Net Assets 
Exchange Traded Funds - Debt   70.6%
Exchange Traded Funds - Equity   24.2%
Short-Term Investments   5.8%
Exchange Traded Funds - REIT   1.3%
Liabilities in Excess of Other Assets   (1.9)%
Total   100.0%

 

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

6

 

ASTOR MACRO ALTERNATIVE FUND
PORTFOLIO REVIEW (Unaudited)
July 31, 2020

 

Average Annual Total Return through July 31, 2020*, as compared to its benchmarks:

 

    Annualized Annualized Annualized Since
  One Year Three Year Five Year Inception (1)
Astor Macro Alternative Fund - Class I Shares 9.93% 10.61% 7.67% 7.46%
S&P 500 Total Return Index ** 11.96% 12.01% 11.49% 11.07%

 

*The performance data quoted is historical. Past performance is no guarantee of future results. Current performance may be higher or lower than the performance data quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions of Fund shares. The Fund’s total annual operating expense, including underlying funds, is 3.72% for Class I shares per the most recent prospectus. After fee waivers and/or reimbursements, the Fund’s net operating expense, including underlying funds, is 1.94% for Class I shares. Pursuant to a written contract (the “Waiver Agreement”), the advisor has agreed, at least until November 30, 2020, to waive a portion of its advisory fee and has agreed to reimburse the Funds for other expenses to the extent necessary so that the total expenses incurred by the Fund (excluding any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers, other than the advisor)) do not exceed 1.75% for Class I shares. Performance figures for periods greater than one year are annualized. For performance information current to the most recent month-end, please call 1-877-738-0333.

 

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

 

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

 

Comparison of the Change in Value of a $10,000 Investment

 

(LINE GRAPH)

 

The Fund’s holdings by asset class, as of July 31, 2020 are as follows:
 
Asset Classes  % of Net Assets 
Exchange Traded Funds - Debt   44.4%
Exchange Traded Funds - Equity   38.2%
Exchange Traded Funds - Commodity   4.2%
Short-Term Investment   6.1%
Other Assets in Excess of Liabilities   7.1%
Total   100.0%

 

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

7

 

Astor Dynamic Allocation Fund
SCHEDULE OF INVESTMENTS
July 31, 2020

 

Shares      Fair Value 
         
     EXCHANGE TRADED FUNDS - 99.1%     
     COMMODITY FUND - 15.8%     
 625,766   Aberdeen Standard Physical Gold Shares ETF *^  $11,883,296 
 866,604   Invesco Optimum Yield Diversified Commodity Strategy No. K-1 ETF   11,751,150 
 66,386   SPDR Gold Shares *   12,309,956 
         35,944,402 
     DEBT FUNDS - 58.4%     
 221,691   First Trust Low Duration Opportunities ETF   11,481,377 
 87,605   iShares 3-7 Year Treasury Bond ETF ^   11,745,202 
 166,266   iShares iBoxx $ Investment Grade Corporate Bond ETF   23,002,901 
 83,306   iShares Short Treasury Bond ETF   9,225,307 
 203,288   iShares Short-Term Corporate Bond ETF   11,191,005 
 402,243   JPMorgan Ultra-Short Income ETF ^   20,466,124 
 364,959   SPDR Bloomberg Barclays Investment Grade Floating Rate ETF ^   11,160,446 
 248,062   SPDR Portfolio Long Term Treasury ETF   12,120,309 
 380,316   SPDR Portfolio Short Term Treasury ETF   11,687,111 
 133,789   Vanguard Short-Term Bond ETF ^   11,144,624 
         133,224,406 
     EQUITY FUNDS - 24.9%     
 43,112   Invesco QQQ Trust Series 1 ^   11,458,739 
 103,748   Invesco S&P 500 Equal Weight ETF ^   11,084,436 
 224,634   iShares Core MSCI Emerging Markets ETF   11,615,824 
 310,298   iShares Core S&P Total U.S. Stock Market ETF   22,788,285 
         56,947,284 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost $215,651,300)   226,116,092 
           
     SHORT-TERM INVESTMENTS - 20.9%     
     INVESTMENT PURCHASED AS SECURITIES LENDING COLLATERAL - 19.9%     
 45,410,992   Morgan Stanley Liquidity Treasury Fund, Institutional Class, 0.04% +(a)   45,410,992 
           
     MONEY MARKET FUND - 1.0%     
 2,316,426   BlackRock Liquidity Funds T-Fund Portfolio, Institutional Class, 0.08% +   2,316,426 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $47,727,418)   47,727,418 
           
     TOTAL INVESTMENTS - 120.0% (Cost $263,378,718)  $273,843,510 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (20.0)%   (45,547,175)
     TOTAL NET ASSETS - 100.0%  $228,296,335 

 

 

ETF - Exchange Traded Fund

 

MSCI - Morgan Stanley Capital International

 

S&P - Standard and Poor’s

 

SPDR - Standard and Poor’s Depositary Receipts

 

*Non-Income producing security.

 

^Security, or a portion of the security, is out on loan at July 31, 2020. Total Loaned securities had a value of $44,196,994 at July 31, 2020.

 

+Money market fund; interest rate reflects seven-day effective yield on July 31, 2020.

 

(a)The loaned securities were secured with short-term investment cash collateral of $45,410,992.

 

See accompanying notes to financial statements.

8

 

Astor Sector Allocation Fund
SCHEDULE OF INVESTMENTS
July 31, 2020

 

Shares      Fair Value 
         
     EXCHANGE TRADED FUNDS - 96.1%     
     DEBT FUNDS - 70.6%     
 32,277   Invesco Ultra Short Duration ETF ^  $1,629,343 
 27,586   iShares Core U.S. Aggregate Bond ETF   3,298,182 
 23,608   iShares iBoxx $ Investment Grade Corporate Bond ETF   3,266,167 
 25,844   iShares Short Maturity Bond ETF ^   1,294,009 
 32,676   iShares Short Treasury Bond ETF   3,618,540 
 70,592   SPDR Bloomberg Barclays 1-3 Month T-Bill ETF   6,461,992 
 107,086   SPDR Portfolio Short Term Treasury ETF ^   3,290,753 
         22,858,986 
     EQUITY FUNDS - 24.2%     
 18,183   Consumer Staples Select Sector SPDR Fund   1,140,074 
 8,150   Energy Select Sector SPDR Fund   293,644 
 4,029   First Trust Health Care AlphaDEX Fund *   383,400 
 35,497   First Trust Technology AlphaDEX Fund   3,169,882 
 13,694   Health Care Select Sector SPDR Fund   1,445,128 
 13,912   Vanguard Communication Services ETF ^   1,389,809 
         7,821,937 
     REIT FUND - 1.3%     
 11,821   Real Estate Select Sector SPDR Fund   428,629 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost $29,065,799)   31,109,552 
           
     SHORT-TERM INVESTMENTS - 5.8%     
     INVESTMENT PURCHASED AS SECURITIES LENDING COLLATERAL - 1.6%     
 520,076   Morgan Stanley Liquidity Treasury Fund, Institutional Class, 0.04% +(a)   520,076 
           
     MONEY MARKET FUND - 4.2%     
 1,367,399   BlackRock Liquidity Funds T-Fund Portfolio, Institutional Class, 0.08% +   1,367,399 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $1,887,475)   1,887,475 
           
     TOTAL INVESTMENTS - 101.9% (Cost $30,953,274)  $32,997,027 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (1.9)%   (623,577)
     TOTAL NET ASSETS - 100.0%  $32,373,450 

 

 

ETF - Exchange Traded Fund

 

REIT - Real Estate Investment Trust

 

SPDR - Standard and Poor’s Depositary Receipts

 

^Security, or a portion of the security, is out on loan at July 31, 2020. Total Loaned securities had a value of $502,315 at July 31, 2020.

 

*Non-Income producing security.

 

+Money market fund; interest rate reflects seven-day effective yield on July 31, 2020.

 

(a)The loaned securities were secured with short-term investment cash collateral of $520,076.

 

See accompanying notes to financial statements.

9

 

Astor Macro Alternative Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS
July 31, 2020

 

Shares      Fair Value 
         
     EXCHANGE TRADED FUNDS - 86.8%     
     COMMODITY FUND - 4.2%     
 3,097   SPDR Gold Shares *  $574,277 
           
     DEBT FUNDS - 44.4%     
 15,426   iShares 20+ Year Treasury Bond ETF   2,637,846 
 9,544   iShares Core U.S. Aggregate Bond ETF   1,141,081 
 20,225   iShares Short Treasury Bond ETF   2,239,716 
         6,018,643 
     EQUITY FUNDS - 38.2%     
 26,304   Alerian MLP ETF   624,457 
 11,973   Invesco QQQ Trust Series 1   3,182,304 
 3,635   iShares MSCI Brazil ETF   118,283 
 4,027   iShares MSCI Chile ETF   110,018 
 1,509   iShares MSCI China ETF   107,909 
 3,555   iShares MSCI India ETF   113,547 
 3,806   iShares MSCI Indonesia ETF   71,324 
 1,272   iShares MSCI Malaysia ETF   34,738 
 2,352   iShares MSCI Mexico ETF   76,511 
 4,007   iShares MSCI Philippines ETF   103,821 
 6,477   iShares MSCI Poland ETF   113,930 
 2,158   iShares MSCI Russia ETF   75,077 
 2,866   iShares MSCI South Africa ETF   107,561 
 2,560   iShares MSCI Taiwan ETF   114,176 
 1,637   iShares MSCI Thailand ETF   112,396 
 4,670   iShares MSCI Turkey ETF   100,732 
         5,166,784 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost $11,201,569)   11,759,704 
           
     SHORT-TERM INVESTMENT - 6.1%     
 830,654   BlackRock Liquidity Funds T-Fund Portfolio, Institutional Class, 0.08% +   830,654 
     TOTAL SHORT-TERM INVESTMENT (Cost $830,654)     
           
     TOTAL INVESTMENTS - 92.9% (Cost $12,032,223)  $12,590,358 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 7.1%   955,662 
     TOTAL NET ASSETS - 100.0%  $13,546,020 

 

 

ETF - Exchange Traded Fund

 

MLP - Master Limited Partnership

 

MSCI - Morgan Stanley Capital International

 

SPDR - Standard and Poor’s Depositary Receipts

 

*Non-Income producing security.

 

+Money market fund; interest rate reflects seven-day effective yield on July 31, 2020.

 

See accompanying notes to financial statements.

10

 

Astor Macro Alternative Fund
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued)
July 31, 2020

 

FUTURES CONTRACTS ^

 

         Underlying Face Amount at     
Long Contracts  Description  Counterparty  Value **   Unrealized Gain 
16  Australian Dollar Future September 2020  Interactive Broker  $1,143,520   $23,860 
14  British Pound Future September 2020  Interactive Broker   1,146,950    33,072 
8  Euro FX Future September 2020  Interactive Broker   1,179,950    29,280 
10  Japanese Yen Future September 2020  Interactive Broker   1,182,438    14,038 
18  Long Gilt Future September 2020  Interactive Broker   3,273,247    25,083 
10  World Sugar #11 October 2020  Interactive Broker   141,568    5,850 
   Net Unrealized Gain from Open Long Futures Contracts   $131,183 
                 
         Underlying Face Amount at     
Short Contracts  Description  Counterparty  Value **   Unrealized Gain (Loss) 
4  Canada 10 Year Bond Future September 2020  Interactive Broker  $461,963   $(1,906)
3  Coffee ‘C’ Future September 2020  Interactive Broker   133,819    (23,634)
16  Corn Future December 2020  Interactive Broker   261,600    10,942 
2  Euro-Bund Future September 2020  Interactive Broker   419,835    (5,069)
6  Soybean Future November 2020  Interactive Broker   267,750    (3,017)
3  U.S. 10 Year Note September 2020  Interactive Broker   420,234    (3,098)
10  Wheat Future September 2020  Interactive Broker   265,625    (12,578)
   Net Unrealized Loss from Open Short Futures Contracts   $(38,360)

 

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

 

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

 

See accompanying notes to financial statements.

11

 

The Astor Funds
STATEMENTS OF ASSETS AND LIABILITIES
July 31, 2020

 

           Astor Macro 
   Astor Dynamic   Astor Sector   Alternative Fund 
   Allocation Fund   Allocation Fund   (Consolidated) 
ASSETS               
Investment securities (including securities on loan):               
At cost  $263,378,718   $30,953,274   $12,032,223 
At value  $273,843,510   $32,997,027   $12,590,358 
Foreign currency, at value (Cost $0, $0 and $228,449, respectively)           228,449 
Receivable due from advisor           6,322 
Deposits for futures contracts           613,382 
Net unrealized appreciation on futures contracts           92,823 
Dividends and interest receivable   328    128    38 
Receivable for foreign exchange           10,378 
Receivable for Fund shares sold   223,875    454    6,981 
Prepaid expenses and other assets   47,836    41,947    22,194 
TOTAL ASSETS   274,115,549    33,039,556    13,570,925 
                
LIABILITIES               
Collateral on securities loaned (see Note 2)   45,410,992    520,076     
Distribution (12b-1) fees payable   31,606    11,985     
Investment advisory fees payable   157,215    13,099     
Payable to related parties   23,072    10,958    4,370 
Payable for Fund shares redeemed   173,383    85,305     
Accrued expenses and other liabilities   22,946    24,683    20,535 
TOTAL LIABILITIES   45,819,214    666,106    24,905 
NET ASSETS  $228,296,335   $32,373,450   $13,546,020 
                
Net Assets Consist Of:               
Paid in capital ($0 par value, unlimited shares authorized)  $221,312,737   $30,724,081   $12,510,962 
Accumulated earnings   6,983,598    1,649,369    1,035,058 
NET ASSETS  $228,296,335   $32,373,450   $13,546,020 
                

See accompanying notes to financial statements.

12

 

The Astor Funds
STATEMENTS OF ASSETS AND LIABILITIES (Continued)
July 31, 2020

 

           Astor Macro 
   Astor Dynamic   Astor Sector   Alternative Fund 
   Allocation Fund   Allocation Fund   (Consolidated) 
Net Asset Value Per Share:               
Class A Shares:               
Net Assets  $14,089,072   $8,147,571   $ 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   1,095,703    578,770     
Net asset value (Net Assets ÷ Shares Outstanding), and redemption price per share  $12.86   $14.08   $ 
Maximum offering price per share (4.75% sales charge)  $13.50   $14.78   $ 
                
Class C Shares:               
Net Assets  $33,278,053   $13,514,707   $ 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   2,714,968    1,034,243     
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share  $12.26   $13.07   $ 
                
Class I Shares:               
Net Assets  $180,929,210   $10,711,172   $13,546,020 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   14,027,757    749,249    1,158,721 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share  $12.90   $14.30   $11.69 
                

See accompanying notes to financial statements.

13

 

The Astor Funds
STATEMENTS OF OPERATIONS
For the Year Ended July 31, 2020

 

           Astor Macro 
   Astor Dynamic   Astor Sector   Alternative Fund 
   Allocation Fund   Allocation Fund   (Consolidated) 
INVESTMENT INCOME               
Dividends  $4,416,247   $620,958   $91,237 
Interest   160,131    16,616     
Securities lending income - net   110,323    126,240     
TOTAL INVESTMENT INCOME   4,686,701    763,814    91,237 
                
EXPENSES               
Investment advisory fees   2,209,468    390,922    108,110 
Distribution (12b-1) fees, Class A shares   38,672    23,515     
Distribution (12b-1) fees, Class C shares   334,597    165,347     
Administrative services fees   192,062    48,055    37,794 
Third party administrative servicing fees   136,019    24,531    7,095 
Transfer agent fees   134,910    49,554    17,056 
Registration fees   81,150    58,340    7,375 
Accounting services fees   60,096    35,645    20,000 
Printing expenses   48,845    14,936    3,253 
Compliance officer fees   26,817    12,631    6,291 
Custodian fees   23,216    7,563    5,577 
Legal fees   17,755    16,423    15,837 
Trustees fees and expenses   17,319    17,108    15,079 
Audit fees   15,544    15,500    22,000 
Miscellaneous expense   6,528    3,550    2,129 
Insurance expense   5,490    1,098    366 
TOTAL EXPENSES   3,348,488    884,718    267,962 
                
Less: Fees waived and/or expenses reimbursed by the advisor   (300,499)   (223,426)   (137,175)
                
NET EXPENSES   3,047,989    661,292    130,787 
NET INVESTMENT INCOME (LOSS)   1,638,712    102,522    (39,550)
                
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS               
Net realized gain (loss) from security transactions   (2,469,525)   (476,487)   328,130 
Net realized gain from futures transactions           309,568 
Net realized loss from foreign currency transactions           (3,750)
Net change in unrealized appreciation (depreciation) on investments   (4,809,547)   (94,367)   243,535 
Net change in unrealized appreciation (depreciation) on futures contracts           (21,065)
Net change in unrealized appreciation on foreign currency transactions           11,069 
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS   (7,279,072)   (570,854)   867,487 
                
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS  $(5,640,360)  $(468,332)  $827,937 
                

See accompanying notes to financial statements.

14

 

The Astor Funds
STATEMENTS OF CHANGES IN NET ASSETS

 

   Astor Dynamic Allocation Fund 
   For the   For the 
   Year Ended   Year Ended 
   July 31, 2020   July 31, 2019 
FROM OPERATIONS          
Net investment income  $1,638,712   $1,949,978 
Net realized gain (loss) from security transactions   (2,469,525)   5,456,461 
Net change in unrealized appreciation (depreciation) on investments   (4,809,547)   (5,733,321)
Net increase (decrease) in net assets resulting from operations   (5,640,360)   1,673,118 
           
DISTRIBUTIONS TO SHAREHOLDERS          
Total distributions paid          
Class A   (346,330)   (704,133)
Class C   (668,492)   (982,574)
Class I   (4,518,221)   (7,120,212)
Return of capital          
Class A   (28,778)    
Class C   (62,296)    
Class I   (341,873)    
Total distributions to shareholders   (5,965,990)   (8,806,919)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class A   2,749,000    7,364,933 
Class C   10,893,962    10,220,564 
Class I   100,678,299    104,873,681 
Distributions reinvested          
Class A   324,475    641,257 
Class C   658,880    908,863 
Class I   4,032,867    6,089,673 
Cost of shares redeemed          
Class A   (5,513,273)   (6,445,202)
Class C   (7,417,973)   (5,642,990)
Class I   (92,158,780)   (85,722,247)
Net increase in net assets from shares of beneficial interest   14,247,457    32,288,532 
           
TOTAL INCREASE IN NET ASSETS   2,641,107    25,154,731 
           
NET ASSETS          
Beginning of Year   225,655,228    200,500,497 
End of Year  $228,296,335   $225,655,228 
           

See accompanying notes to financial statements.

15

 

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

 

   Astor Dynamic Allocation Fund 
   For the   For the 
   Year Ended   Year Ended 
   July 31, 2020   July 31, 2019 
SHARE ACTIVITY          
Class A:          
Shares Sold   203,949    538,459 
Shares Reinvested   23,862    54,981 
Shares Redeemed   (418,747)   (488,174)
Net increase (decrease) in shares of beneficial interest outstanding   (190,936)   105,266 
           
Class C:          
Shares Sold   863,568    795,492 
Shares Reinvested   50,416    81,986 
Shares Redeemed   (601,245)   (452,314)
Net increase in shares of beneficial interest outstanding   312,739    425,164 
           
Class I:          
Shares Sold   7,760,788    7,908,359 
Shares Reinvested   296,654    518,586 
Shares Redeemed   (7,199,974)   (6,650,078)
Net increase in shares of beneficial interest outstanding   857,468    1,776,867 
           

See accompanying notes to financial statements.

16

 

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

 

   Astor Sector Allocation Fund 
   For the   For the 
   Year Ended   Year Ended 
   July 31, 2020   July 31, 2019 
FROM OPERATIONS          
Net investment income  $102,522   $158,684 
Net realized gain (loss) from security transactions   (476,487)   5,944,012 
Net change in unrealized appreciation (depreciation) on investments   (94,367)   (7,357,305)
Net decrease in net assets resulting from operations   (468,332)   (1,254,609)
           
DISTRIBUTIONS TO SHAREHOLDERS          
Total distributions paid          
Class A   (974,349)   (1,754,083)
Class C   (1,826,640)   (3,342,267)
Class I   (1,704,721)   (3,661,563)
From distributions to shareholders   (4,505,710)   (8,757,913)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class A   228,387    1,223,838 
Class C   96,388    351,152 
Class I   2,336,051    6,067,816 
Distributions reinvested          
Class A   936,139    1,631,316 
Class C   1,730,236    3,195,486 
Class I   1,657,093    3,486,176 
Cost of shares redeemed          
Class A   (2,901,503)   (5,136,011)
Class C   (6,462,645)   (7,828,210)
Class I   (10,947,535)   (17,812,529)
Net decrease in net assets from shares of beneficial interest   (13,327,389)   (14,820,966)
           
TOTAL DECREASE IN NET ASSETS   (18,301,431)   (24,833,488)
           
NET ASSETS          
Beginning of Year   50,674,881    75,508,369 
End of Year  $32,373,450   $50,674,881 
           

See accompanying notes to financial statements.

17

 

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

 

   Astor Sector Allocation Fund 
   For the   For the 
   Year Ended   Year Ended 
   July 31, 2020   July 31, 2019 
SHARE ACTIVITY          
Class A:          
Shares Sold   15,727    81,051 
Shares Reinvested   63,899    128,447 
Shares Redeemed   (202,997)   (330,997)
Net decrease in shares of beneficial interest outstanding   (123,371)   (121,499)
           
Class C:          
Shares Sold   7,597    23,676 
Shares Reinvested   126,665    266,735 
Shares Redeemed   (480,448)   (525,496)
Net decrease in shares of beneficial interest outstanding   (346,186)   (235,085)
           
Class I:          
Shares Sold   151,312    378,840 
Shares Reinvested   111,433    270,919 
Shares Redeemed   (751,659)   (1,155,237)
Net decrease in shares of beneficial interest outstanding   (488,914)   (505,478)
           

See accompanying notes to financial statements.

18

 

The Astor Funds
CONSOLIDATED STATEMENTS OF CHANGES IN NET ASSETS

 

   Astor Macro Alternative Fund 
   For the   For the 
   Year Ended   Year Ended 
   July 31, 2020   July 31, 2019 
FROM OPERATIONS          
Net investment loss  $(39,550)  $(17,584)
Net realized gain from security transactions, futures transactions and foreign currency transactions   633,948    543,810 
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency transactions   233,539    232,226 
Net increase in net assets resulting from operations   827,937    758,452 
           
DISTRIBUTIONS TO SHAREHOLDERS          
Total distributions paid          
Class I   (704,041)   (266,294)
From distributions to shareholders   (704,041)   (266,294)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class I   7,914,083    3,840,255 
Distributions reinvested          
Class I   486,246    212,692 
Cost of shares redeemed          
Class I   (1,683,720)   (5,045,568)
Net increase (decrease) in net assets from shares of beneficial interest   6,716,609    (992,621)
           
TOTAL INCREASE (DECREASE) IN NET ASSETS   6,840,505    (500,463)
           
NET ASSETS          
Beginning of Year   6,705,515    7,205,978 
End of Year  $13,546,020   $6,705,515 
           
SHARE ACTIVITY          
           
Class I:          
Shares Sold   698,038    354,454 
Shares Reinvested   44,610    21,442 
Shares Redeemed   (147,720)   (463,124)
Net increase (decrease) in shares of beneficial interest outstanding   594,928    (87,228)
           

See accompanying notes to financial statements.

19

 

The Astor Funds
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented

 

   Astor Dynamic Allocation Fund Class A 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   July 31,   July 31,   July 31,   July 31,   July 31, 
   2020   2019   2018   2017   2016 
                          
Net asset value, beginning of year  $13.44   $13.83   $13.02   $12.20   $12.02 
Activity from investment operations:                         
Net investment income (1)   0.08    0.10    0.07    0.09    0.07 
Net realized and unrealized gain (loss) on investments   (0.33)   (0.00) (6)   1.47    0.88    0.21 
Total from investment operations   (0.25)   0.10    1.54    0.97    0.28 
Less distributions from:                         
Net investment income   (0.09)   (0.12)   (0.11)   (0.12)   (0.10)
Net realized gains   (0.22)   (0.37)   (0.62)   (0.03)   (0.00) (6)
Return of capital   (0.02)                
Total distributions   (0.33)   (0.49)   (0.73)   (0.15)   (0.10)
Net asset value, end of year  $12.86   $13.44   $13.83   $13.02   $12.20 
Total return (2)   (2.02)%   1.25%   12.07%   7.99%   2.39%
Net assets, at end of year (000s)  $14,089   $17,290   $16,333   $11,372   $11,418 
Ratio of gross expenses to average net assets (3)(4)   1.53%   1.50%   1.59%   1.68%   1.71%
Ratio of net expenses to average net assets (4)   1.40%   1.40%   1.40%   1.44%   1.50%
Ratio of net investment income to average net assets (5)   0.63%   0.76%   0.49%   0.74%   0.62%
Portfolio Turnover Rate   116%   79%   52%   78%   55%
                          
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

20

 

The Astor Funds
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented

 

   Astor Dynamic Allocation Fund Class C 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   July 31,   July 31,   July 31,   July 31,   July 31, 
   2020   2019   2018   2017   2016 
                          
Net asset value, beginning of year  $12.87   $13.30   $12.60   $11.83   $11.69 
Activity from investment operations:                         
Net investment income (loss) (1)   (0.02)   (0.00) (6)   (0.04)   (0.00) (6)   (0.01)
Net realized and unrealized gain (loss) on investments   (0.32)   (0.00) (6)   1.42    0.85    0.19 
Total from investment operations   (0.34)   (0.00) (6)   1.38    0.85    0.18 
Less distributions from:                         
Net Investment Income   (0.03)   (0.06)   (0.06)   (0.05)   (0.04)
Net realized gains   (0.22)   (0.37)   (0.62)   (0.03)   (0.00) (6)
Return of capital   (0.02)                
Total distributions   (0.27)   (0.43)   (0.68)   (0.08)   (0.04)
Net asset value, end of year  $12.26   $12.87   $13.30   $12.60   $11.83 
Total return (2)   (2.74)%   0.51%   11.19%   7.21%   1.60%
Net assets, at end of year (000s)  $33,278   $30,916   $26,293   $20,587   $20,339 
Ratio of gross expenses to average net assets (3)(4)   2.28%   2.25%   2.34%   2.43%   2.46%
Ratio of net expenses to average net assets (4)   2.15%   2.15%   2.15%   2.19%   2.25%
Ratio of net investment income (loss) to average net assets (5)   (0.14)%   0.02%   (0.28)%   (0.03)%   (0.13)%
Portfolio Turnover Rate   116%   79%   52%   78%   55%
                          
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

21

 

The Astor Funds
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented

 

   Astor Dynamic Allocation Fund Class I 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   July 31,   July 31,   July 31,   July 31,   July 31, 
   2020   2019   2018   2017   2016 
                          
Net asset value, beginning of year  $13.47   $13.86   $13.04   $12.21   $12.03 
Activity from investment operations:                         
Net investment income (1)   0.11    0.14    0.10    0.12    0.10 
Net realized and unrealized gain (loss) on investments   (0.33)   (0.01)   1.47    0.88    0.21 
Total from investment operations   (0.22)   0.13    1.57    1.00    0.31 
Less distributions from:                         
Net investment income   (0.10)   (0.15)   (0.13)   (0.14)   (0.13)
Net realized gains   (0.22)   (0.37)   (0.62)   (0.03)   (0.00) (6)
Return of capital   (0.03)                
Total distributions   (0.35)   (0.52)   (0.75)   (0.17)   (0.13)
Net asset value, end of year  $12.90   $13.47   $13.86   $13.04   $12.21 
Total return (2)   (1.74)%   1.47%   12.31%   8.32%   2.62%
Net assets, at end of year (000s)  $180,929   $177,450   $157,874   $101,006   $81,800 
Ratio of gross expenses to average net assets (3)(4)   1.28%   1.25%   1.34%   1.43%   1.46%
Ratio of net expenses to average net assets (4)   1.15%   1.15%   1.15%   1.19%   1.25%
Ratio of net investment income to average net assets (5)   0.86%   1.03%   0.70%   0.97%   0.88%
Portfolio Turnover Rate   116%   79%   52%   78%   55%
                          
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

22

 

The Astor Funds
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented

 

   Astor Sector Allocation Fund Class A 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   July 31,   July 31,   July 31,   July 31,   July 31, 
   2020   2019   2018   2017   2016 
                          
Net asset value, beginning of year  $15.57   $18.31   $16.28   $14.64   $15.41 
Activity from investment operations:                         
Net investment income (loss) (1)   0.06    0.07    0.03    0.01    (0.06)
Net realized and unrealized gain (loss) on investments   (0.04)   (0.48)   2.11    1.63    (0.63)
Total from investment operations   0.02    (0.41)   2.14    1.64    (0.69)
Less distributions from:                         
Net investment income   (0.02)   (0.04)            
Net realized gains   (1.49)   (2.29)   (0.11)       (0.08)
Total distributions   (1.51)   (2.33)   (0.11)       (0.08)
Net asset value, end of year  $14.08   $15.57   $18.31   $16.28   $14.64 
Total return (2)   (0.23)%   0.66%   13.19%   11.20%   (4.48)%
Net assets, at end of year (000s)  $8,148   $10,934   $15,077   $17,588   $30,447 
Ratio of gross expenses to average net assets (3)(4)   1.94%   1.66%   1.69%   1.68%   1.65%
Ratio of net expenses to average net assets (4)   1.40%   1.40%   1.40%   1.44%   1.50%
Ratio of net investment income (loss) to average net assets (5)   0.43%   0.44%   0.15%   0.07%   (0.40)%
Portfolio Turnover Rate   119%   138%   66%   82%   68%
                          
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

23

 

The Astor Funds
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented

 

   Astor Sector Allocation Fund Class C 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   July 31,   July 31,   July 31,   July 31,   July 31, 
   2020   2019   2018   2017   2016 
                          
Net asset value, beginning of year  $14.64   $17.46   $15.64   $14.18   $15.04 
Activity from investment operations:                         
Net investment loss (1)   (0.04)   (0.05)   (0.10)   (0.10)   (0.15)
Net realized and unrealized gain (loss) on investments   (0.04)   (0.48)   2.03    1.56    (0.63)
Total from investment operations   (0.08)   (0.53)   1.93    1.46    (0.78)
Less distributions from:                         
Net investment income       (0.00) (6)            
Net realized gains   (1.49)   (2.29)   (0.11)       (0.08)
Total distributions   (1.49)   (2.29)   (0.11)       (0.08)
Net asset value, end of year  $13.07   $14.64   $17.46   $15.64   $14.18 
Total return (2)   (0.97)%   (0.09)%   12.38%   10.30%   (5.19)%
Net assets, at end of year (000s)  $13,515   $20,213   $28,201   $31,799   $46,216 
Ratio of gross expenses to average net assets (3)(4)   2.69%   2.41%   2.44%   2.43%   2.40%
Ratio of net expenses to average net assets (4)   2.15%   2.15%   2.15%   2.19%   2.25%
Ratio of net investment loss to average net assets (5)   (0.30)%   (0.32)%   (0.61)%   (0.68)%   (1.12)%
Portfolio Turnover Rate   119%   138%   66%   82%   68%
                          
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

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

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

24

 

The Astor Funds
FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented

 

   Astor Sector Allocation Fund Class I 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   July 31,   July 31,   July 31,   July 31,   July 31, 
   2020   2019   2018   2017   2016 
                          
Net asset value, beginning of year  $15.77   $18.48   $16.40   $14.72   $15.46 
Activity from investment operations:                         
Net investment income (loss) (1)   0.11    0.11    0.07    0.05    (0.02)
Net realized and unrealized gain (loss) on investments   (0.05)   (0.47)   2.13    1.63    (0.64)
Total from investment operations   0.06    (0.36)   2.20    1.68    (0.66)
Less distributions from:                         
Net investment income   (0.04)   (0.06)   (0.01)        
Net realized gains   (1.49)   (2.29)   (0.11)       (0.08)
Total distributions   (1.53)   (2.35)   (0.12)       (0.08)
Net asset value, end of year  $14.30   $15.77   $18.48   $16.40   $14.72 
Total return (2)   0.03%   0.97%   13.47%   11.41%   (4.27)%
Net assets, at end of year (000s)  $10,711   $19,528   $32,230   $30,526   $36,856 
Ratio of gross expenses to average net assets (3)(4)   1.69%   1.41%   1.44%   1.43%   1.40%
Ratio of net expenses to average net assets (4)   1.15%   1.15%   1.15%   1.19%   1.25%
Ratio of net investment income (loss) to average net assets (5)   0.74%   0.68%   0.40%   0.31%   (0.13)%
Portfolio Turnover Rate   119%   138%   66%   82%   68%
                          
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

25

 

The Astor Funds
CONSOLIDATED FINANCIAL HIGHLIGHTS
 
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year Presented

 

   Astor Macro Alternative Fund Class I 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   July 31,   July 31,   July 31,   July 31,   July 31, 
   2020   2019   2018   2017   2016 
                          
Net asset value, beginning of year  $11.89   $11.07   $10.34   $10.59   $9.96 
Activity from investment operations:                         
Net investment income (loss) (1)   (0.06)   (0.05)   (0.04)   0.04    0.01 
Net realized and unrealized gain (loss) on investments   1.14    1.25    1.10    (0.01)   0.64 
Total from investment operations   1.08    1.20    1.06    0.03    0.65 
Less distributions from:                         
Net investment income   (0.64)   (0.11)   (0.04)   (0.18)   (0.02)
Net realized gains   (0.64)   (0.27)   (0.29)   (0.10)    
Total distributions   (1.28)   (0.38)   (0.33)   (0.28)   (0.02)
Net asset value, end of year  $11.69   $11.89   $11.07   $10.34   $10.59 
Total return (2)   9.93%   11.54%   10.38%   0.35%   6.56%
Net assets, at end of year (000s)  $13,546   $6,706   $7,206   $2,013   $2,054 
Ratio of gross expenses to average net assets (3)(4)   3.59%   3.53%   5.67%   9.17%   10.43%
Ratio of net expenses to average net assets (4)   1.75%   1.75%   1.75%   1.78%   1.99%
Ratio of net investment income (loss) to average net assets (5)   (0.52)%   (0.24)%   (0.40)%   0.42%   0.12%
Portfolio Turnover Rate   302%   190%   194%   114%   117%
                          
(1)Per share amounts calculated using the average shares method, which more appropriately presents the per share data for the period.

 

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

 

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

 

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

 

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

 

See accompanying notes to financial statements.

26

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
July 31, 2020

 

1.ORGANIZATION

 

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

 

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

 

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

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

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

27

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

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

 

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

 

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

28

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

Valuation of Fund of Funds – The Funds may invest in portfolios of open-end or closed-end investment companies (the “Underlying Funds”). The Underlying Funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value to the methods established by the board of directors of the Underlying Funds.

 

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

 

Valuation of Underlying Funds – Open-end investment companies are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change. Each Fund utilizes various methods to measure the fair value of all of its investments on a recurring basis.

 

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

 

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

 

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

 

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

 

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

29

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

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 July 31, 2020, for the Funds’ assets and liabilities measured at fair value:

 

Astor Dynamic Allocation Fund 
                 
Assets *  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $226,116,092   $   $   $226,116,092 
Investment Purchased As Securities Lending Collateral   45,410,992            45,410,992 
Money Market Fund   2,316,426            2,316,426 
Total  $273,843,510   $   $   $273,843,510 
                     
Astor Sector Allocation Fund 
                 
Assets *  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $31,109,552   $   $   $31,109,552 
Investment Purchased As Securities Lending Collateral   520,076            520,076 
Money Market Fund   1,367,399            1,367,399 
Total  $32,997,027   $   $   $32,997,027 
                     
Astor Macro Alternative Fund 
                 
Assets **  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $11,759,704   $   $   $11,759,704 
Open futures contracts ***   92,823            92,823 
Short-Term Investment   830,654            830,654 
Total  $12,683,181   $   $   $12,683,181 

 

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

 

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

 

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

 

***Includes cumulative net unrealized appreciation on futures contracts open at July 31, 2020.

 

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

 

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

30

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

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

 

       % of Astor Macro Alternative
Inception Date of  AMA Net Assets at   Fund’s Net Assets at
AMA:  July 31, 2020   July 31, 2020
6/22/2015  $945,032   6.98%

 

The results from operations of AMA were as follows:

 

Net investment loss  $(11,468)
Net realized gain   305,818 
Net decrease in unrealized depreciation   (9,996)
Net increase in net assets resulting from operations  $284,354 

 

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

 

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

 

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

 

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

 

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

 

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

31

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

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

 

You will indirectly bear fees and expenses charged by the ETFs in addition to the Funds’ direct fees and expenses. Additional risks of investing in ETFs are described below:

 

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

 

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

 

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

 

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

 

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

 

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

32

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

Federal Income Taxes – Each Fund complies with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Therefore, no provision for Federal income tax is required. The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Fund’s tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years July 31, 2017 – July 31, 2019, or expected to be taken in the Funds’ July 31, 2020 tax returns. The Funds identified their major tax jurisdictions as U.S. federal, Ohio and foreign jurisdictions where the Funds make significant investments; however, the Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

 

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

 

Exchange Traded Funds – The Funds may invest in ETFs. ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

 

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

 

The following is a summary of the location of derivative investments on the Astor Macro Alternative Fund’s Consolidated Statement of Assets and Liabilities as of July 31, 2020.

 

Contract Type/Primary Risk Exposure  Balance Sheet Location  Unrealized Appreciation (Depreciation) 
Commodity Risk  Net unrealized appreciation on futures contracts  $(22,437)
Foreign Exchange Rate Risk  Net unrealized appreciation on futures contracts   100,250 
Interest Risk  Net unrealized appreciation on futures contracts   15,010 
Total     $92,823 

33

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

The following is a summary of the location of derivative investments on the Astor Macro Alternative Fund’s Consolidated Statement of Operations for the year ended July 31, 2020:

 

                 Realized and Unrealized Gain 
            Location of Gain (Loss) on    (Loss) on Derivatives recognized 
  Derivative Investment Type    Primary Risk Exposure    Derivatives recognized in income    in income 
  Futures Contracts    Commodity Risk    Net realized gain from futures transactions    $12,267 
       Equity Risk    Net realized gain from futures transactions     109,636 
       Foreign Exchange Rate Risk    Net realized gain from futures transactions     104,275 
       Interest Risk    Net realized gain from futures transactions     83,390 
  Total              $309,568 
  Futures Contracts    Commodity Risk    Net change in unrealized depreciation on futures contracts    $(35,356)
       Equity Risk    Net change in unrealized appreciation (depreciation) futures contracts     (3)
       Foreign Exchange Rate Risk    Net change in unrealized appreciation (depreciation) on futures contracts     35,776 
       Interest Risk    Net change in unrealized appreciation (depreciation) on futures contracts     (21,482)
  Total              $(21,065)

 

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

 

Offsetting of Financial Assets and Derivative Assets

 

The Astor Macro Alternative Fund’s policy is to recognize a net asset or liability equal to the unrealized gain (loss) on futures contracts. The following table shows additional information regarding the offsetting of assets and liabilities at July 31, 2020 for the Astor Macro Alternative Fund.

34

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

Astor Macro Alternative Fund 
  
               Gross Amounts Not Offset in the     
               Consolidated Statement of Assets &     
Assets:              Liabilities     
       Gross Amounts Offset in   Net Amounts of Assets             
   Gross Amounts of   the Consolidated   Presented in the             
   Recognized   Statement of Assets &   Consolidated Statement   Financial   Cash Collateral     
Description  Assets   Liabilities   of Assets & Liabilities   Instruments   Pledged   Net Amount 
Futures Contracts  $142,125   $(49,302)  $92,823   $   $   $92,823 
Total  $142,125   $(49,302)  $92,823   $   $   $92,823 
                               
Liabilities:                        
            Net Amounts of             
       Gross Amounts Offset in   Liabilities Presented in             
   Gross Amounts of   the Consolidated   the Consolidated             
   Recognized   Statement of Assets &   Statement of Assets &   Financial   Cash Collateral     
Description  Liabilities   Liabilities   Liabilities   Instruments   Received   Net Amount 
Futures Contracts  $49,302   $(49,302)  $   $   $   $ 
Total  $49,302   $(49,302)  $   $   $   $ 

 

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

 

Security Loans – The Astor Dynamic Allocation Fund and the Astor Sector Allocation Fund have entered into a securities lending arrangement with BNP Paribas (the “Borrower”). Under the terms of the agreement, the Funds are authorized to loan securities to the Borrower. In exchange, the Funds receive cash collateral in the amount of at least 102% of the value of the securities loaned. The cash collateral is invested in short-term instruments as noted in the Funds’ Schedule of Investments. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Borrower fails to return them.

 

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

35

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

The following table is a summary of the Funds’ securities loaned and related collateral which are subject to a netting agreement as of July 31, 2020:

 

               Gross Amounts Not Offset in the     
               Statement of Assets & Liabilities     
           Net Amounts of             
       Gross Amounts   Assets             
       Offset in the   Presented in the             
   Gross Amounts   Statement of   Statement of   Financial         
   of Recognized   Assets &   Assets &   Instruments   Cash Collateral   Net Amount of 
Assets:  Assets   Liabilities   Liabilities   Pledged   Received   Assets 
Astor Dynamic Allocation Fund                
Description:                              
Securities Loaned  $44,196,994   $   $44,196,994   $   $44,196,994   $ 
Total  $44,196,994   $   $44,196,994   $   $44,196,994   $ 
                               
Astor Sector Allocation Fund                
Description:                              
Securities Loaned  $502,315   $   $502,315   $   $502,315   $ 
Total  $502,315   $   $502,315   $   $502,315   $ 

 

The following table breaks out the holdings received as collateral as of July 31, 2020:

 

Securities Lending Transactions     
Overnight and Continuous     
Astor Dynamic Allocation Fund     
Morgan Stanley Liquidity Treasury Fund  $45,410,992 
      
Astor Sector Allocation Fund     
Morgan Stanley Liquidity Treasury Fund  $520,076 

 

3.INVESTMENT TRANSACTIONS

 

For the year ended July 31, 2020, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and U.S. Government securities, amounted to $276,937,782 and $253,936,848, respectively, for Astor Dynamic Allocation Fund, $47,008,970 and $64,520,599, respectively, for Astor Sector Allocation Fund, and $25,636,622 and $20,586,251, respectively, for the Astor Macro Alternative Fund.

 

4.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Astor Investment Management, LLC (the “Advisor”) is the Funds’ investment advisor. Pursuant to an investment advisory agreement with the Trust, on behalf of the Funds (the “Advisory Agreement”), the Advisor, under the supervision of the Board, oversees the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Advisor receives a management fee, computed and accrued daily and paid monthly, at an annual rate of 0.95% for the Astor Dynamic Allocation Fund and Astor Sector Allocation Fund’s average daily net assets and 1.45% of the Astor Macro Alternative Fund’s average daily net assets. The Advisor earned $2,209,468, $390,922 and $108,110 in management fees for the year ended July 31, 2020 from the Astor Dynamic Allocation Fund, Astor Sector Allocation Fund and Astor Macro Alternative Fund, respectively.

36

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

Pursuant to a written contract (the “Waiver Agreement”), the Advisor has agreed, at least until November 30, 2020, to waive a portion of its advisory fee and has agreed to reimburse the Funds for other expenses to the extent necessary so that the total expenses incurred by the Funds (excluding any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; borrowing costs (such as interest and dividend expense on securities sold short); taxes; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers, other than the Advisor) do not exceed 1.40%, 2.15% and 1.15% per annum of the Astor Dynamic Allocation Fund’s average daily net assets for Class A, Class C, and Class I shares respectively, 1.40%, 2.15%, and 1.15% per annum of the Astor Sector Allocation Fund’s average daily net assets for Class A, Class C, and Class I shares, respectively, and 1.75% per annum of the Astor Macro Alternative Fund’s average daily net assets for Class I.

 

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

 

During the year ended July 31, 2020, the Advisor waived fees reimbursed expenses of $300,499, $223,426, and $137,175 for the Astor Dynamic Allocation Fund, Astor Sector Allocation Fund, and the Astor Macro Alternative Fund, respectively, pursuant to the Waiver Agreement. As of July 31, 2020, the Advisor has waived/reimbursed expenses that may be recovered no later than July 31 of the year indicated below:

 

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

 

The Trust has adopted, on behalf of the Funds, the Trust’s Master Distribution and Shareholder Servicing Plans (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act with respect to Class A and Class C shares of each Fund. The Plans provide that a monthly service and/or distribution fee is calculated by the Funds at an annual rate of 0.25% of the average daily net assets attributable to such Class A shares and 1.00% of the average daily net assets attributable to Class C shares and is paid to Northern Lights Distributors, LLC (the “Distributor” or “NLD”), to provide compensation for ongoing distribution-related activities or services and/or maintenance of the Funds’ shareholder accounts, not otherwise required to be provided by the Advisor. The Plans are compensation plans, which means that compensation is provided regardless of 12b-1 expenses incurred. The Astor Dynamic Allocation Fund and Astor Sector Allocation Fund incurred $373,269 and $188,862 in 12b-1 fees for the year ended July 31, 2020, respectively.

 

The Distributor acts as each Fund’s principal underwriter in a continuous public offering of the Funds’ Class A, Class C, and Class I shares. For the year ended July 31, 2020, $86,195, and $8,899 were paid to the underwriter for the Astor Dynamic Allocation Fund and Astor Sector Allocation Fund, respectively. Of these amounts, $12,761 and $1,364 were retained by the Astor Dynamic Allocation Fund and Astor Sector Allocation Fund, respectively. There were no such fees paid by the Astor Macro Alternative Fund during the period. The Advisor incurs and pays for these fees for the benefit of the Funds.

37

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

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

 

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

 

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

 

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

 

On February 1, 2019, NorthStar Financial Services Group, LLC, the parent company of GFS and its affiliated companies including NLD, NLCS and 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.

 

5.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The below table represents aggregate cost for federal tax purposes, for the Funds as of July 31, 2020 and differs from market value by net unrealized appreciation/depreciation which consisted of:

 

       Gross Unrealized   Gross Unrealized   Total Unrealized 
Fund  Aggregate Cost   Appreciation   Depreciation   Appreciation 
Astor Dynamic Allocation Fund  $263,373,672   $10,887,664   $(417,826)  $10,469,838 
Astor Sector Allocation Fund   31,316,294    2,056,112    (375,379)   1,680,733 
Astor Macro Alternative Fund   12,152,489    796,197    (265,505)   530,692 

 

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

 

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

38

 

The Astor Funds
NOTES TO FINANCIAL STATEMENTS AND CONSOLIDATED FINANCIAL STATEMENTS
(Continued)
July 31, 2020

 

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

 

As of July 31, 2020, the components of accumulated earnings/ (deficit) on a tax basis were as follows:

 

   Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
   Income   Capital Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
Astor Dynamic Allocation Fund  $   $   $(3,486,240)  $   $   $10,469,838   $6,983,598 
Astor Sector Allocation Fund   82,103            (113,467)       1,680,733    1,649,369 
Astor Macro Alternative Fund   286,942    207,046                541,070    1,035,058 

 

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

 

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

 

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

 

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

 

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

 

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

 

6.BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of July 31, 2020, National Financial Services LLC held 29.08% of the voting securities of the Astor Dynamic Allocation Fund and may be deemed to control the Fund, respectively. As of July 31, 2020, Charles Schwab & Co., Inc. held 35.57% and National Financial Services LLC held 25.39% of the voting securities of the Astor Macro Alternative Fund and may be deemed to control the Fund, respectively.

 

7.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

39

 

(COHEN & CO LOGO)

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Shareholders of Astor Dynamic Allocation Fund,

Astor Sector Allocation Fund and Astor Macro Alternative Fund and

Board of Trustees of Northern Lights Fund Trust

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Astor Dynamic Allocation Fund and Astor Sector Allocation Fund, and the accompanying consolidated statement of assets and liabilities, including the consolidated schedule of investments, of Astor Macro Alternative Fund (the “Funds”), each a series of Northern Lights Fund Trust, as of July 31, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, including the related notes, and the financial highlights for each of the five years in the period then ended for Astor Dynamic Allocation Fund and Astor Sector Allocation Fund, and the related consolidated statement 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, including the related notes, and the consolidated financial highlights for each of the five years in the period then ended for Astor Macro Alternative Fund (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of July 31, 2020, 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, in conformity with accounting principles generally accepted in the United States of America.

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements 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 are free of material misstatement whether due to error or fraud.

 

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, 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. Our procedures included confirmation of securities owned as of July 31, 2020, by correspondence with the custodian and brokers. 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. We believe that our audits provide a reasonable basis for our opinion.

 

C O H E N  &  C O M P A N Y ,  L T D .

800.229.1099 | 866.818.4535 fax | cohencpa.com

 

Registered with the Public Company Accounting Oversight Board

40

 

We have served as the Funds’ auditor since 2009.

 

(-s- Cohen & Compnay)

 

COHEN & COMPANY, LTD.

Cleveland, Ohio

September 29, 2020

41

 

The Astor Funds
SUPPLEMENTAL INFORMATION (Unaudited)
July 31, 2020

 

Astor Investment Management, LLC (Adviser- Astor Dynamic Allocation Fund, Astor Macro Alternative Fund, and Astor Sector Allocation Fund) *

 

In connection with the regular meeting held on March 18-19, 2020 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 re-approval of an investment advisory agreement (the “Advisory Agreement”) between Astor Investment Management, LLC (“Adviser”) and the Trust, with respect to the Astor Dynamic Allocation Fund, Astor Macro Alternative Fund and Astor Sector Allocation Fund (referred to as “Astor Dynamic”, “Astor Macro”, “Astor Sector” or the “Fund”). In considering the re-approval 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 Services. The Trustees noted that Astor was founded in 2001, had approximately $2.6 billion in AUM, offering a suite of strategies to a wide range of clients with varying risk profiles and investment objectives through several investment vehicle types. The Trustees reviewed the background information of the key investment personnel responsible for servicing the Astor Funds, and took into consideration their education and the investment team’s diverse financial industry experience. They considered that the adviser’s investment process for the Astor Funds was based on research and analysis of economic and market data, and that the investment committee consolidated the research results into proprietary indicator models to determine investment allocations, risk profiles and tracking targets. They noted that the adviser managed traditional investment risks such as interest rate changes, durations, liquidity, concentration, and individual product risk through the use of risk management tools built directly into each strategy that may increase or decrease exposure and change the applicable Fund’s allocation to a single asset, asset class, or sector. They discussed the adviser’s broker-dealer selection, noting that the adviser utilized best execution policies to evaluate execution and service quality, operational proficiency, and reasonableness of commission rates. The Trustees concluded that the adviser continued to provide effective and quality services to each Astor Fund and its respective shareholders.

 

Performance.

 

Astor Dynamic. The Trustees considered the Fund’s objective of positive return through capital appreciation and income and discussed the Fund’s strategy. They noted that the Fund underperformed its Morningstar category median and peer group median for the since inception period but outperformed the comparable metrics over the 1-year, 3-year, and 5-year periods, earning a 4 star rating from Morningstar. The Trustees concluded that the adviser had done well in implementing a tactical strategy for the benefit of shareholders and the Fund’s performance was satisfactory.

 

Astor Macro. The Trustees considered the Fund’s objective of achieving positive risk-adjusted returns and discussed the Fund’s strategy, noting the types of instruments used to execute that strategy. The Trustees observed that the Fund outperformed its Morningstar category median and peer group median over the 1-year, 3-year and since inception periods. The Trustees noted that the Fund had been ranked in the top quartile with respect to standard deviation in each of the time periods. The Trustees concluded that, notwithstanding the Fund’s higher volatility, the adviser was executing the Fund’s strategy consistent with its stated objective, and that the Fund’s performance was satisfactory.

42

 

The Astor Funds
SUPPLEMENTAL INFORMATION (Unaudited) (Continued)
July 31, 2020

 

Astor Sector. The Trustees noted the Fund’s objective of capital appreciation and considered its strategy, noting that the adviser used a proprietary sector rotation model to execute the strategy. They observed that the Fund outperformed its Morningstar category median and peer group median over the 1-year, 3-year, 5-year and since inception time periods presented, but trailed the S&P 500 over all periods. After further discussion, the Trustees considered that the Fund’s performance was satisfactory.

 

Fees and Expenses.

 

Astor Dynamic. The Trustees evaluated the Fund’s advisory fee, noting that the advisory fee of 0.95% was lower than the Broadridge selected peer group median, and equal to the Morningstar category median. The Trustees discussed the Fund’s net expense ratio of 1.15% and noted that it was lower than its peer group average and median as well as its Morningstar category median, but above its category average. The Trustees concluded that the Fund’s advisory fee was not unreasonable.

 

Astor Macro. The Trustees considered the Fund’s advisory fee, noting that the advisory fee of 1.45% was the highest among its assigned peer group, and higher than its Morningstar category median and average but within the range of the category. They further noted that the Fund’s net expense ratio of 1.75% was higher than the median and average of its peer group and Morningstar category but within the range of the category. The Trustees considered that the adviser executed multiple strategies across diverse asset classes and had an expense limitation in place with respect to the Fund. After discussion, the Trustees concluded that the Fund’s advisory fee was not unreasonable.

 

Astor Sector. The Trustees evaluated the Fund’s advisory fee, noting that the advisory fee of 0.95% was slightly above its peer group average and lower than the peer group median. They observed that the advisory fee was higher than its Morningstar category average but lower than the category median. They further noted that the Fund’s net expense ratio was lower than its peer group median and average as well as its category median and average. After 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 reached with respect to the management of each Fund. They noted that the adviser had indicated its willingness to discuss the matter of breakpoints with the Trustees as each Fund increased its assets. The Trustees agreed that in light of the expense limitation agreements, and the adviser’s willingness to consider breakpoints as each Fund reaches readily attainable asset levels, the absence of breakpoints at this time was acceptable.

 

Profitability. The Trustees reviewed the profitability analysis provided by the adviser for each of the Astor Funds. They noted that the adviser reported a loss with respect to Astor Macro and that it realized profits with respect to Astor Dynamic and Astor Sector. The Trustee considered other factors cited by the adviser to support the level of profits, including, without limitation, business risks and opportunity costs. The Trustees noted that they would continue to discuss breakpoints with the adviser as the Funds grew assets. Based on the information presented, the Trustees concluded that the adviser’s profitability with respect to each Fund was not excessive.

 

Conclusion. Having requested and received such information from the adviser as the Trustees believed to be reasonably necessary to evaluate the terms of the advisory agreement, and as assisted by the advice of independent counsel, the Trustees concluded that the advisory fee structure was not unreasonable and that renewal of the advisory agreement was in the best interests of the shareholders of Astor Dynamic, Astor Macro and Astor Sector.

 

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

43

 

The Astor Funds
SUPPLEMENTAL INFORMATION (Unaudited)
July 31, 2020

 

LIQUIDITY RISK MANAGEMENT PROGRAM

 

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

 

During the year ended July 31, 2020, the Board and the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Funds’ investments and they determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Board and Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented.

44

 

The Astor Funds
Expense Examples (Unaudited)
July 31, 2020

 

Example

 

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

 

Actual Expenses

 

The columns under the heading entitled “Actual” help you estimate the actual expenses you paid over the period. The “Ending Account Value” shown is derived from each Fund’s actual return, and the “Expenses Paid During Period” shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. To estimate the expenses you paid on your account during this period, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the column under the heading entitled “Actual Expenses Paid During Period.”

 

Hypothetical Examples for Comparison Purposes

 

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

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs which may be applicable to your account. Therefore, the last column of the table (Hypothetical Expenses Paid During Period) is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

               Hypothetical  
         Actual  (5% return before expenses)  
   Fund’s  Beginning  Ending  Expenses  Ending  Expenses  
   Annualized  Account Value  Account Value  Paid During  Account Value  Paid During  
   Expense Ratio  2/1/20  7/31/20  Period(a)  7/31/20  Period  
                     
Astor Dynamic Allocation Fund – Class A  1.40%  $1,000.00  $943.80  $6.77  $1,017.90  $7.02  
Astor Dynamic Allocation Fund – Class C  2.15%  $1,000.00  $940.90  $10.38  $1,014.17  $10.77  
Astor Dynamic Allocation Fund – Class I  1.15%  $1,000.00  $945.60  $5.56  $1,019.14  $5.77  
Astor Sector Allocation Fund – Class A  1.40%  $1,000.00  $966.30  $6.84  $1,017.90  $7.02  
Astor Sector Allocation Fund – Class C  2.15%  $1,000.00  $963.20  $10.49  $1,014.17  $10.77  
Astor Sector Allocation Fund – Class I  1.15%  $1,000.00  $968.00  $5.63  $1,019.14  $5.77  
Astor Macro Alternative Fund – Class I  1.75%  $1,000.00  $1,043.70  $8.89  $1,016.16  $8.77  

 

(a)Actual Expenses Paid During Period are equal to each Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182 days and divided by 366.

45

 

The Astor Funds
SUPPLEMENTAL INFORMATION (Unaudited)
July 31, 2020

 

The Trustees and the executive officers of the Trust are listed below with their present positions with the Trust and principal occupations over at least the last five years. The business address of each Trustee and Officer is 225 Pictoria Drive, Suite 450, Cincinnati, OH 45246. All correspondence to the Trustees and Officers should be directed to c/o Gemini Fund Services, LLC, P.O. Box 541150, Omaha, Nebraska 68154.

 

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 Carlyle Tactical 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, University of South Florida, Tampa FL (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).

 

7/31/20 – NLFT_v1

46

 

The Astor Funds
SUPPLEMENTAL INFORMATION (Unaudited) (Continued)
July 31, 2020

 

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
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
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
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
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 2007 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 July 31, 2020, the Trust was comprised of 70 active portfolios managed by unaffiliated investment advisers. The term “Fund Complex” applies only to the Funds in the Trust advised by the Advisor. The Funds do not hold themselves out as related to any other series within the Trust that is not advised by the Advisor.

 

The Funds’ SAI includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-877-738-0333.

 

7/31/20 – NLFT_v1

47

 

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

48

 

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.

49

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

This Page Intentionally Left Blank.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

PROXY VOTING POLICY

 

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

 

PORTFOLIO HOLDINGS

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

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

 

(a)(2) Not applicable.

 

(a)(3) In this regard, no member of the audit committee was identified as having all of the required technical attributes identified in instruction 2 (b) to item 3 of Form N-CSR to qualify as an “audit committee financial expert,” whether through the type of specialized education or experience required by that instruction. At this time, the board believes the experience provided by each member of the audit committee collectively offers the fund adequate oversight by its audit committee given the fund’s level of financial complexity. The board will from time to time reexamine such belief.

 

Item 4. Principal Accountant Fees and Services.

 

(a)Audit Fees

2020 - $ 40,500

2019 - $ 45,500

 

(b)Audit-Related Fees

2020 - None

2019 - None

 

(c)Tax Fees

2020 – $ 7,500

2019 – $ 8,000

 

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

2020 - None

2019 - 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

                                                    2020 2019

Audit-Related Fees: 0.00% 0.00%

Tax Fees:                   0.00% 0.00%

All Other Fees:          0.00% 0.00%

 

(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:

 

2020 - $ 7,500

2019 - $ 8,000

 

(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. See Item 1.

 

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

 

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

 

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

 

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

 

Item 11. Controls and Procedures.

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

 

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

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Code of Ethics 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/President

 

Date 10/6/2020

 

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

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

Date 10/6/2020

 

 

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Principal Financial Officer/Treasurer

Date 10/6/2020