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Form N-CSR Northern Lights Fund For: Jun 30

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

form n-csr

certified shareholder report of registered management
investment companies

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

 

Investment Company Act file number 811-21720

 

Northern Lights Fund Trust

(Exact name of registrant as specified in charter)

 

225 Pictoria Drive, Suite 450,
Cincinnati, OH  45246

(Address of principal executive offices) (Zip
code)

 

Richard Malinowski, Gemini Fund Services, LLC.

80 Arkay Drive, Suite 110 Hauppauge, NY 11788

(Name and address of agent for service)

 

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

 

Date of fiscal year end: 6/30

 

Date of reporting period: 6/30/21

 

Item 1. Reports to Stockholders.

 

 

 

June
30, 2021

 

The
Altegris Mutual Funds

 

A
SERIES OF NORTHERN LIGHTS FUND TRUST

 

 

Annual
Report

 

Altegris
Futures Evolution Strategy Fund

 

Advised
by: 

Altegris
Advisors, LLC 

1200
Prospect, Suite 400 

La
Jolla, CA 92037

 

 

877.524.9441
| WWW.ALTEGRIS.COM

Letter
to Shareholders 

Annual
Report 

for
Altegris Mutual Funds 

Altegris
Futures Evolution Strategy Fund

 

Dear
Investor:

 

Since
the Fund’s inception in 2011, the overarching goal of the Altegris Futures Evolution Strategy Fund (EVO) has been to provide investors
with access to what we believe are the leading investment managers in both managed futures and active fixed income. Since then, we have
strived to maintain upper quartile performance in the managed futures category while staying consistent with our manager selections and
allocations. Until 2020, the combination of the slower trading systems managed by Winton Capital with the faster reacting models of ISAM
have generally provided the Fund with the right combinations of futures market exposure relative to peers. 2020’s underperformance
was very disappointing and not consistent with Evo’s historical portfolio return objectives and diversification benefits. ISAM’s
faster reacting and ultra-diversified models resulted in a net positive contribution to the Fund, while Winton Capital and the Diversified
Macro Strategy (“Winton DMS”) was the material detractor for the Fund in 2020.

 

After
extensive portfolio, strategy, manager, and implementation reviews, we have taken the following portfolio measures within the last year
that we believe will further evolve and improve our strategy toward being well positioned for the market environments of the future.
As astute market participants, we believe that financial markets have shifted in micro-structure due to persistent global monetary policy
initiatives, which support more periodic instances of shorter and sharper bouts of volatility. With the acceptance of this change in
character across global financial markets, we believe that the Fund will be in a better position to capture trends and trend reversals
on a more dynamic basis. Further, in accordance with our goal to of generating an incremental 100-200 basis points from the collateral
of our strategy, we have streamlined the implementation of our fixed income allocations to utilize DoubleLine mutual funds versus separately
managed accounts. We believe this improvement in implementation will allow the Fund to meet its mandate with improved diversification
and incremental cost benefits.

 

The
actions taken forth over the last year are as follows: 1) Increased ISAM’s target allocation to 25% (from 21%), as we believe that
ISAM’s faster trend program and its greater focus on commodities and less-traded markets may benefit the Fund and continue to offer
a diversification from the Winton exposure. 2) Reduced Winton’s allocation to 75% (from 79%). We also adjusted Winton’s allocation
to include the Winton Trend Strategy (“Winton Trend”), alongside the incumbent Winton DMS strategy. With this change, 30%
of the 75% Winton allocation (or in other words, 22.5% of the Fund’s allocation) will be comprised of Winton Trend. We believe
Winton Trend harnesses the ability to improve and modestly shorten the Fund’s aggregate time-frame for position changes resulting
in a more dynamic, faster-reacting strategy. 3) Increased our fixed income strategy weighting to 100% DoubleLine Low Duration. We believe
this allocation change is best suited for a post-COVID fixed income environment where interest rate risk and credit risk remains high. 

As
a result of the prudent actions taken over the last year, the Fund’s allocations as of June 30, 2021 were 25%, 52.5%, and 22.5%
to ISAM, Winton DMS, and Winton Trend, respectively. Within the fixed income portfolio, allocations resulted in 100% DoubleLine Low Duration.

 

Market
Summary

 

Most
global equity indices gained in the back half of 2020 and early part of 2021 as the continued pick-up in mobility post-vaccine helped
push the recovery forward. During the recent year, developed market stock indices have outperformed emerging market stock indices while,
domestically, value stocks have outperformed growth stocks. The recovery may be in the early to mid-innings as US households are likely
to continue to support consumption via strong balance sheets (from excess liquidity due to postponed purchases and rising home values)
and a strengthening labor market.

 

In
US fixed income markets, the 10-year Treasury rose to nearly 1.8% from a low of about 0.5% in 2020 before retreating to about 1.3% at
2021’s second quarter end. The Fed pushed back on early-taper discussions at their June 16 meeting, in line with the consensus
belief that current inflation is transitory. Globally, bonds have remained somewhat mixed. Yields trended lower in the UK and Australia,
and European yields rose modestly, with the 10Y German Bund moving closer to zero. The USD (trade-weighted) ended modestly lower after
initial declines were nearly fully offset in June when policymakers pulled forward their guidance on the timing of potential rate increases.

 

Commodity
prices continued their momentum for most of the year. With oil prices at levels last seen in 2019, OPEC+ continued to manage supply and
inventories with relatively muted non-OPEC supply providing the group with flexibility. Industrial metals have also accelerated as supply-chain
pressures remained.

 

Inflation-protection was a common theme post-GFC as many investors thought the Fed’s swelled balance sheet meant inflation must materialize.
However, the post-GFC recovery was weak by historical standards, seemingly with one crisis after another, and no significant inflation
materialized over the subsequent decade. Since 2010, bond prices have increased significantly, and the US equities are 3-4 times as high
while commodity indices have significantly declined. Still, inflation risk is likely to be at the front of investors’ minds as
there are tailwinds seemingly from both ongoing supply-chain disruptions and higher demand from a strengthening recovery. It remains
to be seen whether the inflation rubber band has been stretched too long or if there is still slack left, perhaps unforeseeable from
the current vantage point. 

Altegris
Futures Evolution Strategy Fund

12-Month
Period Ending June 30, 2021

 

Fund
Overview

 

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

 

The
Fund allocates its capital to investments providing exposure to the Winton Diversified Trading Program (“Winton DMS”) and
Winton Trend Program (“Winton Trend”) managed by Winton Capital Management (“Winton”), a London -based commodity
trading advisor (“CTA”) with assets under advisement of $7.1B as of June 30, 2021, and the ISAM Systematic Program managed
by ISAM, a New York and London-based CTA managing $4.5B in assets as of June 30, 2021. All programs are trend following-managed futures
strategies that utilize proprietary, quantitative trading systems to identify market trends and react to corresponding price movements
in futures markets across all major asset classes.

 

Figure
1: Futures Exposure by Manager | As of June 31, 2021 (unaudited)

 

CTA
Allocation* | As of 6/30/21

 

 

 

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

The
fixed income portion of the Fund’s portfolio allocates to fixed income mutual funds – Core Fixed Income, Low Duration, and
Flexible Income – that are actively managed by the Fund’s sub-adviser, DoubleLine, a fixed income investment specialist based
in Los Angeles with assets under management of over $137B as of June 30, 2021. Investments in fixed income securities actively managed
by DoubleLine represented approximately 75% of Fund assets. Given the uncertain macro environment, we continue to evaluate the current
sub-strategy allocations in order to seek the best possible combination of underlying exposures. (Figure 2)

 

Figure
2: Fixed Income Sub-Strategy Allocation | As of June 30, 2021 (unaudited)

 

Sub-Strategy
Allocation* | As of 6/30/21

 

 

 

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

Fund
Performance Summary

 

As
seen in Figure 3 (below), for the twelve-months ended June 30, 2021, the Fund’s Class A (at NAV), Class C, Class I and Class N
shares returned 13.46%, 12.62%, 13.66%, and 13.57% respectively, while the BofA Merrill Lynch 3 Month T-Bill Index, the SG Trend Index,
and the S&P 500 TR Index returned 0.09%, 15.20%, and 40.79% respectively. The Fund’s net assets under management were approximately
$161 million as of June 30, 2021.

 

Figure
3: Altegris Futures Evolution Strategy Fund Performance Review

July 1, 2020 – June 30, 2021

 

    Quarterly Returns
  1-Year Since
Inception*
Q2 2021 Q1 2021 Q4 2020 Q3 2020
Class A (NAV) 13.46% 2.31% 4.25% 4.62% 8.55% -4.16%
Class A (max load)** 6.96% 1.69% -1.79% -1.35% 2.31% -9.65%
Class C (NAV) 12.62% 1.46% 3.99% 4.56% 8.32% -4.37%
Class I (NAV) 13.66% 2.58% 4.21% 4.81% 8.67% -4.24%
Class N (NAV) 13.57% 2.31% 4.25% 4.75% 8.53% -4.18%
BofA ML 3-Month T-Bill  Index 0.09% 0.65% 0.00% 0.02% 0.03% 0.04%
SG Trend Index 15.20% 2.95% 3.37% 3.97% 8.48% -1.20%
S&P 500 TR Index 40.79% 15.93% 8.55% 6.17% 12.15% 8.93%

 

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

 

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

 

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

 

Per
the prospectus dated October 28, 2019, the total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements,
is 2.00% for Class A, 2.75% for Class C, 1.75% for Class I and 2.00% for Class N.

 

The
performance data quoted here represents past performance, which is no guarantee of future results. Current performance may be lower or
higher than the performance data quoted above. Investment return and principal value will fluctuate so that shares, when redeemed, may
be worth more or less than their original cost.

 

The
Fund’s adviser has contractually agreed to reduce its fees and to reimburse expenses, at least until October 31, 2020, to ensure that
total annual Fund operating expenses will not exceed 1.94%, 2.69%, 1.69% and 1.94% of average daily net assets attributable to Class
A, Class C, Class I and Class N shares, respectively, subject to possible recoupment in future years. Results shown reflect the waiver,
without which the results would have been lower. A Fund’s performance, especially for very short periods, should not be the sole factor
in making your investment decisions. For performance information current to the most recent month-end, please call (888) 524-9441. The
referenced indices and benchmarks are shown for general market comparisons and are not meant to represent any particular investment.
The returns include reinvestment of income but do not reflect the impact of sales charges or other fees. An index is unmanaged and not
available for direct investment. See the end of the letter for a complete description of each index and benchmark. 

Drivers
of Fund Performance

 

The
Fund was up 13.46% for the twelve months ended June 30, 2021. Commodities and stock indices exposure was a key driver of strong Fund
returns, while fixed income and FX exposure hurt the Fund.

 

Commodity
positions made the largest gains for the Fund for the year. Long positions in grains, base metals, and energy were significant contributors
to positive performance. Longs in soybean products, copper, and crude oil made significant strides in performance contribution. Exposure
to precious metals, softs, and livestock were modest detractors over the year. Generally, commodity exposures have benefited from a global
reflationary tailwind as well as supply-chain disruptions impacting supply/demand dynamics across the commodity complex.

 

Stock
index trading was also firmly positive over the course of the year. Despite being a modest detractor in Q3 2020, stock index exposure
led positive contributions in the ensuing three quarters led by long exposure to developed market indices such as the US, Australia,
and Europe.

 

Fixed
income was the largest detractor amongst asset classes during the year (after being the lone profitable asset class for the Fund over
the year ended June 30, 2020). Longer -dated issues made the largest losses as long positions in the Euro-BTP, 3-year Australian bond,
and short 30-year US Treasury bonds made meaningful contributions to negative performance. Amongst shorter-dated issues, longs in 3M
Eurodollar and Euribor contracts also were challenging areas. The Fund’s fixed income exposure has shifted from net long-to-short-to-long
over the course of the year as bond markets are digesting the monumental policy impacts stemmed from the 2020 coordinated global central
bank measures to offset economic challenges brought forth by the Coronavirus and government mandate lock downs.

 

FX
trading was modestly unprofitable for the year. Similar to fixed income, FX markets continue to digest coordinated global central bank
measures and remain in generally choppy price action environments. 

Figure
4: Futures Performance Attribution by Sector | July 1, 2020 – June 30, 2021 (unaudited)

 

 

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

 

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

 

ISAM,
Winton Trend, and Winton were positive for the twelve months ended June 30, 2021.

 

ISAM,
a shorter-term trend-following strategy, benefited from its larger risk allocation to commodities and novel diversifying markets. Long
exposure in energies, base metals, and grains were all meaningful contributors for the year. Additionally, exposure to stock indices
added to gains for the quarter, while FX and fixed income were muted and slightly detracted.

 

Winton
Trend, a medium-term trend-following strategy, was added to the portfolio in September 2020 and has had a strong positive start since
its implementation. Gains have been primarily driven by exposure to commodities and stock indices. We remain confident that the inclusion
of Winton Trend will allow the Fund’s futures exposure to encompass a more dynamic profile to adjust to quickly changing market
conditions. 

Winton
DMS, typically a slower-moving, diversified strategy, has been able to stem its streak of challenging performance and produce positive
results over the last year. Winton’s research team has spent much of the last year configuring its quantitative strategies to learn
from 2020’s challenging period with the hope of building upon, what we believe to be, top-tier intellectual property and implementation
within the managed futures industry. So far, early improvements have allowed the strategy to tilt more in to traditional trend-following
and momentum strategies as well as seek to improve diversification across markets traded. Over the last year, contributions to positive
results stemmed from exposure to commodities and stock indices.

 

We
are greatly encouraged by the year-over-year improvement in the results of our portfolio allocation changes as well as our improvement
in current performance. We remain vigilant regarding monitoring and measuring the success of these changes and are willing to maintain
a conscious and thoughtful approach toward improving the portfolio where and when needed.

 

The
active cash management strategy of the Fund contributed to returns for the period. We are enthusiastic about our improvements in implementation
via DoubleLine mutual funds and believe we are in the right position with maintaining a conservative stance of 100% DoubleLine Low Duration
during this fragmented global economic backdrop. From a sector perspective, residential MBS, government and corporate bonds, commercial
MBS, CLOs, and ABS securities led gains for the year.

 

Figure
5: Performance Attribution by Manager | July 1, 2020 – June 30, 2021 (unaudited)

 

 

 

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

Consolidated
Outlook

 

As
the global economy enters phase two of the recovery, it faces a new set of challenges. Inflation risk comes to the fore as many expect
that the stimulus bill must be paid, one way or another. Equally important, in our view, is the perception of inflation risk, from a
policy perspective, and its effects on bond prices. Significant inflation may or may not materialize; however, proactive rate hikes may
adversely affect bond prices. Given these two near-intermediate term risks, we believe the Fund’s long commodity positioning and
allocation to 100% Low Duration in the fixed income collateral management sleeve give it a strong foundation going forward. We remain
convicted that the Fund will continue to deliver a responsive managed futures experience and overall strong risk-adjusted returns for
investors.

 

We
thank you for your ongoing support and confidence.

 

Sincerely,

 

 

Matt
Osborne 

Chief
Investment Officer 

Portfolio
Manager

 

INDEX
DEFINITIONS

 

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

 

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

 

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

 

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

 

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

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

 

An
index is unmanaged and not available for direct investment.

 

GLOSSARY

 

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

 

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

Altegris
Futures Evolution Strategy Fund 

PORTFOLIO
REVIEW (Unaudited) 

June
30, 2021

 

The
Fund’s performance figures* for the period ended June 30, 2021, compared to its benchmark:

         
      Since
Inception
Since
Inception
  One
Year 
 Five
Years 
 February
16, 2012
  October
31, 2011
Altegris
Futures Evolution Strategy Fund – Class A
13.46% (1.39)% N/A 2.31%
Altegris
Futures Evolution Strategy Fund – Class A with load **
6.96% (2.55)% N/A 1.69%
Altegris
Futures Evolution Strategy Fund – Class C
12.62% (2.15)% 1.46% N/A
Altegris
Futures Evolution Strategy Fund – Class I
13.66% (1.14)% N/A 2.58%
Altegris
Futures Evolution Strategy Fund – Class N
13.57% (1.39)% N/A 2.31%
Bank
of America Merrill Lynch 3-Month Treasury Bill Index ***
0.09% 1.17% 0.67% 0.65%
S&P
500 Total Return Index ^
40.79% 17.65% 15.39% 15.94%
SG
Trend Index +
15.10% 1.52% 2.70% 2.94%

 

* The
Performance data quoted is historical. Past performance is no guarantee of future results.
Current performance may be higher or lower than the performance data quoted. The principal
value and investment return of an investment will fluctuate so that your shares, when redeemed,
may be worth more or less than their original cost. The returns shown do not reflect the
deduction of taxes that a shareholder would pay on Fund distributions or on the redemptions
of Fund shares. Redemptions made within 30 days of purchase may be assessed a redemption
fee of 1.00%. The Fund’s total annual operating expense ratios, before any fee waivers,
are 2.18%, 2.93%, 1.93%, and 2.19% for Class A, Class C, Class I, and Class N shares, respectively,
per the Fund’s prospectus dated October 28, 2020. Class A shares are subject to a sales
charge imposed on purchase of 5.75% and Class A and Class C Shares are subject to a maximum
deferred sales charge of 1.00%. For performance information current to the most recent month-end,
please call 1-877-772-5838.

 

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

 

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

 

^ S&P
500 Total Return Index is unmanaged and is generally representative of certain portions of
the U.S. equity markets. Investors cannot directly invest in an index.

 

+ SG
Trend Index calculates the net daily rate of return for a group of 10 trend following CTAs
selected from the largest managers open to new investment. Investors cannot directly invest
in an index.

 

Comparison
of the Change in Value of a $10,000 Investment | October 31, 2011– June 30, 2021 

Past
performance is not necessarily indicative of future results.

 

 

 

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

 

Holdings
by Type of Investment as of June 30, 2021
    %
of Net Assets
 
Open
Ended Fund
    70.6 %
Purchase Options     23.1 %
Other, Cash & Cash
Equivalents
    6.3 %
      100.0 %

 

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

ALTEGRIS
FUTURES EVOLUTION STRATEGY FUND
SCHEDULE
OF INVESTMENTS
June
30, 2021

 

Shares         Fair
Value
 
        OPEN END FUNDS — 70.6%        
        FIXED INCOME – 70.6%        
  11,403,112     DoubleLine
Low Duration Bond Fund (Cost $113,575,000)
  $ 113,575,000  

 

Principal         Coupon
Rate
           
Amount
($)
        (%)     Maturity      
        CORPORATE
BONDS — 0.0%(a)
                   
        MACHINERY — 0.0%(a)                    
  52,619     INVEPAR
A-1(b) (c) (d) (e) (f)(Cost $2,253)
    0.0000     12/30/28     0  

 

Shares            
        WARRANT — 0.0%(a)        
        ENGINEERING
& CONSTRUCTION – 0.0% (a)
       
  43,904     OAS S.A. (Brazil)
(c) (d) (e)(Cost $8,837)
    0  

 

Contracts         Counterparty   Expiration
Date
  Exercise
Price
    Notional
Value
    Fair
Value
 
        CALL OPTIONS
PURCHASED (c,e) – 23.1%
                               
  296,920     NOMURA CALL OPTION
ISAM
  Nomura   08/16/2021   $ 0.001     $ 14,725,344     $ 15,123,706  
  235,155     NOMURA CALL OPTION WNTN   Nomura   08/16/2021     0.001       14,054,304       14,441,437  
  36,076     NOMURA
CALL OPTION WNTN TRND
  Nomura   08/16/2021     0.001       7,614,094       7,644,630  
        TOTAL
CALL OPTIONS PURCHASED (Cost – $36,393,742)
      37,209,773  
                                         
        TOTAL
INVESTMENTS – 93.7% (Cost $149,979,832)
    $ 150,784,773  
                   
        OTHER
ASSETS IN EXCESS OF LIABILITIES- 6.3%
      10,032,652  
                   
        NET
ASSETS – 100.0%
    $ 160,817,425  

 

(a) Percentage
rounds to less than 0.1%.

 

(b) Security
exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The
security may be resold in transactions exempt from registration, normally to qualified institutional
buyers. As of June 30, 2021 the total market value of 144A securities is 0 or 0% of net assets.

 

(c) The
value of these securities have been determined in good faith under the policies of the Board
of Trustees as of June 30, 2021.

 

 

 

 

See
accompanying notes to financial statements.

Altegris
Futures Evolution Strategy Fund
PORTFOLIO
OF INVESTMENTS (Continued)
June
30, 2021

 

ISAM
Top 50 Holdings ^
 
FUTURES
CONTRACTS
 
                    Unrealized        
Number
of
            Notional
Value at June
    Appreciation/     %
of Fund Net
 
Contracts     Description   Expiration
Date
  30,
2021
    (Depreciation)     Assets  
Long
Contracts
                           
  36     Aluminum LME Future   Sep-21     2,272,050     $ 126,238       0.08 %
  216     Australian 3 Year Bond Future   Sep-21     18,865,865       (66,874 )     (0.04 )%
  35     Australian Bills Future   Sep-22     1,872,930       (8,770 )     (0.01 )%
  24     Carbon Emission Future   Dec-21     1,604,245       553,211       0.34 %
  30     Coffee NY Future   Sep-21     1,797,188       (7,950 )     (0.00 )%
  33     Cotton Future   Dec-21     1,400,850       (14,685 )     (0.01 )%
  31     Euro BTP Future   Sep-21     5,565,801       (14,253 )     (0.01 )%
  209     Euro BTS Future   Sep-21     28,044,692       6,142       0.00 %
  3     Japan Government Bond Future   Sep-21     4,095,630       (2,340 )     (0.00 )%
  86     Kosdaq 150 index Future   Sep-21     1,100,689       29,707       0.02 %
  37     Lean Hogs Future   Oct-21     1,291,670       (107,370 )     (0.07 )%
  56     Natural Gas Future   Aug-21     2,044,000       208,320       0.13 %
  46     Natural Gas Future   Jan-22     1,751,220       206,730       0.13 %
  42     Natural Gas Future   May-22     1,225,140       99,550       0.06 %
  17     Nickel LME Future   Sep-21     1,857,828       100,225       0.06 %
  137     Sugar NY Future   Oct-21     2,745,042       19,690       0.01 %
  33     Zinc LME Future   Sep-21     2,456,025       29,291       0.02 %
                  Subtotal       1,156,862          
Short
Contracts
  (55 )   Cocoa NY Future   Sep-21     1,313,950       9,750       0.01 %
  (64 )   ERX 2 Bund Future   Sep-21     8,510,439       (83 )     (0.00 )%
  (10 )   Japanese Yen Cme Index Future   Sep-21     1,125,000       13,876       0.01 %
  (72 )   Korean 10 year Bond Future   Sep-21     8,010,810       9,287       0.01 %
  (41 )   Korean Bond Future   Sep-21     3,988,007       (2,760 )     (0.00 )%
  (270 )   Short Sterling Future   Jun-22     3,323,923       31,880       0.02 %
  (179 )   Short Sterling Future   Sep-21     2,202,090       (5,135 )     (0.00 )%
                  Subtotal       56,815          

 

CREDIT
DEFUALT SWAPS
 
                    Unrealized        
Number
of
            Notional
Value at June
    Appreciation/     %
of Fund Net
 
Contracts     Description   Maturity
Date
  30,
2021
    (Depreciation)     Assets  
  2,000,000     Markit
CDX North America Investment Grade I
  6/20/2026   $ 2,000,000     $ 50,812       0.03 %
  1,700,000     MARKIT ITRX EUROPE   6/20/2026     2,015,860       45,138       0.03 %
  1,500,000     MARKIT ITRX EUROPE   6/20/2026     1,778,700       33,917       0.02 %
                  Subtotal     $ 129,867          

 

INTEREST
RATE SWAPS
 
                    Unrealized        
Number
of
            Notional
Value at June
    Appreciation/     %
of Fund Net
 
Contracts     Description   Maturity
Date
  30,
2021
    (Depreciation)     Assets  
  200,000,000     USD/INR IRS   9/15/2023     44,247,788       13,918       0.01 %
  60,000,000     USD/HKD IRS   9/20/2023     1,717,333       (6,290 )     (0.00 )%
  75,000,000     THB/USD IRS   12/20/2023     18,564,356       (5,007 )     (0.00 )%
  3,000,000,000     KRW/USD IRS   12/16/2026     1,450,000       5,886,968       3.66 %
  30,000,000     USD/HKD IRS   12/16/2026     2,111,475       11,983       0.01 %
  2,000,000     USD/GBP IRS   12/16/2026     1,511,585       3,772       0.00 %
  20,000,000     USD/NOK IRS   12/16/2026     1,269,945       983       0.00 %
  25,000,000     USD/ZAR IRS   9/17/2031     1,786,020       (446,421 )     (0.28 )%
  40,000,000     USD/CZK IRS   9/17/2031     1,897,510       1,481,439          
                  Subtotal     $ 6,941,345          

 

FORWARD
FOREIGN CURRENCY CONTRACTS
                    Unrealized        
    Currency
to Deliver/
              Appreciation/     %
of Fund Net
 
Settlement
Date
  Receive   Value     U.S.
Dollar Value
    (Depreciation)     Assets  
To Buy:                                    
09/15/21   CNH/USD     31,500,000       4,869,900       (50,693 )     (0.03 )%
09/15/21   USD/JPY     1,200,000       1,199,181       15,038       0.01 %
09/15/21   USD/PHP     1,400,000       1,402,577       (2,991 )     (0.00 )%
09/15/21   USD/THB     3,100,000       3,109,852       53,179       0.03 %
                  Subtotal     $ 14,533          
To Sell:                                    
07/29/21   USD/INR     2,000,000       2,006,096       (9,324 )     (0.01 )%
07/30/21   USD/KRW     1,100,000       1,099,996       (2,469 )     (0.00 )%
07/30/21   USD/RUB     1,400,000       1,405,711       (9,819 )     (0.01 )%
08/03/21   USD/BRL     1,300,000       1,304,890       (111 )     (0.00 )%
09/15/21   USD/CZK     1,200,000       1,200,562       (32,715 )     (0.02 )%
09/15/21   USD/HUF     1,400,000       1,399,750       (54,437 )     (0.03 )%
09/15/21   USD/INR     1,400,000       1,412,164       (21,512 )     (0.01 )%
09/15/21   ISD/PHP     2,900,000       2,905,338       (25,400 )     (0.02 )%
09/15/21   USD/THB     1,100,000       1,103,496       (32,275 )     (0.02 )%
09/17/21   USD/ILS     1,600,000       1,598,433       (5,235 )     (0.00 )%
                  Subtotal     $ (193,297 )        
                                     
    All Other
Investments
      7,017,581          
    Total Value
of Purchased Option
      15,123,706          

 

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

 

See
accompanying notes to financial statements. 

Altegris
Futures Evolution Strategy Fund
PORTFOLIO
OF INVESTMENTS (Continued)
June
30, 2021

 

WNTN
Top 50 Holdings ^
 
FUTURES
CONTRACTS
 
                    Unrealized        
Number
of
            Notional
Value at
    Appreciation/     %
of Fund
 
Contracts     Description   Expiration
Date
  June
30, 2021
    (Depreciation)       Net
Assets
 
Long
Contracts
                           
  45     5 Year T Note Future   Sep-21     5,554,336     $ (17,500 )     (0.01 )%
  22     Aluminum LME Future   Aug-21     1,387,375       96,008       0.06 %
  16     Aluminum LME Future   Jul-21     1,007,800       89,693       0.06 %
  297     Australian 3 Yr Bond Future   Sep-21     25,940,564       (75,262 )     (0.05 )%
  36     Australian Bills Future   Dec-21     1,927,677       (481 )     (0.00 )%
  37     Australian Bills Future   Sep-21     1,981,419       702       0.00 %
  120     Australian Dollar Future   Sep-21     8,997,600       (280,986 )     (0.17 )%
  14     Brent Oil Future   Oct-21     1,033,060       1,350       0.00 %
  219     British Pound Future   Sep-21     18,931,181       (480,969 )     (0.30 )%
  242     Canadian Dollar Future   Sep-21     19,519,720       (460,893 )     (0.29 )%
  16     E-Mini MSCI Em Future   Sep-21     1,091,840       3,615       0.00 %
  7     E-Mini NASDAQ Future   Sep-21     2,036,860       63,313       0.04 %
  19     E – Mini S&P 500 Future   Sep-21     4,074,170       46,368       0.03 %
  14     Euro BTP Future   Sep-21     2,513,588       11,087       0.01 %
  46     Euro BTS Future   Sep-21     6,172,516       1,755       0.00 %
  24     Euro Stoxx50 Future   Sep-21     1,154,163       (20,497 )     (0.01 )%
  95     Euro Dollars Future   Dec-22     1,687,607       (37,188 )     (0.02 )%
  64     Euro Dollars Future   Dec-23     1,130,000       (35,375 )     (0.02 )%
  64     Euro Dollars Future   Jun-22     1,139,771       (9,375 )     (0.01 )%
  81     Euro Dollars Future   Jun-23     1,435,146       (43,175 )     (0.03 )%
  80     Euro Dollars Future   Mar-23     1,419,500       (37,338 )     (0.02 )%
  85     Euro Dollars Future   Sep-22     1,512,317       (19,275 )     (0.01 )%
  71     Euro Dollars Future   Sep-23     1,255,179       (42,013 )     (0.03 )%
  17     FTSE Taiwan Index Future   Jul-21     1,037,170       14,450       0.01 %
  12     Heating Oil Future   Aug-21     1,072,663       903       0.00 %
  44     Lean Hogs Future   Aug-21     1,817,200       (95,050 )     (0.06 )%
  23     Live Cattle Future   Oct-21     1,178,980       27,630       0.02 %
  63     Mexican Peso Future   Sep-21     1,579,725       (11,680 )     (0.01 )%
  27     Natural Gas Future   Sep-21     978,480       71,200       0.04 %
  17     New Zealand Dollar Future   Sep-21     1,187,110       (37,230 )     (0.02 )%
  38     OMX 30 Future   Jul-21     1,007,050       (7,702 )     (0.00 )%
  7     OSK Nikkei Future   Sep-21     1,813,140       (9,945 )     (0.01 )%
  9     Silver CMX Future   Sep-21     1,178,730       (19,220 )     (0.01 )%
  16     Soybeans Future   Nov-21     1,119,200       90,013       0.06 %
  53     Sugar NT Future   Mar-22     1,073,229       43,523       0.03 %
  11     Topix Index Future   Sep-21     1,923,570       (14,625 )     (0.01 )%
  18     US 10Y Note Future   Sep-21     2,385,000       3,922       0.00 %
                  Subtotal     $ (1,190,247 )        
                                     
                    Unrealized        
Number
of
            Notional
Value at
    Appreciation/     %
of Fund
 
Contracts     Description   Expiration
Date
  June
30, 2021
    (Depreciation)     Net
Assets
 
Short
Contracts
                     
  (11 )   2 Year T Note Future   Sep-21     2,423,523     $ 2,031       0.00 %
  (52 )   EUR/USD CME Future   Sep-21     7,707,700       45,850       0.03 %
  (74 )   ERX 2 Bund Future   Sep-21     9,840,195       1,654       0.00 %
  (16 )   ERX Bobl Future   Sep-21     2,545,201       (1,542 )     (0.00 )%
  (9 )   Euro bund Future   Sep-21     1,842,128       (10,174 )     (0.01 )%
  (14 )   Gilts Future   Sep-21     2,480,452       (19,640 )     (0.01 )%
  -320     Japanese Yen Future   Sep-21     36,000,000       491,814       0.31 %
  -19     Swiss
Franc Future
  Sep-21     2,567,375       52,388       0.03 %
                  Subtotal        562,381          

 

FORWARD
FOREIGN CURRENCY CONTRACTS
    Currency
to
                        Unrealized        
Settlement   Deliver/         In
Exchange
              Appreciation/     %
of Fund
 
Date   Receive     Value     For     Value       U.S.
Dollar Value
      (Depreciation)     Net
Assets
 
To Buy:                                                
09/15/21   CNH     31,500,000     USD     4,896,555     $ 4,869,900     $ (50,693 )     (0.03 )%
                                                 
To Sell:                                                
07/29/21   USD     2,000,000     INR     148,480,940     $ 2,006,096     $ (9,324 )     (0.01 )%
07/30/21   USD     1,100,000     KRW     1,240,845,500       1,099,996       (2,469 )     (0.00 )%
07/30/21   USD     1,400,000     RUB     102,113,566       1,405,711       (9,819 )     (0.01 )%
08/03/21   USD     1,300,000     BRL     6,481,762       1,304,890       (111 )     (0.00 )%
    Subtotal   $ (72,416 )        
                                                 
    All Other
Investments
    15,192,412          
    Total Value
of Purchased Option
    14,441,437          

 

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

 

See
accompanying notes to financial statements.

Altegris
Futures Evolution Strategy Fund
PORTFOLIO
OF INVESTMENTS (Continued)
June
30, 2021

 

WNTN
TRND Top 50 Holdings ^
FUTURES
CONTRACTS
                    Unrealized        
Number
of
            Notional
Value at
    Appreciation/     %
of Fund Net
 
Contracts     Description   Expiration
Date
  June
30, 2021
    (Depreciation)     Assets  
Long
Contracts
                     
  12     Aluminum LME Future   Aug-21     756,750       56,079       0.03 %
  5     Aluminum LME Future   Jul-21     314,938       24,455       0.02 %
  30     Aussie 3 Year Bond Future   Sep-21     2,620,259       (9,352 )     (0.01 )%
  8     Aussie Bills Future   Dec-21     428,373       (92 )     (0.00 )%
  11     Aussie Bills Future   Sep-21     589,070       185       0.00 %
  6     CAC Index Future   Jul-21     462,818       (9,024 )     (0.01 )%
  3     Copper LME Future   Jul-21     702,263       (43,324 )     (0.03 )%
  2     Dax Index Future   Sep-21     920,655       (10,257 )     (0.01 )%
  10     Emini MSCI Future   Sep-21     682,400       2,110       0.00 %
  5     Emini Nasdaq Future   Sep-21     1,454,900       46,565       0.03 %
  13     Emini S&P Future   Sep-21     2,787,590       32,043       0.02 %
  37     Euro Stoxx 50 Future   Sep-21     1,779,334       (32,740 )     (0.02 )%
  7     FTSE Index Future   Sep-21     675,831       (13,700 )     (0.01 )%
  5     Gasoline Blendstock Future   Aug-21     470,778       (2,037 )     (0.00 )%
  3     Gasoline Blendstock Future   Sep-21     280,148       (2,234 )     (0.00 )%
  3     Hang Seng Index Future   Jul-21     553,132       (258 )     (0.00 )%
  4     Heating Oil Future   Aug-21     357,554       10,882       0.01 %
  4     High Grade Copper Future   Sep-21     428,900       588       0.00 %
  2     Japan Government Bond Future   Sep-21     2,730,420       (1,440 )     (0.00 )%
  12     Lead LME Future   Jul-21     679,200       32,526       0.02 %
  5     Lead LME Future   Sep-21     283,875       9,158       0.01 %
  6     Live Cattle Future   Oct-21     307,560       5,890       0.00 %
  2     Mini Dow Jones Future   Sep-31     343,990       2,200       0.00 %
  9     Natural Gas Future   Aug-21     328,500       27,050       0.02 %
  3     Nickel LME Future   Aug-21     327,744       (1,292 )     (0.00 )%
  4     Nickel LME Future   Jul-21     436,944       7,324       0.00 %
  3     OSK Nikkei Future   Sep-21     777,060       (4,185 )     (0.00 )%
  7     SFE SPI 200 Future   Sep-21     947,766       (5,698 )     (0.00 )%
  5     Topix Index Future   Sep-21     874,350       (7,245 )     (0.00 )%
  8     Zinc LME Future   Jul-21     594,050       3,639       0.00 %
                  Subtotal     $ 117,816          
                                     
                    Unrealized        
Number
of
            Notional
Value at
    Appreciation/     %
of Fund Net
 
Contracts     Description   Expiration
Date
  June
30, 2021
    (Depreciation)     Assets  
Short
Contracts
                     
  (18 )   2 Year Treasury Note Future   Sep-21   $ 3,965,766     $ 7,141       0.00 %
  (14 )   3 Year Treasury Note Future   Sep-21     1,728,016       6,234       0.00 %
  (6 )   Aussie 10 Year Bond Future   Sep-21     635,181       835       0.00 %
  (26 )   ERX 2 Bund Future   Sep-21     3,457,366       474       0.00 %
  (17 )   ERX Bobl Future   Sep-21     2,704,276       (1,589 )     (0.00 )%
  (13 )   Euribor Future   Sep-22     276,569       (30 )     (0.00 )%
  (13 )   Euribor Future   Dec-22     276,500       (193 )     (0.00 )%
  (20 )   Euro Oat future   Sep-21     4,093,619       (20,087 )     (0.01 )%
  (3 )   Euro Bund Future   Sep-21     565,769       (2,241 )     (0.00 )%
  (4 )   Eurx Euro Bobl Future   Sep-21     964,008       (11,977 )     (0.01 )%
  (5 )   Gilts Future   Sep-21     885,876       (7,054 )     (0.00 )%
  (8 )   Lead LME Future   Jul-21     452,800       (18,881 )     (0.01 )%
  (3 )   Nickel LME Future   Jul-21     327,708       (5,007 )     (0.00 )%
  (23 )   Short Sterlng Future   Sep-22     282,950       1,807       0.00 %
  (23 )   Short Sterlng Future   Dec-22     282,751       1,893       0.00 %
  (23 )   Short Sterlng Future   Mar-23     282,595       1,383       0.00 %
  (2 )   Ultra T Bond Future   Sep-21     385,375       (14,156 )     (0.01 )%
  (8 )   US 10 Year Note Future   Sep-21     1,060,000       (3,937 )     (0.00 )%
  (3 )   US Treasury Bond Future   Sep-21     482,250       (11,648 )     (0.01 )%
  (4 )   Zinc LME Future   Jul-21     297,025       (8,662 )     (0.01 )%
                  Subtotal     $ (85,695 )        
            All
Other Investments
      7,612,509          
            Total Value
of Purchased Option
      7,644,630          

 

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

 

See
accompanying notes to financial statements.

Altegris
Futures Evolution Strategy Fund
STATEMENT
OF ASSETS AND LIABILITIES
June
30, 2021

 

ASSETS      
Investment
securities:
       
At
cost
  $ 149,979,832  
At value   $ 150,784,773  
Cash     8,384,411  
Receivable
for securities sold
    2,146,255  
Receivable for Fund
shares sold
    104,767  
Interest
receivable
    456  
Prepaid
expenses and other assets
    48,631  
TOTAL
ASSETS
    161,469,293  
         
LIABILITIES        
Payable for Fund
shares repurchased
    299,997  
Investment
advisory fees payable
    186,511  
Payable
to related parties
    56,079  
Distribution
(12b-1) fees payable
    10,601  
Foreign
cash due to custodian (Cost: $8,837)
    8,837  
Accrued
expenses and other liabilities
    89,843  
TOTAL
LIABILITIES
    651,868  
NET
ASSETS
  $ 160,817,425  
         
Composition
of Net Assets:
       
Paid
in capital
  $ 180,590,002  
Accumulated
loss
    (19,772,577 )
NET
ASSETS
  $ 160,817,425  

 

See
accompanying notes to financial statements.

Altegris
Futures Evolution Strategy Fund
STATEMENT
OF ASSETS AND LIABILITIES (Continued)
June
30, 2021

 

Net Asset Value Per
Share:
     
Class A Shares:      
Net
Assets
  $ 5,770,914  
Shares
of beneficial interest outstanding ($0 par value, unlimited shares authorized)
    668,065  
Net
asset value (Net Assets ÷ Shares Outstanding) and redemption price per share (a)(b)
  $ 8.64  
Maximum
offering price per share (net asset value plus maximum sales charge of 5.75%) (c)
  $ 9.17  
         
Class C Shares:        
Net
Assets
  $ 4,315,424  
Shares
of beneficial interest outstanding ($0 par value, unlimited shares authorized)
    501,722  
Net
asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)(d)
  $ 8.60  
         
Class I Shares:        
Net
Assets
  $ 133,684,452  
Shares
of beneficial interest outstanding ($0 par value, unlimited shares authorized)
    15,543,811  
Net
asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)
  $ 8.60  
         
Class N Shares:        
Net
Assets
  $ 17,046,635  
Shares
of beneficial interest outstanding ($0 par value, unlimited shares authorized)
    1,973,810  
Net
asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share (b)
  $ 8.64  

 

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

 

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

 

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

 

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

 

See
accompanying notes to financial statements. 

Altegris
Futures Evolution Strategy Fund
STATEMENT
OF OPERATIONS
Year
ended June 30, 2021

 

INVESTMENT
INCOME
     
Interest   $ 5,132,756  
TOTAL
INVESTMENT INCOME
    5,132,756  
         
EXPENSES        
Advisory
fees
    3,023,996  
Distribution
(12b-1) fees:
       
Class
A
    18,146  
Class
C
    56,072  
Class
N
    65,065  
Administrative
services fees
    262,335  
Third
party administrative services fees
    124,548  
Registration
fees
    117,166  
Transfer
agent fees
    114,660  
Custodian
fees
    67,595  
Audit
fees
    45,949  
Accounting
services fees
    45,322  
Legal
fees
    36,835  
Trustees
fees and expenses
    29,847  
Printing
and postage expenses
    25,724  
Compliance
officer fees
    23,352  
Insurance
expense
    5,403  
Other
expenses
    8,878  
TOTAL
EXPENSES
    4,070,893  
Less:
Fees waived by the Advisor
    (531,035 )
NET
EXPENSES
    3,539,858  
         
NET
INVESTMENT INCOME
    1,592,898  
         
NET
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS
       
Net
realized gain/(loss) from:
       
Investments     (6,556,798 )
Purchased
Options
    14,764,851  
Forward
exchange contracts and translations
    2,733  
Net
Realized Gain
    8,210,786  
         
Net
change in unrealized appreciation/(depreciation) on:
       
Investments     9,889,688  
Purchased
Options
    (456,775 )
Foreign
Currency Translations
    (3,493 )
Net
change in unrealized appreciation
    9,429,420  
         
NET
REALIZED AND UNREALIZED GAIN ON INVESTMENTS
    17,640,206  
         
NET
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS
  $ 19,233,104  

 

See
accompanying notes to financial statements. 

Altegris
Futures Evolution Strategy Fund
STATEMENTS
OF CHANGES IN NET ASSETS

 

    For
the Year Ended
    For
the Year Ended
 
    June
30,
    June
30,
 
    2021     2020  
             
INCREASE/(DECREASE)
IN NET ASSETS FROM OPERATIONS
               
Net
investment income
  $ 1,592,898     $ 6,606,278  
Net
realized gain/(loss) on investments, purchased options, foreign currency contracts and translations
    8,210,786       (53,310,051 )
Net
change in unrealized appreciation/(depreciation) on investments, purchased options,foreign currency contracts and translations
    9,429,420       (12,268,401 )
Net
increase/(decrease) in net assets resulting from operations
    19,233,104       (58,972,174 )
                 
DISTRIBUTIONS
TO SHAREHOLDERS
               
Total
Distributions Paid
               
Class
A
    (118,757 )     (199,098 )
Class
C
    (64,765 )     (72,445 )
Class
I
    (3,363,103 )     (4,482,045 )
Class
N
    (469,349 )     (1,095,232 )
Total
distributions to shareholders
    (4,015,974 )     (5,848,820 )
                 
SHARES
OF BENEFICIAL INTEREST
               
Proceeds
from shares sold:
               
Class
A
    888,380       2,421,153  
Class
C
    32,580       808,194  
Class
I
    30,512,730       154,993,602  
Class
N
    10,769,195       112,402,354  
Net
asset value of shares issued in reinvestment of distributions:
               
Class
A
    109,203       184,198  
Class
C
    60,501       70,868  
Class
I
    2,264,215       3,881,013  
Class
N
    460,985       671,832  
Redemption
fee proceeds:
               
Class
A
    612       294  
Class
C
    5       10  
Class
I
    4,621       11,982  
Class
N
    401       3,303  
Payments
for shares redeemed:
               
Class
A
    (5,588,227 )     (11,869,258 )
Class
C
    (4,955,070 )     (5,887,368 )
Class
I
    (145,646,611 )     (308,613,645 )
Class
N
    (36,370,890 )     (133,458,357 )
Net
decrease from shares of beneficial interest transactions
    (147,457,370 )     (184,379,825 )
                 
NET
DECREASE IN NET ASSETS
    (132,240,240 )     (249,200,819 )
                 
NET
ASSETS
               
Beginning
of Year
    293,057,665       542,258,484  
End
of Year
  $ 160,817,425     $ 293,057,665  

 

See
accompanying notes to financial statements.

Altegris
Futures Evolution Strategy Fund
CONSOLIDATED
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

    For
the Year Ended
    For
the Year Ended
 
    June
30,
    June
30,
 
    2021     2020  
SHARE
ACTIVITY
               
Class
A:
               
Shares
Sold
    112,685       260,033  
Shares Reinvested     14,345       20,071  
Shares
Redeemed
    (713,697 )     (1,353,947 )
Net
decrease in shares of beneficial interest outstanding
    (586,667 )     (1,073,843 )
                 
Class
C:
               
Shares Sold     4,173       85,127  
Shares Reinvested     7,983       7,834  
Shares
Redeemed
    (644,996 )     (664,970 )
Net
decrease in shares of beneficial interest outstanding
    (632,840 )     (572,009 )
                 
Class
I:
               
Shares Sold     3,896,862       18,126,348  
Shares Reinvested     298,155       425,308  
Shares
Redeemed
    (19,000,514 )     (34,025,362 )
Net
decrease in shares of beneficial interest outstanding
    (14,805,497 )     (15,473,706 )
                 
Class
N:
               
Shares Sold     1,387,936       12,478,703  
Shares Reinvested     61,011       73,479  
Shares
Redeemed
    (4,740,396 )     (15,890,667 )
Net
decrease in shares of beneficial interest outstanding
    (3,291,449 )     (3,338,485 )

 

See
accompanying notes to financial statements. 

Altegris
Futures Evolution Strategy Fund
FINANCIAL
HIGHLIGHTS
 
Per
Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year

 

    Class
A
    Year
Ended
    Year
Ended
    Year
Ended
    Year
Ended
    Year
Ended
 
    June
30,
    June
30,
    June
30,
    June
30,
    June
30,
 
    2021     2020     2019     2018^     2017^  
                               
Net
asset value, beginning of year
  $ 7.74     $ 9.31     $ 9.82     $ 9.37     $ 10.84  
                                         
Income/(loss)
from investment operations:
                                       
Net
investment income (1)
    0.04       0.12       0.11       0.09       0.12  
Net
realized and unrealized gain/(loss) on investments
    0.98       (1.59 )     (0.17 )     0.48       (0.90 )
Total
from investment operations
    1.02       (1.47 )     (0.06 )     0.57       (0.78 )
                                         
Less
distributions from:
                                       
Net
investment income
    (0.12 )     (0.10 )     (0.45 )     (0.12 )     (0.69 )
Total
distributions
    (0.12 )     (0.10 )     (0.45 )     (0.12 )     (0.69 )
                                         
Redemption
fees collected (2)
    0.00       0.00       0.00       0.00       0.00  
                                         
Net
assets, at end of year
  $ 8.64     $ 7.74     $ 9.31     $ 9.82     $ 9.37  
                                         
Total
return (3)
    13.46 %     (15.94 )% (4)     (0.52 )% (4)     6.06 % (4)     (7.36 )%
                                         
Net
assets, at end of year(000s)
  $ 5,771     $ 9,711     $ 21,669     $ 40,624     $ 59,411  
                                         
Ratios
including the expenses and income of AFES Fund Limited applicable for the years 2017 through 2018:
                                       
Ratio
of gross expenses to average net assets (5)
    2.20 %     2.18 %     2.08 %     2.00 %     1.99 %
Ratio
of net expenses to average net assets
    1.94 %     1.94 %     1.94 %     1.94 %     1.94 %
Ratio
of net investment income to average net assets
    0.55 %     1.30 %     1.17 %     0.94 %     1.14 %
                                         
Portfolio
Turnover Rate
    146 %     68 %     64 %     53 %     77 %

 

 

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

 

(2) Represents
less than $0.01 per share.

 

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

 

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

 

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

 

See
accompanying notes to financial statements.

Altegris
Futures Evolution Strategy Fund
FINANCIAL
HIGHLIGHTS
 
Per
Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year

 

    Class
C
    Year
Ended
    Year
Ended
    Year
Ended
    Year
Ended
    Year
Ended
 
    June
30,
    June
30,
    June
30,
    June
30,
    June
30,
 
    2021     2020     2019     2018^     2017^  
                               
Net
asset value, beginning of year
  $ 7.72     $ 9.30     $ 9.75     $ 9.31     $ 10.78  
                                         
Income/(loss)
from investment operations:
                                       
Net
investment income/(loss) (1)
    (0.01 )     0.05       0.04       0.02       0.04  
Net
realized and unrealized gain/(loss) on investments
    0.97       (1.58 )     (0.18 )     0.47       (0.88 )
Total
from investment operations
    0.96       (1.53 )     (0.14 )     0.49       (0.84 )
                                         
Less
distributions from:
                                       
Net
investment income
    (0.08 )     (0.05 )     (0.31 )     (0.05 )     (0.63 )
Total
distributions
    (0.08 )     (0.05 )     (0.31 )     (0.05 )     (0.63 )
                                         
Redemption
fees collected (2)
    0.00       0.00       0.00       0.00       0.00  
                                         
Net
assets, at end of year
  $ 8.60     $ 7.72     $ 9.30     $ 9.75     $ 9.31  
                                         
Total
return (3)
    12.62 %     (16.54 )%     (1.42 )% (4)     5.26 % (4)     (8.02 )%
                                         
Net
assets, at end of year(000s)
  $ 4,315     $ 8,763     $ 15,878     $ 22,237     $ 31,270  
                                         
Ratios
including the expenses and income of AFES Fund Limited applicable for the years 2017 through 2018:
                                       
Ratio
of gross expenses to average net assets (5)
    2.95 %     2.93 %     2.83 %     2.75 %     2.74 %
Ratio
of net expenses to average net assets
    2.69 %     2.69 %     2.69 %     2.69 %     2.69 %
Ratio
of net investment income to average net assets
    (0.16 )%     0.55 %     0.45 %     0.18 %     0.40 %
                                         
Portfolio
Turnover Rate
    146 %     68 %     64 %     53 %     77 %

 

 

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

 

(2) Represents
less than $0.01 per share.

 

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

 

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

 

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

 

See
accompanying notes to financial statements. 

Altegris
Futures Evolution Strategy Fund
FINANCIAL
HIGHLIGHTS
 
Per
Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year

 

    Class
I
    Year
Ended
    Year
Ended
    Year
Ended
    Year
Ended
    Year
Ended
 
    June
30,
    June
30,
    June
30,
    June
30,
    June
30,
 
    2021     2020     2019     2018^     2017^  
                               
Net
asset value, beginning of year
  $ 7.71     $ 9.27     $ 9.80     $ 9.36     $ 10.82  
                                         
Income/(loss)
from investment operations:
                                       
Net
investment income (1)
    0.07       0.14       0.14       0.12       0.14  
Net
realized and unrealized gain/(loss) on investments
    0.96       (1.57 )     (0.17 )     0.46       (0.88 )
Total
from investment operations
    1.03       (1.43 )     (0.03 )     0.58       (0.74 )
                                         
Less
distributions from:
                                       
Net
investment income
    (0.14 )     (0.13 )     (0.50 )     (0.14 )     (0.72 )
Total
distributions
    (0.14 )     (0.13 )     (0.50 )     (0.14 )     (0.72 )
                                         
Redemption
fees collected (2)
    0.00       0.00       0.00       0.00       0.00  
                                         
Net
assets, at end of year
  $ 8.60     $ 7.71     $ 9.27     $ 9.80     $ 9.36  
                                         
Total
return (3)
    13.66 %     (15.67 )%     (0.24 )% (4)     6.22 % (4)     (7.05 )%
                                         
Net
assets, at end of year(000s)
  $ 133,684     $ 233,878     $ 424,680     $ 515,569     $ 379,132  
                                         
Ratios
including the expenses and income of AFES Fund Limited applicable for the years 2017 through 2018:
                                       
Ratio
of gross expenses to average net assets (5)
    1.95 %     1.93 %     1.83 %     1.75 %     1.74 %
Ratio
of net expenses to average net assets
    1.69 %     1.69 %     1.69 %     1.69 %     1.69 %
Ratio
of net investment income to average net assets
    0.86 %     1.55 %     1.45 %     1.20 %     1.41 %
                                         
Portfolio
Turnover Rate
    146 %     68 %     64 %     53 %     77 %

 

 

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

 

(2) Represents
less than $0.01 per share.

 

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

 

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

 

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

 

See
accompanying notes to financial statements. 

Altegris
Futures Evolution Strategy Fund
FINANCIAL
HIGHLIGHTS
 
Per
Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year

 

    Class
N
 
    Year
Ended
    Year
Ended
    Year
Ended
    Year
Ended
    Year
Ended
 
    June
30,
    June
30,
    June
30,
    June
30,
    June
30,
 
    2021     2020     2019     2018^     2017^  
                                         
Net
asset value, beginning of year
  $ 7.73     $ 9.30     $ 9.82     $ 9.37     $ 10.84  
                                         
Income/(loss)
from investment operations:
                                       
Net
investment income (1)
    0.05       0.12       0.11       0.09       0.12  
Net
realized and unrealized gain/(loss) on investments
    0.98       (1.59 )     (0.19 )     0.48       (0.90 )
Total
from investment operations
    1.03       (1.47 )     (0.07 )     0.57       (0.78 )
                                         
Less
distributions from:
                                       
Net
investment income
    (0.12 )     (0.10 )     (0.45 )     (0.12 )     (0.69 )
Total
distributions
    (0.12 )     (0.10 )     (0.45 )     (0.12 )     (0.69 )
                                         
Redemption
fees collected (2)
    0.00       0.00       0.00       0.00       0.00  
                                         
Net
assets, at end of year
  $ 8.64     $ 7.73     $ 9.30     $ 9.82     $ 9.37  
                                         
Total
return (3)
    13.57 %     (15.95 )%     (0.62 )% (4)     6.07 % (4)     (7.35 )%
                                         
Net
assets, at end of year(000s)
  $ 17,047     $ 40,706     $ 80,032     $ 90,121     $ 90,042  
                                         
Ratios
including the expenses and income of AFES Fund Limited applicable for the years 2017 through 2018:
                                       
Ratio
of gross expenses to average net assets (5)
    2.20 %     2.19 %     2.08 %     2.00 %     1.99 %
Ratio
of net expenses to average net assets
    1.94 %     1.94 %     1.94 %     1.94 %     1.94 %
Ratio
of net investment income to average net assets
    0.66 %     1.29 %     1.21 %     0.95 %     1.15 %
                                         
Portfolio
Turnover Rate
    146 %     68 %     64 %     53 %     77 %

 

 

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

 

(2) Represents
less than $0.01 per share.

 

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

 

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

 

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

 

See
accompanying notes to financial statements.

Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS
June
30, 2021

 

1. ORGANIZATION
AND CONSOLIDATION OF SUBSIDIARY

 

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

 

  Commencement Diversification  
  Date Status Investment
Objective
Altegris
Futures Evolution Strategy Fund
October
31, 2011
Diversified Long
term capital appreciation.

 

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

 

2. SIGNIFICANT
ACCOUNTING POLICIES

 

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

 

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

Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS (Continued)
June
30, 2021

 

service
approved by the Board. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued
at amortized cost.

 

The
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 will be valued
using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value
committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor and/or sub-advisor.
The committee may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant
or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board has
also engaged a third party valuation firm to attend valuation meetings held by the Trust, review minutes of such meetings and report
to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at
least quarterly to assure the process produces reliable results.

 

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

 

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

 

Level
1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the 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 instrument in an inactive market, prices for similar instruments,
interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level
3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing
the 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

Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS (Continued)
June
30, 2021

 

markets,
and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable
or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised
in determining fair value is greatest for instruments categorized in Level 3.

 

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

 

The
inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following tables summarize the inputs used as of June 30, 2021 for the Fund’s assets and liabilities measured at fair value:

 

FUTURES EVOLUTION
STRATEGY FUND
 
Assets
*
  Level
1
    Level
2
    Level
3
    Total  
Open
Ended Fund
  $ 113,575,000     $     $     $ 113,575,000  
Warrant                        
Purchased
Options
          37,209,773             37,209,773  
Total   $ 113,575,000     $ 37,209,773     $     $ 150,784,773  

 

* Refer
to the Portfolio of Investments for security classification.

 

The
Fund did not hold any Level 3 securities as of June 30, 2021.

 

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

 

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

 

Federal
Income Taxes – It is the Fund’s policy to continue to qualify as a regulated investment company by complying with the
provisions of the Internal Revenue Code of 1986, as amended that are applicable to regulated investment companies and to distribute substantially
all of its taxable income and net realized gains to shareholders. Therefore, no federal income tax provision has been recorded.

 

The
Fund recognizes tax benefits only for tax positions where the position is “more likely than not” to be sustained assuming examination
by tax authorities. Management has analyzed the Fund’s tax positions, and has concluded that no liability for unrecognized tax benefits
should be recorded related to uncertain tax positions expected to be taken on returns filed for all open tax years (2018-2020) or expected
to be taken in the Fund’s 2021 tax return. The Fund identifies its major tax jurisdictions as U.S. federal and Ohio and foreign
jurisdictions where the Fund makes significant investments; however, the Fund is 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 fund are charged to that fund. Expenses, which are not readily
identifiable to a particular fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type
of expense and the relative sizes of the funds in the Trust.

 

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

Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS (Continued)
June
30, 2021

 

Market
and Geopolitical Risk – The increasing interconnectivity between global economies and financial markets increases the likelihood
that events or conditions in one region or financial market may adversely impact issuers in a different country, region or financial
market. Securities in a Fund’s portfolio may underperform due to inflation (or expectations for inflation), interest rates, global
demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or
quasi-governmental actions. The occurrence of global events similar to those in recent years may result in market volatility and may
have long term effects on both the U.S. and global financial markets. The current novel coronavirus (COVID-19) global pandemic and the
aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition
of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail
and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how
long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged
period of global economic slowdown, which may impact your Fund investment.

 

Option
Transactions – When the Fund purchases an option, an amount equal to the premium paid by the Fund is recorded as an investment and
is subsequently adjusted to the current value of the option purchased. If an option expires on the stipulated expiration date or if the
Fund enters into a closing sale transaction, a gain or loss is realized. If a call option is exercised, the cost of the security acquired
is increased by the premium paid for the call. If a put option is exercised, a gain or loss is realized from the sale of the underlying
security, and the proceeds from such a sale are decreased by the premium originally paid. Written and purchased options are non -income
producing securities. The Fund invests in options which are not traded on an exchange. In doing so, it is assuming a credit risk with
regard to the party with which it trades and also bears the risk of settlement default. These risks may differ materially from risks
associated with transactions effected on an exchange, which generally are backed by clearing organization guarantees, daily mark-to-market
and settlement, segregation and minimum capital requirements applicable to intermediaries. Relying on a counterparty exposes the Fund
to the risk that a counterparty will not settle a transaction in accordance with its terms and conditions because of a dispute over the
terms of the contract (whether or not bona fide) or because of a credit or liquidity problem, thus causing the Fund to suffer a loss.
If a counterparty defaults on its payment obligations to the Fund, this default will cause the value of an investment in the Fund to
decrease. In addition, to the extent the Fund deals with a limited number of counterparties, it will be more susceptible to the credit
risks associated with those counterparties. The Fund is neither restricted from dealing with any particular counterparty nor from concentrating
any or all of its transactions with one counterparty. The ability of the Fund to transact business with any one or number of counterparties
and the absence of a regulated market to facilitate settlement may increase the potential for losses by the Fund. The Fund holds fully
funded options with Nomura Securities (Bermuda), Ltd. The options provide exposure to the daily returns of a reference asset on a 1 to
1 basis. According to the terms of the option, the Adviser may increase or decrease this exposure on a daily basis. The Fund pays an
upfront premium of 1.10% per annum, which is charged based on the contract year, which is accrued daily over the contract period. The
option contracts were initially entered into as of August 16, 2017, and have a two year valuation period, which may be extended or reduced
to zero at any time. Based on the terms of the call option agreement, the Fund amortizes the option premiums on a straight-line basis
for a one-year period with the unamortized balance due from the counterparty as a rebate in the case of an early exercise subject to
an early exercise fee. For the year ended June 30, 2021, $494,574 of option premiums was amortized.

 

Other
Investment Companies or Exchange Traded Funds – The Fund may invest up to 100% of their net assets in shares of affiliated
and unaffiliated investment companies, including money market mutual funds, other mutual funds or exchange-traded funds (“ETFs”).
An ETF generally is an open-end investment company, unit investment trust or a portfolio of securities deposited with a depository in
exchange for depository receipts. ETFs provide investors the opportunity to buy or sell throughout the day an entire portfolio of securities
in a single security. Although index mutual funds are similar to index-based ETFs, they are generally sold and redeemed only once per
day at market close. The ETFs in which a Fund invests may be subject to liquidity risk. Liquidity risk exists when particular investments
are difficult to purchase or sell, possibly preventing the sale of the security at an advantageous time or price. To the extent that
the ETFs in which a Fund invests hold securities of companies with smaller market capitalizations or securities with substantial market
risk, they will have a greater exposure to liquidity risk. In addition, ETFs are subject to the following risks that do not apply to
conventional mutual funds that can be found in “Exchange-Traded Funds” below: (1) the market price of the ETF’s shares
may trade at a discount to their net asset value; (2) an active trading market for an ETF’s shares may not develop or be maintained;
or (3) trading of an ETF’s shares may be halted if the listing exchange deem such action appropriate, the shares are de-listed from
the exchange, or the activation of market-wide “circuit breakers” (which are tied to large decreases in stock prices) halts
stock trading generally. Additionally, ETFs have management fees, which increase their cost. In addition to the advisory and operational
fees a Portfolio bears directly in connection with its own operation, the Portfolio also bears its pro rata portion of the advisory

Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS (Continued)
June
30, 2021

 

and
operational expenses incurred indirectly through investments in other investment companies.

 

3. INVESTMENT
TRANSACTIONS AND ASSOCIATED RISKS

 

For
the year ended June 30, 2021, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments and
U.S. Government securities, amounted to the following:

 

    Purchases     Sales  
Futures Evolution Strategy Fund   $ 208,711,918     $ 277,771,615  

 

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

 

Market
Risk: Overall securities and derivatives market risks may affect the value of individual instruments in which the Fund invests. Factors
such as domestic and foreign economic growth and market conditions, interest rate levels, and political events affect the securities
and derivatives markets. When the value of the Fund’s investments goes down, your investment in the Fund decreases in value and
you could lose money.

 

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

 

Liquidity
Risk: Liquidity risk exists when particular investments of the Fund would be difficult to purchase or sell, possibly preventing the
Fund from selling such illiquid securities at an advantageous time or price, achieve its desired level of exposure to a certain sector,
or possibly requiring the Fund to dispose of other investments at unfavorable times or prices in order to satisfy its obligations.

 

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

 

The
following is a summary of the location of derivative investments on each Fund’s Statement of Assets and Liabilities as of June 30,
2021:

 

Location
on the Statement of Assets and Liabilities
Derivative
Investment Type
Asset
Derivatives
Purchased
Options
Investment
Securities at value

 

The
following table sets forth the fair value of each Fund’s derivative contracts by primary risk exposure as of June 30, 2021:

 

Futures
Evolution Strategy Fund
 
   
    Equity
Risk
    Interest
Rate Risk
    Currency
Risk
    Commodity
Risk
    Total  
Purchased
Options
  $ 37,209,773     $     $     $     $ 37,209,773  
    $ 37,209,773     $     $     $     $ 37,209,773  

 

The
following is a summary of the location of derivative investments on the Fund’s Statement of Operations for the year ended June 30,
2021:

 

Derivative
Investment Type
Location
of Gain (Loss) on Derivative
Options Net
realized gain/(loss) from purchased options
  Net
change unrealized appreciation/(depreciation) on purchased options

 

The
effect of Derivative Instruments on the Statement of Operations for the year ended June 30, 2021:

 

            Realized
Gain
    Change
in Unrealized
 
Risk
Type
  Derivative   Location
of Gain/Loss Derivatives
  Derivatives     Depreciation
on Derivatives
 
Futures
Evolution Strategy Fund
               
Equity
Risk
  Options
purchased
  Net
realized gain from purchased options
  $ 14,764,851          
Equity
Risk
      Net
change in unrealized depreciation on purchased options
          $ (456,775 )
Total           $ 14,764,851     $ (456,775 )
Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS (Continued)
June
30, 2021

 

The
notional value of the derivative instruments outstanding as of June 30, 2021 as disclosed in the Portfolios of Investments and the amounts
realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statements
of Operations serve as indicators of the volume of derivative activity for a Fund.

 

4. INVESTMENT
ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Altegris
Advisors, L.L.C., serves as the Fund’s investment advisor (the “Advisor”). The Advisor delegates management of the Futures
Evolution Strategy Fund’s Fixed Income strategy portfolio to DoubleLine Capital, L.P., who serves as that Fund’s sub-advisor.
Effective June 30, 2021, DoubleLine Capital, LP (“DoubleLine”) will no longer serve as a Sub-Adviser of the Altegris Futures
Evolution Strategy Fund (“Fund”).

 

Pursuant
to an advisory agreement with the Trust, on behalf of the Fund the Advisor, under the oversight of the Board, directs the daily operations
of the Fund and supervises the performance of administrative and professional services provided by others. As compensation for its services
and the related expenses borne by the Advisor, the Fund pays the Advisor a fee computed and accrued daily and paid monthly, based on
each respective Fund’s average daily net assets computed at the following annual rates: 1.50% on the first $1 billion, 1.40% on
net assets greater than $1 billion and less than or equal to $1.5 billion, 1.30% on net assets greater than $1.5 billion and less than
or equal to $2 billion, 1.20% on net assets greater than $2 billion and less than or equal to $2.5 billion, 1.10% on net assets greater
than $2.5 billion and less than or equal to $3 billion and 1.00% on net assets greater than $ 3 billion. Pursuant to a sub-advisory agreement
between the Advisor and sub-advisor, the sub-advisor is entitled to receive, on a monthly basis, an annual sub-advisory fee on the fixed
income portion of the Fund’s average daily net assets. The sub-advisor is paid by the Advisor not by the Fund. During the year ended
June 30, 2021, the Advisor earned $3,023,996.

 

Pursuant
to a written agreement (the “Waiver Agreement”) the Advisor has contractually agreed to reduce its fees and to reimburse expenses,
at least until October 31, 2021, to ensure that total annual Fund operating expenses (exclusive of any front-end or contingent deferred
loads; brokerage fees and commissions; acquired fund fees and expenses; fees and expenses associated with investments in other collective
investment vehicles or derivative instruments (including for example option and swap fees and expenses); borrowing costs (such as interest
and dividend expense on securities sold short); taxes; expenses incurred in connection with any merger or reorganization; and extraordinary
expenses such as litigation expenses) will not exceed the amounts below (the “Expense Limitation”). The Board may terminate
this expense reimbursement arrangement at any time upon 60 days’ notice to the Advisor.

 

Class
A
  Class
C
  Class
I
  Class
N
1.94%   2.69%   1.69%   1.94%

 

During
the year ended June 30, 2021, the Advisor waived $531,035 pursuant to the Waiver Agreement.

 

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

 

Jun-22     840,952  
Jun-23     1,104,976  
Jun-24     531,035  
    $ 2,476,963  

 

The
Trust, on behalf of the Funds, has adopted the Trust’s Master Distribution and Shareholder Servicing Plans for Class A, Class C
and Class N shares (the “Plans”) pursuant to Rule 12b-1 under the 1940 Act. The Plans provide that a monthly

Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS (Continued)
June
30, 2021

 

service
and/or distribution fee is calculated by the Funds at an annual rate of 0.25%, 1.00%, and 0.25% of the average daily net assets attributable
to Class A, Class C and Class N shares, respectively. These fees are paid to Northern Lights Distributors, LLC (“NLD” or the
“Distributor”) to provide compensation for ongoing distribution-related activities and/or maintenance of the Funds’ shareholder
accounts, not otherwise required to be provided by the Advisor. During the year ended June 30, 2021, pursuant to the Plans, the Funds
incurred the following:

 

12b-1
Fees
Class A   $ 18,146  
Class C     56,072  
Class N     65,065  

 

The
Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ Class A and Class C shares.
During the year ended June 30, 2021, the Distributor received underwriting commissions for sales of Class A and Class C shares, respectively.
The amounts of underwriting commissions received from the Fund and retained by the Distributor are as follows:

 

    Received     Retained  
    Class
A
    Class
C
    Class
A
    Class
C
 
Futures Evolution Strategy Fund   $ 5,246     $ 386     $ 809     $ 60  

 

The
Fund is part of a series of Altegris Mutual Funds (“Family”) comprised of the Fund and Altegris/AACA Real Estate Fund. The
Family shares the minimum annual fees based on a percentage of the average net assets of each fund.

 

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

 

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

 

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

 

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

 

 

The
Fund may assess a short-term redemption fee of 1.00% of the total redemption amount if a shareholder sells their shares after holding
them for less than 30 days. The redemption fee is paid directly to the respective Fund in which the short-term redemption fee occurs.
For the year ended June 30, 2021, redemption fees for the Fund was as follows:

 

Class A   $ 612  
Class C     5  
Class I     4,621  
Class N     401  
Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS (Continued)
June
30, 2021

 

6. AGGREGATE
UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

      Gross Unrealized     Gross Unrealized     Net Unrealized
Appreciation/
 
Tax
Cost
    Appreciation     Depreciation     Depreciation  
$ 149,984,430     $ 819,499     $ (19,156 )   $ 800,343  

 

7. DISTRIBUTIONS
TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

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

 

    Fiscal Year
Ended
    Fiscal Year
Ended
 
    June
30, 2021
    June
30, 2020
 
Ordinary Income   $ 4,015,974     $ 5,848,820  
Long-Term Capital Gain            
Return of Capital            
    $ 4,015,974     $ 5,848,820  

 

As
of June 30, 2021, the components of accumulated earnings/(deficit) on a tax basis was as follows:

 

Undistributed     Undistributed     Post October
Loss
    Capital
Loss
    Other     Unrealized     Total  
Ordinary     Long-Term     and     Carry     Book/Tax     Appreciation/     Accumulated  
Income     Gains     Late
Year Loss
    Forwards     Differences     (Depreciation)     Earnings/(Deficits)  
$ 11,186,558     $     $ (5,942,442 )   $ (25,817,036 )   $     $ 800,343     $ (19,772,577 )

 

The
difference between book basis and tax basis unrealized appreciation (depreciation), accumulated net realized gain (loss) from investments,
and accumulated net investment income (loss) is primarily attributable to the tax deferral of losses on wash sales, bonds with perpetual
maturities, and adjustments for controlled foreign corporations held through the options issued from Nomura.

 

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 Fund incurred and elected to defer such capital losses of $5,942,442.

 

At
June 30, 2021, the Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

Non-Expiring     Non-Expiring           CLCF  
Short-Term     Long-Term     Total     Utilized  
$ 9,825,781     $ 15,991,255     $ 25,817,036     $  

 

Permanent
book and tax differences, primarily attributable to differences in book and tax treatment of controlled foreign corporations held through
the options issued from Nomura resulted in reclassifications for the Fund for the fiscal year ended June 30, 2021 as follows:

 

Paid
In
    Accumulated  
Capital     Earnings
(Losses)
 
$ 3,607,526     $ (3,607,526 )

 

8. UNDERLYING
INVESTMENTS IN OTHER INVESTMENT COMPANIES

 

The
Fund invests in other investment companies. Each underlying fund, including each ETF, is subject to specific risks, depending on the
nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk and high yield
risk. Investors in the Funds will indirectly bear fees and expenses charged by the underlying

Altegris
Futures Evolution Strategy Fund
NOTES
TO FINANCIAL STATEMENTS (Continued)
June
30, 2021

 

investment
companies in which the Funds invest in addition to the Funds’ direct fees and expenses. The Fund may invest in investment companies.
Such investments would subject the Fund to similar risks.

 

The
performance of the Futures Evolution Strategy Fund will be directly affected by the performance of the DoubleLine Low Duration Bond Fund
Class I. The financial statements of these Funds, including the portfolio of investments, can be found at the Securities and Exchange
Commission’s (“SEC”) website www.sec.gov and should be read in conjunction with the Futures Evolution Strategy Fund’s
financial statements. As of June 30, 2021, the percentage of the Futures Evolution Strategy Fund invested in the DoubleLine Low Duration
Bond Fund Class I was 70.6%.

 

 

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,
other than the following:

 

Effective
July 1, 2021, the fee table and expense example have been amended and restated. The management fee is now 1.15% on the first $1 billion,
1.05% on net assets greater than $1 billion and less than or equal to $1.5 billion, 0.95% on net assets greater than $1.5 billion and
less than or equal to $2 billion and 0.90% on net assets greater than $2 billion and the expense caps for classes A, C, I and N are 1.59%,
2.34%, 1.34% and 1.59% respectively.

(DELOITTE LOGO)

Deloitte
& Touche LLP

 

695
Town Center Drive

Suite
1000

Costa
Mesa, CA 92626

USA

 

Tel:
714 436 7100

Fax:
714 436 7200

www.deloitte.com

 

REPORT
OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM

 

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

 

Opinion
on the Financial Statements and Financial Highlights

 

We
have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of Altegris Futures Evolution
Strategy Fund (the “Fund”), one of the funds constituting the Northern Lights Fund Trust (the “Trust”), as of June
30, 2021, the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years
in the period then ended, the financial highlights for each of the five years in the period then ended, and the related notes. In our
opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Fund
as of June 30, 2021, the results of its operations for the year then ended, the changes in its net assets for each of the two years in
the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting
principles generally accepted in the United States of America.

 

Basis
for Opinion

 

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

 

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

 

Our
audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights,
whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis,
evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating
the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial
statements and financial highlights. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence
with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that
our audits provide a reasonable basis for our opinion.

 

(-s- Deloitte & Touch LLP)

 

Costa
Mesa, California

 

August
30, 2021

 

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

Altegris
Funds
EXPENSE
EXAMPLES (Unaudited)
June
30, 2021

 

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

 

The
example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period beginning January
1, 2021 and ending June 30, 2021.

 

Actual
Expenses

 

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

 

Hypothetical
Example for Comparison Purposes

 

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

 

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

 

Futures
Evolution Strategy Fund
    Annualized   Beginning   Ending Account   Expenses Paid  
Actual   Expense   Account Value   Value   During Period *  
Expenses   Ratio   1/1/2021   6/30/2021   1/1/21-6/30/21  
Class
A
  1.94%   $1,000.00   $1,090.70   $10.06  
Class
C
  2.69%   $1,000.00   $1,087.30   $13.92  
Class
I
  1.69%   $1,000.00   $1,092.20   $8.77  
Class
N
  1.94%   $1,000.00   $1,092.00   $10.06  
                   
Hypothetical   Annualized   Beginning   Ending Account   Expenses Paid  
(5%
return before
  Expense   Account Value   Value   During Period *  
expenses)   Ratio   1/1/2021   6/30/2021   1/1/21-6/30/21  
Class
A
  1.94%   $1,000.00   $1,015.17   $9.69  
Class
C
  2.69%   $1,000.00   $1,011.46   $13.42  
Class
I
  1.69%   $1,000.00   $1,016.41   $8.45  
Class
N
  1.94%   $1,000.00   $1,015.17   $9.69  

 

* Expenses
are equal to each Fund’s annualized expense ratio, multiplied by the number of days
in the period (181) divided by the number of days in the fiscal year (365).
Altegris
Futures Evolution Strategy Fund
SUPPLEMENTAL
INFORMATION (Unaudited) (Continued)
June
30, 2021

 

LIQUIDITY
RISK MANAGEMENT PROGRAM

 

The
Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”)
under the Investment Company Act. The program is reasonably designed to assess and manage the 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 June 30, 2021, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed
the 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 Fund’s liquidity
risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Fund’s liquidity risk management
program has been effectively implemented.

Altegris
Futures Evolution Strategy Fund
SUPPLEMENTAL
INFORMATION (Unaudited)
June
30, 2021

 

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

 

Independent
Trustees

 

Name,
Address and
Year of Birth
Position/Term
of Office*
Principal
Occupation
During the Past Five
Years
Number
of
Portfolios in
Fund
Complex**
Overseen by
Trustee
Other
Directorships held by
Trustee During the Past Five
Years
Mark
Garbin
Born in 1951
Trustee
Since 2013
Managing
Principal, Coherent Capital Management LLC (since 2007).
1
Northern
Lights Fund Trust (for series not affiliated with the Funds since 2013); Two Roads Shared Trust (since 2012); Forethought Variable
Insurance Trust (since 2013); Northern Lights Variable Trust (since 2013); OHA Mortgage Strategies Fund (offshore), Ltd. (2014 -2017);
and Altegris KKR Commitments Master Fund (since 2014); Carlyle Tactical Private Credit Fund (since March 2018) and Independent
Director OHA CLO Enhanced Equity II Genpar LLP
(since June 2021).
Mark
D. Gersten
Born in 1950
Trustee
Since 2013
Independent
Consultant (since 2012).
1
Northern
Lights Fund Trust (for series not affiliated with the Funds since 2013); Northern Lights Variable Trust (since 2013); Two Roads Shared
Trust (since 2012); Altegris KKR Commitments Master Fund (since 2014); previously, Ramius Archview Credit and Distressed Fund (2015-2017);
and Schroder Global Series Trust (2012 to 2017).
Anthony
J. Hertl
Born in 1950
Trustee
Since 2005; Chairman of the Board since 2013
Retired,
previously held several positions in a major Wall Street firm including Capital Markets Controller, Director of Global Taxation,
and CFO of the Specialty Finance Group.
1
Northern
Lights Fund Trust (for series not affiliated with the Funds since 2005); Northern Lights Variable Trust (since 2006); Alternative
Strategies Fund (since 2010); Satuit Capital Management Trust (2007-2019).
Gary
W. Lanzen
Born in 1954
Trustee
Since 2005
Retired
(since 2012). Formerly, Founder, President, and Chief Investment Officer, Orizon Investment Counsel, Inc. (2000-2012).
1
Northern
Lights Fund Trust (for series not affiliated with the Funds since 2005) Northern Lights Variable Trust (since 2006); AdvisorOne Funds
(since 2003); Alternative Strategies Fund (since 2010); and previously, CLA Strategic Allocation Fund (2014-2015).
John
V. Palancia
Born in 1954
Trustee
Since 2011
Retired
(since 2011). Formerly, Director of Futures Operations, Merrill Lynch, Pierce, Fenner & Smith Inc. (1975-2011).
1
Northern
Lights Fund Trust (for series not affiliated with the Funds since 2011); Northern Lights Fund Trust III (since February 2012); Alternative
Strategies Fund (since 2012) and Northern Lights Variable Trust (since 2011).
Mark
H. Taylor
Born in 1964
Trustee
Since 2007; Chairman of the Audit Committee since 2013
Director,
Lynn Pippenger School of Accountancy Muma College of Business, University of South Florida, Tampa FL (since 2019); Chair, Department
of Accountancy and Andrew D. Braden Professor of Accounting and Auditing, Weatherhead School of Management, Case Western Reserve
University (2009-2019); Vice President-Finance, American Accounting Association (2017-2020); President, Auditing Section of the American
Accounting Association (2012-15). AICPA Auditing Standards Board Member (2009-2012).
1
Northern
Lights Fund Trust (for series not affiliated with the Funds since 2007); Alternative Strategies Fund (since 2010); Northern Lights
Fund Trust III (since 2012); and Northern Lights Variable Trust (since 2007).
Altegris
Futures Evolution Strategy Fund
SUPPLEMENTAL
INFORMATION (Unaudited) (Continued)
June
30, 2021

 

Officers

 

Name,
Address and
Year of Birth
Position/Term
of
Office*
Principal
Occupation During
the Past Five Years
Number
of
Portfolios in
Fund
Complex**
Overseen by
Trustee
Other
Directorships held by
Trustee During the Past Five
Years
Kevin
E. Wolf
Born in 1969
President
Since June 2017
Vice
President, The Ultimus Group, LLC and Executive Vice President, Gemini Fund Services, LLC (since 2019); President, Gemini Fund Services,
LLC (2012-2019) Treasurer of the Trust (2006-June 2017); Director of Fund Administration, Gemini Fund Services, LLC (2006 – 2012);
and Vice-President, Blu Giant, LLC, (2004 -2013).
N/A
N/A
Richard
Malinowski
Born in 1983
Vice
President Since March 2018
Senior
Vice President (since
2017);
Vice President and Counsel (2016-2017) and Assistant V
ice President, Gemini Fund Services, LLC
(2012-2016).
N/A
N/A
James
Colantino
Born in 1969
Treasurer
Since June 2017
Assistant
Treasurer of the Trust (2006-June 2017); Senior Vice President -Fund Administration, Gemini Fund Services, LLC (since 2012).
N/A
N/A
Stephanie
Shearer
Born in 1979
Secretary
Since February 2017
Assistant
Secretary of the Trust (2012-February 2017); Manager of Legal Administration, Gemini Fund Services, LLC (since 2018); Senior Paralegal,
Gemini Fund Services, LLC (from 2013 – 2018); Paralegal, Gemini Fund Services, LLC (2010-2013).
N/A
N/A
Michael
J. Nanosky
Born in 1966
Chief
Compliance Officer Since January 2021
Chief
Compliance Officer, of the Trust (since January 2021); Vice President-Senior Compliance Officer, Ultimus Fund Solutions (since 2020);
Vice President, Chief Compliance Officer for Williamsburg Investment Trust (2020-current); Senior Vice President- Chief Compliance
Officer, PNC Funds (2014-2019).
N/A
N/A

 

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

 

** As
of June 30, 2021, the Trust was comprised of 68 active portfolios managed by unaffiliated
investment advisers. The term “Fund Complex” applies only to the Funds in the Trust
advised by the Fund’s Adviser. The Funds do not hold themselves out as related to any
other series within the Trust that is not advised by the Fund’s Adviser.

 

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

 

6/30/21
– NLFT_v1

PRIVACY
NOTICE

 

Northern
Lights Fund Trust

 

Rev.
February 2014

 

FACTS WHAT
DOES NORTHERN LIGHTS FUND TRUST DO WITH YOUR PERSONAL INFORMATION?

 

Why? Financial
companies choose how they share your personal information.  Federal law gives consumers the right to limit some, but not
all sharing.  Federal law also requires us to tell you how we collect, share, and protect your personal information.  Please
read this notice carefully to understand what we do.

 

What?

The
types of personal information we collect and share depends on the product or service that
you have with us. This information can include:

 

●        
Social Security number and wire transfer instructions

 

●        
account transactions and transaction history

 

●        
investment experience and purchase history

 

When
you are no longer our customer, we continue to share your information as described in this notice.

 

How? All
financial companies need to share customers’ personal information to run their everyday business.  In the section
below, we list the reasons financial companies can share their customers’ personal information; the reasons Northern Lights
Fund Trust chooses to share; and whether you can limit this sharing.

 

Reasons
we can share your
personal information:
Does
Northern Lights Fund Trust
share information?
Can
you limit this sharing?
For
our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and
legal investigations, or report to credit bureaus.
YES NO
For
our marketing purposes – to offer our products and services to you.
NO We
don’t share
For
joint marketing with other financial companies.
NO We
don’t share
For
our affiliates’ everyday business purposes – information about your transactions and records.
NO We
don’t share
For
our affiliates’ everyday business purposes – information about your credit worthiness.
NO We
don’t share
For
nonaffiliates to market to you
NO We
don’t share

 

QUESTIONS?   Call
1-402-493-4603

PRIVACY
NOTICE

 

Northern
Lights Fund Trust

 

 

What
we do:

 

How
does Northern Lights Fund Trust protect my personal information?

To
protect your personal information from unauthorized access and use, we use security measures
that comply with federal law. These measures include computer safeguards and secured files
and buildings.

 

Our
service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic
personal information.

 

How
does Northern Lights Fund Trust collect my personal information?

We
collect your personal information, for example, when you

●  
  open an account or deposit money

 

●    
direct us to buy securities or direct us to sell your securities

 

●    
seek advice about your investments

 

We
also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

 

Why
can’t I limit all sharing?

Federal
law gives you the right to limit only:

●  
  sharing for affiliates’ everyday business purposes – information about your creditworthiness.

 

●    
affiliates from using your information to market to you.

 

●    
sharing for nonaffiliates to market to you.

 

State
laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates

Companies
related by common ownership or control. They can be financial and nonfinancial companies.

 

●    
Northern Lights Fund Trust does not share with our affiliates.

Nonaffiliates

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

 

● 
   Northern Lights Fund Trust does not share with nonaffiliates so they can market to you.

Joint
marketing

A
formal agreement between nonaffiliated financial companies that together market financial
products or services to you.

 

● 
   Northern Lights Fund Trust doesn’t jointly market.

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 Fund uses to determine how to vote proxies is available without charge, upon
request, by calling 1- 877-772-5838 or by referring to the Security and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO
HOLDINGS

 

The
Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form
N-PORT. Form N- PORT is available on the SEC’s website at http://www.sec.gov. The information on Form N-PORT is available
without charge, upon request, by calling 1-877-772-5838.

 

 

 

 

 

INVESTMENT
ADVISOR
ADMINISTRATOR
Altegris
Advisors, L.L.C.
Gemini
Fund Services, LLC
1200
Prospect Street, Suite 400
4221
North 203rd Street, Suite 100
La
Jolla, CA 92037
Elkhorn,
Nebraska 68022

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(ALTEGRIS LOGO)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

       
    ABOUT
ALTEGRIS
 
       
    Altegris
is a pioneer in providing access to alternative sources of income and growth.
 
       
    With
one of the leading research and investment teams focused solely on alternatives, Altegris follows a disciplined process for identifying,
evaluating, selecting and monitoring investment talent across a spectrum of alternative strategies.
 
       
    For
additional information, visit altegris.com
 
       
       
       
  AltegrisFE-AR21  

 

 

877.524.9441
| WWW.ALTEGRIS.COM

 

Item 2. Code of Ethics.

 

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

 

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

 

(1) Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest
between personal and professional relationships;
(2) Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant
files with, or submits to, the Commission and in other public communications made by the registrant;

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

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

(5)        Accountability
for adherence to the code.

 

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

 

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

 

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

 

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

 

Item 3. Audit Committee Financial Expert.

 

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

 

Item 4. Principal Accountant Fees and Services.

 

2021 – $ 38,320

2020 – $ 99,000

2019 – $100,200

2018 – $100,590

2017 – $79,570

2016 – $83,430

 

2021 – None

2020 – None

2019 – None

2018 – None

2017 – None

2016 – None

 

2021 – $10,150

2020 – $52,400

2019 – $29,760

2018 – $28,890

2017 – $28,890

2016 – $26,265

 

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.

 

2021 – None

2020 – None

2019 – None

2018 – None

2017 – None

2016 – 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

2021    2020    2019    2018    2017

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

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

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

 

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

 

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

2021 – $10,150

2020 – $52,400

2019 – $29,760

2018 – $28,890

2017 – $28,890

2016 – $26,265

 

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

 

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

 

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

 

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

 

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

 

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

 

Item 10. Submission of Matters to a Vote
of Security Holders. Vote of security holders is included under item 1.

 

Item 11. Controls and Procedures.

 

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

 

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

 

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

 

Not applicable

 

Item 13. Exhibits.

 

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

 

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

 

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

 

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

 

SIGNATURES

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

 

(Registrant) Northern Lights Fund Trust

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal
Executive Officer

 

Date 9/3/2021

 

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

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal
Executive Officer

 

Date 9/3/2021

 

 

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Principal
Financial Officer

 

Date 9/3/2021

 

CERTIFICATIONS

 

I, Kevin E. Wolf, certify that:

 

1. I have reviewed this report on Form N-CSR of Altegris Futures
Evolution Strategy Fund, a series of Northern Lights Fund Trust.

 

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 second fiscal
quarter of 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: 9/3/2021                                                                      /s/ Kevin
E. Wolf

Kevin E. Wolf

Principal Executive
Officer

 

 

 

 

 

 

 

 

 

 

 

I, Jim Colantino, certify that:

 

1. I have reviewed this report on Form N-CSR of Altegris Futures
Evolution Strategy Fund, a series of Northern Lights Fund Trust.

 

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 registrant’s
most recent fiscal half-year (the registrant’s second fiscal half-year in the case of an annual 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: 9/3/2021                                                                     /s/ Jim Colantino

Jim Colantino

Principal Financial
Officer

 

certification

Kevin E. Wolf, Principal
Executive Officer, and Jim Colantino, Principal Financial Officer of Northern Lights Fund Trust (the “Registrant”),
each certify to the best of his knowledge that:

1.       The
Registrant’s periodic report on Form N-CSR for the period ended June 30, 2021 (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                            Principal Financial Officer

Northern Lights Fund Trust                         Northern Lights Fund Trust

 

 

/s/ Kevin E. Wolf                                          /s/ Jim Colantino

Kevin E. Wolf                                                Jim Colantino

Date: 9/3/2021                                              Date: 9/3/2021

 

 

A signed original of this written statement
required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to Northern Lights Funds Trust and will be retained
by Northern Lights Fund Trust 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.

 

Northern Lights Fund Trust and the Northern Lights Variable Trust

 CODE OF ETHICS

February 19, 2007

Northern Lights Fund Trust and the Northern Lights Variable Trust (the “Trusts”) 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 Trusts.

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 Trusts

3.

any employee of the Trusts or the Advisers (or of any company controlling or controlled by or under common control with the Trusts 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 Trusts 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 Trusts with respect to Trustees and officers of the Trusts, 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 Trusts.

“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 Trusts that would not be deemed an “interested person” of the Trusts, 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 a Trusts; (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 Trusts 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-Trusts certificate, pre-organization certificate or subscription, transferable share, investment contract, voting-Trusts 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 Trusts.

“Trusts” mean Northern Lights Fund Trust and the Northern Lights Variable Trust.

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 Trusts;

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 Trusts.  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 Trusts.

Advanced notice should be given so that the Trusts 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 Trusts;

b.

to make to the Trusts any untrue statement of a material fact or to omit to state to the Trusts 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 Trusts; or

d.

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

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 Trusts (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 Trusts 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 Trusts, 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 Trusts 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 Trusts 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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