0001580642-23-001406.txt : 20230310 0001580642-23-001406.hdr.sgml : 20230310 20230310143656 ACCESSION NUMBER: 0001580642-23-001406 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 9 CONFORMED PERIOD OF REPORT: 20221231 FILED AS OF DATE: 20230310 DATE AS OF CHANGE: 20230310 EFFECTIVENESS DATE: 20230310 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Northern Lights Fund Trust CENTRAL INDEX KEY: 0001314414 IRS NUMBER: 043023766 FISCAL YEAR END: 0430 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-21720 FILM NUMBER: 23723149 BUSINESS ADDRESS: STREET 1: 225 PICTORIA DRIVE STREET 2: SUITE 450 CITY: CINCINNATI STATE: OH ZIP: 45246 BUSINESS PHONE: 631-470-2600 MAIL ADDRESS: STREET 1: 17605 WRIGHT STREET STREET 2: SUITE 200 CITY: OMAHA STATE: NE ZIP: 68130 FORMER COMPANY: FORMER CONFORMED NAME: Strategy Shares DATE OF NAME CHANGE: 20160223 FORMER COMPANY: FORMER CONFORMED NAME: Mutual Fund & Variable Insurance Trust DATE OF NAME CHANGE: 20160223 FORMER COMPANY: FORMER CONFORMED NAME: Northern Lights Fund Trust DATE OF NAME CHANGE: 20050121 0001314414 S000040719 BTS Tactical Fixed Income Fund C000126293 BTS Tactical Fixed Income Fund Class A Shares BTFAX C000126294 BTS Tactical Fixed Income Fund Class C Shares BTFCX C000126295 BTS Tactical Fixed Income Fund Class I Shares BTFIX C000150698 BTS Tactical Fixed Income Fund Class R Shares BTFRX 0001314414 S000061476 BTS Managed Income Fund C000199071 BTS Managed Income Fund Class A Shares BTSAX C000199072 BTS Managed Income Fund Class C Shares BTSCX C000199073 BTS Managed Income Fund Class I Shares BTSIX C000199074 BTS Managed Income Fund Class R Shares BTSRX N-CSR 1 bts_ncsr.htm N-CSR

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

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-21720

 

            Northern Lights Fund Trust

(Exact name of registrant as specified in charter)

 

           225 Pictoria Drive, Suite 450 Cincinnati, OH 45246

(Address of principal executive offices) (Zip code)

 

           The Corporation Trust Company

           1209 Orange Street, Wilmington, DE 19801

(Name and address of agent for service)

 

 

Registrant's telephone number, including area code: 631-490-4300

 

Date of fiscal year end: 12/31

 

Date of reporting period: 12/31/2022

 

Item 1. Reports to Stockholders.

 
 
 
 
 
(BTS FUNDS LOGO)
 
 
 
BTS Managed Income Fund
 
Class A
BTSAX
 
Class C
BTSCX
 
Class I
BTSIX
 
Class R
BTSRX
 
BTS Tactical Fixed Income Fund
 
Class A
BTFAX
 
Class C
BTFCX
 
Class I
BTFIX
 
Class R
BTFRX
 
Annual Report
December 31, 2022
 
1-877-BTS-9820
(1-877-287-9820)
 
www.btsfunds.com
 
This report and the financial statements contained herein are submitted for the general information of shareholders and are not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus. Nothing herein contained is to be considered an offer of sale or solicitation of an offer to buy shares of the BTS Funds. Such offering is made only by prospectus, which includes details as to offering price and other material information.
 
Distributed by Northern Lights Distributors, LLC
Member FINRA/SIPC

 

 

Dear Valued Shareholder,

 

As CEO of BTS Asset Management Inc. (“BTS”), I would like to thank you for investing with the BTS Funds and take a moment to review our performance relative to the market, discuss how and why we employed the Funds’ principal investment strategies, and finish with a review of market conditions we expect the Funds to navigate in 2023.

 

2022 Recap

 

Both the BTS Managed Income Fund (Class A NAV “BTSAX”) and BTS Tactical Fixed Income Fund (Class A NAV “BTFAX”) produced returns comparable to that of their shared benchmark, the Bloomberg US Aggregate Bond Index (the “Benchmark”), which reported a return of -13.01% for the one-year period ended December 31, 2022. More specifically, BTSAX slightly outperformed the Benchmark with a -12.45% annual return for 2022, and BTFAX slightly outperformed the Benchmark with a return of -12.80% over the same period.

 

The Bond Market in 2022 once again delivered negative returns, ending the year down -13.01%, after dropping by -1.54% in 2021. As such, 2022 offered ‘no place to hide’, with stocks and bonds both suffering double-digit losses in the backdrop of high inflation and hawkish federal reserve policy, a paradigm which broke the trend of generally positive returns or marginal losses over the last 5 years, illustrated below. The year began with geopolitical uncertainties surrounding the war in Ukraine, which were exasperated by inflation that the Federal Reserve fell behind on containing. Inflation rates not seen since the 1970s-1980s fueled the need to hike interest rates aggressively, the fastest rate of increases seen since 1980.1

 

(BAR GRAPH)

 

Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses or sales charges. Past performance is no guarantee of future results and the index performance shown is not indicitative of the performance of the Fund.

1

 

The narrative of the rest of the year was dominated by speculation as to when the Fed would eventually make its ‘dovish pivot’ and move towards a less restrictive policy, albeit still needing to hold interest rates elevated for a period of time. Fed speak throughout the year by Chairman Jerome Powell introduced sporadic volatility into the markets, especially at the June Federal Open Market Committee (“FOMC”) meeting where his dovish tone helped fuel a 7.78% gain in the ICE BofA High Yield Index, which was sharply followed by an 8.06% drawdown. Moreover, off only a 1-month surprise decline in the headline CPI print in October, Powell again helped propel the market by another 6.75% with his comments at the November FOMC meeting before finally retracting most of his dovish tilt in December, leading to a drawdown of 2.36% in the final weeks of the year.

 

(LINE GRAPH)

 

Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses or sales charges. Past performance is no guarantee of future results and the index performance shown is not indicitative of the performance of the Fund.

 

For a price driven tactical approach, these massive market swings followed by swift declines make it difficult to outperform against the broader aggregate bond market index. Our models have, however, been able to offer returns that were generally in line with the index, while modeling adjustments allowed us to participate for longer in order to accumulate yield when yields were more attractive. As our models were built with capital preservation in mind, key tactical elements have been deployed when the risk of a market crash seems probable based on initial downward trends, as in 2020.

2

 

Outlook for 2023

 

The narrative for 2023 will likely depend on how fast and to what degree, if any, the U.S. economy contracts due to increased rate pressure from Fed policy and how quickly inflation can abate from such restrictive policy. Another big uncertainty is when the Fed will have received enough confirmation that a less restrictive policy is appropriate. The market will likely begin to discount such effects quickly, even if the time horizon for beginning the easing process is 6-12 months into the future.

 

During this rate cycle, the Fed has so far done the opposite as compared to 2020 by raising interest rates rapidly above 4% and communicating that they will hold rates higher for longer. This policy, especially with the negative economic effects from inflation, may set up a similar market paradigm to the 2008-2009 period.

 

In the years leading up to 2008, the Fed was raising rates to similar levels seen today in an attempt to contain an overheated economy, which also came with upward price pressures. However, in the current market environment, inflation is having an analogous effect on price with a relatively robust economy. In both cases, the remedy is higher interest rates, which may eventually be followed by a decline in rates towards a longer-run average, which could offer higher return opportunities in the high yield bond and stock markets.

 

The question, of course, is when exactly the Fed will pivot and to what extent the U.S. economy, if it does at all, will go into recession. The Fed historically has a poor track record of a ’soft-landing’, which raises the probability that we will see some sort of economic decline due to their restrictive policy. No single CPI print or economic headline will bring complete clarity to the situation, however, and we believe that a price driven, tactical approach to the markets will reduce risk to capital in extreme crash periods and prolonged bear markets, while offering attractive upside potential when the Fed eventually begins its next easing cycle. Until then, we have yet to see whether the market will make a new low on the backs of recession fears or if the next bull run is one to last years into the future.

 

A Note on Managed Income (BTSAX)

 

The current economic environment may present considerable opportunities for our Managed Income Strategy, which consists of a diversified income core along with a tactical risk management satellite. The diversified income core is further broken down into a “Risk-Off” portion, which is intended to correlate to a core bond portfolio, and a “Risk-On” portion in which we may utilize a wide variety of income-producing asset classes that are often less correlated to the aggregate bond market. This ability to explore income-producing vehicles outside the breadth of the traditionally defined aggregate bond market could position us to outperform if the coming years have any resemblance to ’08/’09. As an example, we highlight the following income producing ideas we consider in our modeling process that are not included in the aggregate

3

 

index. We show the returns coming out of 2008 into 2011 to show potential returns. (These indices represent Emerging Market Bonds, High Yield Bonds, and Master Limited Partnerships, respectively, as compared to the Aggregate Index).

 

  Cumulative Return
(1/1/2008 - 12/31/2011)
Bloomberg Agg Bond Index 27.26%
J.P. Morgan EMBI Global Core Index 37.63%
ICE BofA US High Yield Index 39.41%
Alerian MLP Infrastructure TR Index 72.17%

 

Investments cannot be made in an index. Unmanaged index returns do not reflect any fees, expenses or sales charges. Past performance is no guarantee of future results and the index performance shown is not indicitative of the performance of the Fund.

 

While the potential for outperformance of these types of asset classes comes with increased risk, we are able to balance this risk by adjusting the weights of the various components of our portfolio. One such shift would be increasing our allocation to the “Risk-Off” portion of the diversified core when our thematic analysis suggests potential turmoil in risk assets. Another risk-management lever embedded in the portfolio is our tactical risk management satellite, which will typically make up 30-40% of the portfolio. This slice of the strategy may be positioned up to 100% in treasuries or cash when our technical models indicate downward price pressures in risk assets. These features of the portfolio should allow it to look more like a core bond portfolio when bonds are in favor, and to differentiate from a core bond portfolio when risk-on opportunities arise.

 

Thank you for choosing the BTS Funds, and please stay safe as we enter a new year with new promise.

 

Sincerely,

 

Matthew Pasts CMT

 

CEO, BTS Asset Management

 

1“The complete story behind the Fed’s historic shift in 2022”, Yahoo Finance, 12/22/22.

 

The Bloomberg U.S. Aggregate Bond Index is comprised of government securities, mortgage-backed securities, asset-backed securities and corporate securities with maturities of one year or more to simulate the universe of bonds in the market. Investors cannot directly invest in an index; unmanaged index returns do not reflect any fees, expenses or sales charges.

 

5201-NLD-02/08/2023

4

 

BTS Managed Income Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2022

 

The Fund’s performance figures* for the year ended December 31, 2022, compared to its benchmark:

 

      Since
  One Year Three Year Inception (a)
BTS Managed Income Fund Class A (12.45)% (2.11)% (0.60)%
BTS Managed Income Fund Class A (with load) (15.77)% (3.78)% (1.88)%
BTS Managed Income Fund Class C (13.15)% (2.61)% (0.98)%
BTS Managed Income Fund Class I (12.32)% (1.99)% (0.51)%
BTS Managed Income Fund Class R (12.72)% (2.26)% (0.72)%
Bloomberg U.S. Aggregate Bond Index ** (13.01)% (2.71)% 0.03%

 

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

 

(LINE GRAPH)

 

*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. Returns greater than 1 year are annualized. The Fund’s total annual operating expenses, before fee waivers and/or expense reimbursements, as stated in the fee tables of the Fund’s May 1, 2022 prospectus, are 2.15%, 2.90%, 1.90% and 2.40% for Class A, Class C, Class I and Class R shares, respectively. The Fund’s total annual operating expenses, after fee waivers and/or expense reimbursements, as stated in the fee tables of the Fund’s May 1, 2022 prospectus, are 2.06%, 2.81%, 1.81% and 2.31% for Class A, Class C, Class I and Class R shares, respectively. Class A shares are subject to a maximum sales charge of up to 3.75% imposed on purchases and a maximum deferred sales charge of 1.00% on shares redeemed within 18 months of purchase (if the initial sales charge is waived). Total returns would have been lower had the advisor not waived a portion of its fees. For performance information current to the most recent month-end, please call 1-877-287-9820.

 

**The Bloomberg U.S. Aggregate Bond Index (the “Index”) is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate and mortgage-backed securities between one and ten years. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses.

 

(a)Inception date for the fund is December 31, 2018 and the Fund commenced operations on January 25, 2019.

 

Portfolio Composition as of December 31, 2022 
     
Holdings By Asset Type  % of Net Assets 
Exchange Traded Funds   99.5%
Money Market Fund   0.5%
Other Assets in Excess of Liabilities   0.0% *
    100.00%

 

*Amount Less than 0.1%

 

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

5

 

BTS Tactical Fixed Income Fund
PORTFOLIO REVIEW (Unaudited)
December 31, 2022

 

The Fund’s performance figures* for the year ended December 31, 2022, compared to its benchmark:

 

    Annualized
        Since Since Since Since
  One Year Five Year Ten Year Inception (a) Inception (b) Inception (c) Inception (d)
BTS Tactical Fixed Income Fund Class A (12.80)% (3.35)% (0.09)% 6.12% N/A N/A N/A
BTS Tactical Fixed Income Fund Class A (with load) (16.07)% (6.33)% (0.60)% 5.88% N/A N/A N/A
BTS Tactical Fixed Income Fund Class C (13.43)% (4.06)% N/A N/A (0.89)% N/A N/A
BTS Tactical Fixed Income Fund Class I (12.51)% (3.10)% N/A N/A N/A (0.48)% N/A
BTS Tactical Fixed Income Fund Class R (12.93)% (3.58)% N/A N/A N/A N/A (0.94)%
Bloomberg U.S. Aggregate Bond Index ** (13.01)% 0.02% 1.06% 3.99% 1.20% 0.79% 0.80%

 

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

 

(LINE GRAPH)

 

*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. Returns greater than 1 year are annualized. The Fund’s total operating expenses, including aquired fund fees and expenses, as stated in the fee tables of the Fund’s May 1, 2022 prospectus, are 1.86%, 2.61%, 1.61% and 2.11% for Class A, Class C, Class I and Class R shares, respectively. Class A shares are subject to a maximum sales charge of up to 3.75% imposed on purchases and a maximum deferred sales charge of 1.00% on shares redeemed within 18 months of purchase (if the initial sales charge is waived). For performance information current to the most recent month-end, please call 1-877-287-9820.

 

Total returns are calculated with the traded NAV on December 31, 2022. Total returns differs from the return depicted in the Financial Highlights due to adjustments made 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.

 

**The Bloomberg U.S. Aggregate Bond Index (the “Index”) is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate and mortgage-backed securities between one and ten years. Index returns assume reinvestment of dividends. Investors may not invest in the Index directly. Unlike the Fund’s returns, the Index does not reflect any fees or expenses.

 

(a)Inception date for Class A is January 1, 2000. Class A does not have performance as a mutual fund prior to May 31, 2013. The prior performance shown above is for the Fund’s predecessor limited liability company (BTS Tactical Fixed Income Fund LLC, formerly known as BTS Asset Allocation/High Yield Fund LLC). The prior performance is net of management fees and other expenses. The predecessor limited liability company had been managed in the same style and by the same portfolio manager since the predecessor limited liability company’s inception on January 1, 2000. The Fund’s investment goals, policies, guidelines and restrictions are, in all material respects, equivalent to the predecessor limited liability company’s investment goals, policies, guidelines and restrictions. The following information shows the predecessor limited liability company’s annual returns and long-term performance reflecting the actual fees and expenses that were charged when the Fund was a limited liability company. From its inception on January 1, 2000 through May 31, 2013, the predecessor limited liability company was not subject to certain investment restrictions, diversification requirements and other restrictions of the 1940 Act, which if they had been applicable, might have adversely affected its performance. In addition, the predecessor limited liability company was not subject to sales loads that would have adversely affected performance. The predecessor limited liability company’s past performance is not necessarily an indication of how the BTS Tactical Fixed Income Fund will perform in the future.

 

(b)Inception date for Class C is May 31, 2013.

 

(c)Inception date for Class I is May 27, 2015.

 

(d)Inception date for Class R is May 5, 2015.

 

Portfolio Composition as of December 31, 2022 
     
Holdings By Asset Type  % of Net Assets 
Exchange Traded Funds   100.5%
Collateral for Securities Loaned   19.9%
Money Market Fund   0.1%
Liabilities in Excess of Other Assets   (20.5)%
    100.0%

 

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

6

 

BTS MANAGED INCOME FUND
SCHEDULE OF INVESTMENTS
December 31, 2022

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 99.5%     
     EQUITY - 22.2%     
 13,854   Alerian MLP ETF  $527,423 
 5,055   ALPS Sector Dividend Dogs ETF   260,029 
 13,699   Global SuperDividend US ETF   257,404 
 8,866   Invesco S&P 500 High Dividend Low Volatility ETF   388,597 
 8,670   Invesco S&P 500 Low Volatility ETF   554,014 
 19,028   iShares International Select Dividend ETF   516,800 
 11,234   iShares Mortgage Real Estate ETF   254,899 
 3,816   iShares Residential and Multisector Real Estate ETF   260,785 
 9,431   JPMorgan Equity Premium Income ETF   513,895 
 12,694   JPMorgan Nasdaq Equity Premium Income ETF   517,915 
         4,051,761 
     FIXED INCOME - 75.2%     
 17,589   Invesco Variable Rate Preferred ETF   393,818 
 2,447   iShares Agency Bond ETF   260,434 
 26,327   iShares Broad USD High Yield Corporate Bond ETF   909,071 
 7,788   iShares Floating Rate Bond ETF   391,970 
 17,620   iShares iBoxx $ High Yield Corporate Bond ETF   1,297,361 
 3,079   iShares JP Morgan USD Emerging Markets Bond ETF   260,453 
 5,612   iShares MBS ETF   520,513 
 7,423   iShares National Muni Bond ETF   783,275 
 10,366   iShares Treasury Floating Rate Bond ETF   522,550 
 11,466   iShares US Treasury Bond ETF   260,508 
 13,248   Janus Henderson AAA CLO ETF   652,596 
 12,661   SPDR Blackstone Senior Loan ETF   517,835 
 6,077   SPDR Bloomberg Convertible Securities ETF   390,994 
 16,472   SPDR Bloomberg High Yield Bond ETF   1,482,480 
 22,999   SPDR Bloomberg Short Term High Yield Bond ETF   557,496 
 8,021   SPDR Nuveen Bloomberg High Yield Municipal Bond   392,788 
 29,100   SPDR Portfolio High Yield Bond ETF   650,094 
 19,852   VanEck International High Yield Bond ETF   390,985 
 10,065   Vanguard Intermediate-Term Corporate Bond ETF   780,138 
 14,492   Vanguard Total Bond Market ETF   1,041,105 
 38,492   Xtrackers USD High Yield Corporate Bond ETF   1,297,565 
         13,754,029 

 

See accompanying notes to financial statements.

7

 

BTS MANAGED INCOME FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2022

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 99.5% (Continued)     
     MIXED ALLOCATION - 2.1%     
 21,657   Invesco CEF Income Composite ETF  $392,425 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $19,057,240)   18,198,215 
           
     SHORT-TERM INVESTMENT — 0.5%     
     MONEY MARKET FUND - 0.5%     
 82,958   Fidelity Government Portfolio Institutional Class, 4.06% (Cost $82,958)(a)   82,958 
           
     TOTAL INVESTMENTS - 100.0% (Cost $19,140,198)  $18,281,173 
     OTHER ASSETS IN EXCESS OF LIABILITIES - 0.0%(b)   3,143 
     NET ASSETS - 100.0%  $18,284,316 

 

CEF- Closed-End Fund

 

CLO- Collateralized Loan Obligation

 

ETF- Exchange-Traded Fund

 

MBS- Mortgage-Backed Securities

 

MLP- Master Limited Partnership

 

SPDR- Standard & Poor’s Depositary Receipt

 

(a)- Rate disclosed is the seven day effective yield as of December 31, 2022.

 

(b)- Amount Less than 0.1%

 

See accompanying notes to financial statements.

8

 

BTS TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS
December 31, 2022

 

Shares      Fair Value 
     EXCHANGE-TRADED FUNDS — 100.5%     
     EQUITY - 10.3%     
 193,353   Invesco S&P 500 Low Volatility ETF  $12,355,257 
           
           
     FIXED INCOME - 90.2%     
 307,889   iShares iBoxx $ High Yield Corporate Bond ETF(a)   22,669,867 
 508,743   SPDR Bloomberg Barclays Short Term High Yield Bond(a)   12,331,930 
 435,224   SPDR Bloomberg High Yield Bond ETF   39,170,160 
 1,001,308   Xtrackers USD High Yield Corporate Bond ETF   33,754,093 
         107,926,050 
           
     TOTAL EXCHANGE-TRADED FUNDS (Cost $120,680,278)   120,281,307 
           
     SHORT-TERM INVESTMENTS — 20.0%     
     COLLATERAL FOR SECURITIES LOANED – 19.9%     
 23,817,500   State Street Institutional U.S. Government Money Market Fund - Premier Class, 4.32% (Cost $23,817,500)(b)(c)   23,817,500 
           
     MONEY MARKET FUND - 0.1%     
 138,514   Fidelity Government Portfolio Institutional Class, 4.06% (Cost $138,514)(c)   138,514 
           
     TOTAL SHORT-TERM INVESTMENTS (Cost $23,956,014)   23,956,014 
           
     TOTAL INVESTMENTS - 120.5% (Cost $144,636,292)  $144,237,321 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (20.5)%   (24,519,046)
     NET ASSETS - 100.0%  $119,718,275 

 

ETF- Exchange-Traded Fund

 

SPDR- Standard & Poor’s Depositary Receipt

 

(a)All or a portion of the security is on loan. The total fair value of the securities on loan as of December 31, 2022 was $23,365,546.

 

(b)Security was purchased with cash received as collateral for securities on loan at December 31, 2022. Total collateral had a value of $23,817,500 at December 31, 2022.

 

(c)Rate disclosed is the seven day effective yield as of December 31, 2022.

 

See accompanying notes to financial statements.

9

 

BTS Funds
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 2022

 

   BTS   BTS 
   Managed Income   Tactical Fixed Income 
   Fund   Fund 
ASSETS          
Investment securities:          
At cost  $19,140,198   $144,636,292 
At fair value (includes securities on loan with a market value of $0, $23,365,546)  $18,281,173   $144,237,321 
Cash   1,749     
Receivable for Fund shares sold       9,053 
Interest and dividends receivable   14,886    4,792 
Prepaid expenses and other assets   29,554    24,222 
TOTAL ASSETS   18,327,362    144,275,388 
           
LIABILITIES          
Payable to related parties   16,998    59,789 
Investment advisory fees payable   1,610    105,511 
Distribution (12b-1) fees payable   319    26,639 
Payable for Fund shares redeemed       496,232 
Securities lending collateral       23,817,500 
Accrued expenses and other liabilities   24,119    51,442 
TOTAL LIABILITIES   43,046    24,557,113 
NET ASSETS  $18,284,316   $119,718,275 
           
Net Assets Consist Of:          
Paid in capital ($0 par value, unlimited shares authorized)  $22,057,718   $227,830,397 
Accumulated losses   (3,773,402)   (108,112,122)
NET ASSETS  $18,284,316   $119,718,275 
           
Net Asset Value Per Share:          
Class A Shares:          
Net Assets  $280,292   $29,096,797 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   30,725    3,713,892 
Net asset value and redemption price per share (Net assets/Shares of Beneficial Interest)  $9.12   $7.83 
Maximum offering price per share (Maximum sales charge of 3.75%) (1)  $9.48   $8.14 
           
Class C Shares:          
Net Assets  $233,829   $22,294,859 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   25,641    2,871,539 
Net asset value, offering price and redemption price per share (Net assets/Shares of Beneficial Interest)  $9.12   $7.76 
           
Class I Shares:          
Net Assets  $17,634,446   $66,555,369 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   1,934,902    8,529,460 
Net asset value, offering price and redemption price per share (Net assets/Shares of Beneficial Interest)  $9.11   $7.80 
           
Class R Shares:          
Net Assets  $135,749   $1,771,250 
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)   14,857    226,967 
Net asset value, offering price and redemption price per share (Net assets/Shares of Beneficial Interest)  $9.14   $7.80 

 

(1)On investments of $5 million or more, the maximum sales charge will not apply. However, the investment may be subject to a 1.00% contingent deferred sales charge if redeemed during the first 18 months.

 

See accompanying notes to financial statements.

10

 

BTS Funds
STATEMENTS OF OPERATIONS
For the Year Ended December 31, 2022

 

   BTS   BTS 
   Managed Income   Tactical Fixed Income 
   Fund   Fund 
INVESTMENT INCOME          
Dividends  $790,836   $4,285,627 
Interest   51,222    964,036 
Securities lending income       312,386 
TOTAL INVESTMENT INCOME   842,058    5,562,049 
           
EXPENSES          
Investment advisory fees   149,919    1,680,922 
Distribution (12b-1) fees, Class A shares   704    91,169 
Distribution (12b-1) fees, Class C shares   2,603    290,035 
Distribution (12b-1) fees, Class R shares   1,409    11,996 
Registration fees   69,520    85,001 
Accounting services fees   44,145    44,059 
Administrative services fees   37,901    154,356 
Transfer agent fees   24,451    157,043 
Audit and tax fees   15,153    15,089 
Trustees fees and expenses   15,076    15,100 
Legal fees   14,026    14,026 
Printing and postage expenses   13,873    40,004 
Third party administrative servicing fees   12,049    87,750 
Compliance officer fees   9,085    24,913 
Custodian fees   6,369    10,658 
Insurance expense   3,443    6,125 
Interest expense       470 
Other expenses   4,331    3,414 
TOTAL EXPENSES   424,057    2,732,130 
           
Less: Fees waived or expenses reimbursed by the Advisor   (73,687)    
           
NET EXPENSES   350,370    2,732,130 
           
NET INVESTMENT INCOME   491,688    2,829,919 
           
REALIZED GAIN (LOSS) FROM INVESTMENTS          
Net realized loss from investments   (2,977,940)   (27,679,404)
Distributions of realized gains by underlying investment companies   785     
Net change in unrealized depreciation of investments   (728,062)   (707,544)
NET REALIZED LOSS ON INVESTMENTS   (3,705,217)   (28,386,948)
           
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS  $(3,213,529)  $(25,557,029)

 

See accompanying notes to financial statements.

11

 

BTS Managed Income Fund
STATEMENTS OF CHANGES IN NET ASSETS

 

   For the   For the 
   Year Ended   Year Ended 
   December 31, 2022   December 31, 2021 
FROM OPERATIONS          
Net investment income  $491,688   $310,553 
Net realized gain (loss) from investments   (2,977,940)   167,180 
Distributions of realized gains from underlying investment companies   785    13,392 
Net change in unrealized depreciation of investments   (728,062)   (758,297)
Net decrease in net assets resulting from operations   (3,213,529)   (267,172)
           
DISTRIBUTIONS TO SHAREHOLDERS          
Distributions paid          
Class A   (6,343)   (3,231)
Class C   (3,729)   (1,044)
Class I   (498,497)   (305,909)
Class R   (3,285)   (5,464)
Net decrease in net assets from distributions to shareholders   (511,854)   (315,648)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class A   68,454    335,480 
Class C   20,096    183,499 
Class I   4,105,674    20,096,611 
Class R       493,921 
Net asset value of shares issued in reinvestment of dividends and distributions to shareholders:          
Class A   6,343    3,231 
Class C   3,638    1,004 
Class I   493,489    300,532 
Class R   3,285    5,198 
Payments for shares redeemed:          
Class A   (71,100)   (46,205)
Class C   (67,156)   (54,052)
Class I   (7,636,986)   (15,551,410)
Class R   (358,100)   (286,100)
Net increase (decrease) in net assets from shares of beneficial interest   (3,432,363)   5,481,709 
           
TOTAL INCREASE (DECREASE) IN NET ASSETS   (7,157,746)   4,898,889 
           
NET ASSETS          
Beginning of Year   25,442,062    20,543,173 
End of Year  $18,284,316   $25,442,062 
           
SHARE ACTIVITY          
Class A:          
Shares sold   6,818    30,924 
Shares reinvested   694    301 
Shares redeemed   (6,882)   (4,280)
Net increase in shares of beneficial interest outstanding   630    26,945 
           
Class C:          
Shares sold   2,102    16,933 
Shares reinvested   400    94 
Shares redeemed   (6,839)   (4,992)
Net increase (decrease) in shares of beneficial interest outstanding   (4,337)   12,035 
           
Class I:          
Shares sold   408,057    1,860,176 
Shares reinvested   53,774    28,024 
Shares redeemed   (803,421)   (1,439,371)
Net increase (decrease) in shares of beneficial interest outstanding   (341,590)   448,829 
           
Class R:          
Shares sold       45,200 
Shares reinvested   358    483 
Shares redeemed   (36,145)   (26,452)
Net increase (decrease) in shares of beneficial interest outstanding   (35,787)   19,231 

 

See accompanying notes to financial statements.

12

 

BTS Tactical Fixed Income Fund
STATEMENTS OF CHANGES IN NET ASSETS

 

   For the   For the 
   Year Ended   Year Ended 
   December 31, 2022   December 31, 2021 
FROM OPERATIONS          
Net investment income  $2,829,919   $5,522,812 
Net realized loss from investments   (27,679,404)   (4,694,321)
Net change in unrealized depreciation of investments   (707,544)   (7,332,917)
Net decrease in net assets resulting from operations   (25,557,029)   (6,504,426)
           
DISTRIBUTIONS TO SHAREHOLDERS          
Distributions paid          
Class A   (637,277)   (877,579)
Class C   (348,234)   (472,010)
Class I   (1,802,540)   (4,135,711)
Class R   (35,439)   (56,806)
Net decrease in net assets from distributions to shareholders   (2,823,490)   (5,542,106)
           
FROM SHARES OF BENEFICIAL INTEREST          
Proceeds from shares sold:          
Class A   1,365,238    7,574,461 
Class C   1,003,600    2,065,066 
Class I   15,276,577    54,962,751 
Class R   108,105    270,245 
Net asset value of shares issued in reinvestment of dividends and distributions to shareholders:          
Class A   577,195    806,683 
Class C   306,179    410,875 
Class I   1,654,380    3,457,489 
Class R   32,363    53,224 
Payments for shares redeemed:          
Class A   (13,416,228)   (41,529,759)
Class C   (12,474,722)   (26,100,280)
Class I   (86,799,128)   (217,857,519)
Class R   (1,273,753)   (2,544,951)
Net decrease in net assets from shares of beneficial interest   (93,640,194)   (218,431,715)
           
TOTAL DECREASE IN NET ASSETS   (122,020,713)   (230,478,247)
           
NET ASSETS          
Beginning of Year   241,738,988    472,217,235 
End of Year  $119,718,275   $241,738,988 
           
SHARE ACTIVITY          
Class A:          
Shares sold   163,663    799,064 
Shares reinvested   73,801    85,882 
Shares redeemed   (1,603,076)   (4,380,038)
Net decrease in shares of beneficial interest outstanding   (1,365,612)   (3,495,092)
           
Class C:          
Shares sold   116,838    220,493 
Shares reinvested   39,571    43,973 
Shares redeemed   (1,503,807)   (2,784,563)
Net decrease in shares of beneficial interest outstanding   (1,347,398)   (2,520,097)
           
Class I:          
Shares sold   1,801,505    5,815,459 
Shares reinvested   211,288    368,995 
Shares redeemed   (10,295,022)   (23,178,094)
Net decrease in shares of beneficial interest outstanding   (8,282,229)   (16,993,640)
           
Class R:          
Shares sold   13,241    28,841 
Shares reinvested   4,155    5,681 
Shares redeemed   (151,863)   (270,477)
Net decrease in shares of beneficial interest outstanding   (134,467)   (235,955)

 

See accompanying notes to financial statements.

13

 

BTS Managed Income Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class A 
   For the   For the   For the   For the 
   Year Ended   Year Ended   Year Ended   Period* Ended 
   December 31, 2022   December 31, 2021   December 31, 2020   December 31, 2019 
                 
Net asset value, beginning of period  $10.66   $10.92   $10.20   $10.00 
                     
Activity from investment operations:                    
Net investment income (1)   0.18    0.12    0.96    0.21 
Net realized and unrealized gain (loss) on investments   (1.51)   (0.26)   (0.09)   0.20 
Total from investment operations   (1.33)   (0.14)   0.87    0.41 
                     
Less distributions from:                    
Net investment income   (0.21)   (0.12)   (0.14)   (0.20)
Return of capital           (0.01)   (0.01)
Total distributions   (0.21)   (0.12)   (0.15)   (0.21)
                     
Net asset value, end of period  $9.12   $10.66   $10.92   $10.20 
                     
Total return (2)   (12.45)%   (1.28)%   8.53%   4.06% (3)
                     
Net assets, at end of period (000)’s  $280   $321   $34   $0 (7)
                     
Ratio of gross expenses before waiver/reimbursement to average net assets (5)   2.07%   1.84%   2.60%   13.86% (4)
Ratio of net expenses to average net assets (5)   1.75%   1.75%   1.75%   1.75% (4)
Ratio of net investment income (loss) before waiver/reimbursement to average net assets (5,6)   1.60%   1.04%   7.17%   (10.32)% (4)
Ratio of net investment income to average net assets (5,6)   1.93%   1.13%   8.02%   1.79% (4)
                     
Portfolio Turnover Rate   277%   243%   281%   163% (3)

 

*The inception date of the BTS Managed Income Fund is December 31, 2018 and the Fund commenced operations on January 25, 2019.

 

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

 

(2)Total returns shown exclude the effect of applicable sales loads/redemption fees and assumes reinvestment of dividends and capital gain distributions, if any. Had the advisor not waived a portion of its fees, total returns would have been lower.

 

(3)Not annualized.

 

(4)Annualized.

 

(5)The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of underlying investment companies in which the Fund invests.

 

(6)The recognition of investment income by the Fund is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

 

(7)Less than $1,000.

 

See accompanying notes to financial statements.

14

 

BTS Managed Income Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class C 
   For the   For the   For the   For the 
   Year Ended   Year Ended   Year Ended   Period* Ended 
   December 31, 2022   December 31, 2021   December 31, 2020   December 31, 2019 
                 
Net asset value, beginning of period  $10.67   $10.93   $10.20   $10.00 
                     
Activity from investment operations:                    
Net investment income (1)   0.11    0.04    0.62    0.21 
Net realized and unrealized gain (loss) on investments   (1.51)   (0.26)   0.25    0.20 
Total from investment operations   (1.40)   (0.22)   0.87    0.41 
                     
Less distributions from:                    
Net investment income   (0.15)   (0.04)   (0.13)   (0.20)
Return of capital           (0.01)   (0.01)
Total distributions   (0.15)   (0.04)   (0.14)   (0.21)
                     
Net asset value, end of period  $9.12   $10.67   $10.93   $10.20 
                     
Total return (2)   (13.15)%   (2.00)%   8.53%   4.06% (3)
                     
Net assets, at end of period (000’s)  $234   $320   $196   $0 (7)
                     
Ratio of gross expenses before waiver/reimbursement to average net assets (5)   2.82%   2.59%   3.35%   14.61% (4)
Ratio of net expenses to average net assets (5)   2.50%   2.50%   2.50%   2.50% (4)
Ratio of net investment income (loss) before waiver/reimbursement to average net assets (5,6)   0.78%   0.25%   4.69%   (11.07)% (4)
Ratio of net investment income to average net assets (5,6)   1.10%   0.34%   5.54%   1.04% (4)
                     
Portfolio Turnover Rate   277%   243%   281%   163% (3)

 

*The inception date of the BTS Managed Income Fund is December 31, 2018 and the Fund commenced operations on January 25, 2019.

 

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

 

(2)Total returns shown exclude the effect of applicable sales loads/redemption fees and assumes reinvestment of dividends and capital gain distributions, if any. Had the advisor not waived a portion of its fees, total returns would have been lower.

 

(3)Not annualized.

 

(4)Annualized.

 

(5)The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of underlying investment companies in which the Fund invests.

 

(6)The recognition of investment income by the Fund is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

 

(7)Less than $1,000.

 

See accompanying notes to financial statements.

15

 

BTS Managed Income Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class I 
   For the   For the   For the   For the 
   Year Ended   Year Ended   Year Ended   Period* Ended 
   December 31, 2022   December 31, 2021   December 31, 2020   December 31, 2019 
                 
Net asset value, beginning of period  $10.66   $10.93   $10.20   $10.00 
                     
Activity from investment operations:                    
Net investment income (1)   0.21    0.15    0.22    0.21 
Net realized and unrealized gain (loss) on investments   (1.52)   (0.27)   0.66    0.20 
Total from investment operations   (1.31)   (0.12)   0.88    0.41 
                     
Less distributions from:                    
Net investment income   (0.24)   (0.15)   (0.14)   (0.20)
Return of capital           (0.01)   (0.01)
Total distributions   (0.24)   (0.15)   (0.15)   (0.21)
                     
Net asset value, end of period  $9.11   $10.66   $10.93   $10.20 
                     
Total return (2)   (12.32)%   (1.14)%   8.63%   4.06% (3)
                     
Net assets, at end of period (000’s)  $17,634   $24,261   $19,969   $1,156 
                     
Ratio of gross expenses before waiver/reimbursement to average net assets (5)   1.82%   1.59%   2.35%   13.61% (4)
Ratio of net expenses to average net assets (5)   1.50%   1.50%   1.50%   1.50% (4)
Ratio of net investment income (loss) before waiver/reimbursement to average net assets (5,6)   1.84%   1.24%   1.16%   (10.07)% (4)
Ratio of net investment income to average net assets (5,6)   2.16%   1.33%   2.01%   2.04% (4)
                     
Portfolio Turnover Rate   277%   243%   281%   163% (3)

 

*The inception date of the BTS Managed Income Fund is December 31, 2018 and the Fund commenced operations on January 25, 2019.

 

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

 

(2)Total returns shown exclude the effect of applicable sales loads/redemption fees and assumes reinvestment of dividends and capital gain distributions, if any. Had the advisor not waived a portion of its fees, total returns would have been lower.

 

(3)Not annualized.

 

(4)Annualized.

 

(5)The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of underlying investment companies in which the Fund invests.

 

(6)The recognition of investment income by the Fund is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

 

See accompanying notes to financial statements.

16

 

BTS Managed Income Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class R 
   For the   For the   For the   For the 
   Year Ended   Year Ended   Year Ended   Period* Ended 
   December 31, 2022   December 31, 2021   December 31, 2020   December 31, 2019 
                 
Net asset value, beginning of period  $10.68   $10.93   $10.20   $10.00 
                     
Activity from investment operations:                    
Net investment income (1)   0.12    0.09    0.41    0.21 
Net realized and unrealized gain (loss) on investments   (1.48)   (0.25)   0.46    0.20 
Total from investment operations   (1.36)   (0.16)   0.87    0.41 
                     
Less distributions from:                    
Net investment income   (0.18)   (0.09)   (0.13)   (0.20)
Return of capital           (0.01)   (0.01)
Total distributions   (0.18)   (0.09)   (0.14)   (0.21)
                     
Net asset value, end of period  $9.14   $10.68   $10.93   $10.20 
                     
Total return (2)   (12.72)%   (1.45)%   8.56%   4.06% (3)
                     
Net assets, at end of period (000’s)  $136   $541   $343   $0 (7)
                     
Ratio of gross expenses before waiver/reimbursement to average net assets (5)   2.32%   2.09%   2.85%   14.11% (4)
Ratio of net expenses to average net assets (5)   2.00%   2.00%   2.00%   2.00% (4)
Ratio of net investment income (loss) before waiver/reimbursement to average net assets (5,6)   0.92%   0.75%   2.89%   (10.57)% (4)
Ratio of net investment income to average net assets (5,6)   1.19%   0.84%   3.74%   1.54% (4)
                     
Portfolio Turnover Rate   277%   243%   281%   163% (3)

 

*The inception date of the BTS Managed Income Fund is December 31, 2018 and the Fund commenced operations on January 25, 2019.

 

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

 

(2)Total returns shown exclude the effect of applicable sales loads/redemption fees and assumes reinvestment of dividends and capital gain distributions, if any. Had the advisor not waived a portion of its fees, total returns would have been lower.

 

(3)Not annualized.

 

(4)Annualized.

 

(5)The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of underlying investment companies in which the Fund invests.

 

(6)The recognition of investment income by the Fund is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

 

(7)Less than $1,000.

 

See accompanying notes to financial statements.

17

 

BTS Tactical Fixed Income Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class A 
   For the   For the   For the   For the   For the 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2022   December 31, 2021   December 31, 2020   December 31, 2019   December 31, 2018 
                     
Net asset value, beginning of year  $9.17   $9.53   $9.46   $9.36   $10.34 
                          
Activity from investment operations:                         
Net investment income (1)   0.15    0.14    0.07    0.27    0.28 
Net realized and unrealized gain (loss) on investments   (1.32)   (0.34)   0.07    0.13    (0.94)
Total from investment operations   (1.17)   (0.20)   0.14    0.40    (0.66)
                          
Paid-in-capital from redemption fees (1)                   0.00 (5)
                          
Less distributions from:                         
Net investment income   (0.17)   (0.16)   (0.07)   (0.28)   (0.31)
Return of capital               (0.02)   (0.01)
Total distributions   (0.17)   (0.16)   (0.07)   (0.30)   (0.32)
                          
Net asset value, end of year  $7.83   $9.17   $9.53   $9.46   $9.36 
                          
Total return (2)   (12.80)%   (2.18)%   1.43%   4.30%   (6.52)%
                          
Net assets, at end of year (000’s)  $29,097   $46,556   $81,714   $85,500   $139,586 
                          
Ratio of expenses to average net assets (3)   1.65%   1.54%   1.47%   1.49%   1.45%
Ratio of net investment income to average net assets (3,4)   1.78%   1.46%   0.75%   2.85%   2.84%
                          
Portfolio Turnover Rate   899%   513%   1655%   493%   356%

 

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

 

(2)Total returns shown exclude the effect of applicable sales loads/redemption fees and assumes reinvestment of dividends and capital gain distributions, if any.

 

(3)The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of underlying investment companies in which the Fund invests.

 

(4)The recognition of investment income by the Fund is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

 

(5)Represents less than $0.005 per share.

 

See accompanying notes to financial statements.

18

 

BTS Tactical Fixed Income Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class C 
   For the   For the   For the   For the   For the 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2022   December 31, 2021   December 31, 2020   December 31, 2019   December 31, 2018 
                     
Net asset value, beginning of year  $9.10   $9.47   $9.42   $9.32   $10.30 
                          
Activity from investment operations:                         
Net investment income (1)   0.09    0.07    0.00 (2)   0.20    0.22 
Net realized and unrealized gain (loss) on investments   (1.31)   (0.35)   0.06    0.13    (0.96)
Total from investment operations   (1.22)   (0.28)   0.06    0.33    (0.74)
                          
Paid-in-capital from redemption fees (1)                   0.00 (5)
                          
Less distributions from:                         
Net investment income   (0.12)   (0.09)   (0.01)   (0.21)   (0.23)
Return of capital               (0.02)   (0.01)
Total distributions   (0.12)   (0.09)   (0.01)   (0.23)   (0.24)
                          
Net asset value, end of year  $7.76   $9.10   $9.47   $9.42   $9.32 
                          
Total return (2)   (13.43)%   (2.96)%   0.67%   3.53%   (7.24)%
                          
Net assets, at end of year (000’s)  $22,295   $38,380   $63,806   $77,732   $94,550 
                          
Ratio of expenses to average net assets (3)   2.40%   2.29%   2.22%   2.24%   2.20%
Ratio of net investment income to average net assets (3,4)   0.99%   0.79%   0.00%   2.10%   2.17%
                          
Portfolio Turnover Rate   899%   513%   1655%   493%   356%

 

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

 

(2)Total returns shown exclude the effect of applicable sales loads/redemption fees and assumes reinvestment of dividends and capital gain distributions, if any.

 

(3)The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of underlying investment companies in which the Fund invests.

 

(4)The recognition of investment income by the Fund is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

 

(5)Represents less than $0.005 per share.

 

See accompanying notes to financial statements.

19

 

BTS Tactical Fixed Income Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class I 
   For the   For the   For the   For the   For the 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2022   December 31, 2021   December 31, 2020   December 31, 2019   December 31, 2018 
                     
Net asset value, beginning of year  $9.13   $9.50   $9.43   $9.33   $10.31 
                          
Activity from investment operations:                         
Net investment income (1)   0.16    0.17    0.10    0.29    0.31 
Net realized and unrealized gain (loss) on investments   (1.30)   (0.36)   0.06    0.13    (0.95)
Total from investment operations   (1.14)   (0.19)   0.16    0.42    (0.64)
                          
Less distributions from:                         
Net investment income   (0.19)   (0.18)   (0.09)   (0.30)   (0.33)
Return of capital               (0.02)   (0.01)
Total distributions   (0.19)   (0.18)   (0.09)   (0.32)   (0.34)
                          
Net asset value, end of year  $7.80   $9.13   $9.50   $9.43   $9.33 
                          
Total return (2)   (12.51)%   (2.03)%   1.69%   4.59%   (6.29)%
                          
Net assets, at end of year (000’s)  $66,555   $153,501   $321,023   $270,389   $407,197 
                          
Ratio of expenses to average net assets (3)   1.40%   1.29%   1.22%   1.24%   1.20%
Ratio of net investment income to average net assets (3,4)   1.85%   1.77%   1.09%   3.10%   3.14%
                          
Portfolio Turnover Rate   899%   513%   1655%   493%   356%

 

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

 

(2)Total returns shown exclude the effect of applicable sales loads/redemption fees and assumes reinvestment of dividends and capital gain distributions, if any.

 

(3)The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of underlying investment companies in which the Fund invests.

 

(4)The recognition of investment income by the Fund is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

 

See accompanying notes to financial statements.

20

 

BTS Tactical Fixed Income Fund
FINANCIAL HIGHLIGHTS

 

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

 

   Class R 
   For the   For the   For the   For the   For the 
   Year Ended   Year Ended   Year Ended   Year Ended   Year Ended 
   December 31, 2022   December 31, 2021   December 31, 2020   December 31, 2019   December 31, 2018 
                     
Net asset value, beginning of year  $9.13   $9.50   $9.44   $9.34   $10.32 
                          
Activity from investment operations:                         
Net investment income (1)   0.12    0.12    0.05    0.25    0.27 
Net realized and unrealized gain (loss) on investments   (1.30)   (0.36)   0.06    0.13    (0.96)
Total from investment operations   (1.18)   (0.24)   0.11    0.38    (0.69)
                          
Less distributions from:                         
Net investment income   (0.15)   (0.13)   (0.05)   (0.26)   (0.28)
Return of capital               (0.02)   (0.01)
Total distributions   (0.15)   (0.13)   (0.05)   (0.28)   (0.29)
                          
Net asset value, end of year  $7.80   $9.13   $9.50   $9.44   $9.34 
                          
Total return (2)   (12.93)%   (2.55)%   1.22%   4.05%   (6.76)%
                          
Net assets, at end of year (000’s)  $1,771   $3,302   $5,674   $6,526   $8,211 
                          
Ratio of expenses to average net assets (3)   1.90%   1.79%   1.72%   1.74%   1.70%
Ratio of net investment income to average net assets (3,4)   1.49%   1.25%   0.55%   2.60%   2.71%
                          
Portfolio Turnover Rate   899%   513%   1655%   493%   356%

 

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

 

(2)Total returns shown exclude the effect of applicable sales loads/redemption fees and assumes reinvestment of dividends and capital gain distributions, if any.

 

(3)The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of expenses of underlying investment companies in which the Fund invests.

 

(4)The recognition of investment income by the Fund is affected by the timing of the declaration of dividends by the underlying funds in which the Fund invests.

 

See accompanying notes to financial statements.

21

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS
December 31, 2022

 

1.ORGANIZATION

 

BTS Managed Income Fund (“Managed Income Fund”) and BTS Tactical Fixed Income Fund (“Fixed Income Fund”), each a “Fund” and together, the “Funds”, are a diversified series of shares of beneficial interest of Northern Lights Fund Trust (the “Trust”), a 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 Fixed Income Fund commenced operations on May 31, 2013 and the Managed Income Fund commenced operations on January 25, 2019. The investment objectives of each Fund are to seek to provide total return.

 

Each Fund currently offers four classes of shares: Class A shares, Class C shares, Class I shares and Class R shares. For the Fixed Income Fund the Class A shares and Class C shares commenced operations on May 31, 2013, Class I shares commenced operations on May 27, 2015 and Class R shares commenced operations on May 5, 2015. The Managed Income Fund’s Class A shares, Class C shares, Class I shares and Class R shares commenced operations on January 25, 2019. Class A shares of each Fund are offered at net asset value plus a maximum sales charge of 3.75% for each Fund. Class C shares, Class I shares and Class R shares are offered at net asset value. Each class of shares of the Funds have identical rights and privileges, except with respect to arrangements pertaining to shareholder servicing or distribution, class-related expenses, voting rights on matters affecting a single class of shares, and the exchange privilege of each class of shares. The Funds share classes differ in the fees and expenses charged to shareholders. The Funds’ 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 Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Funds are investment companies 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”.

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. 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”) based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies are valued at net asset value.

 

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

 

Open-end investment companies are valued at their respective net asset values as reported by such investment companies. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change.

22

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2022

 

Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. The Funds may purchase an ETF to gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

 

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 the Adviser as its valuation designee (the “Valuation Designee”). The Board may also enlist third party consultants such a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as -needed basis to assist the Valuation Designee in determining a security-specific fair value. The Board is responsible for reviewing and approving fair value methodologies utilized by the Valuation Designee, which approval shall be based upon whether the Valuation Designee followed the valuation procedures established by the Board.

 

Fair Valuation Process – The applicable investments are valued by the Valuation Designee pursuant to valuation procedures established by the Board. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); (ii) securities for which, in the judgment of the Valuation Designee, the prices or values available do not represent the fair value of the instrument; factors which may cause the Valuation Designee to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; and (iv) securities with respect to which an event that 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 net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private investments or non-traded securities are valued based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If a current bid from such independent dealers or other independent parties is unavailable, the Valuation Designee shall determine, the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Fund’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

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

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that a 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 a Fund’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

23

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2022

 

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

 

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

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables, summarizes the inputs used as of December 31, 2022 for the Funds’ investments measured at fair value:

 

Managed Income Fund 
                 
Assets *  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $18,198,215   $   $   $18,198,215 
Money Market Fund   82,958            82,958 
Total Investments  $18,281,173   $   $   $18,281,173 
                     
Fixed Income Fund 
                 
Assets *  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $120,281,307   $   $   $120,281,307 
Collateral for Securities Loaned   23,817,500            23,817,500 
Money Market Funds   138,514            138,514 
Total Investments  $144,237,321   $   $   $144,237,321 

 

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

 

*Please refer to the Schedule of Investments for Classification.

 

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

 

Dividends and Distributions to Shareholders – Dividends from net investment income, if any, are declared and paid quarterly. 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 are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on the Federal tax-basis treatment; temporary differences do not require reclassification. These reclassifications have no effect on net assets, results from operations or net asset value per share of the Funds.

 

Federal Income Tax – Each Fund intends to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income to its shareholders. Therefore, no federal income tax provision is required. The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years ended December 31, 2020 to December 31, 2021 or expected to be taken in the Funds’ December 31, 2022 year-end tax return. The Funds identify their major tax jurisdictions as U.S. federal, Ohio and foreign jurisdictions where the Funds may make significant investments. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

24

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2022

 

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

 

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

 

Cash and Cash Equivalents – Cash and cash equivalents are held with a financial institution. The assets of the Funds may be placed in deposit accounts at U.S. banks and such deposits generally exceed Federal Deposit Insurance Corporation (“FDIC”) insurance limits. The FDIC insures deposit accounts up to $250,000 for each accountholder. The counterparty is generally a single bank rather than a group of financial institutions; thus, there may be a greater counterparty credit risk. The Funds place deposits only with those counterparties which are believed to be creditworthy and there has been no history of loss.

 

Securities Lending Risk – The Funds may lend portfolio securities to institutions, such as banks and certain broker-dealers. A Fund may experience a loss or delay in the recovery of its securities if the borrowing institution breaches its agreement with the Fund (see additional information at Note 7).

 

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 the Funds’ portfolio may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, climate-change and climate-related events, 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 investment in the Funds.

 

3.INVESTMENT TRANSACTIONS

 

For the year ended December 31, 2022, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments were as follows:

 

   Purchases   Sales 
Managed Income Fund  $52,424,051   $54,741,198 
Fixed Income Fund   890,663,780    984,909,370 

25

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2022

 

4.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

BTS Asset Management, Inc. serves as the Funds’ investment advisor (the “Advisor”). Pursuant to an investment advisory agreement with the Trust, on behalf of the Funds, the Advisor, under the supervision of the Board, oversees the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Fixed Income Fund pays the Advisor an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 1.00% of the Fixed Income Fund’s average daily net assets. As compensation for its services and the related expenses borne by the Advisor, the Managed Income Fund pays the Advisor an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 0.65% of the Managed Income Fund’s average daily net assets. For the year ended December 31, 2022, the Funds incurred fees as follows:

 

   Advisory Fees 
Managed Income Fund  $149,919 
Fixed Income Fund   1,680,922 

 

Pursuant to a written contract (the “Waiver Agreement”), the Advisor has agreed to waive all or part of its advisory fees and/or make payments to limit the Funds’ 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, and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of the Funds’ service providers (other than the Advisor))) at least until April 30, 2023, so that the total annual operating expenses of the Fixed Income Fund do not exceed 2.00%, 2.75%, 1.75%, and 2.25% of the average daily net assets of the Fixed Income Fund’s Class A, Class C, Class I, and Class R shares, respectively, and that the annual operating expenses of Managed Income Fund do not exceed 1.75%, 2.50%, 1.50% and 2.00% of the average daily net assets of the Managed Income Fund’s Class A, Class C, Class I and Class R shares respectively. Contractual waivers and expense payments may be recouped by the Advisor from the Funds, to the extent that overall expenses fall below the expense limitation, within three years of when the amounts were waived.

 

For the year ended December 31, 2022, the Advisor waived fees and reimbursed expenses pursuant to the Waiver Agreement as follows:

 

   Advisory Fees Waived 
Managed Income Fund  $73,687 
Fixed Income Fund    

 

As of December 31, 2022, the Advisor may recapture all or a portion of the waived fees no later than the date stated below:

 

   December 31, 2023   December 31, 2024   December 31, 2025   Total 
Managed Income Fund  $72,313   $21,506   $73,687   $167,506 
Fixed Income Fund                

 

Distributor – The distributor of the Funds is Northern Lights Distributors, LLC (“NLD” or the “Distributor”). The Trust has adopted, on behalf of the Funds, the Trust’s Master Distribution and Shareholder Servicing Plans (the “Plans”), as amended, for Class A, Class C and Class R shares pursuant to Rule 12b-1 under the 1940 Act, to pay for certain distribution activities and shareholder services. Under the Plan, the Funds may pay an annual rate of 0.25% of the average daily net assets of the Funds’ Class A shares, 1.00% of the average daily net assets for the Funds’ Class C shares, and 0.50% of the average daily net assets for the Funds’ Class R shares for distribution and shareholder service activities. For the year ended December 31, 2022, the Fund incurred distribution fees as follows:

 

   Class A   Class C   Class R 
Managed Income Fund  $704   $2,603   $1,409 
Fixed Income Fund   91,169    290,035    11,996 

26

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2022

 

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. For the year ended December 31, 2022, the Distributor received underwriter commissions for sales of the Funds’ Class A shares as follows:

 

       Amount 
   Underwriter   Retained By 
   Commissions   Principal Underwriter 
Managed Income Fund  $2,455   $2,127 
Fixed Income Fund   11,678    9,826 

 

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

 

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

 

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

 

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

 

5.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

       Gross   Gross   Net Unrealized 
   Tax   Unrealized   Unrealized   Appreciation/ 
Fund  Cost   Appreciation   Depreciation   (Depreciation) 
Managed Income Fund  $19,240,692   $89,040   $(1,048,559)  $(959,519)
Tactical Fixed Income Fund   144,636,292    29,525    (428,496)   (398,971)

 

6.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of fund distributions paid for the year ended December 31, 2022, and December 31, 2021, was as follows:

 

For fiscal year ended  Ordinary   Long-Term   Return of     
12/31/2022  Income   Capital Gains   Capital   Total 
Managed Income Fund  $302,355   $209,499   $   $511,854 
Tactical Fixed Income Fund   2,823,490            2,823,490 
                     
For fiscal year ended  Ordinary   Long-Term   Return of     
12/31/2021  Income   Capital Gains   Capital   Total 
Managed Income Fund  $291,069   $24,579   $   $315,648 
Tactical Fixed Income Fund   5,542,106            5,542,106 

 

As of December 31, 2022, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

   Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation/   Accumulated 
   Income   Capital Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
Managed Income Fund  $141,697   $   $(898,141)  $(2,057,439)  $   $(959,519)  $(3,773,402)
Tactical Fixed Income Fund   407,898            (108,121,049)       (398,971)   (108,112,122)

27

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2022

 

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

 

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 BTS Managed Income Fund incurred and elected to defer such capital losses of $898,141.

 

At December 31, 2022, the Fund had capital loss carry forwards for federal income tax purposes available to offset future capital gains as follows:

 

   Capital Loss Carry Forward 
Fund  Short-Term   Long-Term   Total   Utilized 
Managed Income Fund  $1,545,671   $511,768   $2,057,439   $ 
Tactical Fixed Income Fund   108,121,049        108,121,049     

 

7.SECURITIES LENDING

 

Under an agreement (the “Securities Lending Agreement”) with the Securities Finance Trust Company (“SFTC”), the Funds can lend their portfolio securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. For each securities loan, the borrower shall transfer collateral in an amount determined by applying the margin to the market value of the loaned available securities (102% for same currency and 105% for cross currency). Collateral is invested in highly liquid, short-term instruments such as money market funds in accordance with the Funds’ security lending procedures. The Funds continue to receive interest or dividends on the securities loaned. The Funds have the right under the Securities Lending Agreement to recover the securities from the borrower on demand; if the borrower fails to deliver the securities on a timely basis, the Funds could experience delays or losses on recovery. Additionally, the Funds are subject to the risk of loss from investments made with the cash received as collateral. The Funds manage credit exposure arising from these lending transactions by, in appropriate circumstances, entering into master netting agreements and collateral agreements with third party borrowers that provide in the event of default (such as bankruptcy or a borrower’s failure to pay or perform), the right to net a third-party borrower’s rights and obligations under such agreement and liquidate and set off collateral against the net amount owed by the counterparty.

 

The following table breaks out the Fixed Income Fund’s securities lending transactions accounted for as secured borrowings with cash collateral of overnight and continuous maturities as of December 31, 2022.

 

   Overnight and   Up to       Greater than     
   Continuous   30 Days   30-90 days   90 days   Total 
State Street Institutional U.S. Government Money Market Fund – Premier Class  $23,817,500   $   $   $   $23,817,500 

 

The amount of Collateral for Securities Loaned is offset by a liability recorded as “Securities Lending Collateral Payable” as shown on the Statement of Assets and Liabilities as of December 31, 2022.

 

      Gross   Gross   Net Amounts             
      Amounts of   Amounts of   Presented in the   Financial   Cash     
      Recognized   Recognized   Statement of   Instruments   Collateral   Net Amount of 
Description of Liability  Counterparty  Assets   Liabilities   Assets & Liabilities   Pledged   Pledged   Assets & Liabilities 
Securities lending collateral  Securities Finance Trust Co.  $23,817,500 (1)  $   $23,817,500   $   $23,817,500 (2)  $ 

 

(1)Value as presented in the Schedule of Investments.

 

(2)The amount is limited to the liability balance and does not include excess collateral pledged to the counterparty. Detailed collateral amounts are presented in the Statements of Assets and Liabilities.

28

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2022

 

8.LINE OF CREDIT

 

The Fixed Income Fund and the Managed Income Fund have each entered into a line of credit agreement with U.S. Bank N.A. for investment purposes subject to the limitations of the 1940 Act for borrowings. The maximum amount the Fixed Income Fund is allowed to borrow under its agreement is the lesser of $22,000,000, or 20% of the gross market value of the Fixed Income Fund or 33 1/3% of the gross market value (as determined solely by the Bank using consistently applied valuation methods disclosed to the Borrower) of the unencumbered assets of the Fixed Income Fund. The maximum amount the Managed Income Fund is allowed to borrow under its agreement is the lesser of $1,000,000 or 20% of the gross market value of the Managed Income Fund or 33 1/3% of the gross market value (as determined solely by the Bank using consistently applied valuation methods disclosed to the Borrower) of the unencumbered assets of the Managed Income Fund. Borrowings under each agreement bear interest at the Prime Rate, per annum, on the principal balance outstanding. The maturity date of each line of credit is July 31, 2023. During the year ended December 31, 2022 the Managed Income did not draw upon or access the line of credit. During the year ended December 31, 2022 the Fixed Income Fund accessed the line of credit as follows:

 

Average Amount           Outstanding 
Borrowings   Interest   Average   Borrowings 
Outstanding   Expense   Interest Rate   12/31/2022 
$850,111   $470    3.25%  $ 

 

9.UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES

 

The Fixed Income Fund currently invests a portion of its assets in the SDPR Bloomberg High Yield Bond ETF (the “SPDR ETF”). The SPDR ETF seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the Bloomberg High Yield Very Liquid Index. The Fixed Income Fund may redeem its investment from the SPDR ETF at any time if the Advisor determines that it is in the best interest of the Fixed Income Fund and its shareholders to do so. The performance of the Fixed Income Fund will be directly affected by the performance of the SPDR ETF. The financial statements of the SPDR ETF, 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 Fixed Income Fund’s financial statements. As of December 31, 2022, the percentage of the Fixed Income Fund’s net assets invested in the SPDR ETF was 32.7%.

 

The Fixed Income Fund currently invests a portion of its assets in the Xtrackers USD High Yield Corporate Bond ETF (the “Xtrackers ETF”). The Xtrackers ETF seeks investment results that correspond generally to the performance, before fees and expenses, of the Solactive USD High Yield Corporates Total Market Index. The Xtrackers ETF may redeem its investment from the Xtrackers Fund at any time if the Advisor determines that it is in the best interest of the Xtrackers ETF and its shareholders to do so. The performance of the Xtrackers ETF will be directly affected by the performance of the Xtrackers ETF. The financial statements of the Xtrackers ETF, 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 Xtrackers ETF’s financial statements. As of December 31, 2022, the percentage of the Xtrackers ETF’s net assets invested in the Fidelity Fund was 28.2%.

 

10.CONTROL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of December 31, 2022, the shareholders listed below held, for the benefit of others, more than 25% of an individual Fund and may be deemed to control that Fund. The Funds have no knowledge as to whether all or any portion of the shares owned, by the parties noted below, are also owned beneficially by any party who would be presumed to control the respective Funds.

 

Shareholder  Fund  Percent
E*Trade Savings Bank  Managed Income Fund  42.63%
Charles Schwab & Co  Managed Income Fund  28.29%
Pershing LLC  Tactical Fixed Income Fund  31.45%

29

 

BTS Funds
NOTES TO FINANCIAL STATEMENTS (Continued)
December 31, 2022

 

11.SUBSEQUENT EVENTS

 

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

30

 

Report of Independent Registered Public Accounting Firm

 

To the Board of Trustees of Northern Lights Fund Trust and

the Shareholders of BTS Managed Income Fund and BTS Tactical Fixed Income Fund

 

Opinion on the Financial Statements

 

We have audited the accompanying statements of assets and liabilities of BTS Managed Income Fund and BTS Tactical Fixed Income Fund (collectively, the Funds), each a separate series of Northern Lights Fund Trust, including the schedule of investments, as of December 31, 2022, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the related notes to the financial statements (collectively, the financial statements), and the financial highlights for each of the periods indicated in the table below. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of December 31, 2022, the results of their operations for the year then ended, the changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated in the table below, in conformity with accounting principles generally accepted in the United States of America.

  

Individual Fund Comprising the
BTS Investment Funds
Financial Highlights
BTS Managed Income Fund For the years ended December 31, 2022, 2021, 2020 and for the period from January 25, 2019 (commencement of operations) to December 31, 2019
BTS Tactical Fixed Income Fund For the years ended December 31, 2022, 2021, 2020, 2019 and 2018

 

Basis for Opinion

 

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements 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 Funds in accordance with U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

 

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their 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 Funds’ 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, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022, by correspondence with the custodian. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

 

/s/ RSM US LLP

 

We have served as the auditor of one or more BTS Asset Management Inc. advised investment companies since 2018.

 

Denver, Colorado

March 1, 2023

31

 

BTS Funds
EXPENSE EXAMPLES (Unaudited)
December 31, 2022

 

Example

 

As a shareholder of the Funds, you will pay (1) transaction costs (loads and redemption fees) and (2) ongoing expenses, such as advisory fees, distribution and service fees (12b-1), and other fund expenses. The following examples are intended to help you understand the ongoing cost (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. Please note the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or contingent deferred sales charges on redemptions which may be assessed by mutual funds. This Example is based on an investment of $1,000 invested at the beginning of the period in a fund and held for the entire period from July 1, 2022 to December 31, 2022.

 

Actual Expenses

 

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

 

Hypothetical Examples for Comparison Purposes

 

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

 

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

 

               Hypothetical
         Actual  (5% return before expenses)
   Fund’s  Beginning  Ending  Expenses  Ending  Expenses
   Annualized  Account  Account  Paid  Account  Paid
   Expense  Value  Value  During  Value  During
   Ratio  7/1/22  12/31/22  Period*  12/31/22  Period*
BTS Managed Income Fund – Class A  1.74%  $1,000.00  $995.60  $8.76  $1,016.43  $8.85
BTS Managed Income Fund – Class C  2.48%  $1,000.00  $991.60  $12.47  $1,012.68  $12.61
BTS Managed Income Fund – Class I  1.49%  $1,000.00  $995.80  $7.50  $1,017.69  $7.58
BTS Managed Income Fund – Class R  1.98%  $1,000.00  $993.80  $9.96  $1,015.22  $10.06
   Fund’s  Beginning  Ending  Expenses  Ending  Expenses
   Annualized  Account  Account  Paid  Account  Paid
   Expense  Value  Value  During  Value  During
   Ratio  7/1/22  12/31/22  Period*  12/31/22  Period*
BTS Tactical Fixed Income Fund – Class A  1.58%  $1,000.00  $994.80  $7.93  $1,017.26  $8.02
BTS Tactical Fixed Income Fund – Class C  2.32%  $1,000.00  $991.90  $11.67  $1,013.49  $11.80
BTS Tactical Fixed Income Fund – Class I  1.35%  $1,000.00  $996.10  $6.79  $1,018.40  $6.87
BTS Tactical Fixed Income Fund – Class R  1.82%  $1,000.00  $993.40  $9.16  $1,016.01  $9.27

 

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

32

 

BTS Funds
SUPPLEMENTAL INFORMATION (Unaudited)
December 31, 2022

 

BTS Asset Management, Inc. Adviser to BTS Tactical Fixed Income Fund (“BTS Tactical”) and BTS Managed Income Fund “(BTS Managed”) *

 

In connection with the regular meeting held on December 14-15, 2022 of the Board of Trustees (the “Trustees” or the “Board”) of the Northern Lights Fund Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of the investment advisory agreements (the “Advisory Agreements”) between BTS Asset Management, Inc. (“BTS” or the “Adviser”) and the Trust, with respect to BTS Tactical and BTS Managed (collectively the “BTS Funds”). In considering the renewal of the Advisory Agreements, the Board received materials specifically relating to the Advisory Agreements.

 

The Trustees were assisted by independent legal counsel throughout the Advisory Agreements review process. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreements and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Advisory Agreements.

 

Nature, Extent & Quality of Services. The Board noted that the Adviser, established in 1979, managed approximately $413 million in assets. The Board acknowledged that BTS provided risk management and asset management services through tactically managed fixed income and equity strategies for individuals and registered investment companies. They reviewed the background of key investment personnel responsible for servicing the BTS Funds, taking into consideration the education and financial industry experience of the investment team noting their tenure with the Adviser. They noted that the Adviser’s investment committee regularly reviewed its proprietary investment models and would revise and implement changes as necessary and perform back-testing of the indicators using Bloomberg and other analysis software. The Board discussed the Adviser’s risk mitigation policies, taking note that the Adviser’s investment committee analyzed the impact of current market conditions, interest rates changes, issuers and sector volatility on each BTS Fund. They acknowledged the Adviser’s process for monitoring investment limitations. They noted that the Adviser enhanced its cybersecurity protocols by incorporating ransomware protection and recovery solutions. They noted the Adviser reported no material compliance or litigation issues. The Board agreed that BTS had sufficient resources to continue to provide high quality service to the BTS Funds for the benefit of shareholders.

 

Performance.

 

BTS Tactical. The Board noted the Fund’s objective of total return and noted that the Fund received a one-star Morningstar rating. They reported that the Fund had lagged its benchmark, peer group and category median and peer group and category averages over all periods presented in the report. The Board acknowledged the Adviser’s assertion that the Fund had performed well in 2016 and in 2020 and that the Adviser had reduced some risk during the market volatility related to COVID-19. They also noted the Adviser’s assertion that recent underperformance was impacted

33

 

BTS Funds
SUPPLEMENTAL INFORMATION (Unaudited)(Continued)
December 31, 2022

 

by whipsaws related to market volatility with respect to high yield bonds. They discussed the Adviser’s decision to not make any changes to the Fund’s investment strategy at this time. The Board agreed that the Adviser should be retained and given the opportunity to continue advising the Fund and that performance of the Fund should be reviewed again in six months.

 

BTS Managed. The Board noted the Fund’s investment objective of total return and noted that the Fund received a two-star Morningstar rating. They noted that the Fund underperformed its peer group and category median over the one-year, three-year and since inception periods. They noted that the Fund’s standard deviation ranked in the second quartile over the three-year and since inception periods. They considered the Adviser’s decision to not make any changes to the Fund’s investment strategy at this time and agreed that the Adviser was implementing the Fund’s strategy as designed. After further discussion, it was the consensus of the Board that the Fund’s performance was acceptable.

 

Fees and Expenses.

 

BTS Tactical. The Board commented that the Adviser’s advisory fee with respect to BTS Tactical was 1.00%, higher than the peer group average and category average and median but in-line with peer group median. They considered the range of fees charged by the Adviser for separately managed accounts. They discussed the reasonableness of the advisory fee, taking into account the tactical nature of the Fund’s investment strategy, specifically the Adviser’s ability to tactically manage assets using a base model that was monitored, optimized and modified to conform with and maximize the Fund’s investment objective. The Board concluded that the advisory fee was not unreasonable.

 

BTS Managed. The Board noted that the Adviser’s advisory fee with respect to BTS Managed was 0.65%, lower than the peer group and category average and median. They observed that the net expense ratio of the Fund was 1.50%, which was higher than the peer group and category average and median. The Board agreed that the Fund’s advisory fee was not unreasonable given the size of the Fund. They discussed the Adviser’s intention to renew the expense limitation agreement at current levels. The Board concluded the advisory fee was not unreasonable.

 

Profitability. The Board reviewed the profitability analysis provided by the Adviser, with respect to each BTS Fund. They commented that the Adviser had realized a profit in connection with its services provided to BTS Tactical. They considered the Adviser’s profits in light of the services provided to each BTS Fund. The Board concluded that excessive profitability was not a concern at this time.

 

Economies of Scale. The Board considered whether economies of scale had been realized in connection with the advisory services provided to each BTS Fund. They noted the Adviser’s willingness to consider fee reductions as a Fund’s assets continue to grow. The Board discussed the Adviser’s position on appropriate breakpoint levels and agreed to continue to monitor each Fund’s asset levels and revisit the matter as each BTS Fund continued to grow.

34

 

BTS Funds
SUPPLEMENTAL INFORMATION (Unaudited)(Continued)
December 31, 2022

 

Conclusion. Having requested and received such information from the Adviser as the Board believed to be reasonably necessary to evaluate the terms of the Advisory Agreements, and as assisted by the advice of counsel, the Board concluded that renewal of the Advisory Agreements was in the best interests of the BTS Funds and the shareholders of each of the BTS Funds.

 

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

35

 

BTS Funds
SUPPLEMENTAL INFORMATION (Unaudited)
December 31, 2022

 

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 Ultimus Fund Solutions, 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). 2 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). 2 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. 2 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). 2 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). 2 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). 2 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).

 

12/31/22 – NLFT_v1

36

 

BTS Funds
SUPPLEMENTAL INFORMATION (Unaudited) (Continued)
December 31, 2022

 

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 Executive Vice President, Head of Fund Administration, and Product; Ultimus Fund Solutions, LLC (since 2020); Vice President of The Ultimus Group, LLC (since 2019); Executive Vice President, Gemini Fund Services, LLC (2019-2020); President, Gemini Fund Services, LLC (2012-2019); Treasurer of the Trust (2006-June 2017). N/A N/A
Eric Kane
Born in 1981
Vice President Since December 2022 Vice President and Senior Managing Counsel, Ultimus Fund Solutions, LLC (since 2022); Vice President and Managing Counsel, Ultimus Fund Solutions, LLC (2020-2022); Vice President and Counsel, Gemini Fund Services, LLC (2017-2020); Assistant Vice President, Gemini Fund Services, LLC (2014- 2017). N/A N/A
James Colantino
Born in 1969
Treasurer Since June 2017 Senior Vice President Fund Administration, Ultimus Fund Solutions (since 2020); Senior Vice President Fund Administration, Gemini Fund Services, LLC (2012-2020); Assistant Treasurer of the Trust (2006-June 2017). N/A N/A
Stephanie Shearer
Born in 1979
Secretary Since February 2017 Assistant Secretary of the Trust (2012-February 2017); Associate Director, Ultimus Fund Solutions (since 2022); Manager of Legal Administration, Ultimus Fund Solutions (2020-2022); Manager of Legal Administration, Gemini Fund Services, LLC (2018-2020); Senior Paralegal, Gemini Fund Services, LLC (2013 - 2018). 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 December 31, 2022, the Trust was comprised of 67 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 1-877-287-9820.

 

12/31/22 – NLFT_v1

37

 

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

38

 

PRIVACY NOTICE

 

Northern Lights Fund Trust

 

Page 2  

 

What we do:
How does Northern Lights Fund Trust protect my personal information?

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

 

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

How does Northern Lights Fund Trust collect my personal information?

We collect your personal information, for example, when you

 

●    open an account or deposit money

 

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

 

●    seek advice about your investments

 

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

Why can’t I limit all sharing?

Federal law gives you the right to limit only:

 

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

 

●    affiliates from using your information to market to you.

 

●    sharing for nonaffiliates to market to you.

 

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

   
Definitions
Affiliates

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

 

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

Nonaffiliates

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

 

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

Joint marketing

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

 

●     Northern Lights Fund Trust doesn’t jointly market.

39

 

PROXY VOTING POLICY

 

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling 1-877-287-9820 or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

 

PORTFOLIO HOLDINGS

 

The Funds file their 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 and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC (1-800-SEC-0330). The information on Form N-PORT is available without charge, upon request, by calling 1-877-287-9820.

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

INVESTMENT ADVISOR
BTS Asset Management, Inc.
55 Old Bedford Road, Suite 203
Lincoln, MA 01773
 
ADMINISTRATOR
Ultimus Fund Solutions, LLC
225 Pictoria Drive, Suite 450
Cincinnati, Ohio 45246
 
 
 
BTS-AR22

 

 

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

 

(b) Include a copy of each notice transmitted to stockholders in reliance on Rule 30e-3 under the Act (17 CFR 270.30e-3) that contains disclosures specified by paragraph (c)(3) of that rule. Not Applicable.

 

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 Gersten, Anthony J. Hertl and Mark H. Taylor are audit committee financial experts, as defined in Item 3 of Form N-CSR. Mr. Gersten, Mr. Hertl and Mr. Taylor are independent for purposes of this Item 3.

 

Item 4. Principal Accountant Fees and Services.

 

(a)       Audit Fee                                              2021              2022

           BTS Tactical Fixed Income Fund              $14,850          $15,250

           BTS Managed Income Fund                     $14,850          $15,250

 

(b)      Audit-Related Fees                              2021              2022

BTS Tactical Fixed Income Fund            None              None

BTS Managed Income Fund                    None              None

(c)        Tax Fees                                               2021              2022

BTS Tactical Fixed Income Fund              $3,400            $3,450

BTS Managed Income Fund                     $3,400            $3,450

 

Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.

 

(d)      All Other Fees                                     2021               2022

BTS Tactical Fixed Income Fund              None             None

BTS Managed Income Fund                     None             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

 

 
 

       BTS Tactical Fixed Income Fund

 

                                           2021            2022

Audit-Related Fees:             00.00%        0.00%

Tax Fees:                           00.00%          0.00%

All Other Fees:                   0.00%            0.00%

 

BTS Managed Income Fund

 

                                         2021              2022

Audit-Related Fees:           0.00%             0.00%

Tax Fees:                         0.00%             0.00%

All Other Fees:                 0.00%            0.00%

 

 

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

 

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

 

                                                                                      2021         2022

BTS Tactical Fixed Income Fund              $3,400       $3,450

BTS Managed Income Fund                      $3,400       $3,450

 

(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. None

 

 
 

Item 11. Controls and Procedures.

 

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

 

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

 

Item 12. Disclosure of securities lending activities for closed-end management investment companies.

 

Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Code of Ethics 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/President

 

Date 3/10/2023

 

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

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, Principal Executive Officer/President

 

Date 3/10/2023

 

 
 

By (Signature and Title)

/s/ James Colantino

James Colantino, Principal Financial Officer/Treasurer

 

Date 3/10/2023

EX-99.CERT 2 cert1.htm

CERTIFICATIONS

 

I, Kevin E. Wolf, certify that:

 

1.       I have reviewed this report on Form N-CSR of the BTS Funds (each 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

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

 

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

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

 

 

Date: 3/10/2023                                               /s/ Kevin E. Wolf

Kevin E. Wolf

Principal Executive Officer/President

 
 

I, James Colantino, certify that:

 

1.       I have reviewed this report on Form N-CSR of the BTS Funds (each 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 period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

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

 

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

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

 

 

Date: 3/10/2023                                                     /s/ James Colantino

      James Colantino

Principal Financial Officer/Treasurer

EX-99.906 CERT 3 cert2.htm

 

certification

Kevin E. Wolf, Principal Executive Officer/President, and James Colantino, Principal Financial Officer/Treasurer 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 December 31, 2022 (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.

Princiap Executive Officer/President                                   Principal Financial Officer/Treasurer

Northern Lights Fund Trust                                                Northern Lights Fund Trust

 

 

/s/ Kevin E. Wolf                                                             /s/ James Colantino

Kevin E. Wolf                                                                  James Colantino

Date: 3/10/2023                                                               Date: 3/10/2023

 

 

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.

 

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


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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