Altegris GSA Trend Strategy Fund TRNAX TRNIX TRNNX

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1 MARKET + PORTFOLIO COMMENTARY Q Altegris GSA Trend Strategy Fund TRNAX TRNIX TRNNX Market Commentary The charging equity bull tripped and stumbled in Q1. January saw a continuation of the 2017 market euphoria that was accompanied by record low levels of volatility. However February ushered in a sharp corrective phase that has persisted through the end of the quarter. From a YTD high of +7.5% on January 26th, the S&P 500 fell almost exactly 10% in eight days while volatility as measured by the VIX exploded higher. The catalyst was arguably higher inflation expectations that finally pushed the 10-year US Treasury yield above the 2.7% level that had for so long seemed like a ceiling. Another perspective is that bullish equity sentiment had simply gotten ahead of itself and a correction was long overdue. At the end of Q1, the S&P 500 Total Return Index was down -0.8%. Global equity markets represented by the MSCI ACWI were likewise down -1.0% although select emerging markets such as Brazil and Russia performed strongly. The quarter was also notable for the confirmation of a new Fed Governor and the first of at least three expected (we think four) interest rate moves this year. Treasury yields indeed rose but have not yet convincingly sustained levels that confirm a new bear market after 30 years of falling yields. Commodity prices generally reversed prior trends with metals and energy weaker in concert with the equity market correction. Grain markets rallied counter to last year s persistent weakness due to drier than expected growing conditions in key regions. Fund Performance FUND RETURNS As of March 31, 2018 Q Year to Date 1-Year 3-Year Since Inception* TRNAX Class A (NAV) -4.75% -4.75% -6.48% N/A -6.21% TRNAX Class A (max load) ** % % % N/A % TRNIX Class I (NAV) -4.73% -4.73% -6.28% N/A -5.97% TRNNX Class N (NAV) -4.75% -4.75% -6.58% N/A -6.21% BofA Merrill Lynch 3-month T-Bill Index 0.36% 0.36% 1.11% N/A 0.97% SG Trend Index -3.92% -3.92% -0.96% N/A -1.45% S&P 500 TR Index -0.76% -0.76% 13.99% N/A 16.40% * Inception date for Class A, Class I, and Class N was December 30, Past performance is not indicative of future results. Returns for periods longer than one year are annualized. ** The maximum sales charge (load) for Class A is 5.75%. Class A Share investors may be eligible for a reduction in sales charges. The total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements, is 2.44% for Class A, 2.19% for Class I and 2.44% for Class N. The performance data quoted here represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The Fund's adviser has contractually agreed to reduce its fees and reimburse expenses of the Fund until at least October 31, 2018, to ensure the total annual Fund operating expenses after fee waiver and reimbursement will not exceed 1.85%, 1.60%, and 1.85% of average daily net assets attributable to Class A, Class I, and Class N shares, respectively, subject to possible recoupment in future years. Results shown reflect the waiver, without which the results would have been lower. A Fund's performance, especially for very short periods of time, should not be the sole factor in making your investment decisions. For performance information current to the most recent month end, please call (888) [1]

2 Portfolio Performance Review The Fund was down -4.75% for the quarter, slightly more than the benchmark SG Trend Index. The quarter began with a somewhat benign continuation of the fourth quarter, as the Fund was able to churn out gains driven by many of the same markets and sectors as the quarter before. Months long trends in equities, base metals, and energy markets led to a large directional exposure build up (in this case long) which can be a difficult proposition for a medium-long term trend follower. While almost a catch-22 in this case, the risks that may come with large one sided positioning are often counter to the objectives of diversifying strategies. This played out in a dramatic fashion in February. On the heels of a better than expected print in wage growth, inflation fears stoked an equity market retracement. What may have turned out to be a normal, perhaps even healthy correction, was further exacerbated by products that are either structurally or strategically short volatility, and the failure of a few of these led to an even more aggressive expansion of volatility. Rumors of stockpiles in oil also led to a reversal of the longstanding uptrend in oil and oil related products prices during the month (although the uptrend continued on more rumors driven by US s impending departure from the Iran deal later in the quarter). Over the entirety of the quarter, the Fund made profits positioned short in soft commodity futures (with Sugar being the most lucrative of any market, not just exclusive to softs) and shorter maturity fixed income instruments (3M EuroDollar and 3M Short Sterling), and, to a certain extent, positioned long in energy futures. 1 The biggest loss drivers were long positions in stock index futures (particularly in the US, but also Canadian indices), long positions in base metals futures, and short positions in grains futures. As a short aside to all of the focus on equity related volatility, grains prices moved steadily up for the first half of the quarter with tailwinds from the generally stable economic environment and arid weather in grains producing regions (especially those regions producing soybeans and wheat) only to be whipsawed by tariff rumors later in the quarter. The Fund never found itself positioned on the right side of this trade. As investors, we note that positioning at times can get lopsided at times and that a moderate crisis with a v-shaped recovery can be one of the more challenging macro backdrops for a medium term trend follower. Losses are not enjoyable, but, a loss of this nature for a higher volatility trend-following strategy is not outside the realm of expectations. We maintain our conviction due to the long term diversifying properties of the strategy and the low expected long term correlation to equities. Portfolio Positioning Positioning The Fund s average and gross net exposures rose over the quarter, led primarily by increase in exposure to FX and fixed income. On a VaR weighted basis, the commodity sector is the largest VaR, followed by FX, equities and fixed income. Outlook We believe that the recent increase in volatility is indicative of a reversion to the mean rather than an outlier. In fact, we view the extraordinary low volatility of 2017 as an anomaly and we expect that the recent higher volatility will continue. The euphoria for risk assets that we saw at the end of last year has been subdued but the increasing uncertainty around trade wars and the leanings of the new Fed leadership should keep the markets on their toes. The prospect of ongoing global growth continues to be the primary theme and could outweigh the risk of recession in the next 12 months. This should be supportive of commodity markets and should continue to pressure interest rates higher around the world. Managed futures strategies generally can take advantage of higher rates through short positions and we encourage investors to look past the recent performance drawdown and consider the future of their portfolios. As volatility continues to expand and one-way bets on risk assets become less certain, the role of diversifying strategies will be increasingly important. This commentary reflects the views of the portfolio managers through 03/31/2018. The managers views are subject to change as market and other conditions warrant. This commentary is provided for informational purposes only and should not be construed as investment advice. No forecasts are guaranteed. There is no guarantee that any investment will achieve its objectives, generate profits or avoid losses. 1 In their March newsletter, GSA posited that this is in large part due to the growing health concerns and stigmas attached to sugar, not only in the US but globally. [2]

3 Fund Objective The Fund seeks to achieve long-term capital appreciation. Managed Futures Manager Exposure Exposure 100% GSA Capital The Fund s access to managers and the percentage exposures to each listed above are presented to illustrate examples of the diversity of managers accessed by the Fund through its managed futures investments, but may not be representative of the Fund s past, or its future, access and exposure to managed futures managers, sub-strategies and programs. It should not be considered a recommendation or investment advice. Index Descriptions An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented.. MSCI World Index is a free float-adjusted market capitalization weighted index that measures equity market performance of 24 developed market country indices. The MSCI AC World Index ex USA USD Net Total Return Index is a free-float weighted equity index inclusive of international countries including Emerging Markets and excluding the US. The MSCI Em (Emerging Markets) Index is a free-float weighted equity index that captures large and mid-cap representation across Emerging Markets (EM) countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country. Managed Futures. The 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. The SG Trend Index is equal-weighted and reconstituted annually and has become recognized as the key managed futures trend following performance benchmark. Notional Funding. A form of leverage that allows for funding a futures account below its nominal value. The difference between the amount of cash deposited in the account and the nominal trading level of the account is referred to as notional fund. Treasury Bills. BofA Merrill Lynch 3-month T-bill Index is an unmanaged index that measures returns of three-month Treasury bills. US Stocks. The S&P 500 Total Return Index is the total return version of 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, 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. S&P Technology Sector. Standard and Poor's 500 Information Technology Index is a capitalization-weighted index. The index was developed with a base level of 10 for the base period. The parent index is SPXL1. This is a GICS Level 1 Sector group. Japanese Stocks. The Nikkei-225 Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange. The Nikkei Stock Average was first published on May 16, 1949, where the average price was with a divisor of 225. Hong Kong Stocks. The Hang Seng Index is a free-float capitalization-weighted index of a selection of companies from the Stock Exchange of Hong Kong. The components of the index are divided into four subindices: Commerce and Industry, Finance, Utilities, and Properties. The index was developed with a base level of 100 as of July 31, Indian Stocks. The S&P BSE Sensex Index is a cap-weighted index. The index members have been selected on the basis of liquidity, depth, and floating-stock-adjustment depth and industry representation. Sensex has a base date and value of 100 in The Index shifted to free-float methodology since 09/01/03. VIX. The Chicago Board Options Exchange (CBOE) Volatility Index shows the market's expectation of 30-day volatility. It is constructed using the implied volatilities of a wide range of S&P 500 index options. [3]

4 Representative Index Characteristics Key Risks MSCI World Index Net Return USD Index MSCI AC World Index ex USA USD Net Total Return Index MSCI Emerging Markets Index Japanese Equity Nikkei 225 TR (Local) Hong Kong Equity Hang Seng Index TR (Local) Indian Equity S&P BSE Sensex Index TR (Local) Managed Futures SG Trend Index Equal-weighted and reconstituted annually, calculates net daily rate of return for a group of 10 trend following CTAs selected from the largest managers open to new investment Leverage risk. Volatility and risk of loss may magnify with use of leverage. Treasury Bills BofA Merrill Lynch 3-month T-Bill Index Short-term debt obligations of the US Government with a 3-month maturity Interest rate risk. Value will decline if interest rates rise. US Stocks S&P 500 Total Return (TR) Index 500 US stocks; Weighted towards large capitalizations Stock market risk. Stock prices may decline. US Stocks S&P 500 Information Technology Index IT Subset of 500 US stocks; Weighted towards large capitalizations Stock market risk. Stock prices may decline. [4]

5 Risks and Important Considerations Please carefully consider the investment objectives, risks, charges and expenses of the Altegris GSA Trend Strategy Fund. This and other important information is contained in the Fund s Prospectus and the Summary Prospectus, which can be obtained by calling (888) Read the prospectus carefully before investing. Funds are distributed by Northern Lights Distributors, LLC. Altegris Advisors and Northern Lights Distributors, LLC are not affiliated. MUTUAL FUNDS INVOLVE RISK INCLUDING POSSIBLE LOSS OF PRINCIPAL. Investing in commodity futures markets subjects the Fund to volatility as commodity futures prices are influenced by unfavorable weather, geologic and environmental factors, regulatory changes and restrictions. Trading on foreign exchanges and foreign investments including exposure to foreign currencies, involve risks not typically associated with U.S. investments, including fluctuations in foreign currency values, adverse social and economic developments, less liquidity, greater volatility, less developed or inefficient trading markets, political instability and differing auditing and legal standards. These risks are magnified in emerging markets. The Fund s use of derivatives such as forwards, futures, swaps or options contracts expose the Fund to additional risks such as leverage risk an counterparty default risk that it may not be subject to if it invested directly in the underlying securities. Although futures contracts are generally liquid, under certain market conditions there may not always be a liquid secondary market. Option positions held may expire worthless and cause a loss. The value of an investment in fixed income securities and derivatives will typically fall when interest rates rise. Other risks include credit risk which refers to an issuer s ability to make interest and principal payments when due. There may be extension risk that repayments on certain debt securities, such as floating rate loans and mortgage-related securities, may occur at a slower rate than expected and maturity could lengthen, thus there may be a greater potential loss if interest rates rise. The Fund may engage in short selling and short position derivative activities which are considered speculative and involve significant financial risk. Short positions profit from a decline in price so the Fund may incur a loss on a short position if the price increases. The potential for loss in shorting is unlimited. Shorting may also result in higher transaction costs which reduce return. Investing in commodities through a controlled foreign corporation Subsidiary involves taxation and regulatory risk. Where applicable, income received from commodities-related investments will be passed through to the Fund as ordinary income, which may be taxed at less favorable rates than capital gains. Changes in applicable foreign and domestic laws could result in the inability of the Fund and/or Subsidiary to operate. As a non-diversified fund, the Fund may invest more than 5% of its total assets in the securities of one or more issuers. The Fund s performance may be more sensitive to any single economic, business, political or regulatory occurrence than the value of shares of a diversified investment company. The Fund has a limited history of operations. Altegris Advisors Altegris Advisors LLC is a CFTC-registered commodity pool operator, NFA member, and SEC-registered investment adviser that sponsors and/or manages a platform of alternative investment products _ NLD-4/27/2018 [5]