MANAGED FUTURES STRATEGY FUND

Transcription

1 PERFORMANCE (Performance as of 8/31/2017) MANAGED FUTURES STRATEGY FUND Monthly Portfolio Update And Commentary August 2017 CLASS I (NAV)* A (NAV)** A (MAX LOAD)** 1M 1.48% 1.40% -4.41% 6M 1.95% 1.88% -3.99% YTD 6.29% 6.17% 0.09% 1Y AS OF 6/30/17 1Y AS OF 8/31/17 3Y AS OF 6/30/17 3Y AS OF 8/31/17 5Y AS OF 6/30/17 5Y AS OF 8/31/ % -3.79% -9.32% 1.67% 1.40% -4.41% 5.23% 4.94% 2.88% 5.79% 5.52% 3.46% 3.81% N/A N/A 4.76% N/A N/A SINCE INCEP TO 6/30/17 SINCE INCEP TO 8/31/ % 3.43% 2.01% 4.50% 4.25% 2.86% *INCEPTION DATE: 6/27/12 **INCEPTION DATE: 3/22/13 $ Assets as of August 31, ,849,218 HOW TO INVEST Visit longboardmutualfunds.com Call us at The Longboard Managed Futures Strategy Fund WAVIX received 5 stars from Morningstar out of 54 and 100 Managed Futures funds for the 5-year and 3-year periods respectively and ending 8/31/17, based on risk-adjusted returns. The Total Annual Fund Operating Expenses for the Longboard Managed Futures Strategy Fund class A and I are 3.12% and 2.87% respectively. The maximum sales charge for Class A (Max Load) shares is 5.75%. The performance data quoted here represents past performance. 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. Past performance is no guarantee of future results. For performance information current to the most recent month-end, please call toll-free or visit our website, There is no guarantee that any investment will achieve its objectives, generate positive returns, or avoid losses.

2 RECAP The fund returned +1.48% in August. Gains from commodities and equities offset modest losses in currencies and fixed income. Cracks emerged in the foundation of the global equities bull market. After hitting record lows in July, volatility surged in early August. Tensions on the Korean Peninsula caused the spike in volatility, but global risk assets soon rebounded. However, warning signs indicated a persistent risk-off mood. These signals included deterioration in U.S. small caps, transportation stocks and high-yield bonds. Also, strength in precious metals and U.S. government bonds suggested robust demand for haven assets, even with stock markets near record highs. Powerful trends prompted the fund to redeploy capital into commodities and currencies, while shifting risk exposure away from equities. The big themes that developed in commodities include rising metals prices, both industrial and precious, and falling agricultural prices. Oversupply fueled agricultural deflation across the grain complex and in soft commodities. Conversely, supply deficits and rising demand fueled new uptrends in various metals markets. Weakness in the United States created profitable trends in currencies, while fixed income markets remain largely devoid of long-term trend opportunities. OUTLOOK Global markets face some crosscurrents heading into fall. Resurgent corporate profits and stable economic growth offer a healthy tailwind to global risk assets. Yet, a number of potential catalysts could spur volatility. These include the threat of military escalation with North Korea, plus an expected political fight over the U.S. budget and debt ceiling negotiations. Longer term, the wind down of European Central Bank (ECB) asset purchases plus tightening from the U.S. Federal Reserve mean markets could lose a powerful tailwind for economic stimulus and asset price inflation. Our portfolio changes in August caused our commodities risk allocation to surpass equities for the first time this year. This rebalanced posture should make the fund s performance less correlated with global stock markets going forward. PERFORMANCE ATTRIBUTION BY ASSET CLASS August % 0% 1.0% 2.0% EQUITIES FIXED INCOME CURRENCIES COMMODITIES Past results are not necessarily indicative of future results. There is no guarantee that any investment will achieve its goals and generate profits or avoid losses. The returns shown are presented as a percentage of overall fund performance attributed to the named asset class. Holdings are subject to change at any time and should not be considered investment advice. A full listing of all fund holdings are detailed in the fund s Annual Report, Semi-Annual Report and Form NQ which are filed with the SEC and available upon request.

3 » EQUITIES +0.13% European and Japanese stocks underperformed as the euro and yen strengthened, creating headwinds for investors. Also, the potential wind down of quantitative easing from the ECB could threaten European stocks. The strong Canadian dollar, plus falling oil prices, caused that stock market to break against its former uptrend. U.S. technology, large caps and multinational stocks outperformed, aided by the weakening U.S. dollar. The cheaper U.S. currency provides a tailwind for corporations with access to overseas markets, particularly in those regions with stronger economic growth. We exited our long position in the Canadian stock market the first time we ve exited an equity holding in months SMALL CAPS UNDERPERFORMING LARGE CAPS June 30, August 31, % S&P 500 (large cap stocks) Russell 2000 Index (small cap stocks) 3% 2% 1% % Change 0% -1% Jun-30 Jul-15 Jul-30 Aug-14 Aug-29-2% -3% -4% -5% Source: Bloomberg Index performance in this document was sourced from third party sources deemed to be accurate, but is not guaranteed. Investors cannot invest directly in the indexes referenced in this document. Past performance is not indicative of future performance. Russel 2000 Index: The Russell 2000 Index is comprised of the smallest 2,000 companies in the Russell 3000 Index, representing approximately 8% of the Russell 3000 total market capitalization. The index was developed with a base value of as of December 31, S&P 500 Index: Standard and Poor s 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

4 » COMMODITIES +1.78% Excess production and supply caused price declines in wheat, corn, coffee, sugar and cocoa, generating profits for the fund s short exposure in each market. Conversely, industrial and precious metals soared in August. Rebalancing supply/demand fundamentals pushed copper prices above the $3 per pound mark for the first time in three years. A nickel deficit sent prices to new 10-year highs. The falling dollar also pushed up precious metals prices across the board. Many commodities markets are moving on their own unique fundamentals, providing diversification against broader risk-on/riskoff dynamics. Our commodities exposure is roughly balanced between long and short exposure. PALLADIUM PRICES UP NEARLY 100% SINCE 2016 December 31, August 31, 2017 $1,000 Palladium Spot Price $900 Price per Ounce (USD) $800 $700 $600 $500 $400 Source: Bloomberg $300 Jan-16 May-16 Aug-16 Nov-16 Mar-17 Jun-17 Sep-17 Index performance in this document was sourced from third party sources deemed to be accurate, but is not guaranteed. Investors cannot invest directly in the indexes referenced in this document. Past performance is not indicative of future performance. Palladium prices: The per Troy ounce spot price for Palladium, in plate or ingot form, with a minimum purity of 99.95%.

5 » CURRENCIES -0.04% The U.S. dollar came under renewed pressure. The U.S. dollar index (measured by the DXY) is down nearly 10% since the start of the year. The euro surged to $1.20 against the U.S. dollar, up from near parity in early That puts the European currency on pace for its strongest yearly gain against the U.S. dollar on record. Robust European economic growth and growing expectations that the ECB will taper asset purchases fueled gains in the euro. Going into September, the fund is decisively net short the U.S. dollar against several foreign currencies. Our long exposure is diversified against the Mexican peso, euro, Canadian, Australian and New Zealand dollars S PERSISTENT DOWNTREND IN U.S. DOLLAR January 1, August 31, US Dollar Index Source: Bloomberg 91 Jan-17 Feb-17 Apr-17 May-17 Jul-17 Sep-17 Index performance in this document was sourced from third party sources deemed to be accurate, but is not guaranteed. Investors cannot invest directly in the indexes referenced in this document. Past performance is not indicative of future performance. U.S. Dollar Index: The U.S. Dollar Index (USDX) indicates the general international value of the dollar. The USDX does this by averaging the exchange rates between the dollar and major world currencies. The ICE US computes this by using the rates supplied by some 500 banks.

6 » FIXED INCOME -0.53% Fixed income markets remain subdued around the globe. Interest rates in Europe reversed lower in August. That follows a rise in European yields after ECB President Mario Draghi s taper comments earlier this summer. Government bond yields in the United States also fell, suggesting some caution in investor risk appetites. Implied odds for another rate increase from the U.S. Federal Reserve also fell in August. Canadian bonds declined as oil prices fell and interest rates rose. The fund maintains a low allocation to global sovereign bond markets due to the relative lack of long-term trends. The current portfolio contains a roughly even balance between long and short positions, with a concentration in European and Canadian fixed income markets. U.S. INTEREST RATES DIRECTIONLESS IN 2017 January 1, August 31, Yr U.S. Interest Rates Source: Bloomberg 1.5 Jan-17 Feb-17 Apr-17 May-17 Jul-17 Sep-17 Index performance in this document was sourced from third party sources deemed to be accurate, but is not guaranteed. Investors cannot invest directly in the indexes referenced in this document. Past performance is not indicative of future performance. 10-Yr U.S. Interest Rates: The rates are comprised of generic United States on-the-run government bill/note/bond indices. Yields are yield-tomaturity and pre-tax. These yields are based on the ask side of the market and are updated intraday. Pricing source: BGN.

7 PORTFOLIO Risk Allocation By Asset Class as of August 2017 EQUITIES COMMODITIES 33.61% 34.45% 5.87% 26.07% FIXED INCOME CURRENCIES» EQUITIES 33.61% LARGEST HOLDINGS POSITION % OF RISK 1 Nasdaq 100 Index E-Mini Long 2.68% Hang Seng China Long 2.51% Enterprises (H-Shares) i MSCI Taiwan Index Long 2.37%» FIXED INCOME 5.87% LARGEST HOLDINGS POSITION % OF RISK 1 3-Month Canadian Short 2.21% Bankers Acceptance 10-Year Canadian Short 1.41% Government Bond 30-Year German Bond Short 0.97% (Buxl)» CURRENCIES 26.07% LARGEST HOLDINGS POSITION % OF RISK 1 Mexican Peso / Long 2.27% U.S. Dollar U.S. Dollar / Short 2.17% Norwegian Krone Euro / U.S. Dollar Long 2.14%» COMMODITIES 34.45% LARGEST HOLDINGS POSITION % OF RISK 1 Copper Long 2.31% Coffee C Short 2.27% Wheat (Chicago) Short 2.02% 1 The % of Risk is the estimated maximum equity a position could lose, divided by the estimated aggregate equity currently at risk of loss across all positions in the portfolio. Portfolio holdings are subject to change at any time and should not be considered investment advice. There is no assurance that the identified level of risk will occur or be maintained as risk cannot be predicted with certainty.

8 HIGHLIGHTS Contributors» Equities: Long Hang Seng China Enterprises Index (H-Shares) and MSCI Taiwan Index» Commodities: Short WTI Crude Oil and New York Coffee» Currencies: Long Russian ruble against the U.S. dollar» Fixed income: Long 2-Year German Bond (Schatz) Detractors» Equities: Long S&P CNX Nifty Index-(SIMEX) and S&P 400 Midcap Index» Commodities: Long Minneapolis Wheat and short Natural Gas» Currencies: Long New Zealand and Australian dollars against U.S. dollar» Fixed income: Short 10-Year Canadian Bond GLOSSARY Commodity Market A physical or virtual marketplace for buying, selling, and trading raw or primary product such as natural resources, agricultural products, and livestock. Forward Contract A non-standardized contract between two parties to buy or sell a specified asset of specified quantity with delivery and payment occurring on a specified date. Futures Contract A standardized contract between two parties to buy or sell a specified asset of standardized quantity and quality with delivery and payment occurring on a specified date. Long Buying an asset such as a stock, commodity or currency with the expectation that the asset will rise in value. Risk Allocation The estimated maximum equity a position could lose, divided by the estimated aggregate equity currently at risk of loss across all positions in the portfolio. Short Selling an asset such as a stock, commodity or currency, with the expectation that the asset will decrease in value. Long-Term Holding periods averaging greater than one year.

9 Managed Futures Mutual Fund Index Member Morningstar is an independent provider of financial information. Morningstar performance rankings are based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund s monthly performance (including the effects of sales charges, loads and redemption fees), placing more emphasis on downward variation and rewarding consistent performance. The top 10%, the next 22.5%, 35%, 22.5% and bottom 10% receive 5, 4, 3, 2 or 1 star, respectively. The Overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten-year (if applicable) Morningstar Rating metrics. PROSPECTUS OFFERING DISCLOSURE Investors should carefully consider the investment objectives, risks, charges and expenses of the Longboard Managed Futures Strategy Fund. This and other important information about the Fund is contained in the prospectus, which can be obtained at or by calling The prospectus should be read carefully before investing. The Longboard Managed Futures Strategy Fund is distributed by Northern Lights Distributors, LLC, a FINRA/SIPC member. Longboard Asset Management, LP, is not affiliated with Northern Lights Distributors, LLC. MUTUAL FUND RISK DISCLOSURE Mutual funds involve risk including possible loss of principal. The fund will invest a percentage of its assets in derivatives, such as commodities, futures and options contracts. The use of such derivatives and the resulting high portfolio turnover may expose the fund to additional risks that it would not be subject to, if it invested directly in the securities and commodities underlying those derivatives. The fund may experience losses that exceed those experienced by funds that do not use futures contracts, options and commodities. Changes in interest rates and the liquidity of certain investments could affect the fund s overall performance. The fund is non-diversified and as a result, changes in the value of a single security may have significant effect on the fund s value. Other risks include credit risks and investments in fixed income securities, structured notes, asset-backed securities and foreign investments. Furthermore, the use of short positions and leveraging can magnify the potential for gain or loss and amplify the effects of market volatility on the fund s share price. The fund is subject to regulatory change and tax risks. Changes to current regulation or taxation rules could increase costs associated with an investment in the Fund. SG CTA Mutual Fund Index: An index that tracks the performance of 40 Act mutual funds pursuing managed futures strategies. The Index includes the 10 largest single-manager CTA Mutual Funds, including funds employing both systematic and discretionary management styles. Index values are based on performance of the institutional share classes with dividends reinvested. Palladium prices: The per Troy ounce spot price for Palladium, in plate or ingot form, with a minimum purity of 99.95%. Russel 2000 Index: The Russell 2000 Index is comprised of the smallest 2,000 companies in the Russell 3000 Index, representing approximately 8% of the Russell 3000 total market capitalization. The index was developed with a base value of as of December 31, S&P 500 Index: Standard and Poor s 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. U.S. Dollar Index: The U.S. Dollar Index (USDX) indicates the general international value of the dollar. The USDX does this by averaging the exchange rates between the dollar and major world currencies. The ICE US computes this by using the rates supplied by some 500 banks. 10-Yr U.S. Interest Rates: The rates are comprised of generic United States on-the-run government bill/note/ bond indices. Yields are yield-to-maturity and pre-tax. These yields are based on the ask side of the market and are updated intraday. Pricing source: BGN NLD-9/13/2017