0001580642-24-001526.txt : 20240307 0001580642-24-001526.hdr.sgml : 20240307 20240307125002 ACCESSION NUMBER: 0001580642-24-001526 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 10 CONFORMED PERIOD OF REPORT: 20231231 FILED AS OF DATE: 20240307 DATE AS OF CHANGE: 20240307 EFFECTIVENESS DATE: 20240307 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NORTHERN LIGHTS FUND TRUST II CENTRAL INDEX KEY: 0001518042 ORGANIZATION NAME: IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-22549 FILM NUMBER: 24729143 BUSINESS ADDRESS: STREET 1: 225 PICTORIA DRIVE STREET 2: SUITE 450 CITY: CINCINNATI STATE: OH ZIP: 45246 BUSINESS PHONE: 631-470-2600 MAIL ADDRESS: STREET 1: 4221 NORTH 203RD STREET, SUITE 100 CITY: ELKHORN STATE: NE ZIP: 68022 0001518042 S000063454 Acclivity Mid Cap Multi-Style Fund C000205612 Acclivity Mid Cap Multi-Style N Shares AXMNX C000205613 Acclivity Mid Cap Multi-Style I Shares AXMIX 0001518042 S000063456 Acclivity Small Cap Value Fund C000205616 Acclivity Small Cap Value Class N Shares AXVNX C000205617 Acclivity Small Cap Value Class I Shares AXVIX N-CSR 1 acclivity-annual.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 811-22549

 

Northern Lights Fund Trust II

(Exact name of registrant as specified in charter)

 

225 Pictoria Drive, Suite 450, Cincinnati, Ohio 45246

(Address of principal executive offices) (Zip code)

 

Kevin Wolf, Ultimus Fund Solutions, LLC

4221 North 203rd Street, Suite 100, Elkhorn, NE 68022

(Name and address of agent for service)

 

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

 

Date of fiscal year end: 12/31

 

Date of reporting period: 12/31/23

 

Item 1. Reports to Stockholders.

 
 
 
 
 
(ACCLIVITY LOGO)
 
 
 
 
 
Acclivity Mid Cap Multi-Style Fund
 
Acclivity Small Cap Value Fund
 
 
 
 
 
Annual Report
 
December 31, 2023
 
 
 
 
 
www.acclivityfunds.com
1 (855) 873-3837
 
 
 
 
 
Distributed by Northern Lights Distributors, LLC
Member FINRA

 

 

Acclivity Funds Annual Shareholder Letter (Unaudited)

 

Dear Shareholder,

 

After a turbulent first half weighed down by aggressive Fed interest rate hikes to fight inflation and recession fears, both the equity and fixed-income markets staged an impressive rebound in the last quarter of 2023. The U.S. equities, represented by the S&P 500 Index, gained ~26% for the year, fueled by resilient economic performance, strong corporate earnings, and a late-year dovish pivot by the Fed. The bond market also benefited from easing inflation and hopes of early rate cuts. The broader fixed- income markets, represented by the Bloomberg U.S. Aggregate Bond Index, gained ~5% for the year. Within U.S. sectors, Information Technology and Communication Services outperformed while Utilities lagged. Regarding investment styles, growth securities outperformed value securities across all size segments, as measured by Russell indices in 2023 (see Exhibit 1).

 

Exhibit 1. Russell Index Performance

 

Source: Bloomberg Finance, L.P., as of December 31, 2023. Large Growth refers to the Russell 1000 Growth TR Index. Large Value refers to the Russell 1000 Value TR Index. Mid Growth refers to the Russell Mid Cap Growth TR Index. Mid Value refers to the Russell Mid Cap Value TR Index. Small Growth refers to the Russell 2000 Growth TR Index. Small Value refers to the Russell 2000 Value TR Index. Past performance is not an indication of future results. Index performance is shown for illustrative purposes only. You cannot invest directly in an index.

  (BAR GRAPH)

 

Grounded in decades of academic research, Acclivity’s strategies are designed to target equity securities that have specific characteristics associated with higher expected returns. Our organization remains stable, and our research team continues to pursue agile implementation that allows us to identify, validate, and incorporate new relevant research into strategies. Every day, we manage our strategies in an efficient way to reduce costs and enhance services for our clients.

 

Thank you for entrusting us with your investments.

1

 

Fund Performance

 

Acclivity Mid Cap Multi-Style Fund

 

In 2023, Acclivity Mid Cap Multi-Style Fund I Share class (“AXMIX”) was up 16.41%.

 

Exhibit 3. Quarterly Performance of AXMIX v.s. Russell Mid-Cap Index as of December 31st, 2023

 

2023 Performance Q1 Q2 Q3 Q4 YTD
           
AXMIX 2.31% 4.52% -2.32% 11.45% 16.41%
           
Russell Mid Cap 4.06% 4.76% -4.68% 12.82% 17.23%
           

 

To decompose fund performance, most of the underperformance was attributed to security selections. Regarding sector allocation effects, the underweight allocations to utilities, real estate, and healthcare securities were the main contributors. In contrast, the overweight allocation to consumer staples and energy securities were the main detractors. Regarding security selection effects, consumer staples, healthcare, utilities, and communication services securities were the main contributors, while information technology, consumer discretionary, financials, and energy securities were the main detractors.

 

Acclivity Small Cap Value Fund

 

In 2023, Acclivity Small Cap Value Fund I Share class (“AXVIX”) was up 22.62%.

 

Exhibit 4. Quarterly Performance of AXVIX v.s. Russell 2000 Value as of December 31st, 2023

 

2023 Performance Q1 Q2 Q3 Q4 YTD
           
AXVIX 0.91% 5.87% -0.61% 15.48% 22.62%
           
Russell 2000 Value -0.66% 3.18% -2.96% 15.26% 14.65%
           

 

To decompose fund performance, 55% of the outperformance was attributed to sector allocations, while the remaining portion was attributed to security selections. Regarding sector allocation effects, the overweight allocations to consumer discretionary and information technology and the underweight allocation to utilities and healthcare were the main contributors. In contrast, the underweight allocation to financials and overweight allocation to consumer staples were the main detractors. Regarding security selection effects, consumer discretionary, information technology, materials, and financials were the main contributors, while energy, industrials, and consumer staples were the main detractors.

2

 


Disclosures and Important Information

 

S&P 500 Index is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. Bloomberg Barclays U.S. Aggregate Bond Index is representative of the entire universe of taxable fixed-income investments. It includes issues of the U.S. Government and any agency thereof, corporate issues of investment grade quality (Baa/BBB or better), and mortgage-backed securities. Russell Mid-Cap Index is a stock market index that tracks the 800 smallest companies in the Russell 1000 Index, which represents approximately 25% of the total market capitalization of the Russell 1000 Index. Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Russell Midcap Value Index measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. Russell Midcap Growth Index measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. Russell 2000 Value Index measures the performance of Russell 2000 companies with lower price-to-book ratios and forecasted growth values. Russell 2000 Growth Index measures the performance of Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values.

 

Total return indexes reinvest dividends. Frank Russell Company is the source and owner of the trademarks, service marks, and copyrights related to the Russell Indexes. Indices do not reflect any fees, expenses, or sales charges and are not available for direct investment. Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses, or sales charges. Past performance is no guarantee of future results.

 

3464-INN-02/02/2024

 

3131-NLD-02/02/2024

3

 

ACCLIVITY MID CAP MULTI-STYLE FUND
PORTFOLIO REVIEW (Unaudited)
December 31, 2023

 

The Fund’s performance figures* for the periods ended December 31, 2023, compared to its benchmark:

 

    Annualized
      Since Inception
  One Year Three Year (12/31/19)
Acclivity Mid Cap Multi-Style Fund - Class I 16.41% 8.82% 9.21%
Acclivity Mid Cap Multi-Style Fund - Class N 16.41% 8.82% 9.21%
Russell Mid-Cap Total Return Index** 17.23% 5.92% 8.61%
S&P 500 Total Return Index*** 26.29% 10.00% 12.04%

 

Comparison of the Change in Value of a $100,000 Investment

 

(LINE GRAPH)

 

*The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gain distributions, if any. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that investor’s 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 redemption of Fund shares. The Fund’s total annual operating expenses are 35.66% for Class I shares and 35.91% for Class N shares per the May 1, 2023, prospectus. After fee waivers, the Fund’s total annual operating expenses are 0.45% for Class I shares and 0.70% for Class N shares. For performance information current to the most recent month-end, please call toll-free 1-855-873-3837 (1-855-USE-ETFS).

 

**The Russell Mid-Cap Total Return Index measures the performance of the smallest 800 companies in the Russell 1000 index. Investors cannot invest directly in an index.

 

***The S&P 500 Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. Investors cannot invest directly in an index.

 

Holdings By Asset Class as of December 31, 2023  % of Net Assets 
Insurance   8.5%
Software   6.7%
Technology Hardware   4.4%
Oil & Gas Producers   4.2%
Machinery   3.9%
Medical Equipment & Devices   3.9%
Biotechnology & Pharmaceuticals   3.8%
Chemicals   3.7%
Retail - Discretionary   3.7%
Technology Services   3.6%
Other Investments & Assets in Excess of Liabilities   53.6%
    100.0%

 

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

4

 

ACCLIVITY SMALL CAP VALUE FUND
PORTFOLIO REVIEW (Unaudited)
December 31, 2023

 

The Fund’s performance figures* for the periods ended December 31, 2023, compared to its benchmark:

 

    Annualized
      Since Inception
  One Year Three Year (12/31/18)
Acclivity Small Cap Value Fund - Class I 22.62% 17.57% 15.65%
Acclivity Small Cap Value Fund - Class N 22.37% 17.44% 15.54%
Russell 2000® Value Total Return Index** 14.65% 7.94% 10.00%
S&P 500 Total Return Index*** 26.29% 10.00% 15.69%

 

Comparison of the Change in Value of a $100,000 Investment

 

(LINE GRAPH)

 

*The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gain distributions, if any. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that investor’s 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 redemption of Fund shares. The Fund’s total annual operating expenses are 1.99% for Class I shares and 1.54% for Class N shares per the May 1, 2023 prospectus. After fee waivers, the Fund’s total annual operating expenses are 0.48% for Class I shares and 0.73% for Class N shares. For performance information current to the most recent month-end, please call toll-free 1-855-873-3837 (1-855-USE-ETFS).

 

**The Russell 2000® Value Total Return Index measures the performance of the largest 2,000 U.S. companies determined by total market capitalization. Investors cannot invest directly in an index.

 

***The S&P 500 Total Return Index is a widely accepted, unmanaged index of U.S. stock market performance which does not take into account charges, fees and other expenses. Investors cannot invest directly in an index.

 

Holdings By Asset Class as of December 31, 2023  % of Net Assets 
Banking   12.4%
Home Construction   6.9%
Retail - Discretionary   6.9%
Oil & Gas Producers   6.4%
Specialty Finance   4.8%
Technology Hardware   4.6%
Insurance   4.3%
Transportation & Logistics   3.9%
Semiconductors   3.2%
Commercial Support Services   3.1%
Other Investments & Liabilities in Excess of Assets   43.5%
    100.0%

 

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

5

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0%     
     ADVERTISING & MARKETING - 1.5%     
 317   Interpublic Group of Companies, Inc. (The)  $10,347 
 148   Omnicom Group, Inc.   12,803 
 5   Trade Desk, Inc. (The), Class A(a)   360 
         23,510 
     AEROSPACE & DEFENSE - 1.3%     
 9   Hexcel Corporation   664 
 12   Howmet Aerospace, Inc.   649 
 19   Huntington Ingalls Industries, Inc.   4,933 
 1   Teledyne Technologies, Inc.(a)   446 
 114   Textron, Inc.   9,168 
 36   Woodward, Inc.   4,901 
         20,761 
     APPAREL & TEXTILE PRODUCTS - 1.6%     
 1   Columbia Sportswear Company   80 
 2   Crocs, Inc.(a)   187 
 12   Deckers Outdoor Corporation(a)   8,021 
 1   Hanesbrands, Inc.   5 
 2   PVH Corporation   244 
 7   Ralph Lauren Corporation   1,009 
 100   Skechers USA, Inc., Class A(a)   6,234 
 266   Tapestry, Inc.   9,791 
 3   VF Corporation   56 
         25,627 
     ASSET MANAGEMENT - 1.0%     
 1   Ares Management Corporation, Class A   119 
 81   Carlyle Group, Inc. (The)   3,296 
 365   Franklin Resources, Inc.   10,874 
 2   LPL Financial Holdings, Inc.   455 
 2   Raymond James Financial, Inc.   223 
 9   Stifel Financial Corporation   622 
         15,589 
     AUTOMOTIVE - 0.8%     
 30   Autoliv, Inc.   3,306 
 166   BorgWarner, Inc.   5,951 

 

See accompanying notes to financial statements.

6

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     AUTOMOTIVE - 0.8% (Continued)     
 59   Gentex Corporation  $1,927 
 11   Lear Corporation   1,553 
         12,737 
     BANKING - 2.5%     
 93   East West Bancorp, Inc.   6,691 
 17   First Horizon Corporation   241 
 709   Huntington Bancshares, Inc.   9,019 
 5   KeyCorporation   72 
 2   M&T Bank Corporation   274 
 2   Pinnacle Financial Partners, Inc.   174 
 2   Prosperity Bancshares, Inc.   135 
 783   Regions Financial Corporation   15,175 
 2   SouthState Corporation   169 
 1   SVB Financial Group(a)   0 
 2   Synovus Financial Corporation   75 
 5   Valley National Bancorp   54 
 122   Webster Financial Corporation   6,193 
 3   Zions Bancorp   132 
         38,404 
     BEVERAGES - 0.6%     
 157   Molson Coors Beverage Company, Class B   9,610 
           
     BIOTECHNOLOGY & PHARMACEUTICALS - 3.8%     
 1   ACADIA Pharmaceuticals, Inc.(a)   31 
 74   BioMarin Pharmaceutical, Inc.(a)   7,135 
 1   Blueprint Medicines Corporation(a)   92 
 2   Denali Therapeutics, Inc.(a)   43 
 305   Elanco Animal Health, Inc.(a)   4,545 
 60   Exelixis, Inc.(a)   1,440 
 4   Halozyme Therapeutics, Inc.(a)   148 
 255   ImmunoGen, Inc.(a)   7,561 
 194   Incyte Corporation(a)   12,181 
 95   Ionis Pharmaceuticals, Inc.(a)   4,806 
 1   Iovance Biotherapeutics, Inc.(a)   8 

 

See accompanying notes to financial statements.

7

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     BIOTECHNOLOGY & PHARMACEUTICALS - 3.8% (Continued)     
 1   Mirati Therapeutics, Inc.(a)  $59 
 67   Neurocrine Biosciences, Inc.(a)   8,828 
 59   Sarepta Therapeutics, Inc.(a)   5,689 
 1   TG Therapeutics, Inc.(a)   17 
 34   United Therapeutics Corporation(a)   7,476 
         60,059 
     CABLE & SATELLITE - 0.4%     
 79   Liberty Broadband Corporation - Series C(a)   6,367 
           
     CHEMICALS - 3.7%     
 60   Albemarle Corporation(b)   8,669 
 2   Ashland, Inc.   169 
 48   Avery Dennison Corporation   9,704 
 16   Celanese Corporation   2,486 
 44   CF Industries Holdings, Inc.   3,498 
 2   Chemours Company (The)   63 
 83   Eastman Chemical Company   7,455 
 129   FMC Corporation   8,133 
 3   Huntsman Corporation   75 
 2   International Flavors & Fragrances, Inc.   162 
 257   Mosaic Company (The)   9,182 
 2   Olin Corporation   108 
 74   RPM International, Inc.   8,261 
 17   Valvoline, Inc.   639 
         58,604 
     COMMERCIAL SUPPORT SERVICES - 0.9%     
 9   Aramark   253 
 2   ASGN, Inc.(a)   192 
 20   Clean Harbors, Inc.(a)   3,490 
 19   FTI Consulting, Inc.(a)   3,784 
 1   ManpowerGroup, Inc.   79 
 64   Robert Half, Inc.   5,627 
 1   Stericycle, Inc.(a)   50 
         13,475 

 

See accompanying notes to financial statements.

8

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     CONSTRUCTION MATERIALS - 2.3%     
 52   Advanced Drainage Systems, Inc.  $7,313 
 28   Carlisle Companies, Inc.   8,748 
 26   Eagle Materials, Inc.   5,274 
 1   Martin Marietta Materials, Inc.   499 
 5   MDU Resources Group, Inc.   99 
 64   Owens Corning   9,487 
 25   Simpson Manufacturing Company, Inc.   4,949 
         36,369 
     CONSUMER SERVICES - 0.3%     
 74   Service Corporation International   5,065 
           
     CONTAINERS & PACKAGING - 2.9%     
 36   AptarGroup, Inc.   4,450 
 93   Crown Holdings, Inc.   8,564 
 259   Graphic Packaging Holding Company   6,384 
 269   International Paper Company   9,724 
 45   Packaging Corporation of America   7,331 
 5   Sealed Air Corporation   183 
 8   Sonoco Products Company   447 
 199   Westrock Company   8,263 
         45,346 
     DIVERSIFIED INDUSTRIALS - 0.4%     
 56   ITT, Inc.   6,682 
           
     ELECTRIC UTILITIES - 1.3%     
 1   Alliant Energy Corporation   51 
 3   Evergy, Inc.   157 
 1   IDACORP, Inc.   98 
 196   OGE Energy Corporation   6,846 
 2   Pinnacle West Capital Corporation   144 
 1   Portland General Electric Company   43 
 348   Vistra Corporation   13,405 
         20,744 

 

See accompanying notes to financial statements.

9

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     ELECTRICAL EQUIPMENT - 3.5%     
 80   A O Smith Corporation  $6,595 
 128   API Group Corporation(a)   4,429 
 34   BWX Technologies, Inc.   2,609 
 5   Cognex Corporation   209 
 31   Generac Holdings, Inc.(a)   4,006 
 25   Hubbell, Inc.   8,223 
 24   Lennox International, Inc.   10,740 
 4   Littelfuse, Inc.   1,070 
 143   Trimble, Inc.(a)   7,608 
 193   Vertiv Holdings Company   9,270 
         54,759 
     ENGINEERING & CONSTRUCTION - 2.7%     
 20   AECOM   1,849 
 20   Comfort Systems USA, Inc.   4,113 
 30   EMCOR Group, Inc.   6,463 
 74   Jacobs Solutions, Inc.   9,605 
 55   KBR, Inc.   3,048 
 2   MasTec, Inc.(a)   151 
 2   Quanta Services, Inc.   432 
 23   Tetra Tech, Inc.   3,839 
 20   TopBuild Corporation(a)   7,485 
 110   WillScot Mobile Mini Holdings Corporation(a)   4,895 
         41,880 
     ENTERTAINMENT CONTENT - 0.0%(c)     
 4   Take-Two Interactive Software, Inc.(a)   644 
           
     FOOD - 2.4%     
 203   Campbell Soup Company   8,776 
 309   Conagra Brands, Inc.   8,856 
 26   Darling Ingredients, Inc.(a)   1,296 
 5   Flowers Foods, Inc.   112 
 3   Ingredion, Inc.   326 
 68   J M Smucker Company (The)   8,594 
 85   Lamb Weston Holdings, Inc.   9,188 

 

See accompanying notes to financial statements.

10

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     FOOD - 2.4% (Continued)     
 1   Lancaster Colony Corporation  $166 
         37,314 
     FORESTRY, PAPER & WOOD PRODUCTS - 0.9%     
 3   Louisiana-Pacific Corporation   212 
 63   Trex Company, Inc.(a)   5,216 
 69   UFP Industries, Inc.   8,663 
         14,091 
     GAS & WATER UTILITIES - 0.5%     
 5   Atmos Energy Corporation   579 
 179   Essential Utilities, Inc.   6,686 
         7,265 
     HEALTH CARE FACILITIES & SERVICES - 3.2%     
 36   Acadia Healthcare Company, Inc.(a)   2,799 
 2   Cardinal Health, Inc.   202 
 81   Catalent, Inc.(a)   3,639 
 24   Charles River Laboratories International, Inc.(a)   5,674 
 8   Chemed Corporation   4,678 
 2   Encompass Health Corporation(b)   133 
 98   Henry Schein, Inc.(a)   7,420 
 19   Medpace Holdings, Inc.(a)   5,824 
 66   Quest Diagnostics, Inc.   9,100 
 2   Teladoc Health, Inc.(a)   43 
 67   Universal Health Services, Inc., Class B   10,214 
         49,726 
     HOME & OFFICE PRODUCTS - 0.4%     
 2   Leggett & Platt, Inc.   52 
 107   Tempur Sealy International, Inc.   5,454 
         5,506 
     HOME CONSTRUCTION - 1.7%     
 72   Fortune Brands Innovations, Inc.   5,482 
 157   Masco Corporation   10,516 
 22   PulteGroup, Inc.   2,271 
 86   Toll Brothers, Inc.   8,840 
         27,109 

 

See accompanying notes to financial statements.

11

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     HOUSEHOLD PRODUCTS - 0.1%     
 90   Coty, Inc., Class A(a)  $1,118 
           
     INDUSTRIAL INTERMEDIATE PRODUCTS - 0.2%     
 12   RBC Bearings, Inc.(a)   3,419 
 2   Timken Company (The)   160 
         3,579 
     INDUSTRIAL SUPPORT SERVICES - 1.0%     
 2   SiteOne Landscape Supply, Inc.(a)   325 
 24   U-Haul Holding Company   1,691 
 1   United Rentals, Inc.   573 
 17   Watsco, Inc.   7,284 
 37   WESCO International, Inc.   6,434 
         16,307 
     INSTITUTIONAL FINANCIAL SERVICES - 1.6%     
 124   Jefferies Financial Group, Inc.   5,011 
 96   Northern Trust Corporation   8,101 
 86   SEI Investments Company   5,465 
 64   Tradeweb Markets, Inc., Class A   5,816 
         24,393 
     INSURANCE - 8.5%     
 86   American Financial Group, Inc.   10,224 
 59   Assurant, Inc.   9,941 
 140   Cincinnati Financial Corporation   14,484 
 179   Equitable Holdings, Inc.   5,961 
 107   Globe Life, Inc.   13,024 
 15   Kinsale Capital Group, Inc.   5,024 
 3   Lincoln National Corporation   81 
 235   Loews Corporation   16,354 
 1   Markel Group, Inc.(a)   1,420 
 244   Old Republic International Corporation   7,174 
 37   Primerica, Inc.   7,613 
 1   Radian Group, Inc.   28 
 47   Reinsurance Group of America, Inc.   7,604 
 275   Unum Group   12,435 

 

See accompanying notes to financial statements.

12

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     INSURANCE - 8.5% (Continued)     
 136   Voya Financial, Inc.  $9,923 
 154   W R Berkley Corporation   10,891 
         132,181 
     INTERNET MEDIA & SERVICES - 1.0%     
 67   Expedia Group, Inc.(a)   10,170 
 42   Pinterest, Inc., Class A(a)   1,556 
 47   Roku, Inc.(a)   4,308 
 1   TripAdvisor, Inc.(a)   21 
 5   Zillow Group, Inc., Class C(a)   289 
         16,344 
     LEISURE FACILITIES & SERVICES - 0.9%     
 2   Darden Restaurants, Inc.   329 
 5   Hilton Grand Vacations, Inc.(a)   201 
 49   Light & Wonder, Inc.(a)   4,023 
 54   Texas Roadhouse, Inc.   6,600 
 26   Wyndham Hotels & Resorts, Inc.   2,091 
         13,244 
     LEISURE PRODUCTS - 0.4%     
 18   Axon Enterprise, Inc.(a)   4,650 
 2   Brunswick Corporation   194 
 2   Fox Factory Holding Corporation(a)   135 
 5   Hasbro, Inc.   255 
 37   Mattel, Inc.(a)   699 
 3   Polaris, Inc.   284 
 1   Thor Industries, Inc.   118 
         6,335 
     MACHINERY - 3.9%     
 81   AGCO Corporation   9,834 
 20   Curtiss-Wright Corporation   4,456 
 70   Donaldson Company, Inc.   4,575 
 1   Enovis Corporation(a)   56 
 1   Flowserve Corporation   41 
 3   Graco, Inc.   260 
 37   Lincoln Electric Holdings, Inc.   8,046 

 

See accompanying notes to financial statements.

13

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     MACHINERY - 3.9% (Continued)     
 2   Middleby Corporation (The)(a)  $294 
 23   MSA Safety, Inc.   3,883 
 6   Oshkosh Corporation   650 
 48   Regal Rexnord Corporation   7,105 
 47   Snap-on, Inc.   13,576 
 89   Stanley Black & Decker, Inc.   8,731 
 1   Toro Company (The)   96 
         61,603 
     MEDICAL EQUIPMENT & DEVICES - 3.9%     
 366   Avantor, Inc.(a)   8,356 
 17   Bio-Rad Laboratories, Inc., Class A(a)   5,489 
 2   Bio-Techne Corporation   154 
 96   Bruker Corporation   7,054 
 6   Dentsply Sirona, Inc.   214 
 2   Exact Sciences Corporation(a)   148 
 66   Globus Medical, Inc., Class A(a)   3,517 
 1   Haemonetics Corporation(a)   86 
 38   Insulet Corporation(a)   8,245 
 2   Integra LifeSciences Holdings Corporation(a)   87 
 1   iRhythm Technologies, Inc.(a)   107 
 2   Masimo Corporation(a)   234 
 1   Nevro Corporation(a)   22 
 14   Repligen Corporation(a),(b)   2,517 
 81   Revvity, Inc.   8,854 
 3   Shockwave Medical, Inc.(a)   572 
 25   Teleflex, Inc.   6,233 
 29   Waters Corporation(a)   9,548 
         61,437 
     METALS & MINING - 0.6%     
 4   Alcoa Corporation   136 
 389   Cleveland-Cliffs, Inc.(a)   7,943 
 4   Royal Gold, Inc.   484 
         8,563 

 

See accompanying notes to financial statements.

14

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     OIL & GAS PRODUCERS - 4.2%     
 167   Antero Resources Corporation(a)  $3,788 
 223   APA Corporation   8,001 
 25   Coterra Energy, Inc.   638 
 2   Diamondback Energy, Inc.   310 
 34   EQT Corporation   1,315 
 270   HF Sinclair Corporation   15,004 
 7   Magnolia Oil & Gas Corporation, Class A   149 
 482   Marathon Oil Corporation   11,645 
 84   Matador Resources Company   4,776 
 36   Murphy Oil Corporation   1,536 
 9   Murphy USA, Inc.   3,209 
 18   ONEOK, Inc.(b)   1,264 
 62   Ovintiv, Inc.   2,723 
 1   PBF Energy, Inc., Class A   44 
 135   Range Resources Corporation   4,109 
 2   SM Energy Company   77 
 1,005   Southwestern Energy Company(a)   6,583 
 6   Targa Resources Corporation(b)   521 
         65,692 
     OIL & GAS SERVICES & EQUIPMENT - 0.1%     
 7   Halliburton Company   253 
 50   NOV, Inc.   1,014 
         1,267 
     PUBLISHING & BROADCASTING - 1.5%     
 101   New York Times Company (The), Class A   4,948 
 729   News Corporation, Class A   17,897 
         22,845 
     REAL ESTATE SERVICES - 0.7%     
 57   Jones Lang LaSalle, Inc.(a)   10,766 
           
     RENEWABLE ENERGY - 0.2%     
 2   Enphase Energy, Inc.(a)   264 
 12   First Solar, Inc.(a)   2,068 
         2,332 

 

See accompanying notes to financial statements.

15

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     RETAIL - CONSUMER STAPLES - 1.0%     
 95   BJ’s Wholesale Club Holdings, Inc.(a)  $6,333 
 36   Casey’s General Stores, Inc.   9,890 
 1   Ollie’s Bargain Outlet Holdings, Inc.(a)   76 
         16,299 
     RETAIL - DISCRETIONARY - 3.7%     
 154   Best Buy Company, Inc.   12,055 
 86   Builders FirstSource, Inc.(a)   14,357 
 40   Burlington Stores, Inc.(a)   7,779 
 58   Dick’s Sporting Goods, Inc.   8,523 
 42   Floor & Decor Holdings, Inc., Class A(a),(b)   4,686 
 2   Genuine Parts Company   277 
 1   Tractor Supply Company   215 
 1   Ulta Beauty, Inc.(a)   490 
 46   Williams-Sonoma, Inc.   9,282 
         57,664 
     SEMICONDUCTORS - 3.5%     
 1   Azenta, Inc.(a)   65 
 80   Entegris, Inc.(b)   9,586 
 88   Lattice Semiconductor Corporation(a)   6,071 
 4   MKS Instruments, Inc.   412 
 1   Monolithic Power Systems, Inc.   631 
 5   ON Semiconductor Corporation(a)   418 
 22   Onto Innovation, Inc.(a)   3,364 
 66   Qorvo, Inc.(a)   7,432 
 48   Rambus, Inc.(a)   3,276 
 91   Skyworks Solutions, Inc.   10,230 
 2   Synaptics, Inc.(a)   228 
 83   Teradyne, Inc.   9,007 
 24   Universal Display Corporation   4,590 
 2   Wolfspeed, Inc.(a),(b)   87 
         55,397 
     SOFTWARE - 6.7%     
 1   ACI Worldwide, Inc.(a)   31 
 72   Akamai Technologies, Inc.(a)   8,521 

 

See accompanying notes to financial statements.

16

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     SOFTWARE - 6.7% (Continued)     
 1   Alteryx, Inc., Class A(a)  $47 
 2   Aspen Technology, Inc.(a)   440 
 52   BILL Holdings, Inc.(a)   4,243 
 54   Ceridian HCM Holding, Inc.(a)   3,625 
 1   Concentrix Corporation   98 
 130   DocuSign, Inc.(a)   7,729 
 118   Dynatrace, Inc.(a)   6,453 
 1   Five9, Inc.(a)   79 
 328   Gen Digital, Inc.   7,485 
 30   Guidewire Software, Inc.(a)   3,271 
 42   Manhattan Associates, Inc.(a)   9,043 
 72   Okta, Inc.(a)   6,518 
 1   Omnicell, Inc.(a)   38 
 34   Paycom Software, Inc.   7,029 
 29   Paylocity Holding Corporation(a)   4,781 
 1   Pegasystems, Inc.   49 
 5   PTC, Inc.(a)   875 
 40   Qualys, Inc.(a)   7,851 
 157   SS&C Technologies Holdings, Inc.   9,594 
 1   Tenable Holdings, Inc.(a)   46 
 2   Teradata Corporation(a)   87 
 113   Twilio, Inc., Class A(a)   8,573 
 189   Unity Software, Inc.(a)   7,728 
 1   Ziff Davis, Inc.(a)   67 
 29   ZoomInfo Technologies, Inc., Class A(a)   536 
         104,837 
     SPECIALTY FINANCE - 2.0%     
 341   Fidelity National Financial, Inc.   17,398 
 2   First American Financial Corporation   129 
 1   MGIC Investment Corporation   19 
 349   Synchrony Financial   13,328 
         30,874 
     STEEL - 1.3%     
 4   Commercial Metals Company   200 

 

See accompanying notes to financial statements.

17

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     STEEL - 1.3% (Continued)     
 38   Reliance Steel & Aluminum Company  $10,628 
 5   Steel Dynamics, Inc.   590 
 183   United States Steel Corporation   8,903 
         20,321 
     TECHNOLOGY HARDWARE - 4.4%     
 102   Ciena Corporation(a)   4,591 
 42   Dolby Laboratories, Inc., Class A   3,620 
 37   F5, Inc.(a)   6,622 
 13   Jabil, Inc.   1,656 
 251   Juniper Networks, Inc.   7,399 
 1   Lumentum Holdings, Inc.(a)   52 
 97   NetApp, Inc.   8,552 
 221   Pure Storage, Inc., Class A(a)   7,881 
 37   Super Micro Computer, Inc.(a)   10,518 
 2   TD SYNNEX Corporation   215 
 170   Western Digital Corporation(a)   8,903 
 33   Zebra Technologies Corporation, Class A(a)   9,020 
         69,029 
     TECHNOLOGY SERVICES - 3.6%     
 34   Booz Allen Hamilton Holding Corporation   4,349 
 13   CACI International, Inc., Class A(a)   4,210 
 5   DXC Technology Company(a),(b)   114 
 26   EPAM Systems, Inc.(a)   7,731 
 1   Euronet Worldwide, Inc.(a)   101 
 36   Jack Henry & Associates, Inc.   5,883 
 80   Leidos Holdings, Inc.   8,659 
 2   MarketAxess Holdings, Inc.   586 
 18   Morningstar, Inc.   5,152 
 46   Science Applications International Corporation   5,719 
 113   TransUnion   7,764 
 15   Western Union Company (The)   179 
 30   WEX, Inc.(a)   5,837 
         56,284 

 

See accompanying notes to financial statements.

18

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 100.0% (Continued)     
     TRANSPORTATION & LOGISTICS - 2.1%     
 14   CH Robinson Worldwide, Inc.  $1,209 
 1   JB Hunt Transport Services, Inc.   200 
 128   Knight-Swift Transportation Holdings, Inc.   7,379 
 3   Landstar System, Inc.   581 
 1   Saia, Inc.(a)   438 
 614   Southwest Airlines Company   17,732 
 67   XPO Logistics, Inc.(a)   5,869 
         33,408 
     TRANSPORTATION EQUIPMENT - 0.0%(c)     
 2   Westinghouse Air Brake Technologies Corporation   254 
           
     WHOLESALE - CONSUMER STAPLES - 1.1%     
 143   Performance Food Group Company(a)   9,889 
 147   US Foods Holding Corporation(a)   6,675 
         16,564 
     WHOLESALE - DISCRETIONARY - 1.2%     
 173   LKQ Corporation   8,267 
 25   Pool Corporation   9,968 
         18,235 
           
     TOTAL COMMON STOCKS (Cost $1,370,314)   1,564,415 
           
     RIGHT — 0.0%(d)     
     MEDICAL EQUIPMENT & DEVICES - 0.0%(d)     
 7   ABIOMED, Inc. - CVR (Cost $7)(a)(e)   7 

 

See accompanying notes to financial statements.

19

 

ACCLIVITY MID CAP MULTI-STYLE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     SHORT-TERM INVESTMENT — 1.8%     
     COLLATERAL FOR SECURITIES LOANED - 1.8%     
 27,907   Mount Vernon Liquid Assets Portfolio, 5.55% (Cost $27,907)(f),(g)  $27,907 
           
     TOTAL INVESTMENTS - 101.8% (Cost $1,398,228)  $1,592,329 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (1.8)%   (27,928)
     NET ASSETS - 100.0%  $1,564,401 

 

(a)Non-income producing security.

 

(b)All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2023 was $26,731.

 

(c)Amount represents less than 0.05%.

 

(d)Amount represents less than 0.05%.

 

(e)Fair value was determined using significant unobservable inputs. See Note 2.

 

(f)Rate disclosed is the seven day effective yield as of December 31, 2023.

 

(g)This security was purchased with cash collateral held from securities on loan. The total value of such securities as of December 31, 2023 is $27,907.

 

See accompanying notes to financial statements.

20

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6%     
     AEROSPACE & DEFENSE - 0.6%     
 5   Barnes Group, Inc.  $163 
 41   Ducommun, Inc.(a)   2,135 
 800   Kaman Corporation   19,160 
 1,106   Kratos Defense & Security Solutions, Inc.(a)   22,441 
 1,055   Mercury Systems, Inc.(a)   38,581 
 514   Moog, Inc., Class A   74,417 
 71   National Presto Industries, Inc.   5,700 
 2   SIFCO Industries, Inc.(a)   9 
         162,606 
     APPAREL & TEXTILE PRODUCTS - 1.2%     
 443   Culp, Inc.(a)   2,565 
 340   Jerash Holdings US, Inc.   1,044 
 477   Lakeland Industries, Inc.   8,844 
 1,005   Movado Group, Inc.   30,301 
 1,243   PVH Corporation   151,795 
 647   Rocky Brands, Inc.   19,526 
 843   Superior Group of Companies, Inc.   11,381 
 149   Tandy Leather Factory, Inc.(a)   639 
 11,339   Under Armour, Inc., Class A(a)   99,670 
 387   Unifi, Inc.(a)   2,577 
 22   Weyco Group, Inc.   690 
         329,032 
     ASSET MANAGEMENT - 1.2%     
 15   Associated Capital Group, Inc., Class A   536 
 12,266   Blue Owl Capital Corporation   181,046 
 3   First Western Financial, Inc.(a)   59 
 39   Hennessy Advisors, Inc.   262 
 1,654   ODP Corporation (The)(a)   93,120 
 1,107   Oppenheimer Holdings, Inc., Class A   45,741 
         320,764 
     AUTOMOTIVE - 1.7%     
 3,076   American Axle & Manufacturing Holdings, Inc.(a)   27,099 
 1,444   China Automotive Systems, Inc.(a)   4,664 
 2,769   Dana, Inc.   40,455 

 

See accompanying notes to financial statements.

21

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     AUTOMOTIVE - 1.7% (Continued)     
 13,206   Goodyear Tire & Rubber Company (The)(a)  $189,110 
 3,138   Harley-Davidson, Inc.   115,604 
 594   Kandi Technologies Group, Inc.(a)   1,663 
 716   Methode Electronics, Inc.   16,275 
 712   Miller Industries, Inc.   30,110 
 1,247   Motorcar Parts of America, Inc.(a)   11,647 
 876   Standard Motor Products, Inc.   34,874 
         471,501 
     BANKING - 12.4%     
 17   ACNB Corporation   761 
 134   Amalgamated Financial Corporation   3,610 
 127   American National Bankshares, Inc.   6,191 
 1,160   Ameris Bancorp   61,538 
 1,455   Atlantic Union Bankshares Corporation   53,166 
 3,341   Banc of California, Inc.   44,870 
 501   Bank of Marin Bancorp   11,032 
 2,073   Bank OZK(b)   103,298 
 845   BankFinancial Corporation   8,670 
 377   BankUnited, Inc.   12,226 
 1,017   Banner Corporation   54,471 
 398   Bar Harbor Bankshares   11,685 
 512   BayCom Corporation   12,078 
 1,035   Berkshire Hills Bancorp, Inc.   25,699 
 605   Business First Bancshares, Inc.   14,913 
 882   Byline Bancorp, Inc.   20,780 
 2,169   Cadence Bank   64,181 
 197   Camden National Corporation   7,413 
 223   Capital City Bank Group, Inc.   6,563 
 403   Capstar Financial Holdings, Inc.   7,552 
 1,014   Carter Bankshares, Inc.(a)   15,180 
 1,162   Cathay General Bancorp   51,790 
 49   CB Financial Services, Inc.   1,167 
 965   Central Pacific Financial Corporation   18,991 
 258   Central Valley Community Bancorp   5,766 

 

See accompanying notes to financial statements.

22

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     BANKING - 12.4% (Continued)     
 81   Citizens & Northern Corporation  $1,817 
 514   Citizens Community Bancorp, Inc.   6,019 
 656   Civista Bancshares, Inc.   12,097 
 649   CNB Financial Corporation   14,661 
 378   Colony Bankcorp, Inc.   5,027 
 208   Community Trust Bancorp, Inc.(b)   9,123 
 564   Customers Bancorp, Inc.(a)   32,498 
 2,214   CVB Financial Corporation   44,701 
 567   Dime Community Bancshares, Inc.   15,269 
 166   Eagle Bancorp Montana, Inc.   2,621 
 3,551   Eastern Bankshares, Inc.   50,424 
 769   Enterprise Financial Services Corporation   34,336 
 250   Equity Bancshares, Inc., Class A   8,475 
 85   ESSA Bancorp, Inc.   1,702 
 1,168   First Bancshares, Inc. (The)   34,257 
 1,371   First Busey Corporation   34,028 
 1   First Commonwealth Financial Corporation   15 
 265   First Community Bankshares, Inc.   9,831 
 2,448   First Financial Bancorp   58,140 
 563   First Financial Corporation   24,226 
 301   First Financial Northwest, Inc.   4,057 
 5,535   First Horizon Corporation   78,376 
 39   First Internet Bancorp   943 
 2,307   First Interstate BancSystem, Inc., Class A   70,940 
 1,225   First Merchants Corporation   45,423 
 325   First Mid Bancshares, Inc.   11,265 
 371   First Northwest Bancorp   5,914 
 632   First of Long Island Corporation (The)   8,368 
 103   Flushing Financial Corporation   1,697 
 4,019   FNB Corporation   55,342 
 196   FS Bancorp, Inc.   7,244 
 3,459   Fulton Financial Corporation   56,935 
 121   Great Southern Bancorp, Inc.   7,181 
 1,983   Hancock Whitney Corporation   96,354 

 

See accompanying notes to financial statements.

23

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     BANKING - 12.4% (Continued)     
 1,078   Hanmi Financial Corporation  $20,913 
 1,214   Heartland Financial USA, Inc.   45,659 
 2,595   Heritage Commerce Corporation   25,742 
 1,426   Heritage Financial Corporation   30,502 
 1,586   Hilltop Holdings, Inc.   55,843 
 290   Home Bancorp, Inc.   12,183 
 739   HomeTrust Bancshares, Inc.   19,894 
 2,375   Hope Bancorp, Inc.   28,690 
 1,208   Horizon Bancorp, Inc.   17,286 
 1,394   Independent Bank Corporation (Massachusetts)   91,739 
 739   Independent Bank Corporation (Michigan)   19,229 
 591   Investar Holding Corporation   8,812 
 1,391   Lakeland Bancorp, Inc.   20,573 
 381   LCNB Corporation   6,008 
 672   Macatawa Bank Corporation   7,580 
 570   Mercantile Bank Corporation   23,017 
 183   Metropolitan Bank Holding Corporation(a),(b)   10,135 
 828   Midland States Bancorp, Inc.   22,820 
 904   MidWestOne Financial Group, Inc.   24,327 
 1,339   Northfield Bancorp, Inc.   16,845 
 224   Northrim BanCorp, Inc.   12,815 
 4,385   Northwest Bancshares, Inc.   54,725 
 1,487   OceanFirst Financial Corporation   25,814 
 45   Ohio Valley Banc Corporation   1,035 
 6,499   Old National Bancorp   109,768 
 6   Old Point Financial Corporation   106 
 700   OP Bancorp   7,665 
 470   Orrstown Financial Services, Inc.   13,865 
 2,468   Pacific Premier Bancorp, Inc.   71,843 
 388   Parke Bancorp, Inc.   7,857 
 12   Pathfinder Bancorp, Inc.   166 
 506   Peapack-Gladstone Financial Corporation   15,089 
 1,441   Peoples Bancorp, Inc.(b)   48,648 
 1,736   Premier Financial Corporation   41,838 

 

See accompanying notes to financial statements.

24

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     BANKING - 12.4% (Continued)     
 537   Primis Financial Corporation  $6,798 
 281   Princeton Bancorp, Inc.   10,088 
 2,060   Prosperity Bancshares, Inc.   139,524 
 212   Provident Financial Holdings, Inc.   2,673 
 2,301   Provident Financial Services, Inc.   41,487 
 705   RBB Bancorp   13,423 
 1,529   Renasant Corporation   51,497 
 583   Republic Bancorp, Inc., Class A   32,158 
 3,100   Republic First Bancorp, Inc.(a)   93 
 972   Riverview Bancorp, Inc.   6,221 
 1,205   S&T Bancorp, Inc.   40,271 
 394   SB Financial Group, Inc.   6,005 
 207   Seacoast Banking Corporation of Florida   5,891 
 590   Sierra Bancorp   13,305 
 303   SmartFinancial, Inc.   7,420 
 85   South Plains Financial, Inc.   2,462 
 61   SouthState Corporation   5,151 
 139   Stellar Bancorp, Inc.   3,870 
 1,375   Sterling Bancorp, Inc.(a)   7,934 
 411   Summit Financial Group, Inc.   12,614 
 1,818   Synovus Financial Corporation   68,448 
 54   Territorial Bancorp, Inc.   602 
 679   Texas Capital Bancshares, Inc.(a)   43,884 
 1,870   Towne Bank   55,651 
 783   TrustCompany Bank Corporation   24,312 
 1,233   Trustmark Corporation   34,376 
 172   United Bancshares, Inc.   3,311 
 2,658   United Bankshares, Inc.   99,808 
 420   United Security Bancshares   3,532 
 5,465   Valley National Bancorp   59,350 
 1,145   Washington Federal, Inc.   37,739 
 1,873   WesBanco, Inc.   58,756 
 924   Western New England Bancorp, Inc.   8,316 
 523   Wintrust Financial Corporation   48,508 

 

See accompanying notes to financial statements.

25

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     BANKING - 12.4% (Continued)     
 2,462   Zions Bancorp  $108,008 
         3,455,414 
     BIOTECHNOLOGY & PHARMACEUTICALS - 1.6%     
 808   Amneal Pharmaceuticals, Inc.(a)   4,904 
 944   Cumberland Pharmaceuticals, Inc.(a)   1,643 
 13,685   Elanco Animal Health, Inc.(a)   203,906 
 2,069   Innoviva, Inc.(a)   33,187 
 346   Ligand Pharmaceuticals, Inc.(a)   24,711 
 1,450   Pacira BioSciences, Inc.(a)   48,923 
 1,062   Prestige Consumer Healthcare, Inc.(a)   65,016 
 1,822   Supernus Pharmaceuticals, Inc.(a)   52,729 
         435,019 
     CABLE & SATELLITE - 0.1%     
 5,770   DISH Network Corporation, Class A(a),(b)   33,293 
 966   WideOpenWest, Inc.(a)   3,912 
         37,205 
     CHEMICALS - 1.4%     
 396   AdvanSix, Inc.   11,864 
 734   American Vanguard Corporation   8,052 
 713   Ashland, Inc.   60,113 
 1,217   Avient Corporation   50,591 
 2,143   Ecovyst, Inc.(a)   20,937 
 352   Haynes International, Inc.   20,082 
 195   HB Fuller Company   15,875 
 2,768   Huntsman Corporation   69,560 
 414   LSB Industries, Inc.(a)   3,854 
 42   Materion Corporation   5,466 
 884   Minerals Technologies, Inc.   63,038 
 375   Stepan Company   35,456 
 760   Valhi, Inc.   11,544 
         376,432 
     COMMERCIAL SUPPORT SERVICES - 3.1%     
 1,428   ABM Industries, Inc.   64,017 
 12,270   ADT, Inc.   83,681 

 

See accompanying notes to financial statements.

26

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     COMMERCIAL SUPPORT SERVICES - 3.1% (Continued)     
 2,208   ARC Document Solutions, Inc.  $7,242 
 698   ASGN, Inc.(a)   67,127 
 252   BGSF, Inc.   2,369 
 7,511   BrightView Holdings, Inc.(a)   63,243 
 4,954   CoreCivic, Inc.(a)   71,982 
 864   Cross Country Healthcare, Inc.(a)   19,561 
 1,303   Deluxe Corporation   27,949 
 531   Ennis, Inc.   11,634 
 9,359   GEO Group, Inc. (The)(a)   101,358 
 897   Heidrick & Struggles International, Inc.   26,488 
 1,030   Information Services Group, Inc.   4,851 
 1,773   Kelly Services, Inc., Class A   38,332 
 1,102   Korn Ferry   65,404 
 684   ManpowerGroup, Inc.   54,358 
 1,061   Resources Connection, Inc.   15,034 
 251   Schnitzer Steel Industries, Inc., Class A   7,570 
 1,060   Stericycle, Inc.(a)   52,534 
 983   TrueBlue, Inc.(a)   15,079 
 359   UniFirst Corporation   65,665 
 83   V2X, Inc.(a)   3,855 
         869,333 
     CONSTRUCTION MATERIALS - 0.4%     
 5,716   MDU Resources Group, Inc.   113,177 
           
     CONSUMER SERVICES - 1.2%     
 390   Adtalem Global Education, Inc.(a)   22,991 
 1,934   American Public Education, Inc.(a)   18,663 
 1,697   Chegg, Inc.(a)   19,278 
 131   Graham Holdings Company, Class B   91,244 
 199   Grand Canyon Education, Inc.(a)   26,276 
 321   Lincoln Educational Services Corporation(a)   3,223 
 713   Matthews International Corporation, Class A   26,131 
 3,400   Perdoceo Education Corporation   59,704 

 

See accompanying notes to financial statements.

27

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     CONSUMER SERVICES - 1.2% (Continued)     
 616   Strategic Education, Inc.  $56,900 
         324,410 
     CONTAINERS & PACKAGING - 0.8%     
 173   Greif, Inc., Class A   11,347 
 5,705   O-I Glass, Inc.(a)   93,448 
 6,272   Pactiv Evergreen, Inc.   85,989 
 1,029   TriMas Corporation   26,065 
         216,849 
     E-COMMERCE DISCRETIONARY - 0.1%     
 1,593   Lands’ End, Inc.(a)   15,229 
           
     ELECTRICAL EQUIPMENT - 1.1%     
 47   Argan, Inc.   2,199 
 376   Bel Fuse, Inc., Class B   25,105 
 990   Belden, Inc.   76,477 
 939   Kimball Electronics, Inc.(a)   25,306 
 343   Littelfuse, Inc.   91,773 
 1,133   LSI Industries, Inc.   15,953 
 415   OSI Systems, Inc.(a)   53,556 
 195   Preformed Line Products Company   26,103 
         316,472 
     ENGINEERING & CONSTRUCTION - 1.2%     
 711   Arcosa, Inc.   58,757 
 1,075   Granite Construction, Inc.   54,674 
 1,344   MasTec, Inc.(a)   101,768 
 1,648   Mistras Group, Inc.(a)   12,063 
 2,158   Primoris Services Corporation   71,667 
 342   Tutor Perini Corporation(a)   3,112 
 473   VSE Corporation   30,561 
         332,602 
     ENTERTAINMENT CONTENT - 0.1%     
 1,285   AMC Networks, Inc., Class A(a)   24,145 

 

See accompanying notes to financial statements.

28

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     FOOD - 1.2%     
 256   Alico, Inc.  $7,445 
 2,066   B&G Foods, Inc.   21,693 
 711   Hain Celestial Group, Inc. (The)(a)   7,785 
 1,588   Ingredion, Inc.   172,346 
 56   J M Smucker Company (The)   7,077 
 12   Natural Health Trends Corporation   70 
 322   Nature’s Sunshine Products, Inc.(a)   5,567 
 3   Seaboard Corporation   10,710 
 640   Seneca Foods Corporation, Class A(a)   33,562 
 906   Simply Good Foods Company (The)(a)   35,878 
 893   TreeHouse Foods, Inc.(a)   37,015 
         339,148 
     FORESTRY, PAPER & WOOD PRODUCTS - 0.8%     
 863   Boise Cascade Company   111,638 
 540   Mercer International, Inc.   5,119 
 856   UFP Industries, Inc.   107,471 
         224,228 
     HEALTH CARE FACILITIES & SERVICES - 1.5%     
 126   Addus HomeCare Corporation(a)   11,699 
 398   Amedisys, Inc.(a)   37,834 
 2,825   Brookdale Senior Living, Inc.(a)   16,442 
 14   Encompass Health Corporation(b)   934 
 863   National HealthCare Corporation   79,758 
 4,533   OPKO Health, Inc.(a)   6,845 
 1,536   Owens & Minor, Inc.(a)   29,599 
 903   Patterson Companies, Inc.   25,690 
 4,302   Pediatrix Medical Group, Inc.(a)   40,009 
 712   Premier, Inc., Class A   15,920 
 2,723   Select Medical Holdings Corporation   63,991 
 3,088   Teladoc Health, Inc.(a)   66,546 
 308   US Physical Therapy, Inc.   28,687 
         423,954 
     HOME & OFFICE PRODUCTS - 1.2%     
 6,166   ACCO Brands Corporation   37,489 

 

See accompanying notes to financial statements.

29

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     HOME & OFFICE PRODUCTS - 1.2% (Continued)     
 434   HNI Corporation  $18,154 
 328   Hooker Furnishings Corporation   8,554 
 200   Kewaunee Scientific Corporation(a)   5,814 
 2,696   Leggett & Platt, Inc.   70,554 
 1,783   Lifetime Brands, Inc.   11,964 
 2,429   MillerKnoll, Inc.   64,806 
 5,054   Newell Brands, Inc.   43,869 
 5,309   Steelcase, Inc., Class A   71,778 
 789   Virco Manufacturing Corporation(a)   9,492 
         342,474 
     HOME CONSTRUCTION - 6.9%     
 503   American Woodmark Corporation(a)   46,703 
 3,076   Beazer Homes USA, Inc.(a)   103,938 
 1,104   Century Communities, Inc.   100,619 
 2,411   Forestar Group, Inc.(a)   79,732 
 1,493   Green Brick Partners, Inc.(a)   77,546 
 771   Griffon Corporation   46,992 
 2,179   Interface, Inc.   27,499 
 2,255   JELD-WEN Holding, Inc.(a)   42,574 
 2,967   KB Home   185,319 
 631   LGI Homes, Inc.(a)   84,024 
 1,034   M/I Homes, Inc.(a)   142,423 
 1,801   MDC Holdings, Inc.   99,505 
 1,325   Meritage Homes Corporation   230,815 
 1,542   Mohawk Industries, Inc.(a)   159,597 
 623   Patrick Industries, Inc.   62,518 
 3,633   Taylor Morrison Home Corporation(a)   193,821 
 1,410   Toll Brothers, Inc.   144,934 
 2,744   Tri Pointe Homes, Inc.(a)   97,138 
         1,925,697 
     HOUSEHOLD PRODUCTS - 0.9%     
 1,185   Central Garden & Pet Company, Class A(a)   52,187 
 1,037   Clearwater Paper Corporation(a)   37,456 
 313   Crown Crafts, Inc. ARS   1,553 

 

See accompanying notes to financial statements.

30

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     HOUSEHOLD PRODUCTS - 0.9% (Continued)     
 1,460   Edgewell Personal Care Company  $53,480 
 159   Nu Skin Enterprises, Inc., Class A   3,088 
 1,636   Quanex Building Products Corporation   50,013 
 685   Spectrum Brands Holdings, Inc.   54,642 
         252,419 
     INDUSTRIAL INTERMEDIATE PRODUCTS - 1.4%     
 1,488   Ampco-Pittsburgh Corporation(a)   4,062 
 485   AZZ, Inc.   28,174 
 347   Core Molding Technologies, Inc.(a)   6,430 
 189   Eastern Company (The)   4,158 
 330   Enpro, Inc.   51,724 
 564   Gibraltar Industries, Inc.(a)   44,545 
 466   Insteel Industries, Inc.   17,843 
 345   L B Foster Company, Class A(a)   7,587 
 1,973   Mueller Industries, Inc.   93,027 
 788   Park-Ohio Holdings Corporation   21,244 
 450   Strattec Security Corporation(a)   11,300 
 1,342   Timken Company (The)   107,561 
 603   Tredegar Corporation   3,262 
         400,917 
     INDUSTRIAL SUPPORT SERVICES - 0.5%     
 638   DXP Enterprises, Inc.(a)   21,501 
 5,938   Resideo Technologies, Inc.(a)   111,753 
 524   Titan Machinery, Inc.(a)   15,133 
         148,387 
     INSURANCE - 4.3%     
 312   Ambac Financial Group, Inc.(a)   5,142 
 338   American Coastal Insurance Corporation(a)   3,197 
 1,797   Brighthouse Financial, Inc.(a)   95,097 
 5,810   Citizens, Inc.(a)   15,629 
 1,996   Donegal Group, Inc., Class A   27,924 
 2,193   eHealth, Inc.(a)   19,123 
 1,030   Employers Holdings, Inc.   40,582 
 37,604   Genworth Financial, Inc., Class A(a)   251,195 

 

See accompanying notes to financial statements.

31

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     INSURANCE - 4.3% (Continued)     
 1,026   Global Indemnity Group, LLC  $33,078 
 49   Kemper Corporation   2,385 
 551   Kingstone Companies, Inc.(a)   1,174 
 4,833   Lincoln National Corporation   130,346 
 276   National Western Life Group, Inc., Class A   133,313 
 2,654   NMI Holdings, Inc., Class A(a)   78,771 
 5,370   ProAssurance Corporation   74,052 
 8,180   Radian Group, Inc.   233,539 
 2,585   Security National Financial Corporation, Class A(a)   23,265 
 337   Tiptree, Inc.   6,389 
 246   Unico American Corporation(a)   1 
 1,489   United Fire Group, Inc.   29,959 
 51   Universal Insurance Holdings, Inc.   815 
         1,204,976 
     INTERNET MEDIA & SERVICES - 0.8%     
 172   Cars.com, Inc.(a)   3,263 
 744   DHI Group, Inc.(a)   1,927 
 13,555   GoodRx Holdings, Inc.(a)   90,818 
 2,458   IAC, Inc.(a)   128,750 
 1,449   TrueCar, Inc.(a)   5,014 
         229,772 
     LEISURE FACILITIES & SERVICES - 1.1%     
 10   Ark Restaurants Corporation   142 
 1,662   Bally’s Corporation(a)   23,168 
 128   Biglari Holdings, Inc.(a)   21,111 
 793   Cannae Holdings, Inc.(a)   15,472 
 3,422   Carrols Restaurant Group, Inc.   26,965 
 154   Chuy’s Holdings, Inc.(a)   5,887 
 1,994   El Pollo Loco Holdings, Inc.(a)   17,587 
 834   Good Times Restaurants, Inc.(a)   2,118 
 2,641   Marcus Corporation (The)   38,506 
 955   Marriott Vacations Worldwide Corporation   81,070 
 2,743   Penn Entertainment, Inc.(a)   71,373 
         303,399 

 

See accompanying notes to financial statements.

32

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     LEISURE PRODUCTS - 1.7%     
 481   Escalade, Inc.  $9,663 
 124   LCI Industries   15,588 
 409   MasterCraft Boat Holdings, Inc.(a)   9,260 
 693   Smith & Wesson Brands, Inc.   9,397 
 1,213   Thor Industries, Inc.   143,437 
 12,284   Topgolf Callaway Brands Corporation(a)   176,153 
 1,973   Vista Outdoor, Inc.(a)   58,342 
 824   Winnebago Industries, Inc.(b)   60,053 
         481,893 
     MACHINERY - 2.6%     
 55   Alamo Group, Inc.   11,560 
 73   Astec Industries, Inc.   2,716 
 1,165   Columbus McKinnon Corporation   45,458 
 1,377   Enovis Corporation(a)   77,140 
 676   Gencor Industries, Inc.(a)   10,911 
 1,732   Hillenbrand, Inc.   82,876 
 225   Hurco Companies, Inc.   4,844 
 2,693   Kennametal, Inc.   69,452 
 495   LS Starrett Company (The), Class A(a)   5,990 
 2,227   Manitowoc Company, Inc. (The)(a)   37,169 
 878   Middleby Corporation (The)(a)   129,215 
 941   NN, Inc.(a)   3,764 
 1,945   Oshkosh Corporation   210,857 
 2,057   Titan International, Inc.(a)   30,608 
         722,560 
     MEDICAL EQUIPMENT & DEVICES - 1.9%     
 1,236   AngioDynamics, Inc.(a)   9,690 
 148   Artivion, Inc.(a)   2,646 
 1,461   Avanos Medical, Inc.(a)   32,770 
 2,947   Dentsply Sirona, Inc.   104,884 
 2,545   Envista Holdings Corporation(a)   61,233 
 811   FONAR Corporation(a)   15,863 
 1,650   Harvard Bioscience, Inc.(a)   8,828 
 256   ICU Medical, Inc.(a)   25,533 

 

See accompanying notes to financial statements.

33

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     MEDICAL EQUIPMENT & DEVICES - 1.9% (Continued)     
 37   Inogen, Inc.(a)  $203 
 510   Integer Holdings Corporation(a)   50,531 
 1,044   Integra LifeSciences Holdings Corporation(a)   45,466 
 4,326   OraSure Technologies, Inc.(a)   35,473 
 1,431   QuidelOrtho Corporation(a)   105,465 
 60   Utah Medical Products, Inc.   5,053 
 1,722   Varex Imaging Corporation(a)   35,301 
         538,939 
     METALS & MINING - 2.6%     
 2,211   Alcoa Corporation   75,174 
 168   Alpha Metallurgical Resources, Inc.   56,939 
 6,371   Coeur Mining, Inc.(a)   20,769 
 520   Encore Wire Corporation   111,072 
 9,015   Hecla Mining Company   43,362 
 2,507   Livent Corporation(a)   45,076 
 7,427   Peabody Energy Corporation   180,625 
 2,172   Ramaco Resources, Inc.   37,315 
 5,099   SunCoke Energy, Inc.   54,763 
 1,729   Warrior Met Coal, Inc.   105,417 
         730,512 
     OIL & GAS PRODUCERS - 6.4%     
 3,775   Amplify Energy Corporation(a)   22,386 
 7,401   Berry Corporation   52,029 
 4,992   Callon Petroleum Company(a)   161,741 
 3,370   Civitas Resources, Inc.   230,441 
 5,182   CNX Resources Corporation(a),(b)   103,640 
 550   Comstock Resources, Inc.   4,867 
 324   Delek US Holdings, Inc.   8,359 
 6,877   Murphy Oil Corporation   293,373 
 6,814   PBF Energy, Inc., Class A   299,543 
 1,106   Permian Resources Corporation   15,042 
 5,604   Ring Energy, Inc.(a)   8,182 
 2,674   SilverBow Resources, Inc.(a)   77,760 
 2,734   SM Energy Company   105,860 

 

See accompanying notes to financial statements.

34

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     OIL & GAS PRODUCERS - 6.4% (Continued)     
 36,855   Southwestern Energy Company(a)  $241,400 
 67   Talos Energy, Inc.(a)   953 
 9,273   VAALCO Energy, Inc.   41,636 
 2,344   Vital Energy, Inc.(a)   106,629 
 1,003   World Kinect Corporation   22,848 
         1,796,689 
     OIL & GAS SERVICES & EQUIPMENT - 1.5%     
 490   Archrock, Inc.   7,546 
 1,078   Dril-Quip, Inc.(a)   25,085 
 805   Geospace Technologies Corporation(a)   10,433 
 7,528   Helix Energy Solutions Group, Inc.(a),(b)   77,388 
 1,213   Helmerich & Payne, Inc.   43,935 
 2,280   MRC Global, Inc.(a)   25,103 
 126   Natural Gas Services Group, Inc.(a)   2,026 
 2,237   NOW, Inc.(a)   25,323 
 6,430   Patterson-UTI Energy, Inc.   69,444 
 8,404   ProPetro Holding Corporation(a)   70,425 
 1,989   Ranger Energy Services, Inc.   20,347 
 2,440   Select Water Solutions, Inc., Class A   18,520 
 772   Solaris Oilfield Infrastructure, Inc., Class A   6,145 
 2,049   US Silica Holdings, Inc.(a)   23,174 
         424,894 
     PUBLISHING & BROADCASTING - 1.0%     
 1,938   Beasley Broadcast Group, Inc., Class A(a)   1,702 
 393   Cumulus Media, Inc., Class A(a)   2,091 
 1,054   Entravision Communications Corporation, Class A   4,395 
 6,350   EW Scripps Company (The), Class A(a)   50,736 
 30   Gannett Company, Inc.(a)   69 
 7,079   Gray Television, Inc.   63,428 
 342   Saga Communications, Inc., Class A   7,613 
 5,011   Sinclair, Inc.   65,293 
 5,925   TEGNA, Inc.   90,653 
 127   Townsquare Media, Inc., Class A   1,341 
         287,321 

 

See accompanying notes to financial statements.

35

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     REAL ESTATE OWNERS & DEVELOPERS - 0.1%     
 3,755   Five Point Holdings, LLC(a)  $11,528 
 6   FRP Holdings, Inc.(a)   377 
 296   Howard Hughes Holdings, Inc.(a)   25,323 
         37,228 
     REAL ESTATE SERVICES - 0.4%     
 7,784   Anywhere Real Estate, Inc.(a)   63,128 
 5,020   Newmark Group, Inc., Class A   55,019 
 154   RE/MAX Holdings, Inc., Class A   2,053 
         120,200 
     RENEWABLE ENERGY - 0.0%(c)     
 41   EnerSys   4,140 
 743   Ultralife Corporation(a)   5,067 
         9,207 
     RETAIL - CONSUMER STAPLES - 0.9%     
 1,043   Ingles Markets, Inc., Class A   90,084 
 623   PriceSmart, Inc.   47,211 
 1,114   SpartanNash Company   25,566 
 1,480   Village Super Market, Inc., Class A   38,821 
 772   Weis Markets, Inc.   49,377 
         251,059 
     RETAIL - DISCRETIONARY - 6.9%     
 2,099   Aaron’s Company, Inc. (The)   22,837 
 1,338   Abercrombie & Fitch Company, Class A(a)   118,038 
 764   Advance Auto Parts, Inc.   46,627 
 6,604   American Eagle Outfitters, Inc.(b)   139,741 
 297   America’s Car-Mart, Inc.(a)   22,504 
 617   Asbury Automotive Group, Inc.(a)   138,806 
 346   Bassett Furniture Industries, Inc.   5,744 
 1,331   Beacon Roofing Supply, Inc.(a)   115,824 
 124   Big 5 Sporting Goods Corporation(b)   786 
 387   BlueLinx Holdings, Inc.(a)   43,851 
 1,758   Caleres, Inc.(b)   54,023 
 110   Citi Trends, Inc.(a)   3,111 
 1,621   Conn’s, Inc.(a)   7,197 

 

See accompanying notes to financial statements.

36

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     RETAIL - DISCRETIONARY - 6.9% (Continued)     
 3,998   Designer Brands, Inc., Class A(b)  $35,382 
 715   Ethan Allen Interiors, Inc.   22,823 
 1,082   Foot Locker, Inc.(b)   33,704 
 7,333   Gap, Inc. (The)   153,333 
 402   Genesco, Inc.(a)   14,154 
 758   GMS, Inc.(a)   62,482 
 553   Group 1 Automotive, Inc.   168,521 
 79   Guess?, Inc.(b)   1,822 
 625   Haverty Furniture Companies, Inc.   22,188 
 348   Hibbett, Inc.   25,063 
 8,126   Kohl’s Corporation(b)   233,054 
 1,231   La-Z-Boy, Inc.   45,449 
 640   MarineMax, Inc.(a)   24,896 
 580   Monro, Inc.   17,017 
 1,089   PetIQ, Inc.(a),(b)   21,508 
 2,660   Rush Enterprises, Inc., Class A   133,798 
 1,482   Shoe Carnival, Inc.   44,771 
 626   Tilly’s, Inc., Class A(a)   4,720 
 2,970   Urban Outfitters, Inc.(a)   105,999 
 2,098   Vera Bradley, Inc.(a)   16,155 
 677   Zumiez, Inc.(a)   13,770 
         1,919,698 
     SEMICONDUCTORS - 3.2%     
 3,287   Amkor Technology, Inc.   109,359 
 199   CEVA, Inc.(a)   4,519 
 789   Cirrus Logic, Inc.(a)   65,637 
 1,990   Coherent Corporation(a)   86,625 
 1,131   Cohu, Inc.(a)   40,026 
 568   CTS Corporation   24,844 
 459   Data I/O Corporation(a)   1,349 
 789   Diodes, Inc.(a)   63,530 
 863   FormFactor, Inc.(a)   35,996 
 626   IPG Photonics Corporation(a)   67,946 
 512   Kulicke & Soffa Industries, Inc.   28,017 

 

See accompanying notes to financial statements.

37

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     SEMICONDUCTORS - 3.2% (Continued)     
 1,238   MKS Instruments, Inc.  $127,353 
 1,712   Photronics, Inc.(a)   53,705 
 260   Richardson Electronics Ltd.   3,471 
 173   Synaptics, Inc.(a)   19,736 
 147   Trio-Tech International(a)   745 
 383   Ultra Clean Holdings, Inc.(a)   13,076 
 635   Veeco Instruments, Inc.(a)   19,704 
 4,824   Vishay Intertechnology, Inc.   115,631 
         881,269 
     SOFTWARE - 1.6%     
 3,785   ACI Worldwide, Inc.(a)   115,821 
 576   Adeia, Inc.   7,137 
 287   Asure Software, Inc.(a)   2,732 
 1,282   Cerence, Inc.(a)   25,204 
 374   Computer Programs and Systems, Inc.(a)   4,189 
 1,002   Concentrix Corporation   98,406 
 622   Digi International, Inc.(a)   16,172 
 866   Ebix, Inc.   901 
 717   Envestnet, Inc.(a)   35,506 
 1,053   OneSpan, Inc.(a)   11,288 
 5,184   SolarWinds Corporation(a)   64,748 
 1,189   Verint Systems, Inc.(a)   32,139 
 484   Ziff Davis, Inc.(a)   32,520 
         446,763 
     SPECIALTY FINANCE - 4.8%     
 3,814   Air Lease Corporation   159,959 
 1,378   Encore Capital Group, Inc.(a)   69,934 
 664   Enova International, Inc.(a)   36,759 
 2,457   EZCORP, Inc., Class A(a)   21,474 
 1,604   First American Financial Corporation   103,362 
 543   GATX Corporation   65,279 
 1   Investors Title Company   162 
 5,800   LendingClub Corporation(a)   50,692 
 12,907   MGIC Investment Corporation   248,976 

 

See accompanying notes to financial statements.

38

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     SPECIALTY FINANCE - 4.8% (Continued)     
 3,482   Mr. Cooper Group, Inc.(a)  $226,748 
 2,029   Navient Corporation   37,780 
 111   Nelnet, Inc., Class A   9,792 
 1,762   PennyMac Financial Services, Inc.   155,708 
 1,387   PRA Group, Inc.(a)   36,339 
 660   Regional Management Corporation   16,553 
 1,305   Stewart Information Services Corporation   76,669 
 627   Willis Lease Finance Corporation(a)   30,648 
         1,346,834 
     STEEL - 2.4%     
 3,525   Commercial Metals Company   176,391 
 519   Friedman Industries, Inc.   8,024 
 297   Northwest Pipe Company(a)   8,987 
 715   Olympic Steel, Inc.   47,691 
 1,277   Ryerson Holding Corporation   44,286 
 1,508   TimkenSteel Corporation(a)   35,363 
 5,222   United States Steel Corporation   254,050 
 1,271   Worthington Enterprises, Inc.   73,146 
 449   Worthington Steel, Inc.(a)   12,617 
         660,555 
     TECHNOLOGY HARDWARE - 4.6%     
 1,841   Arrow Electronics, Inc.(a)   225,062 
 204   AstroNova, Inc.(a)   3,317 
 214   Aviat Networks, Inc.(a)   6,989 
 3,626   Avnet, Inc.   182,750 
 469   Aware, Inc.(a)   779 
 1,497   Benchmark Electronics, Inc.   41,377 
 2,094   Ciena Corporation(a)   94,251 
 522   Comtech Telecommunications Corporation   4,401 
 10,362   GoPro, Inc., Class A(a)   35,956 
 739   Harmonic, Inc.(a)   9,637 
 392   Key Tronic Corporation(a)   1,693 
 2,599   Knowles Corporation(a)   46,548 
 68   Lumentum Holdings, Inc.(a),(b)   3,565 

 

See accompanying notes to financial statements.

39

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     TECHNOLOGY HARDWARE - 4.6% (Continued)     
 1,348   NCR Atleos Corporation(a)  $32,743 
 6,023   NCR Voyix Corporation(a)   101,849 
 1,690   NETGEAR, Inc.(a)   24,640 
 2,099   NetScout Systems, Inc.(a)   46,073 
 470   Plexus Corporation(a)   50,821 
 8,952   Ribbon Communications, Inc.(a)   25,961 
 1,700   Sanmina Corporation(a)   87,329 
 3,162   TTM Technologies, Inc.(a)   49,991 
 5,355   Viavi Solutions, Inc.(a)   53,925 
 284   Vishay Precision Group, Inc.(a)   9,676 
 1,032   VOXX International Corporation(a)   11,022 
 7,580   Xerox Holdings Corporation   138,941 
         1,289,296 
     TECHNOLOGY SERVICES - 1.5%     
 11,618   Conduent, Inc.(a)   42,406 
 11   CSG Systems International, Inc.   585 
 9,106   Dun & Bradstreet Holdings, Inc.   106,540 
 6,712   DXC Technology Company(a),(b)   153,503 
 7   ICF International, Inc.   939 
 489   Insight Enterprises, Inc.(a)   86,646 
 132   MAXIMUS, Inc.   11,070 
 108   NetSol Technologies, Inc.(a)   232 
 1,467   Repay Holdings Corporation(a)   12,528 
 2,146   StarTek, Inc.(a)   9,464 
         423,913 
     TELECOMMUNICATIONS - 1.0%     
 488   ATN International, Inc.   19,017 
 3,749   Consolidated Communications Holdings, Inc.(a)   16,308 
 4,241   EchoStar Corporation, Class A(a),(b)   70,273 
 827   KVH Industries, Inc.(a)   4,350 
 1,197   Shenandoah Telecommunications Company   25,879 
 305   Spok Holdings, Inc.   4,722 
 8,048   Telephone and Data Systems, Inc.   147,681 
         288,230 

 

See accompanying notes to financial statements.

40

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     TOBACCO & CANNABIS - 0.0%(c)     
 126   Universal Corporation  $8,482 
           
     TRANSPORTATION & LOGISTICS - 3.9%     
 4,517   Air Transport Services Group, Inc.(a)   79,544 
 2,343   Alaska Air Group, Inc.(a)   91,541 
 266   ArcBest Corporation   31,976 
 2,138   Bristow Group, Inc.(a)   60,441 
 717   Covenant Logistics Group, Inc.   33,011 
 1,407   Heartland Express, Inc.   20,064 
 609   Hub Group, Inc., Class A(a)   55,991 
 4,733   JetBlue Airways Corporation(a)   26,268 
 1,242   Kirby Corporation(a)   97,472 
 1,273   Marten Transport Ltd.   26,708 
 858   Matson, Inc.   94,037 
 6,385   Overseas Shipholding Group, Inc., Class A(a)   33,649 
 854   Radiant Logistics, Inc.(a)   5,671 
 1,630   Ryder System, Inc.   187,548 
 2,927   Schneider National, Inc., Class B   74,492 
 1,877   SkyWest, Inc.(a)   97,979 
 45   Spirit Airlines, Inc.   738 
 1,171   Universal Logistics Holdings, Inc.   32,811 
 1,143   Werner Enterprises, Inc.   48,429 
         1,098,370 
     TRANSPORTATION EQUIPMENT - 0.7%     
 1,453   Commercial Vehicle Group, Inc.(a)   10,185 
 1,611   Greenbrier Companies, Inc. (The)   71,174 
 1,980   REV Group, Inc.   35,977 
 1,032   Trinity Industries, Inc.   27,441 
 1,515   Wabash National Corporation   38,814 
         183,591 
     WHOLESALE - CONSUMER STAPLES - 0.5%     
 864   Andersons, Inc. (The)   49,715 
 1,449   Grocery Outlet Holding Corporation(a)   39,065 

 

See accompanying notes to financial statements.

41

 

ACCLIVITY SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2023

 

Shares      Value 
     COMMON STOCKS — 99.6% (Continued)     
     WHOLESALE - CONSUMER STAPLES - 0.5% (Continued)     
 3,710   United Natural Foods, Inc.(a)  $60,213 
         148,993 
     WHOLESALE - DISCRETIONARY - 0.6%     
 148   Acme United Corporation   6,343 
 866   ePlus, Inc.(a)   69,142 
 1,129   G-III Apparel Group Ltd.(a)   38,363 
 452   PC Connection, Inc.   30,379 
 808   ScanSource, Inc.(a)   32,005 
         176,232 
           
     TOTAL COMMON STOCKS (Cost $23,600,154)   27,868,289 
           
     RIGHTS — 0.0%(c)     
     FORESTRY, PAPER & WOOD PRODUCTS - 0.0%(c)     
 3,718   Resolute Forest Products, Inc. – CVR(d)   5,280 
           
     RENEWABLE ENERGY - 0.0%(c)     
 2   Pineapple Energy, Inc.(d)   4 
           
     TOTAL RIGHT (Cost $5,280)   5,284 
           
     SHORT-TERM INVESTMENTS — 4.6%     
     COLLATERAL FOR SECURITIES LOANED - 3.1%     
 870,224   Mount Vernon Liquid Assets Portfolio, 5.55%(e),(f)   870,224 
           
     MONEY MARKET FUND - 1.5%     
 406,275   First American Treasury Obligations Fund, Class X, 5.28%(e)   406,275 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $1,276,499)   1,276,499 
           
     TOTAL INVESTMENTS - 104.2% (Cost $24,881,933)  $29,150,072 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (4.2)%   (1,179,402)
     NET ASSETS - 100.0%  $27,970,670 

 

(a) Non-income producing security.
   
(b) All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2023 was $833,328.
   
(c) Amount represents less than 0.05%.
   
(d) Fair value was determined using significant unobservable inputs. See Note 2.
   
(e) Rate disclosed is the seven day effective yield as of December 31, 2023.
   
(f) This security was purchased with cash collateral held from securities on loan. The total value of such securities as of December 31, 2023 is $870,224.

 

See accompanying notes to financial statements.

42

 

Acclivity Funds
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2023

 

   Acclivity Mid Cap   Acclivity Small Cap 
   Multi-Style Fund   Value Fund 
ASSETS          
Investment securities:          
At cost  $1,398,228   $24,881,933 
At value  $1,592,329   $29,150,072 
Receivable for investments sold       91,774 
Receivable for Fund shares sold       63,240 
Receivable for securities lending income   14    266 
Dividends and interest receivable   1,252    27,502 
Receivable due from Adviser   29,264    27,514 
Prepaid expenses and other assets   5,950    20,171 
TOTAL ASSETS   1,628,809    29,380,539 
           
LIABILITIES          
Due to Custodian   5,200     
Collateral on securities loaned (see note 4)   27,907    870,224 
Payable for investments purchased       500,972 
Audit fees payable   15,004    15,048 
Distribution (12b-1) fees payable       1 
Payable to related parties   8,852    13,292 
Accrued expenses and other liabilities   7,445    10,332 
TOTAL LIABILITIES   64,408    1,409,869 
NET ASSETS  $1,564,401   $27,970,670 
           
Net Assets Consist Of:          
Paid in capital  $1,405,786   $23,644,292 
Accumulated earnings   158,615    4,326,378 
NET ASSETS  $1,564,401   $27,970,670 
           
Net Asset Value Per Share:          
Class I Shares:          
Net Assets  $1,564,387   $27,964,861 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   115,752    1,501,304 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share  $13.51   $18.63 
           
Class N Shares:          
Net Assets  $14   $5,809 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   1    308 
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share  $13.52 (a)  $18.87 

 

(a)Net asset value may not recalculate due to the rounding of net assets and/or shares outstanding.

 

See accompanying notes to financial statements.

43

 

Acclivity Funds
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2023

 

   Acclivity Mid Cap   Acclivity Small Cap 
   Multi-Style Fund   Value Fund 
INVESTMENT INCOME          
Dividends (Foreign Taxes Withheld - $2 and $0, respectively)  $11,777   $349,680 
Interest   990    9,955 
Securites Lending - Net of fees   27    1,075 
TOTAL INVESTMENT INCOME   12,794    360,710 
           
EXPENSES          
Investment advisory fees   2,706    73,879 
Distribution (12b-1) fees:          
Class N       26 
Administration fees   28,346    46,885 
Transfer agent fees   28,333    31,475 
Legal fees   26,408    27,897 
Trustees’ fees   24,932    26,856 
Audit fees   15,476    17,333 
Registration fees   2,237    23,076 
Shareholder reporting expense   3,703    17,362 
Compliance officer fees   5,959    6,728 
Third party administrative servicing fees       10,348 
Fund accounting fees   224    7,243 
Custody fees   4,598    1,901 
Insurance expense   1,315    1,830 
Other expenses   4,418    5,225 
TOTAL EXPENSES   148,655    298,064 
           
Less: Fees waived/reimbursed by the Adviser   (145,240)   (206,945)
           
NET EXPENSES   3,415    91,119 
NET INVESTMENT INCOME   9,379    269,591 
           
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS          
Net realized gain/(loss) from investments   (31,895)   222,890 
Net change in unrealized appreciation on investments   173,463    3,852,107 
           
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS   141,568    4,074,997 
           
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS  $150,947   $4,344,588 

 

See accompanying notes to financial statements.

44

 

Acclivity Mid Cap Multi-Style Fund
STATEMENTS OF CHANGES IN NET ASSETS

 

   For the Year Ended   For the Year Ended 
   December 31,   December 31, 
   2023   2022 
FROM OPERATIONS          
Net investment income  $9,379   $5,476 
Net realized loss from investments   (31,895)   (4,834)
Net change in unrealized appreciation/(depreciation) of investments   173,463    (32,413)
Net increase/(decrease) in net assets resulting from operations   150,947    (31,771)
           
DISTRIBUTIONS TO SHAREHOLDERS          
Class I   (8,541)   (14,317)
Class N^   (0)   (0)
Net decrease in net assets from distributions to shareholders   (8,541)   (14,317)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class I   950,000    199,500 
Net asset value of shares issued in reinvestment of distributions          
Class I   8,541    14,317 
Class N^   0    0 
Net increase in net assets from shares of beneficial interest   958,541    213,817 
           
TOTAL INCREASE IN NET ASSETS   1,100,947    167,729 
           
NET ASSETS          
Beginning of Year   463,454    295,725 
End of Year  $1,564,401   $463,454 
           
SHARE ACTIVITY - CLASS I          
Shares sold   75,423    16,354 
Shares reinvested   675    1,208 
Net increase in shares of beneficial interest outstanding   76,098    17,562 
           
SHARE ACTIVITY - CLASS N          
Shares reinvested#   0    0 
Net increase in shares of beneficial interest outstanding#   0    0 

 

^Amount represents less than $0.50.

 

#Amount represents less than 0.50 shares.

 

See accompanying notes to financial statements.

45

 

Acclivity Small Cap Value Fund
STATEMENTS OF CHANGES IN NET ASSETS

 

   For the Year Ended   For the Year Ended 
   December 31,   December 31, 
   2023   2022 
FROM OPERATIONS          
Net investment income  $269,591   $167,383 
Net realized gain/(loss) from investments   222,890    (102,705)
Net change in unrealized appreciation/(depreciation) of investments   3,852,107    (300,398)
Net increase/(decrease) in net assets resulting from operations   4,344,588    (235,720)
           
DISTRIBUTIONS TO SHAREHOLDERS          
Class I   (264,315)   (634,775)
Class N   (31)   (437)
Net decrease in net assets from distributions to shareholders   (264,346)   (635,212)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold          
Class I   13,062,929    10,353,500 
Class N   5,200    10,100 
Net asset value of shares issued in reinvestment of distributions          
Class I   215,943    510,446 
Class N   31    437 
Payments for shares redeemed          
Class I   (4,828,768)   (5,204,963)
Class N   (11,999)    
Net increase in net assets from shares of beneficial interest   8,443,336    5,669,520 
           
TOTAL INCREASE IN NET ASSETS   12,523,578    4,798,588 
           
NET ASSETS          
Beginning of Year   15,447,092    10,648,504 
End of Year  $27,970,670   $15,447,092 
           
SHARE ACTIVITY - CLASS I          
Shares sold   786,115    658,476 
Shares reinvested   12,763    32,637 
Shares redeemed   (302,358)   (321,772)
Net increase in shares of beneficial interest outstanding   496,520    369,341 
           
SHARE ACTIVITY - CLASS N          
Shares sold   318    662 
Shares reinvested   2    27 
Shares redeemed   (702)    
Net increase/(decrease) in shares of beneficial interest outstanding   (382)   689 

 

See accompanying notes to financial statements.

46

 

Acclivity Mid Cap Multi-Style Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class I 
   Year Ended   Year Ended   Year Ended   Period* Ended 
   December 31,   December 31,   December 31,   December 31, 
   2023   2022   2021   2020 
Net asset value, beginning of year/period  $11.69   $13.39   $11.04   $10.00 
Activity from investment operations:                    
Net investment income (1)   0.15    0.17    0.13    0.10 
Net realized and unrealized gain/(loss) on investments   1.75    (1.49)   2.40    0.94 
Total from investment operations   1.90    (1.32)   2.53    1.04 
Less distributions from:                    
Net investment income   (0.08)   (0.15)   (0.18)    
Net realized gains       (0.23)   (0.00) (8)    
Total distributions   (0.08)   (0.38)   (0.18)    
Net asset value, end of year/period  $13.51   $11.69   $13.39   $11.04 
Total return (2)   16.32% (9)   (9.95)%   22.93%   10.40% (3)
Net assets, at end of year/period (000s)  $1,564   $463   $296   $142 
Ratio of gross expenses to average net assets (4)(5)   19.15%   35.65%   53.69%   97.49% (6)
Ratio of net expenses to average net assets (5)   0.44%   0.44%   0.44%   0.47% (6)
Ratio of net investment income to average net assets (5)(7)   1.21%   1.38%   1.05%   1.07% (6)
Portfolio turnover rate   53%   27%   40%   47% (3)

 

 
*The inception date of the Acclivity Mid Cap Multi-Style Fund was December 31, 2019 and the Fund commenced operations on January 2, 2020.

 

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

 

(2)Had the Adviser not waived a portion of the Fund’s expenses, total returns would have been lower.

 

(3)Not annualized.

 

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

 

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

 

(6)Annualized.

 

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

 

(8)Amount represents less than $0.005 per share.

 

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

 

See accompanying notes to financial statements.

47

 

Acclivity Mid Cap Multi-Style Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class N 
   Year Ended   Year Ended   Year Ended   Period* Ended 
   December 31,   December 31,   December 31,   December 31, 
   2023   2022   2021   2020 
Net asset value, beginning of year/period  $11.69   $13.39   $11.04   $10.00 
Activity from investment operations:                    
Net investment income (1)   0.15    0.17    0.13    0.10 
Net realized and unrealized gain/(loss) on investments   1.76    (1.49)   2.40    0.94 
Total from investment operations   1.91    (1.32)   2.53    1.04 
Less distributions from:                    
Net investment income   (0.08)   (0.15)   (0.18)    
Net realized gains       (0.23)   (0.00) (9)    
Total distributions   (0.08)   (0.38)   (0.18)    
Net asset value, end of year/period  $13.52   $11.69   $13.39   $11.04 
Total return (2)   16.41%   (9.95)%   22.93%   10.40% (3)
Net assets, at end of year/period (4)  $14   $12   $14   $11 
Ratio of gross expenses to average net assets (5)(6)   19.40%   35.90%   53.94%   97.74% (7)
Ratio of net expenses to average net assets (6)   0.69%   0.69%   0.69%   0.72% (7)
Ratio of net investment income to average net assets (6)(8)   0.96%   1.13%   0.80%   0.82% (7)
Portfolio turnover rate   53%   27%   40%   47% (3)

 

 
*The inception date of the Acclivity Mid Cap Multi-Style Fund was December 31, 2019 and the Fund commenced operations on January 2, 2020.

 

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

 

(2)Had the Adviser not waived a portion of the Fund’s expenses, total returns would have been lower.

 

(3)Not annualized.

 

(4)Represents actual net assets.

 

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

 

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

 

(7)Annualized.

 

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

 

(9)Amount represents less than $0.005 per share.

 

See accompanying notes to financial statements.

48

 

Acclivity Small Cap Value Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class I 
   Year Ended   Year Ended   Year Ended   Year Ended   Period* Ended 
   December 31,   December 31,   December 31,   December 31,   December 31, 
   2023   2022   2021   2020   2019 
Net asset value, beginning of year/period  $15.36   $16.76   $12.39   $11.76   $10.00 
Activity from investment operations:                         
Net investment income (1)   0.23    0.22    0.25    0.21    0.15 
Net realized and unrealized gain/(loss) on investments   3.23    (0.94)   4.53    0.67    1.69 
Total from investment operations   3.46    (0.72)   4.78    0.88    1.84 
Less distributions from:                         
Net investment income   (0.19)   (0.17)   (0.20)   (0.01)   (0.08)
Net realized gains       (0.51)   (0.21)   (0.24)    
Total distributions   (0.19)   (0.68)   (0.41)   (0.25)   (0.08)
Net asset value, end of year/period  $18.63   $15.36   $16.76   $12.39   $11.76 
Total return (2)   22.62%   (4.38)%   38.60%   7.51%   18.44% (6)
Net assets, at end of year/period (000s)  $27,965   $15,436   $10,648   $2,825   $2,827 
Ratio of gross expenses to average net assets (3)(4)   1.57%   1.99%   3.63%   5.62%   14.59% (5)
Ratio of net expenses to average net assets (4)   0.48%   0.48%   0.48%   0.54%   0.67% (5)
Ratio of net investment income to average net assets (4)(7)   1.42%   1.38%   1.53%   2.12%   1.34% (5)
Portfolio turnover rate   56%   59%   60%   65%   166% (6)

 

 
*The inception date of the Acclivity Small Cap Value Fund was December 31, 2018 and the Fund commenced operations on January 2, 2019.

 

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

 

(2)Had the Adviser not waived a portion of the Fund’s expenses, total returns would have been lower.

 

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

 

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

 

(5)Annualized.

 

(6)Not annualized.

 

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

 

See accompanying notes to financial statements.

49

 

Acclivity Small Cap Value Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class N 
   Year Ended   Year Ended   Year Ended   Year Ended   Period* Ended 
   December 31,   December 31,   December 31,   December 31,   December 31, 
   2023   2022   2021   2020   2019 
Net asset value, beginning of year/period  $15.52   $16.91   $12.37   $11.75   $10.00 
Activity from investment operations:                         
Net investment income (1)   0.17    0.20    0.16    0.26    0.16 
Net realized and unrealized gain/(loss) on investments   3.28    (0.92)   4.59    0.61    1.67 
Total from investment operations   3.45    (0.72)   4.75    0.87    1.83 
Less distributions from:                         
Net investment income   (0.10)   (0.16)       (0.01)   (0.08)
Net realized gains       (0.51)   (0.21)   (0.24)    
Total distributions   (0.10)   (0.67)   (0.21)   (0.25)   (0.08)
Net asset value, end of year/period  $18.87   $15.52   $16.91   $12.37   $11.75 
Total return (2)   22.31% (9)   (4.35)%   38.40%   7.43%   18.34% (6)
Net assets, at end of year/period (000s)  $6   $11   $18 (7)  $10   $12 (7)
Ratio of gross expenses to average net assets (3)(4)   1.85%   1.54%   3.88%   5.87%   81.62% (5)
Ratio of net expenses to average net assets (4)   0.73%   0.73%   0.73%   0.79%   0.92% (5)
Ratio of net investment income to average net assets (4)(8)   1.07%   1.25%   1.28%   1.87%   1.44% (5)
Portfolio turnover rate   56%   59%   60%   65%   166% (6)

 

 
*The inception date of the Acclivity Small Cap Value Fund was December 31, 2018 and the Fund commenced operations on January 2, 2019.

 

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

 

(2)Had the Adviser not waived a portion of the Fund’s expenses, total returns would have been lower.

 

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

 

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

 

(5)Annualized.

 

(6)Not annualized.

 

(7)Represents actual net assets.

 

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

 

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

 

See accompanying notes to financial statements.

50

 

Acclivity Funds

NOTES TO FINANCIAL STATEMENTS

December 31, 2023

 

1.ORGANIZATION

 

The Acclivity Mid Cap Multi-Style Fund (the “Mid Cap Fund”) and Acclivity Small Cap Value Fund (the “Small Cap Fund”) (each a “Fund,” collectively the “Funds”) are each a diversified series of shares of beneficial interest of Northern Lights Fund Trust II (the “Trust”), a statutory trust organized under the laws of the State of Delaware on August 26, 2010, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies. The inception date of the Mid Cap Fund was December 31, 2019, and the Mid Cap Fund commenced operations on January 2, 2020. The inception date of the Small Cap Fund was December 31, 2018, and the Small Cap Fund commenced operations on January 2, 2019. The Funds seek long term capital appreciation.

 

The Funds currently offer Class I shares and Class N shares. Class I and Class N shares are offered at net asset value without an initial sales charge. Class N shares are subject to a 0.25% Rule 12b-1 distribution and shareholder servicing fee. Each class represents an interest in the same assets of a Fund and classes are identical except for differences in ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its shareholder service and/or distribution plans.

 

2.SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements. The policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of 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 period. Actual results could differ from those estimates. The Funds are each an investment company and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”.

 

Security Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.

 

The Fund 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 are valued using the “fair value” procedures approved by the Board. The Board has designated the adviser as its valuation designee (the “Valuation Designee”) to execute these procedures. The Board may also enlist third party consultants such as

51

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist the Valuation Designee in determining a security-specific fair value. The Board is responsible for reviewing and approving fair value methodologies utilized by the Valuation Designee, approval of which shall be based upon whether the Valuation Designee followed the valuation procedures established by the Board.

 

Fair Valuation Process – The applicable investments are valued by the Valuation Designee pursuant to valuation procedures established by the Board. 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 Valuation Designee, the prices or values available do not represent the fair value of the instrument; factors which may cause the Valuation Designee 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; and (iv) securities with respect to which an event that affects the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to a Fund’s calculation of its net asset value. 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 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 a current bid from such independent dealers or other independent parties is unavailable, the Valuation Designee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the 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 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.

 

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

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that each Fund has 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 

52

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

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 a Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

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

 

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

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of December 31, 2023 for each Fund’s assets measured at fair value:

 

Mid Cap Fund
Assets *  Level 1   Level 2   Level 3   Total 
Common Stocks  $1,564,415   $   $   $1,564,415 
Right           7    7 
Short-Term Investment   27,907            27,907 
Total   $1,592,322   $   $7   $1,592,329 
                     
Small Cap Fund
Assets *  Level 1   Level 2   Level 3   Total 
Common Stocks  $27,868,289   $   $   $27,868,289 
Rights           5,284    5,284 
Short-Term Investments   1,276,499            1,276,499 
Total   $29,144,788   $   $5,284   $29,150,072 

 

*See each Fund’s Schedule of Investments for classification.

53

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

The following table is a reconciliation of assets in which Level 3 inputs were used in determining value for the Mid Cap Fund:

 

  ABIOMED, Inc.
Beginning Balance $7
Total realized gain/(loss)
Unrealized Appreciation/(Depreciation)
Cost of Purchases
Proceeds from Sales
Proceeds from Principal
Accrued Interest
Net transfers in/out of level 3
Ending Balance $7

 

The following table is a reconciliation of assets in which Level 3 inputs were used in determining value for the Small Cap Fund:

 

  Pineapple Energy, Resolute Forest  
  Inc. Products, Inc. - CVR Zagg CVR*
Beginning Balance $6 $0 $0
Total realized gain/(loss) Unrealized      
Appreciation/(Depreciation) $(2)
Cost of Purchases $5,280
Proceeds from Sales
Proceeds from Principal
Accrued Interest
Net transfers in/out of level 3
Ending Balance $4 $5,280 $0

 

*As of December 31, 2023, the Small Cap Fund’s shares of Zagg CVR expired.

 

Security Transactions and Related Income – Security transactions are accounted for on 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. 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. 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.

 

Dividends and Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid annually. Distributable net realized capital gains, if any, are declared and distributed 

54

 

Acclivity Funds

NOTES TO FINANCIAL STATEMENTS (Continued)

December 31, 2023

 

annually in December. 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) 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 ex-dividend date.

 

Federal Income Taxes – Each Fund intends to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of their taxable income to their 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 each 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 December 31, 2020-December 31, 2022 year end, or expected to be taken in the Funds’ December 31, 2023 tax returns. Each Fund has identified its major tax jurisdictions as U.S. Federal, Ohio, and foreign jurisdictions where the Funds make significant investments. 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.

 

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.

 

Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against a Fund 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.

 

3.INVESTMENT TRANSACTIONS

 

For the year ended December 31, 2023, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments, amounted to:

 

   Purchases   Sales 
Mid Cap  $1,372,831   $413,633 
Small Cap   19,169,206    10,726,353 

55

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

4.SECURITIES LENDING

 

The Funds have entered into a securities lending arrangement with U.S. Bank National Association (the “Borrower”). Under the terms of the agreement, the Funds were authorized to loan securities to the Borrower. In exchange, the Funds received cash collateral in the amount of at least 102% of the value of the securities loaned. Securities lending income is disclosed in the Funds’ Statements of Operations. Although risk was mitigated by the collateral, the Funds could have experienced a delay in recovering their securities and possible loss of income or value if the Borrower failed to return such securities on loan.

 

Gain or loss in the fair value of securities loaned that may occur during the term of the loan will be recognized by the Funds. The Funds have 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, the Funds are indemnified for such losses by the security lending agreement. Should the borrower of the securities fail financially, the Funds have the right to repurchase the securities using the collateral in the open market.

 

The following table represents financial instruments that are subject to enforceable netting arrangements as of December 31, 2023:

                      
            Gross Amounts not Offset in the
Statements of Assets and Liabilities
     
Gross Amount of
Recognized
Assets
   Gross Amounts
offset in the
Statements of
Assets and
Liabilities
   Net Amounts of
Assets Presented
in the Statements
of Assets and
Liabilities
   Financial
Instruments
   Cash Collateral
Pledged
   Net Amount 
$27,907   $   $27,907   $27,907   $   $27,907 
$870,224   $   $870,224   $870,224   $   $870,224 

 

The following table breaks out the holdings pledged as collateral as of December 31, 2023:

 

Secured Borrowings

 

Securities Lending Transactions

 

Overnight and Continuous

 

Mid Cap    
Mount Vernon Liquid Assets Portfolio  $27,907 
   $27,907 
Small Cap     
Mount Vernon Liquid Assets Portfolio  $870,224 
   $870,224 

56

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

5.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Innealta Capital, LLC (the “Adviser”) serves as investment adviser to the Funds. Pursuant to an Advisory Agreement with the Funds, the Adviser, under the oversight of the Board, directs the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. The Funds pay the Adviser a management fee at an annual rate of 0.35% and 0.39% of the Mid Cap Fund’s and Small Cap Fund’s average daily net assets, respectively. For the year ended December 31, 2023, the Adviser earned $2,706 and $73,879 from the Mid Cap Fund and Small Cap Fund, respectively.

 

Pursuant to a written contract (the “Waiver Agreement”), the Adviser has agreed, at least until April 30, 2025, to waive a portion of its advisory fee and has agreed to reimburse each Fund for other expenses to the extent necessary so that the total expenses incurred by each Fund (excluding any front-end or contingent deferred sales 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) do not exceed 0.44% and 0.69% for Class I and Class N shares of the Mid Cap Fund, respectively, and 0.48% and 0.73% for Class I and Class N shares of the Small Cap Fund, respectively.

 

If the Adviser waives any fee or reimburses any expenses pursuant to the Waiver Agreement for a Fund, and a Fund’s operating expenses are subsequently lower than its respective expense limitation, the Adviser shall be entitled to reimbursement by a Fund provided that such reimbursement does not cause a Fund’s operating expenses to exceed its expense limitation. If a Fund’s operating expenses subsequently exceed its expense limitation, the reimbursements for a Fund shall be suspended. The Adviser may seek reimbursement only for expenses waived or paid by it during the rolling three years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement). The Board may terminate this expense reimbursement arrangement at any time. For the year ended December 31, 2023, the Adviser waived advisory fees and reimbursed the Mid Cap Fund and Small Cap Fund for expenses in the amounts of $145,240 and $206,945, respectively.

 

The following amounts are subject to recapture by the Funds by the following date:

 

   12/31/2024   12/31/2025   12/31/2026 
Mid Cap  $142,515   $139,862   $145,240 
Small Cap  $161,991   $182,812   $206,945 

 

As of December 31, 2023, $107,373 and 117,329 in waived fees expired unrecouped for the Mid Cap Fund and Small Cap Fund, respectively.

 

Distributor - The distributor for the Funds is Northern Lights Distributors, LLC (the “Distributor”). The Board has adopted the Trust’s Master Distribution and Shareholder Servicing Plans for Class N shares (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act to pay for ongoing distribution-related activities or shareholder services. Under the Plan, the Funds are permitted to pay a fee at an annual 

57

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

rate of 0.25% of the average daily net assets of Class N shares. For the year ended December 31, 2023, pursuant to the Class N Plan, the Mid Cap Fund and Small Cap Fund incurred $0 and $26 in 12b-1 fees, respectively.

 

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of each Fund’s shares. For the year ended December 31, 2023, the Funds did not pay the Distributor any underwriting fees.

 

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

 

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

 

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

 

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

 

6.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

The identified cost of investments in securities owned by each Fund for federal income tax purposes, and its respective gross unrealized appreciation and depreciation at December 31, 2023, were as follows:

 

   Tax   Gross Unrealized   Gross Unrealized   Net Unrealized 
   Cost   Appreciation   Depreciation   Appreciation 
Mid Cap Fund  $1,398,159   $200,356   $(6,186)  $194,170 
Small Cap Fund   24,889,712    4,881,876    (621,516)   4,260,360 

58

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

6.SHAREHOLDERS & TAX COMPONENTS OF CAPITAL

 

The tax character of fund distributions paid for the period ended December 31, 2023 and December 31, 2022 was as follows:

 

For fiscal year ended  Ordinary   Long-Term     
12/31/2023  Income   Capital Gains   Total 
Mid Cap Fund  $8,541   $   $8,541 
Small Cap Fund   251,554    12,792    264,346 
                
For fiscal year ended  Ordinary   Long-Term     
12/31/2022  Income   Capital Gains   Total 
Mid Cap Fund  $5,654   $8,663   $14,317 
Small Cap Fund   157,254    477,958    635,212 

 

As of December 31, 2023, 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) 
Mid Cap Fund  $471   $   $(2,721)   $(33,305)   $   $194,170   $158,615 
Small Cap Fund       66,018                4,260,360    4,326,378 

 

The difference between book basis and tax basis undistributed net investment income/(loss), accumulated net realized gain/(loss), and unrealized appreciation/(depreciation) from investments is primarily attributable to the tax deferral of losses on wash sales and C-Corporation return of capital distributions.

 

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 
   Losses 
Mid Cap Fund  $2,721 
Small Cap Fund    

59

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

At December 31, 2023, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

   Non-Expiring         
   Short-Term   Long-Term   Total   CLCF Utilized 
Mid Cap Fund  $22,223  $11,082   $33,305   $ 
Small Cap Fund                

 

Permanent book and tax differences, primarily attributable to the book/tax basis treatment adjustments for prior year tax returns, resulted in reclassifications for the Funds for the fiscal year ended December 31, 2023, as follows:

 

   Paid In   Accumulated 
   Capital   Earnings (Losses) 
Mid Cap Fund  $(64)  $64 
Small Cap Fund   7,042    (7,042)

 

7.CONTROL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a Fund creates presumption of control of the Fund, under Section 2(a)(9) of the 1940 Act. As of December 31, 2023, beneficial ownership in excess of 25% for the Funds is as follows:

 

    % of
    Outstanding
  Beneficial Owner Shares
Mid Cap Fund Innealta Capital, LLC 69%
  Riomaggiore Investments, LLC 31%
Small Cap Fund National Financial Services, LLC 50%
  Charles Schwab & Co. 27%

 

The Trust has no knowledge as to whether all or any portion of the shares owned of record are also owned beneficially. 

60

 

Acclivity Funds 

NOTES TO FINANCIAL STATEMENTS (Continued) 

December 31, 2023

 

8.RECENT REGULATORY UPDATES

 

On January 24, 2023, the SEC adopted rule and form amendments to require mutual funds and ETFs to transmit concise and visually engaging streamlined annual and semiannual reports to shareholders that highlight key information. Other information, including financial statements, will not appear in a streamlined shareholder report but must be available online, delivered free of charge upon request, and filed on a semiannual basis on Form N-CSR. The rule and form amendments have a compliance date of July 24, 2024. At this time, management is evaluating the impact of these amendments on the shareholder reports for the Funds.

 

9.SUBSEQUENT EVENTS

 

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

61

 

(LOGO)

 

 

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

To the Shareholders of Acclivity Small Cap Value Fund and Acclivity Mid Cap Multi-Style Fund and
Board of Trustees of Northern Lights Fund Trust II

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Acclivity Small Cap Value Fund and Acclivity Mid Cap Multi-Style Fund (the “Funds”), each a series of Northern Lights Fund Trust II, as of December 31, 2023, the related statements of operations and changes in net assets for the year then ended, and the related notes and the financial highlights for the year then ended (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 December 31, 2023, the results of their operations, the changes in net assets, and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.

 

The Funds’ financial statements and financial highlights for the years or periods ended December 31, 2022, and prior, were audited by other auditors whose report dated March 1, 2023, expressed an unqualified opinion on those financial statements and financial highlights.

 

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 December 31, 2023, by correspondence with the custodians 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.

 

We have served as the Funds’ auditor since 2023.

 

(SIGNATURE)

 

COHEN & COMPANY, LTD. 

Philadelphia, Pennsylvania 

February 26, 2024

 

COHEN & COMPANY, LTD. 

800.229.1099 | 866.818.4538 fa x | cohencpa.com 

Registered with the Public Company Accounting Oversight Board 

62

 

Acclivity Funds

EXPENSE EXAMPLES (Unaudited)

December 31, 2023

 

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

 

The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2023 through December 31, 2023.

 

Actual Expenses

 

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

 

Hypothetical Example for Comparison Purposes

 

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

 

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

 

   Beginning   Ending   Expenses Paid   Annualized 
   Account Value   Account Value   During Period *   Expense Ratio 
Actual  7/1/23   12/31/23   7/1/23-12/31/23   During Period 
Acclivity Mid Cap Multi-Style Fund                    
 Class I $1,000.00   $1,088.70   $2.32    0.44%
Class N  1,000.00    1,088.70    3.63    0.69%
Acclivity Small Cap Value Fund                    
 Class I $1,000.00   $1,147.80   $2.60    0.48%
 Class N  1,000.00    1,146.20    3.95    0.73%
Hypothetical (5% return before Expenses)                    
Acclivity Mid Cap Multi-Style Fund                    
 Class I $1,000.00   $1,022.99   $2.24    0.44%
 Class N  1,000.00    1,021.73    3.52    0.69%
Acclivity Small Cap Value Fund                    
 Class I $1,000.00   $1,022.79   $2.45    0.48%
 Class N  1,000.00    1,021.53    3.72    0.73%

 

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

63

 

Acclivity Funds

SUPPLEMENTAL INFORMATION (Unaudited) 

December 31, 2023

 

FACTORS CONSIDERED BY THE TRUSTEES IN THE APPROVAL OF THE RENEWAL OF THE INVESTMENT ADVISORY AGREEMENT

 

At a Regular meeting (the “Meeting”) of the Board of Trustees (the “Board”) of Northern Lights Fund Trust II (the “Trust”) held on October 25, 2023, the Board, including the disinterested Trustees (the “Independent Trustees”), considered the renewal of the Investment Advisory Agreement between the Trust, on behalf of the Acclivity Mid Cap Multi-Style Fund (“Acclivity Mid-Cap”) and the Acclivity Small Cap Value Fund (“Acclivity Small Cap Value”, and collectively with Acclivity Mid-Cap, the “Acclivity Funds”) and Innealta Capital, LLC (“Innealta”) (the “Innealta Advisory Agreement”).

 

Based on their evaluation of the information provided by Innealta in conjunction with Acclivity Small Cap Value’s and Acclivity’ Mid-Cap’s other service providers, the Board, by a unanimous vote (including a separate vote of the Independent Trustees), approved the renewal of the Innealta Advisory Agreement with respect to Acclivity Small Cap Value and Acclivity Mid-Cap.

 

In advance of the Meeting, the Board requested and received materials to assist them in considering the renewal of the Innealta Advisory Agreement. The materials provided contained information with respect to the factors enumerated below, including the Innealta Advisory Agreement, a memorandum prepared by the Trust’s outside legal counsel discussing in detail the Trustees’ fiduciary obligations and the factors they should assess in considering the continuation of the Innealta Advisory Agreement and comparative information relating to the advisory fee and other expenses of Acclivity Small Cap Value and Acclivity Mid-Cap. The materials also included due diligence materials relating to Innealta (including due diligence questionnaires completed by Innealta, select financial information of Innealta, bibliographic information regarding Innealta’s key management and investment advisory personnel, and comparative fee information relating to Acclivity Small Cap Value and Acclivity Mid-Cap) and other pertinent information. At the Meeting, the Independent Trustees were advised by counsel that is experienced in Investment Company Act of 1940 matters and that is independent of fund management and met with such counsel separately from fund management.

 

The Board reviewed and discussed the written materials that were provided in advance of the Meeting and deliberated on the renewal of the Innealta Advisory Agreement with respect to Acclivity Small Cap Value and Acclivity Mid- Cap. The Board relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Innealta Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Board 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 Innealta Advisory Agreement. In considering the approval of the renewal of the Innealta Advisory Agreement, the Board reviewed and analyzed various factors that they determined were relevant, including the factors enumerated below. 

64

 

Acclivity Funds 

SUPPLEMENTAL INFORMATION (Unaudited)(Continued) 

December 31, 2023

 

Nature, Extent and Quality of Services. The Board reviewed materials provided by Innealta related to the proposed renewal of the Innealta Advisory Agreement, including Innealta’s Form ADV and related schedules, a description of the manner in which investment decisions are made and executed, a review of the personnel performing services for each of Acclivity Small Cap Value and Acclivity Mid-Cap, including the team of individuals that primarily monitor and execute the investment process. The Board discussed Innealta’s research capabilities, the quality of Innealta’s compliance infrastructure and the experience of its management personnel. Additionally, the Board received satisfactory responses from the representative of Innealta with respect to a series of important questions, including: whether Innealta was involved in any lawsuits or pending regulatory actions; whether the management of other accounts would conflict with its management of Acclivity Small Cap Value and Acclivity Mid-Cap; whether there were procedures in place to adequately allocate trades among Innealta’s respective clients; and whether Innealta’s CCO would routinely review the portfolio managers’ performance of their duties to ensure compliance under Innealta’s compliance program. The Board also reviewed the information provided on the practices for monitoring compliance with each of Acclivity Small Cap Value and Acclivity Mid-Cap’s investment limitations. The Board also discussed details of Innealta’s compliance program with the CCO of the Trust. The Board noted that the CCO of the Trust continued to represent that Innealta’s policies and procedures were reasonably designed to prevent violations of applicable federal securities laws. The Board also noted Innealta’s representation that the prospectus and statement of additional information for Acclivity Small Cap Value and Acclivity Mid-Cap accurately describe such Acclivity Fund’s investment strategies. The Board then reviewed the capitalization of Innealta based on financial information provided, and representations made by Innealta and its representatives, and concluded that Innealta was sufficiently well-capitalized, or Innealta’s owners had the ability to make additional contributions, in order to meet its obligations to each of Acclivity Small Cap Value and Acclivity Mid-Cap. The Board concluded that Innealta had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures essential to performing its duties under the Innealta Advisory Agreement and that the nature, overall quality and extent of the management services to be provided by Innealta to each of Acclivity Small Cap Value and Acclivity Mid-Cap were satisfactory.

 

Performance. The Board then discussed the report prepared by Broadridge and reviewed the performance of Acclivity Small Cap Value and Acclivity Mid-Cap as compared to its respective peer group, Morningstar category and benchmark for the one-year, three-year and since inception periods ended September 30, 2023. With respect to Acclivity Small Cap Value, the Board noted that Acclivity Small Cap Value outperformed its peer group median and Morningstar category median, but underperformed its benchmark (the S&P 500 Total Return Index) for the one-year and since inception periods, and outperformed its peer group median, Morningstar category median, and benchmark for the three-year period. With respect to Acclivity Mid-Cap, the Board noted that Acclivity Mid-Cap outperformed its peer group median, and Morningstar category median (Mid-Cap blend category), but underperformed its benchmark (the S&P 500 Total Return Index) for the one-year and since inception periods, and outperformed its peer group median, Morningstar category median, and benchmark for the

65

 

Acclivity Funds 

SUPPLEMENTAL INFORMATION (Unaudited)(Continued)

 December 31, 2023

 

three-year period The Board noted the portfolio managers’ ability to manage risk and the robust investment team. After further discussion, the Board concluded that each of Acclivity Mid-Cap and Acclivity Small Cap Value’s past performance was acceptable and generally in line with its risk level.

 

Fees and Expenses. As to the costs of the services to be provided by Innealta, the Board reviewed and discussed each of Acclivity Small Cap Value and Acclivity Mid-Cap’s advisory fee and total operating expenses as compared to its respective peer group and Morningstar category as presented in the Broadridge Report. The Board reviewed the contractual arrangements, noting that Innealta charges an advisory fee at an annual rate of 0.39% and 0.35% of the average daily net assets of Acclivity Small Cap Value and Acclivity Mid-Cap, respectively, under the Innealta Advisory Agreement. The Board noted the advisory fee for Acclivity Small Cap Value and Acclivity Mid-Cap was significantly lower than the peer group median and Morningstar category median. The Board also reviewed the net expenses for each of Acclivity Small Cap Value and Acclivity Mid-Cap as compared to its peer group and Morningstar category. The Board then reviewed the Operating Expenses Limitation Agreement noting that Innealta had agreed to waive or limit its advisory fee and/or reimburse expenses at least until April 30, 2025, in order to limit net annual operating expenses, exclusive of certain fees, so as not to exceed 0.48% and 0.73% of Acclivity Small Cap Value’s average net assets for Class I and Class N shares, respectively, and 0.44% and 0.69% of Acclivity Mid-Cap’s average net assets for Class I and Class N shares, respectively, and found such arrangements to be beneficial to shareholders. The Board concluded that, based on Innealta’s experience, expertise and services provided to each of Acclivity Small Cap Value and Acclivity Mid-Cap, the advisory fee charged by Innealta for each of Acclivity Small Cap Value and Acclivity Mid-Cap was not unreasonable.

 

Profitability. The Board also considered the level of profits that could be expected to accrue to Innealta with respect to each of Acclivity Small Cap Value and Acclivity Mid-Cap based on profitability reports and analyses prepared by Innealta and reviewed by the Board and the selected financial information of Innealta provided by Innealta. After review and discussion, the Board concluded that the profit from Innealta’s relationship with each of Acclivity Small Cap Value and Acclivity Mid-Cap was not excessive.

 

Economies of Scale. As to the extent to which each of Acclivity Small Cap Value and Acclivity Mid-Cap would realize economies of scale as it grew, and whether the fee levels reflect these economies of scale for the benefit of investors, the Board discussed the current size of each of Acclivity Small Cap Value and Acclivity Mid-Cap, and Innealta’s expectations for growth, and concluded that any material economies of scale would likely not be achieved in the near term.

 

Conclusion. The Board relied upon the advice of counsel, and their own business judgment in determining the material factors to be considered in evaluating the Innealta Advisory Agreement and the weight to be given to each such factor. Accordingly, having requested and received such information from Innealta as the Board believed to be reasonably necessary to evaluate the terms of the Innealta Advisory Agreement, and as assisted by the advice of independent counsel, the Board, including a majority of the Independent Trustees voting separately, determined that with respect to each of the Acclivity Funds separately, (a) the terms of the Innealta Advisory 

66

 

Acclivity Funds 

SUPPLEMENTAL INFORMATION (Unaudited)(Continued) 

December 31, 2023

 

Agreement are not unreasonable; (b) the investment advisory fee is not unreasonable; and (c) the Innealta Advisory Agreement is in the best interests of each of the Acclivity Funds and its shareholders. In considering the renewal of the Innealta Advisory Agreement, the Board did not identify any one factor as all important, but rather considered these factors collectively and determined that renewal of the Innealta Advisory Agreement was in the best interest of each of the Acclivity Funds and its shareholders. Moreover, the Board noted that each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Innealta Advisory Agreement. 

67

 

Acclivity Funds

LIQUIDITY RISK MANAGEMENT PROGRAM (Unaudited)

December 31, 2023

 

The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the 1940 Act. The program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration, among other factors, the respective Fund’s investment strategy 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 fiscal period ended December 31, 2023, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed each Fund’s investments and 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 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. 

68

 

Acclivity Funds
SUPPLEMENTAL INFORMATION (Unaudited)
December 31, 2023

 

The Trustees and the 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 Ultimus Fund Solutions, LLC, P.O. Box 541150, Omaha, Nebraska 68154.

 

Independent Trustees

 

Name 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
Brian Nielsen
1972
Trustee Since May 2011 Trustee of Northern Lights Fund Trust II (since 2011); Special Projects Counsel of NorthStar Financial Services Group, LLC (from 2018 to 2019). 4 NONE
Thomas T. Sarkany
1946
Trustee Since October 2011 President, TTS Consultants, LLC (financial services) (since 2010); President, TTS Associates, Inc. (financial services) (since December 2022). 4 Director, Aquila Distributors; Trustee, Arrow ETF Trust; Trustee, Arrow Investments Trust; Trustee, Northern Lights Fund Trust IV
Anthony H. Lewis
1946
Trustee Since May 2011 Chairman and CEO of The Lewis Group USA (executive consulting firm) (since 2007). 4 Director, Member of the Compensation Committee and Member of the Risk Committee of Torotel Inc. (Magnetics, Aerospace and Defense), Trustee, Chairman of the Fair Valuation Committee and Member of the Audit Committee of the Wildermuth Endowment Strategy Fund
Keith Rhoades
1948
Trustee Since May 2011 Retired since 2008. 4 NONE
Randal D. Skalla
1962
Trustee Since May 2011 President, L5 Enterprises, Inc. (financial services company) (since 2001). 4 NONE

69

 

Acclivity Funds
SUPPLEMENTAL INFORMATION (Unaudited)(Continued)
December 31, 2023

 

Officers

 

Name 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
1969
President Since January 2013 Vice President of The Ultimus Group, LLC; Executive Vice President, Head of Fund Administration and Product (since 2019) and President (2012 - 2019) of Ultimus Fund Solutions, LLC (formerly, Gemini Fund Services, LLC). N/A N/A
Erik Naviloff
1968
Treasurer Since January 2013 Vice President of Ultimus Fund Solutions, LLC (formerly, Gemini Fund Services, LLC) (since 2011). N/A N/A
Jared Lahman
1986
Anti-Money Laundering Officer since January 2022 Compliance Analyst, Northern Lights Compliance Services, LLC (since January 2019). N/A N/A
Emile R. Molineaux
1962
Chief Compliance Officer Since May 2011 Senior Compliance Officer and CCO of Various clients of Northern Lights Compliance Services, LLC (since 2011). N/A N/A

 

*The term of office for each Trustee and Officer listed above will continue indefinitely.

 

**As of December 31, 2023 the Trust was comprised of 24 active portfolios managed by unaffiliated investment advisers. The term “Fund Complex” applies only to the Funds and the Dynamic International Opportunity Fund and the Dynamic US Opportunity Fund, and not to any other series of the Trust. The Funds do not hold themselves out as related to any other series within the Trust for investment purposes, nor do they share the same investment adviser with any other series.

 

The Funds’ Statement of Additional Information (“SAI”) includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-855-873-3837.  

70

 

Privacy Policy

 

Rev. May 2021

 

FACTS WHAT DOES NORTHERN LIGHTS FUND TRUST II (“NLFT II”) 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 depend on the product or service you have with us. This information can include:

●    Social Security number

 

●    Employment information

 

●    Account balances

●    Account transactions

 

●    Income

 

●    Investment experience


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 a customer’s personal information to run their everyday business - to process transactions, maintain customer accounts, and report to credit bureaus. In the section below, we list the reasons financial companies can share their customer’s personal information; the reasons NLFT II chooses to share; and whether you can limit this sharing.
   

Reasons we can share your personal information Does NLFT II
share?
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


Yes No

For joint marketing with other financial companies

Yes No

For our affiliates’ everyday business purposes —
information about your transactions and experiences


Yes No

For our affiliates’ everyday business purposes —
information about your creditworthiness

No We don’t share

For nonaffiliates to market to you

No We don’t share

Questions? Call 1-631-490-4300

71

 

Who we are
Who is providing this notice? Northern Lights Fund Trust II
What we do
How does NLFT II 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.
How does NLFT II collect my personal information? We collect your personal information, for example, when you

●    open an account

 

●    give us your income information

 

●    provide employment information

 

●    provide account information

 

●    give us your contact information

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.

  

●    NLFT II has no affiliates.

 

Nonaffiliates

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

 

●    NLFT II 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 and services to you.

 

●    Our joint marketing partners include other financial service companies.

72

 

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 1-855 -873-3837 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.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT ADVISER
Innealta Capital, LLC
13215 Bee Cave Pkwy, Bldg A, Suite 240
Austin, Texas 78738
 
ADMINISTRATOR
Ultimus Fund Solutions, LLC
225 Pictoria Drive, Suite 450
Cincinnati, OH 45246
 
Acclivity-AR-23

 

(a)       Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).

 

(b)       Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule.

 

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)ii The board of directors of the fund has determined that the fund does not have an audit committee financial expert serving on its audit committee.

 

(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

2023 - $25,000

2022 - $24,000

2021 - $24,000

 

(b)Audit-Related Fees

2023 - None

2022 - None

2021 - None

 

(c)Tax Fees

2023 - $6,000

2022 - $6,000

2021 - $4,400

 

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

2023 - None

2022 - None

 
 

2021 - 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

     2023     2022     2021 
Audit-Related Fees:   0.00%   0.00%   0.00%
Tax Fees:   0.00%   0.00%   0.00%
All Other Fees:   0.00%   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:

 

2023 - $6,000

2022 - $6,000

2021 - $4,400

 

(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.

 

(i)       Not applicable.

 

(j)       Not applicable.

 

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 period covered by this report 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 II

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

 

Date 3/7/24

 

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 3/7/24

 

By (Signature and Title)

/s/ Erik Naviloff

Erik Naviloff, Principal Financial Officer/Treasurer

 

Date 3/7/24

EX-99.CERT 2 cert1.htm

CERTIFICATIONS

 

I, Kevin E. Wolf, certify that:

 

1.       I have reviewed this report on Form N-CSR of Acclivity Mid Cap Multi-Style Fund and Acclivity Small Cap Value Fund (each a series of Northern Lights Fund Trust II);

 

2.       Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.       Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.       The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a)       designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)       designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)       evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.       The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

 

a)       all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b)       any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

 

 

Date: 3/7/24

/s/ Kevin E. Wolf

Kevin E. Wolf

Principal Executive Officer/President

 
 

I, Erik Naviloff, certify that:

 

1.       I have reviewed this report on Form N-CSR of Acclivity Mid Cap Multi-Style Fund and Acclivity Small Cap Value Fund (each a series of Northern Lights Fund Trust II);

 

2.       Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.       Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.       The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a)       designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)       designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)       evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.       The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

 

a)       all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b)       any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

 

 

Date: 3/7/24

/s/ Erik Naviloff

Erik Naviloff

Principal Financial Officer/Treasurer

EX-99.906 CERT 3 cert2.htm

 

certification

Kevin E. Wolf, Principal Executive Officer/President, and Erik Naviloff, Principal Financial Officer/Treasurer of Northern Lights Fund Trust II (the “Registrant”), each certify to the best of his knowledge that:

1.       The Registrant’s periodic report on Form N-CSR for the year ended December 31, 2023 (the “Form N-CSR”) fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

2.       The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Principal Executive Officer/President  Principal Financial Officer/Treasurer
Northern Lights Fund Trust II  Northern Lights Fund Trust II
    
    
/s/ Kevin E. Wolf   /s/ Erik Naviloff
Kevin E. Wolf  Erik Naviloff
Date: 3/7/24  Date: 3/7/24

 

 

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to the Northern Lights Fund Trust II and will be retained by the Northern Lights Fund Trust II and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

 

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.

 

EX-99.CODE ETH 4 nlftiicoe.htm Blu Giant, LLC


Northern Lights Fund Trust II

 CODE OF ETHICS

May 17, 2011


Northern Lights Fund Trust II (the “Trust”) and each of its series (the “Funds”) has adopted this Code of Ethics (the “Code”) in order to set forth guidelines and procedures that promote ethical practices and conduct by all of its Access Persons and to ensure that all Access Persons comply with the federal securities laws.  Although this Code contains a number of specific standards and policies, there are four key principles embodied throughout the Code.


THE INTERESTS OF THE FUNDS MUST ALWAYS BE PARAMOUNT


Access Persons have a legal, fiduciary duty to place the interests of the Funds ahead of their own.  In any decision relating to their personal investments, Access Persons must scrupulously avoid serving their own interests ahead of those of the Trust.


Access Persons may not take advantage of their relationship with the Funds


Access Persons should avoid any situation (unusual investment opportunities, perquisites and accepting gifts of more than token value from persons seeking to do business with the Funds) that might compromise, or call into question, the exercise of their fully independent judgment in the interests of the Funds.


All Personal Securities Transactions should avoid any actual, potential, or apparent conflicts of interest


Although all Personal Securities Transactions by Access Persons must be conducted in a manner consistent with this Code, the Code itself is based on the premise that Access Persons owe a fiduciary duty to the Funds, and should avoid any activity that creates an actual, potential, or apparent conflict of interest. This includes executing transactions through or for the benefit of a third party when the transaction is not in keeping with the general principles of this Code.


Access Persons must adhere to these general principles as well as comply with the specific provisions of this Code. Technical compliance with the Code and its procedures will not automatically prevent scrutiny of trades that show a pattern of abuse of an individual’s fiduciary duty to the Funds.


Access Persons must comply with all applicable laws

In both work-related and personal activities, Access Persons must comply with all applicable laws, including the federal securities laws.


Any violations of this Code should be reported promptly to the Chief Compliance Officer or his designee.  Failure to do so will be deemed a violation of the Code.

DEFINITIONS


“Access Person” shall have the same meaning as set forth in Rule 17j-1 under the Investment Company Act of 1940, as amended (the “1940 Act”) and shall include:

 

1.

all officers and trustees (or persons occupying a similar status or performing a similar function) of the Funds;

2.

all officers and trustees (or persons occupying a similar status or performing a similar function) of the Advisers with respect to its corresponding series of the Trust

3.

any employee of the Trust or the Advisers (or of any company controlling or controlled by or under common control with the Trust or the Advisers) who, in connection with his or her regular functions or duties, makes, participates in, or obtains information regarding the purchase or sale of Covered Securities by the Funds, or whose functions relate to the making of any recommendations with respect to the purchase or sale; and

4.

any other natural person controlling, controlled by or  under common control with the Trust or the Advisers who obtains information concerning recommendations made to the Funds with regard to the purchase or sale of Covered Securities by the Funds.


“Beneficial Ownership” means in general and subject to the specific provisions of Rule 16a-1(a)(2) under the Securities Exchange Act of 1934, as amended, having or sharing, directly or indirectly, through any contract arrangement, understanding, relationship, or otherwise, a direct or indirect “pecuniary interest” in the security.


“Chief Compliance Officer” means the Code of Ethics Compliance Officer of the Trust with respect to Trustees and officers of the Trust, or the CCO of the Advisers with respect to Advisers personnel.


“Code” means this Code of Ethics.


“Covered Security” means any Security, except (i) direct obligations of the U.S. Government, (ii) bankers’ acceptances, bank certificates of deposit, commercial paper and high quality short-term debt instruments, including repurchase agreements, and (iii) shares issued by open-end mutual Funds.


Decision Making Access Person” means any Access Person who, in connection with his or her regular functions or duties, makes, participates in, or obtains information regarding the purchase or sale of a security by the Funds, or whose functions relate to the making of any recommendations with respect to such purchases or sales. Decision Makers typically are Advisers personnel.


“Funds” means series of the Trust.


“Immediate family” means an individual’s spouse, child, stepchild, grandchild, parent, stepparent, grandparent, siblings, mother-in-law, father-in-law, son-in-law, daughter-in-law, brother-in-law, or sister-in-law and should include adoptive relationships.  For purposes of determining whether an Access Person has an “indirect pecuniary interest” in securities, only ownership by “immediate family” members sharing the same household as the Access Person will be presumed to be an “indirect pecuniary interest” of the Access Person, absent special circumstances.


“Independent Trustees” means those Trustees of the Trust that would not be deemed an “interested person” of the Trust, as defined in Section 2(a)(19)(A) of the 1940 Act.


“Indirect Pecuniary Interest” includes, but is not limited to: (a) securities held by members of the person’s Immediate Family sharing the same household (which ownership interest may be rebutted); (b) a general partner’s proportionate interest in Fund securities held by a general or limited partnership; (c) a person’s right to dividends that is separated or separable from the underlying securities (otherwise, a right to dividends alone will not constitute a pecuniary interest in securities); (d) a person’s interest in securities held by the Trust; (e) a person’s right to acquire securities through the exercise or conversion of any derivative security, whether or not presently exercisable; and (f) a performance-related fee, other than an asset based fee, received by any broker, dealer, bank, insurance company, investment company, investment manager, Trustee, or person or entity performing a similar function, with certain exceptions.


“Pecuniary Interest” means the opportunity, directly or indirectly, to profit or share in any profit derived from a transaction in securities.


“Personal Securities Transaction” means any transaction in a Covered Security in which an Access Person has a direct or indirect Pecuniary Interest.


“Purchase or Sale of a Security” includes the writing of an option to purchase or sell a Security. A Security shall be deemed “being considered for Purchase or Sale” for the Trust when a recommendation to purchase or sell has been made and communicated by a Decision Making Access Person, and, with respect to the person making the recommendation, when such person seriously considers making such a recommendation.  These recommendations are placed on the “Restricted List” until they are no longer being considered for Purchase or Sale, or until the Security has been purchased or sold.


“Restricted List” means the list of securities maintained by the Chief Compliance Officer in which trading by Access Persons is generally prohibited.


“Security” means any note, stock, treasury stock, bond, debenture, evidence of indebtedness, certificate of interest or participation in any profit-sharing agreement, collateral-Trust certificate, pre-organization certificate or subscription, transferable share, investment contract, voting-Trust certificate, certificate of deposit for a security, fractional undivided interest in oil, gas, or other mineral rights, or, in general, an interest or instrument commonly know as “security”, or any certificate or interest or participation in temporary or interim certificate for, receipt for, guarantee of, or warrant or right to subscribe to or purchase (including options) any of the foregoing.


“Advisers” means the Advisers to the Trust.


“Trust” means Northern Lights Fund Trust II.



PROHIBITED ACTIONS AND ACTIVITIES


A.

No Access Person shall purchase or sell directly or indirectly, any Covered Security in which he or she has, or by reason of such transaction acquires, any direct or indirect beneficial ownership and which he or she knows or should have known at the time of such purchase or sale;


(1)

is being considered for purchase or sale by a Fund, or


(2)

is being purchased or sold by a Fund.


B.

Decision-Making Access Persons may not participate in any initial public offering of Covered Securities in any account over which they exercise Beneficial Ownership.  All other Access Persons must obtain prior written authorization from the Chief Compliance Officer or his designee prior to such participation;


C.

No Access Person may purchase a Covered Security in which by reason of such transaction they acquire Beneficial Ownership in a private placement of a Security, without prior written authorization of the acquisition by the Chief Compliance Officer or his designee;


D.

Access Persons may not accept any fee, commission, gift, or services, other than de minimus gifts, from any single person or entity that does business with or on behalf of the Trust;


E.

Decision-Making Access Persons may not serve on the board of directors of a publicly traded company without prior authorization from the Chief Compliance Officer or his designee based upon a determination that such service would be consistent with the interests of the Trust.  If such service is authorized, procedures will then be put in place to isolate such Decision-Making Access Persons serving as directors of outside entities from those making investment decisions on behalf of the Trust.


Advanced notice should be given so that the Trust or Advisers may take such action concerning the conflict as deemed appropriate by the Chief Compliance Officer or his designee.


F.

Decision-Making Access Person may not execute a Personal Securities Transaction involving a Covered Security without authorization of the Chief Compliance Officer or such persons who may be designated by the Chief Compliance Officer from time to time.


G.

It shall be a violation of this Code for any Access Person, in connection with the purchase or sale, directly or indirectly, of any Covered Security held or to be acquired by a Fund:

 

a.

to employ any device, scheme or artifice to defraud the Trust;

b.

to make to the Trust any untrue statement of a material fact or to omit to state to the Trust a material fact necessary in order to make the statements made, in light of the circumstances under which they are made, not misleading;

c.

to engage in any act, practice or course of business that operates or would operate as a fraud or deceit upon the Trust; or

d.

to engage in any manipulative practice with respect to the Trust.



EXEMPTED TRANSACTIONS


The provisions described above under the heading Prohibited Actions and Activities and the preclearance procedures under the heading Preclearance of Personal Securities Transactions do not apply to:


·

Purchases or Sales of Securities effected in any account in which an Access Person has no Beneficial Ownership;


·

Purchases or Sales of Securities which are non-volitional on the part the Access Person (for example, the receipt of stock dividends);


·

Purchase of Securities made as part of automatic dividend reinvestment plans;


·

Purchases of Securities made as part of an employee benefit plan involving the periodic purchase or company stock or mutual Funds; and


·

Purchases of Securities effected upon the exercise of rights issued by an issuer pro rata to all holders of a class of its Securities, to the extent such rights were acquired from such issuer, and sale of such rights so acquired.



PRECLEARANCE OF PERSONAL SECURITIES TRANSACTIONS


All Decision-Making Access Persons wishing to engage in a Personal Securities Transaction must obtain prior authorization of any such Personal Securities Transaction from the Chief Compliance Officer or such person or persons that the Chief Compliance Officer may from time to time designate to make such authorizations. Personal Securities Transactions by the Chief Compliance Officer shall require prior authorization from the President or Chief Executive Officer of the Trust (unless such person is also the Chief Compliance Officer), who shall perform the review and approval functions relating to reports and trading by the Chief Compliance Officer. The Trusts shall adopt the appropriate forms and procedures for implementing this Code of Ethics.


Any authorization so provided is effective until the close of business on the fifth trading day after the authorization is granted. In the event that an order for the Personal Securities Transaction is not placed within that time period, a new authorization must be obtained. If the order for the transaction is placed but not executed within that time period, no new authorization is required unless the person placing the order originally amends the order in any manner.  Authorization for “good until canceled” orders is effective unless the order conflicts with a Trust order.


If a person wishing to effect a Personal Securities Transaction learns, while the order is pending, that the same Security is being considered for Purchase or Sale by a Fund, such person shall cancel the trade.



REPORTING AND MONITORING


The Chief Compliance Officer or such person or persons that the Chief Compliance Officer may from time to time designate shall monitor all personal trading activity of all Access Persons pursuant to the procedures established under this Code.

 

Disclosure of Personal Brokerage Accounts


Within ten days of the commencement of employment or at the commencement of a relationship with the Trust, all Access Persons, except Independent Trustees, are required to submit to the Chief Compliance Officer or his designee a report stating the names and account numbers of all of their personal brokerage accounts, brokerage accounts of members of their Immediate Family, and any brokerage accounts which they control or in which they or an Immediate Family member has Beneficial Ownership.  Such report must contain the date on which it is submitted and the information in the report must be current as of a date no more than 45 days prior to that date.  In addition, if a new brokerage account is opened during the course of the year, the Chief Compliance Officer or his designee must be notified immediately.  


The information required by the above paragraph must be provided to the Chief Compliance Officer or his designee on an annual basis, and the report of such should be submitted with the annual holdings reports described below.


Each of these accounts is required to furnish duplicate confirmations and statements to the Chief Compliance Officer or his designee. These statements and confirms for each series of the Trust may be sent to the Advisers.


INITIAL HOLDINGS REPORT

Within ten days of becoming an Access Person (and with information that is current as of a date no more than 45 days prior to the date that the report was submitted), each Access Person, except Independent Trustees must submit a holdings report that must contain, at a minimum, the title and type of Security, and as applicable, the exchange ticker symbol or CUSIP number, number of shares, and principal amount of each Covered Security in which the Access Person has any direct or indirect Beneficial Ownership.  This report must state the date on which it is submitted.


ANNUAL HOLDINGS REPORTS


All Access Persons, except Independent Trustees, must supply the information that is required in the initial holdings report on an annual basis, and such information must be current as of a date no more than 45 days prior to the date that the report was submitted.  Such reports must state the date on which they are submitted.


QUARTERLY TRANSACTION REPORTS


All Access Persons shall report to the Chief Compliance Officer or his designee the following information with respect to transactions in a Covered Security in which such person has, or by reason of such transaction acquires, any direct or indirect Beneficial Ownership in the Covered Security:


·

The date of the transaction, the title, and as applicable the exchange ticker symbol or CUSIP number, interest rate and maturity date, number of shares, and the principal amount of each Covered Security;

·

The nature of the transaction (i.e., purchase, sale or any other type of acquisition or disposition);

·

The price of the Covered Security at which the transaction was effected; and

·

The name of the broker, dealer, or bank with or through whom the transaction was effected.

·

The date the Access Person Submits the Report.


Reports pursuant to this section of this Code shall be made no later than 30 days after the end of the calendar quarter in which the transaction to which the report relates was effected, and shall include a certification that the reporting person has reported all Personal Securities Transactions required to be disclosed or reported pursuant to the requirements of this Code. Confirmations and Brokerage Statements sent directly to each Adviser’s address noted above is an acceptable form of a quarterly transaction report.


An Independent Trustee need only make a quarterly transaction report if he or she, at the time of the transaction, knew, or in the ordinary course of fulfilling his or her official duties as a Trustee, should have known that during the 15-day period immediately preceding or following the date of the transaction by the Independent Trustee, the Covered Security was purchased or sold by a Fund or was considered for purchase or sale by a Fund.



ENFORCEMENTS AND PENALTIES


The Chief Compliance Officer or his designee shall review the transaction information supplied by Access Persons.  If a transaction appears to be a violation of this Code, the transaction will be reported to the Trusts Board of Trustees.


Upon being informed of a violation of this Code, the Trusts Board of Trustees may impose sanctions as it deems appropriate, including but not limited to, a letter of censure or suspension, termination of the employment of the violator, or a request for disgorgement of any profits received from a securities transaction effected in violation of this Code.  The Trusts shall impose sanctions in accordance with the principle that no Access Person may profit at the expense of its clients. Any losses are the responsibility of the violator. Any profits realized on personal securities transactions in violation of the Code must be disgorged in a manner directed by the Board of Trustees.


Annually, the Chief Compliance Officer at each regular meeting of the Board shall issue a report on Personal Securities Transactions by Access Person. The report submitted to the board shall:


·

Summarize existing procedures concerning Personal Securities investing and any changes in the procedures made during the prior year;

·

Identify any violations of this Code and any significant remedial action taken during the prior year; and;

·

Identify any recommended changes in existing restrictions or procedures based upon the experience under the Code, evolving industry practices or developments in applicable laws and regulations.




ACKNOWLEDGMENT


The Trust must provide all Access Persons with a copy of this Code.  Upon receipt of this Code, all Access Persons must do the following:


All new Access Persons must read the Code, complete all relevant forms supplied by the Chief Compliance Officer or his designee (including a written acknowledgement of their receipt of the Code), and schedule a meeting with the Chief Compliance Officer or his designee to discuss the provisions herein within two calendar weeks of employment.


Existing Access Persons who did not receive this Code upon hire, for whatever reason, must read the Code, complete all relevant forms supplied by the Chief Compliance Officer or his designee (including a written acknowledgement of their receipt of the Code), and schedule a meeting with the Chief Compliance Officer or his designee to discuss the provisions herein at the earliest possible time, but no later than the end of the current quarter.


All Access Persons must certify on an annual basis that they have read and understood the Code.


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