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, Ohio 45246
(Address of principal executive offices) (Zip code)
Stephanie Shearer, Gemini Fund Services, LLC.
80 Arkay Dr. Suite 110., Hauppauge, NY 11788
(Name and address of agent for service)
Registrant's telephone number, including area code: 631-470-2600
Date of fiscal year end: 6/30
Date of reporting period: 6/30/21
Item 1. Reports to Stockholders.
Donoghue Forlines Tactical Income Fund (fka Power Income Fund) | ||||
Class | A: | PWRAX | ||
Class | C: | PWRCX | ||
Class | I: | PWRIX | ||
Donoghue Forlines Dividend Fund (fka Power Dividend Index Fund) | ||||
Class | A: | PWDAX | ||
Class | C: | PWDCX | ||
Class | I: | PWDIX | ||
Donoghue Forlines Risk Managed Income Fund (fka Power Donoghue Forlines Floating Rate Fund) | ||||
Class | A: | FLOAX | ||
Class | C: | FLOCX | ||
Class | I: | FLOTX | ||
Donoghue Forlines Momentum Fund (fka Power Momentum Index Fund) | ||||
Class | A: | MOJAX | ||
Class | C: | MOJCX | ||
Class | I: | MOJOX | ||
Donoghue Forlines Tactical Allocation Fund (fka Power Tactical Allocation/JAForlines Fund) | ||||
Class | A: | GTAAX | ||
Class | C: | GLACX | ||
Class | I: | GTAIX |
Annual Report |
June 30, 2021 |
1-877-779-7462
www.donoghueforlinesfunds.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 Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Risk Managed Income Fund, Donoghue Forlines Momentum Fund, or Donoghue Forlines Tactical Allocation Fund. 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
DONOGHUE FORLINES TACTICAL INCOME FUND
DONOGHUE FORLINES DIVIDEND FUND
DONOGHUE FORLINES MOMENTUM FUND
DONOGHUE FORLINES DIVIDEND MID-CAP FUND
(LIQUIDATED)
DONOGHUE FORLINES TACTICAL ALLOCATION FUND
DONOGHUE FORLINES RISK MANAGED INCOME FUND
ANNUAL LETTER TO SHAREHOLDERS
By Jeffrey R. Thompson, CEO & Portfolio Manager
August 6, 2021
Dear Investors,
We are pleased to address our tenth annual letter to shareholders for the Donoghue Forlines Tactical Income Fund, seventh for the Donoghue Forlines Dividend Fund, fourth for the Donoghue Forlines Momentum Fund, and third for the Donoghue Forlines Dividend Mid-Cap Fund, Donoghue Forlines Tactical Allocation Fund, and the Donoghue Forlines Risk Managed Income Fund.
Donoghue Forlines Tactical Income Fund
The Donoghue Forlines Tactical Income Fund’s objective is total return from income and capital appreciation with the preservation of capital a secondary objective. The Fund finds income opportunities across the three major asset classes—global fixed income, global equities and alternatives. We believe this orientation is critical to both short- and long-term investment success.
The Fund’s investment process combines a tactical and strategic top-down macro approach to asset allocation with a global orientation. The portfolio invests in ETFs across three asset classes—equities, fixed income and alternatives by taking a long-term secular view with tactical positioning during the shorter-term business and credit cycles. The portfolio can hold sovereign and corporate bonds denominated in both US dollar and foreign currencies. Additionally, up to 15% of the portfolio can be allocated to US and foreign equities, and up to 40% can be allocated to alternative asset classes. The strategy utilizes long-term macroeconomic and geopolitical variables to analyze the effects on currencies and interest rates. The portfolio objective is linked to the performance of global fixed income markets and, to a lesser extent, equity, currency, and alternative markets.
Included below is the performance during the period from June 30, 2020 through June 30, 2021 and year-to -date through June 30, 2021 for the Donoghue Forlines Tactical Income Fund’s various share classes and respective fixed income indices performance:
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DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
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DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
Returns for Period June 30, 2020 to June 30, 2021 and Year-to-Date through June 30, 2021
One Year | YTD | ||
Donoghue Forlines Tactical Income Fund - Class A | 7.37% | 3.61% | |
Donoghue Forlines Tactical Income Fund - Class A with load | 1.95% | -1.56% | |
Donoghue Forlines Tactical Income Fund - Class C | 6.47% | 3.14% | |
Donoghue Forlines Tactical Income Fund - Class I | 7.50% | 3.60% | |
* Blended Income Benchmark 90% MSCI ACWI/10% Bar Global AGG | 5.92% | -1.73% | |
Bloomberg Barclays Capital Global Aggregate Bond Index | 2.63% | -3.21% | |
Bloomberg Barclays Capital U.S. Aggregate Bond Index | 0.33% | -1.60% | |
Source: Ultimus Fund Solutions; * Donoghue Forlines and Morningstar Direct |
Donoghue Forlines Dividend Fund
The Donoghue Forlines Dividend Fund’s primary objective is total return from dividend income and capital appreciation. Capital preservation is a secondary objective of the fund.
The Donoghue Forlines Dividend Fund (the Fund) is a rules -based strategy that tracks a proprietary index identified in the Fund’s prospectus. The Fund employs a disciplined investment selection process with tactical overlays that determines whether it will be in a bullish (invested) or defensive position. The tactical overlays are made up of two triggers. The first trigger tracks exponential moving averages of the stocks in the Fund to identify potentially negative intermediate-term trends. The second is a longer-term exponential moving average crossover that more broadly can be indicative of the health of the economy and monitors longer term evolving problems that could lead to bear markets or recessions. Based on the status of each tactical indicator, the Fund could be 100% in equities, 50% in equities-50% defensive or 100% defensive. When in a defensive position, the Fund will invest in short-term U.S. Treasury ETFs or cash equivalents.
When bullish, the Fund allocates equally in up to 50 stocks, diversified amongst a market neutral weight of sectors. The stocks are selected based on having the highest dividend yields in their sector as well as meeting other quality factors. If stocks fail to meet the yield and quality requirements in any sector, only the stocks that meet all the requirements will be included, and the remaining allocation is equally divided between the full final list of selected securities. The sectors used are Business Services, Consumer Cyclicals, Consumer Non-Cyclicals, Consumer Services, Energy, Finance, Healthcare, Industrials, Non-Energy Materials, Real Estate, Technology, Telecommunications, and Utilities.
Additionally, when bullish, the Fund rebalances and reconstitutes quarterly to bring the holdings back to an equal weighting.
Included below is the performance during the period from June 30, 2020 through June 30, 2021 and year-to-date through June 30, 2021 for the Donoghue Forlines Dividend Fund’s various share classes and the benchmark indices:
Returns for Period June 30, 2020 to June 30, 2021 and Year-to-Date through June 30, 2021
One Year | YTD | ||
Donoghue Forlines Dividend Fund - Class A | 36.34% | 23.05% | |
Donoghue Forlines Dividend Fund - Class A with load | 29.50% | 16.96% | |
Donoghue Forlines Dividend Fund - Class C | 35.42% | 22.66% | |
Donoghue Forlines Dividend Fund - Class I | 36.60% | 23.23% | |
S&P 500 Index | 40.79% | 15.25% | |
S&P 500 Value Index | 39.54% | 16.30% | |
Source: Ultimus Fund Solutions |
800.642.4276 | DonoghueForlines.com | One International Place, Suite 310 Boston, MA 02110 |
DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
Donoghue Forlines Momentum Fund
The Donoghue Forlines Momentum Fund’s primary investment objective is capital growth with a secondary objective of generating income.
The Donoghue Forlines Momentum Fund (the Fund) is a rules-based strategy that tracks a proprietary Index identified in the Fund’s prospectus. The Fund employs a disciplined investment selection process with tactical overlays that determines whether it will be in a bullish (invested) or defensive position. The tactical overlays are made up of two triggers. The first trigger tracks exponential moving averages of the stocks in the Fund to identify potentially negative intermediate-term trends. The second is a longer-term exponential moving average crossover that more broadly can be indicative of the health of the economy and monitors longer term evolving problems that could lead to bear markets or recessions. Based on the status of each tactical indicator, the Fund could be 100% in equities, 50% in equities-50% defensive or 100% defensive. When in a defensive position, the Fund will invest in short-term U.S. Treasury ETFs or cash equivalents.
When bullish, the Fund allocates equally in up to 50 stocks, diversified amongst a market neutral weight of sectors. The stocks are selected based on having the highest trailing 12-month risk -adjusted momentum in their sector as well as meeting other quality factors. If stocks fail to meet the momentum and quality requirements in any sector, only the stocks that meet all the requirements will be included, and the remaining allocation is equally divided between the full final list of selected securities. The sectors used are Business Services, Consumer Cyclicals, Consumer Non-Cyclicals, Consumer Services, Energy, Finance, Healthcare, Industrials, Non-Energy Materials, Real Estate, Technology, Telecommunications, and Utilities. Additionally, when bullish, the Fund rebalances and reconstitutes quarterly to bring the holdings back to an equal weighting.
Included below is the performance during the period from inception, June 30, 2020, through June 30, 2021 and year-to-date through June 30, 2021 for the Donoghue Forlines Momentum Fund’s various share classes and the S&P 500 Total Return Index:
Returns for Period June 30, 2020 to June 30, 2021 and Year-to-Date through June 30, 2021
One Year | YTD | ||
Donoghue Forlines Momentum Fund - Class A | 58.76% | 23.57% | |
Donoghue Forlines Momentum Fund - Class A with load | 49.70% | 16.45% | |
Donoghue Forlines Momentum Fund - Class C | 57.62% | 23.19% | |
Donoghue Forlines Momentum Fund - Class I | 59.08% | 23.78% | |
S&P 500 Total Return Index | 40.79% | 15.25% | |
Source: Ultimus Fund Solutions |
Donoghue Forlines Dividend Mid-Cap Fund
The Donoghue Forlines Dividend Mid-Cap Fund was liquidated on March 18th 2021.
Donoghue Forlines Tactical Allocation Fund
The Donoghue Forlines Tactical Allocation Fund’s investment objective is to provide long-term capital appreciation. The Fund is a core portfolio that contains three asset classes in one account: equities, fixed income and alternatives. The macro top-down approach strategy targets long-term global macro-economic trends while analyzing shorter-term economic variables in assessing potential price movements in the three main asset classes. All non-cash positions
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DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
are exchange traded products, giving flexibility in terms of low-cost asset allocation. The portfolio holds fixed income investments in almost all market conditions, but there is wide discretion in the holding percentages of equities and alternatives.
The Fund seeks to achieve long-term capital appreciation by diversifying the Fund’s portfolio across several different asset classes that have low or negative correlations to one another. By having a portfolio with multiple asset classes with differing correlations, the total volatility of the Fund’s portfolio should be lower than some, or all, of the underlying asset classes if they were held individually. Also, the Fund uses cash as a tactical asset class during times of high market volatility to further help reduce the risk of the portfolio.
Included below is the performance during the period from June 30, 2020 to the period ending June 30, 2021 and year-to-date through June 30, 2021 for the Donoghue Forlines Tactical Allocation Fund various share classes, the custom blended moderate benchmark, and MSCI ACWI Index:
Returns for Period June 30, 2020 to June 30, 2021 and Year-to-Date through June 30, 2021
One Year | YTD | ||
Donoghue Forlines Tactical Allocation Fund - Class A | 21.34% | 8.10% | |
Donoghue Forlines Tactical Allocation Fund - Class A with load | 15.24% | 2.73% | |
Donoghue Forlines Tactical Allocation Fund - Class C | 20.54% | 7.75% | |
Donoghue Forlines Tactical Allocation Fund - Class I | 21.63% | 8.17% | |
MSCI ACWI Index | 39.27% | 12.30% | |
* Blended Moderate Benchmark: 50% MSCI ACWI/40% Bar | 25.19% | 7.64% | |
Global AGG/10% S&P GSCI | |||
Source: Ultimus Fund Solutions; * Donoghue Forlines and Morningtar Direct |
Donoghue Forlines Risk Managed Income Fund
The Donoghue Forlines Risk Managed Income Fund’s primary investment objective is total return from income and capital appreciation with capital preservation as a secondary objective.
The Fund uses a short-term and an intermediate-term tactical overlay to determine whether to be in a bullish or defensive posture. Each tactical overlay will trigger 50% of the Fund into a defensive position, should market conditions warrant. When in a defensive position, the Fund will be invested in short-term U.S. Treasury ETFs.
When bullish, the Fund will direct investments into a selection of Floating Rate mutual funds/ETFs and High Yield Bond ETFs. Additionally, when in a bullish posture, the Fund will rebalance holdings and reconstitute annually.
Included below is the performance during the period from inception, June 30, 2020, through June 30, 2021 and year-to-date through June 30, 2021 for the Donoghue Forlines Risk Managed Income Fund’s various share classes and the S&P/LSTA U.S. Leveraged Loan 100 Total Return Index:
Returns for Period June 30, 2020 to June 30, 2021 and Year-to-Date through June 30, 2021
One Year | YTD | ||
Donoghue Forlines Risk Managed Income Fund - Class A | 9.25% | 1.88% | |
Donoghue Forlines Risk Managed Income Fund - Class A with load | 3.80% | -3.22% | |
Donoghue Forlines Risk Managed Income Fund - Class C | 8.47% | 1.52% | |
Donoghue Forlines Risk Managed Income Fund - Class I | 9.61% | 2.07% | |
S&P/LSTA U.S. Leveraged Loan 100 Total Return Index | 9.37% | 2.17% | |
Source: Ultimus Fund Solutions |
800.642.4276 | DonoghueForlines.com | One International Place, Suite 310 Boston, MA 02110 |
DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
THE YEAR IN REVIEW
Markets continued to recover from pandemic and recession-related declines experienced last year. The successful launch of the US vaccination campaign has allowed state governments to begin dismantling lockdown measures. Markets reflected an abundance of liquidity and hopeful expectations about re-opening after the global shutdown.
Macro … From Great to Good
For some time, our view is that the economy is accelerating from the “covid-sized” hole created in 2020. As economies re-opened and activity began to surge, this view has now become consensus among investors, according to the Bank of America Fund Manager Survey.
But as the tailwind from stimulus fades and the vaccination campaign winds down, economic momentum has likely peaked with expectations. Historically, a slowdown in growth has been associated with lower overall equity returns. But this is expected: the next leg of the rally in risk assets will not have the strength of the past year. However, we believe there are reasons to expect this “slowdown” to be relatively benign and remain overweight risk assets (especially certain pockets).
First, US growth is slowing from exceptionally strong levels and will remain above-trend. The golden rule of investing is to stay bullish on risk assets unless one think’s there is a recession around the corner. In our view, growth is highly unlikely to turn contractionary anytime soon.
Much Ado About Inflation
Concerns about higher than expected inflation have weighed on investors over the first half of the year. In our {Last Quarterly Commentary}, we discussed our view that structurally higher inflation is not a near term risk. This quarter, we’d like to elaborate further on that view and add nuance because we believe that the data will continue to be a bit noisy.
First, US consumer price inflation is trending up. But this is not surprising … expansionary factors like fast money supply growth (stimulus) and stronger demand (reopening) are driving up prices. However, base effects are a big part of the story. Inflation plunged during last spring’s lockdowns, resulting in a significant base effect over the last several months. Now with investor inflation expectations at/near all-time highs, we believe these current inflationary
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DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
dynamics are already priced into markets. For example, the 10-year treasury yield is down over 50 bps in the face of “blowout” CPI reports over the last couple months. And reflation assets that had been outperforming since September, have cooled down since May.
Moreover, a transitory pickup in inflation is a policy goal of the Federal Reserve. We believe the real risk to markets would be a more hawkish central bank. But we do not expect data over the next few months will make them flinch and future moves will continue to be dictated by labor market dynamics (which are a long way from normalization).
Finally, after a transitory pickup in inflation, we believe structural deflationary trends will reassert themselves. Technology continues to produce more (and better) goods & services at a lower cost while suppressing workers’ wages at the same time. Globalization and free trade (global and domestic) allows bigger labor pools to be utilized, leading to the production of more goods at a lower cost. And the pandemic accelerated structural low-end job losses and already plunging global birth rates.
While structural deflation will continue to ease cost pressures, we believe that the biggest deterrent to near term inflation will be the dynamics of Pandemic stimulus. Inflation bulls point to the >$2T extra cash in household accounts from post-Covid stimulus. But we believe this data is skewed, because despite narratives, ~70% of this cash has gone to the top 20%, which is always the group least likely to spend. Therefore, much of the extra cash will be saved and not unleashed into the economy. That’s why a savings glut on the balance sheets of already-wealthy households is unlikely to boost inflation in a sustained way.
With no structurally higher inflation, the Fed can afford to sustain exceptionally easy monetary policy, which should keep growth above-trend and continue to support equity valuations. And if inflation fears recede, the economic environment will begin to change from a period of reflation to goldilocks.
This would trigger rotations from cyclical/value exposures back into quality/growth exposures. The fuel for this rotation will come from one-sided positioning into the inflation trade. Tech funds have seen their largest outflows since December 2018, another short -term bottom for the sector. We have an overweight to stocks with these characteristics within our portfolios. In this environment, bonds will likely remain rangebound over a tactical timeframe. However, we will continue to avoid allocations to bonds, as they provide very little asymmetric risk. Therefore, we remain overweight stocks and credit, with a focus on quality/growth factors.
In today’s interest rate environment, the 60/40 retirement rule is stuck in the past. Advisors are challenged to rethink foundational portfolio elements of investor portfolios – which means seeking out strategies that bolster the “core” going forward. With no cheap assets, tactical and unconstrained management is now more important than ever.
We continue to focus on the need to help craft easy-to-understand, longer-term narratives for Advisors and their Clients. Panicking and abandoning diversified investment strategies during volatility and market crashes/surges is a time-tested losing proposition.
Donoghue Forlines solutions are designed to be client-centric and deliver strong risk-adjusted return streams through both our rules-based, tactical strategies as well as our global macro, fundamentally driven tactical solutions. We aim to capture the majority of the upside but more importantly to avoid the majority of the downside.
We have continued to carefully assess exposure across all our portfolios over the past quarter, as per our risk management process. Our positioning is outlined in more depth below. We remain cautiously optimistic to the continuation of the recovery but recognize the possibility that the facts can change and will adapt.
800.642.4276 | DonoghueForlines.com | One International Place, Suite 310 Boston, MA 02110 |
DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
The following reflects Donoghue Forlines Funds’ portfolios positioning as of June 30, 2021.
Donoghue Forlines Tactical Income Fund
Positioning: 68% allocated to fixed income, 19% allocated to equities, 11% allocated to alternatives via ETF exposure. And 2% allocated to money markets.
Donoghue Forlines Dividend Fund
Positioning: 100% allocated to large and mid-sized high yielding stocks with a diversified sector exposure and quality orientation.
Donoghue Forlines Momentum Fund
Positioning: 100% invested in large and mid-sized stocks exhibiting strong short-term momentum with a diversified sector exposure.
Donoghue Forlines Dividend Mid-Cap Fund
The Fund was liquidated on March 18th 2021.
Donoghue Forlines Tactical Allocation Fund
Positioning: 25% allocated to fixed income, 68% allocated to equities, 5% allocated to alternatives via ETF exposure. And 2% allocated to money markets.
Donoghue Forlines Risk Managed Income Fund
Positioning: 100% allocated to High Yield and Floating Rate Securities.
DIVIDENDS AND DISTRIBUTIONS
In accordance with the Funds’ policies and prospectuses the Donoghue Forlines Dividend Fund, Donoghue Forlines Tactical Income Fund, Donoghue Forlines Risk Managed Income Fund, Donoghue Forlines Tactical Allocation Fund and Donoghue Forlines Momentum Fund did make the following dividend and capital gain distributions for each of the respective share classes:
Donoghue Forlines Tactical Income Fund Class A
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | ||||
12/28/2020 | 0.0244 | 0.0244 | ||
3/30/2021 | 0.0261 | 0.0261 | ||
6/29/2021 | 0.0667 | 0.0667 |
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DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
Donoghue Forlines Tactical Income Fund Class C
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | ||||
12/28/2020 | ||||
3/30/2021 | 0.0055 | 0.0055 | ||
6/29/2021 | 0.0053 | 0.0053 |
Donoghue Forlines Tactical Income Fund Class I
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | 0.0050 | 0.0050 | ||
12/28/2020 | 0.0307 | 0.0307 | ||
3/30/2021 | 0.0324 | 0.0324 | ||
6/29/2021 | 0.0790 | 0.0790 |
Donoghue Forlines Dividend Fund Class A
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | 0.0098 | 0.0098 | ||
12/28/2020 | 0.2541 | 0.2541 | ||
3/30/2021 | 0.0341 | 0.0341 | ||
6/29/2021 | 0.0422 | 0.0422 |
Donoghue Forlines Dividend Fund Class C
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | ||||
12/28/2020 | 0.2400 | 0.2400 | ||
3/30/2021 | 0.0187 | 0.0187 | ||
6/29/2021 | 0.0018 | 0.0018 |
Donoghue Forlines Dividend Fund Class I
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | 0.0143 | 0.0143 | ||
12/28/2020 | 0.2594 | 0.2594 | ||
3/30/2021 | 0.0392 | 0.0392 | ||
6/29/2021 | 0.0535 | 0.0535 |
Donoghue Forlines Momentum Fund Class A
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | ||||
12/28/2020 | ||||
3/30/2021 | ||||
6/29/2021 |
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DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
Donoghue Forlines Momentum Class C
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | ||||
12/28/2020 | ||||
3/30/2021 | ||||
6/29/2021 |
Donoghue Forlines Momentum Class I
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | ||||
12/28/2020 | ||||
3/30/2021 | ||||
6/29/2021 |
Donoghue Forlines Tactical Allocation Fund Class A
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | 0.0018 | 0.0018 | ||
12/28/2020 | 0.0375 | 0.0375 | ||
3/30/2021 | ||||
6/29/2021 | 0.0308 | 0.0308 |
Donoghue Forlines Tactical Allocation Fund Class C
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | ||||
12/28/2020 | 0.0207 | 0.0207 | ||
3/30/2021 | ||||
6/29/2021 |
Donoghue Forlines Tactical Allocation Fund Class I
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | 0.0079 | 0.0079 | ||
12/28/2020 | 0.0438 | 0.0438 | ||
3/30/2021 | 0.0003 | 0.0003 | ||
6/29/2021 | 0.0437 | 0.0437 |
Donoghue Forlines Risk Managed Income Fund Class A
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | 0.0643 | 0.0643 | ||
12/28/2020 | 0.1025 | 0.1025 | ||
3/30/2021 | 0.0543 | 0.0543 | ||
6/29/2021 | 0.0443 | 0.0443 |
800.642.4276 | DonoghueForlines.com | One International Place, Suite 310 Boston, MA 02110 |
DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
Donoghue Forlines Risk Managed Income Fund Class C
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | 0.0517 | 0.0517 | ||
12/28/2020 | 0.0814 | 0.0814 | ||
3/30/2021 | 0.0364 | 0.0364 | ||
6/29/2021 | 0.0041 | 0.0041 |
Donoghue Forlines Risk Managed Income Fund Class I
Distribution | ||||
Date | ST Capital Gains | LT Capital Gains | Dividend Income | Total |
9/29/2020 | 0.0704 | 0.0704 | ||
12/28/2020 | 0.1089 | 0.1089 | ||
3/30/2021 | 0.0604 | 0.0604 | ||
6/29/2021 | 0.0568 | 0.0568 |
We want to thank you for your continued investment and vote of confidence in Donoghue Forlines Dividend Fund, Donoghue Forlines Tactical Income Fund, Donoghue Forlines Risk Managed Income Fund, Donoghue Forlines Tactical Allocation Fund and Donoghue Forlines Momentum Fund
Regards,
CEO and Portfolio Manager
Donoghue Forlines LLC.
Adviser to Donoghue Forlines Dividend Fund, Donoghue Forlines Tactical Income Fund, Donoghue Forlines Risk Managed Income Fund, Donoghue Forlines Tactical Allocation Fund and Donoghue Forlines Momentum Fund
The Standard and Poor’s 500 Total Return Index: A commonly used benchmark index for large capitalization stocks. The index is comprised of 500 large-capitalization U.S. stocks and is administered by Standard and Poor’s. You cannot invest in an index.
The BofA Merrill Lynch U.S. High Yield Master II Index: A commonly used benchmark index for high yield corporate bonds. It is administered by Merrill Lynch. The BofA Merrill Lynch U.S. High Yield Master II Index is a measure of the broad high yield market. You cannot invest in an index.
The Bloomberg Barclays Capital U.S. Aggregate Bond Index: A broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries,
800.642.4276 | DonoghueForlines.com | One International Place, Suite 310 Boston, MA 02110 |
DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
government-related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. You cannot invest in an index.
The S&P MidCap 400 Total Return Index is a capitalization-weighted index which measures the performance of the mid-range sector of the U.S. stock market. The historical performance results of the S&P 400 Index are unmanaged; do not reflect the deduction of transaction and custodial charges, or the deduction of a management fee, the incurrence of which would have the effect of decreasing indicated historical performance results. You cannot invest in an index.
S&P/LSTA U.S. Leveraged Loan 100 Total Return Index was the first index to track the investable senior loan market. This rules-based index consists of the 100 largest loan facilities in the benchmark S&P/ LSTA Leveraged Loan Index. You cannot invest in an index.
The historical performance of the Standard and Poor’s 500 Total Return Index, BofA Merrill Lynch U.S. High Yield Master II Index, Bloomberg Barclays Capital U.S. Aggregate Bond Index, S&P MidCap 400 Total Return Index, and S&P/LSTA U.S. Leveraged Loan 100 Total Return Index are unmanaged, do not reflect the deduction of transaction and custodial charges, nor the deduction of a management fee, the incurrence of which would have the effect of decreasing indicated historical performance results.
The net asset value of the Fund will fluctuate based on changes in the value of the equity securities in which it invests. Equity prices can fall rapidly in response to developments affecting a specific company or industry, or to changing economic, political or market conditions.
Mutual Funds involve risk including the possible loss of principal. Derivative instruments involve risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. If the Funds invests in fixed income securities, the value of the Fund will fluctuate with changes in interest rates. Defaults by fixed income issuers in which the Fund invests will also harm performance. Hedging strategies may not perform as anticipated by the adviser and the Fund could suffer losses on the hedging vehicle while also suffering losses on the junk or U.S. Treasury bonds that were intended to benefit from the hedge. The Donoghue Forlines Tactical Income Fund, Donoghue Forlines Risk Managed Income Fund and the Donoghue Forlines Tactical Allocation Fund may invest in high yield securities, also known as “junk bonds.” High yield securities provide greater income and opportunity for gain, but entail greater risk of loss of principal. ETF’s are subject to specific risks, depending on the nature of the underlying strategy of the fund. These risks could include liquidity risk, sector risk, as well as risks associated with fixed income securities, real estate investments, and commodities, to name a few. A higher portfolio turnover will result in higher transactional and brokerage costs.
Investing in the commodities markets may subject the Fund to greater volatility than investment exposure to traditional securities.
Investing in emerging markets involves not only the risks described below with respect to investing in foreign securities, but also other risks, including exposure to economic structures that are generally less diverse and mature, and to political systems that can be expected to have less stability, than those of developed countries.
ETNs are obligations of the issuer of the ETN, are subject to credit risk, and the value of the ETN may drop due to a downgrade in the issuer’s credit rating, despite the underlying market benchmark or strategy remaining unchanged. Equity Risk
800.642.4276 | DonoghueForlines.com | One International Place, Suite 310 Boston, MA 02110 |
DONOGHUE FORLINES FUNDS ANNUAL LETTER TO SHAREHOLDERS |
The net asset value of the Fund will fluctuate based on changes in the value of the equity securities in which it invests. Equity prices can fall rapidly in response to developments affecting a specific company or industry, or to changing economic, political or market conditions.
Common Stock
Common stock represents an equity (ownership) interest in a company, and usually possesses voting rights and earns dividends. Dividends on common stock are not fixed but are declared at the discretion of the issuer. Common stock generally represents the riskiest investment in a company. In addition, common stock generally has the greatest appreciation and depreciation potential because increases and decreases in earnings are usually reflected in a company’s stock price. The fundamental risk of investing in common and preferred stock is the risk that the value of the stock might decrease. Stock values fluctuate in response to the activities of an individual company or in response to general market and/or economic conditions. Historically, common stocks have provided greater long-term returns and have entailed greater short-term risks than preferred stocks, fixed-income securities and money market investments. The market value of all securities, including common and preferred stocks, is based upon the market’s perception of value and not necessarily the book value of an issuer or other objective measures of a company’s worth.
ETF Risk
ETFs are subject to investment advisory fees and other expenses, which will be indirectly paid by the Fund. As a result, your cost of investing in the Fund will be higher than the cost of investing directly in ETFs and may be higher than other Fund that invest directly in equity and fixed income securities. Each ETF is subject to specific risks, depending on the nature of the fund. ETF shares may trade at a discount to or a premium above net asset value if there is a limited market in such shares. ETFs are also subject to brokerage and other trading costs, which could result in greater expenses to the Fund.
Foreign Securities Risk
Because the Fund’s investments may include exposure to foreign securities, the Fund is subject to risks beyond those associated with investing in domestic securities. Foreign companies are generally not subject to the same regulatory requirements of U.S. companies thereby resulting in less publicly available information about these companies. In addition, foreign accounting, auditing and financial reporting standards generally differ from those applicable to U.S. companies.
Investors should carefully consider the investment objectives, risks, charges, and expenses of the Donoghue Forlines Funds. This and other information about the Funds are contained in the prospectus and should be read carefully before investing. The prospectus can be obtained by calling toll free 1-877-779-7462. The Donoghue Forlines Funds are distributed by Northern Lights Distributors, LLC. Member FINRA / SIPC Donoghue forlines LLC is not affiliated with Northern Lights Distributors, LLC.
Performance for periods less than one year is not annualized. The maximum sales charge for Class A Shares is 5.00%. Class A Share investors may be eligible for a reduction in sales charges.
The performance data quoted here represents past performance. Current performance may be lower or higher than the performance data quoted above. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate so that investor’s shares, when redeemed, may be worth more or less than their original cost. The Fund’s total annual operating expenses is 2.08% for Class A shares, 2.83% for Class C shares, and 1.83% for Class I shares. Please review the fund’s prospectus for more information regarding the fund’s fees and expenses. For performance information current to the most recent month-end, please call toll-free 877-779-7462.
3144-NLD-8/12/2021
800.642.4276 | DonoghueForlines.com | One International Place, Suite 310 Boston, MA 02110 |
Donoghue Forlines Tactical Income Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2021
The Fund’s performance figures* for the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | Annualized | Annualized | ||
One Year | Five Year | Ten Year | Since Inception (a) | Since Inception (b) | |
Donoghue Forlines Tactical Income Fund - Class A | 7.37% | 2.05% | 1.90% | 2.24% | N/A |
Donoghue Forlines Tactical Income Fund - Class A with load | 1.95% | 1.01% | 1.37% | 1.75% | N/A |
Donoghue Forlines Tactical Income Fund - Class C | 6.47% | 1.28% | N/A | N/A | 0.87% |
Donoghue Forlines Tactical Income Fund - Class I | 7.50% | 2.31% | 2.14% | 2.48% | N/A |
Bloomberg Barclays U.S. Aggregate Bond Index (c) | (0.33)% | 3.03% | 3.39% | 3.32% | 3.23% |
Bloomberg Barclays Global Aggregate Bond Index (d) | 2.63% | 2.34% | 2.05% | 2.37% | 2.51% |
Reference Index (e) | 9.49% | 5.51% | 4.41% | 4.80% | 4.84% |
Comparison of the Change in Value of a $10,000 Investment
* | 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 total annual operating expenses as stated in the fee table of the Fund’s prospectus dated October 28, 2020 is 1.87%, 2.62% and 1.62%, for Class A, Class C and Class I shares, respectively. Class A Shares are subject to a maximum sales charge of 5.00% imposed on purchases. For performance information current to the most recent month-end, please call 1-877-779-7462. |
(a) | Inception date is September 14, 2010 for Class A and Class I shares. |
(b) | Inception date is November 25, 2014 for Class C shares. |
(c) | The Bloomberg Barclays U.S. Aggregate Bond Index is a market capitalization-weighted index, meaning the securities in the index are weighted according to the market size of each bond type. Most U.S. traded investment grade bonds are represented. Municipal bonds and Treasury Inflation-Protected Securities are excluded, due to tax treatment issues. The index includes Treasury securities, Government agency bonds, mortgage-backed bonds, corporate bonds, and a small amount of foreign bonds traded in U.S. Dollars. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. |
(d) | The Bloomberg Barclays Global Aggregate Bond Index is composed of the U.S. Aggregate Index, the Pan-European Index and the Japanese component of the Global Treasury Index. All issues must be fixed rate, nonconvertible and have at least one year remaining to maturity. Securities from countries classified as emerging markets are excluded. The index is weighted according to each country’s market capitalization except for Japan, which is weighted by the market capitalization of the 40 largest Japanese government bonds. This Index has been selected as the Fund’s new primary benchmark as it is more representative of the Fund’s investment strategy and portfolio holdings. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. |
(e) | The Reference Index is a combination of 80% Bloomberg Barclays Global Aggregate Bond Index, 10% MSCI ACWI, and 10% of S&P Goldman Sachs Commodities Index. The MSCI ACWI Index represents the performance of the full opportunity set of large- and mid-cap stocks across 23 developed and 26 emerging markets. the S&P Goldman Sachs Commodities Index is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. |
Portfolio Composition as of June 30, 2021 | ||||
Holdings By Investment Type | % of Net Assets | |||
Exchange Traded Funds - Fixed Income | 69.1 | % | ||
Exchange Traded Funds - Equity | 24.1 | % | ||
Exchange Traded Funds - Commodity | 5.8 | % | ||
Money Market Funds | 1.2 | % | ||
Collateral For Securities Loaned | 0.3 | % | ||
Liabilities in Excess of Other Assets | (0.5 | )% | ||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for a detailed listing of the Fund’s holdings.
Donoghue Forlines Dividend Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2021
The Fund’s performance figures* for the periods ended June 30, 2021, compared to its benchmarks:
Annualized | Annualized | Annualized | ||
One Year | Five Year | Since Inception (a) | Since Inception (b) | |
Donoghue Forlines Dividend Fund - Class A | 36.34% | 3.94% | 4.58% | N/A |
Donoghue Forlines Dividend Fund - Class A with load | 29.50% | 2.87% | 3.87% | N/A |
Donoghue Forlines Dividend Fund - Class C | 35.42% | 3.16% | N/A | 2.06% |
Donoghue Forlines Dividend Fund - Class I | 36.60% | 4.20% | 4.83% | N/A |
S&P 500 Value Index (c) | 39.54% | 12.54% | 10.86% | 9.89% |
S&P 500 Total Return Index (d) | 40.79% | 17.65% | 14.75% | 13.96% |
Comparison of the Change in Value of a $10,000 Investment
* | 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 total annual operating expenses as stated in the fee table of the Fund’s Class A, Class C and Class I prospectus dated October 28, 2020 is 1.67%, 2.42% and 1.42% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.00%. For performance information current to the most recent month-end, please call 1-877-779-7462. |
(a) | Inception date is November 7, 2013 for Class A and Class I shares. |
(b) | Inception date is November 25, 2014 for Class C shares. |
(c) | The S&P 500 Value Index is a market cap-weighted index that covers the complete market cap of the S&P 500 index. All S&P index stocks are represented in both and/or each Growth and Value index. The value factors used to determine a stock’s value score are book value to price ratio, cash flow to price ratio, sales to price ratio and dividend yield. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. This Index has been selected as Fund’s new primary benchmark as it is more representative of the Fund’s investment strategy and portfolio holdings. |
(d) | The S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. |
Portfolio Composition as of June 30, 2021 | ||||
Holdings By Investment Type | % of Net Assets | |||
Asset Management | 6.4 | % | ||
Oil & Gas Producers | 6.1 | % | ||
Biotech & Pharma | 6.0 | % | ||
Semiconductors | 6.0 | % | ||
Specialty Finance | 5.9 | % | ||
Health Care Facilities & Services | 5.8 | % | ||
Insurance | 5.8 | % | ||
Publishing & Broadcasting | 3.9 | % | ||
Diversified Industrials | 3.8 | % | ||
Institutional Financial Services | 3.7 | % | ||
Other Industries | 46.7 | % | ||
Liabilities in Excess of Other Assets | (0.1 | )% | ||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for a detailed listing of the Fund’s holdings.
Donoghue Forlines Risk Managed Income Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2021
The Fund’s performance figures* for the periods ended June 30, 2021, compared to its benchmarks:
One Year | Since Inception (a) | |
Donoghue Forlines Risk Managed Income Fund - Class A | 9.25% | 3.01% |
Donoghue Forlines Risk Managed Income Fund - Class A with load | 3.80% | 1.50% |
Donoghue Forlines Risk Managed Income Fund - Class C | 8.47% | 2.40% |
Donoghue Forlines Risk Managed Income Fund - Class I | 9.61% | 3.41% |
S&P 500 Total Return Index (b) | 40.79% | 16.54% |
S&P/LSTA U.S. Leveraged Loan 100 Index (c) | 9.37% | 4.22% |
Comparison of the Change in Value of a $10,000 Investment
* | 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 total annual operating expenses as stated in the fee table of the Fund’s prospectus dated March 26, 2021 is 1.89%, 2.64% and 1.64% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.00%. For performance information current to the most recent month-end, please call 1-877-779-7462. |
(a) | Inception date is December 27, 2017. |
(b) | The S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. |
(c) | The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to reflect the performance of the largest facilities in the leveraged loan market. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. |
Portfolio Composition as of June 30, 2021 | ||||
Holdings By Investment Type | % of Net Assets | |||
Exchange Traded Funds - Fixed Income | 64.4 | % | ||
Open End Funds - Fixed Income | 34.4 | % | ||
Collateral For Securities Loaned | 24.3 | % | ||
Money Market Fund | 1.2 | % | ||
Liabilities in Excess of Other Assets | (24.3 | )% | ||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for a detailed listing of the Fund’s holdings.
Donoghue Forlines Momentum Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2021
The Fund’s performance figures* for the periods ended June 30, 2021, compared to its benchmarks:
Annualized | ||
One Year | Since Inception (a) | |
Donoghue Forlines Momentum Fund - Class A | 58.76% | 8.16% |
Donoghue Forlines Momentum Fund - Class A with load | 49.70% | 6.75% |
Donoghue Forlines Momentum Fund - Class C | 57.62% | 7.37% |
Donoghue Forlines Momentum Fund - Class I | 59.08% | 8.43% |
S&P 500 Total Return Index (b) | 40.79% | 17.44% |
Comparison of the Change in Value of a $100,000 Investment
* | 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 total annual operating expenses as stated in the fee table of the Fund’s prospectus dated October 28, 2020 is 1.99%, 2.74% and 1.74% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.00%. For performance information current to the most recent month-end, please call 1-877-779-7462. |
(a) | Inception date is December 23, 2016. |
(b) | The S&P 500 Total Return Index is an unmanaged free-float capitalization-weighted index which measures the performance of 500 large-cap common stocks actively traded in the United States. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. |
Portfolio Composition as of June 30, 2021 | ||||
Holdings By Investment Type | % of Net Assets | |||
Semiconductors | 12.0 | % | ||
Medical Equipment & Devices | 6.4 | % | ||
Software | 6.3 | % | ||
Health Care Facilities & Services | 6.1 | % | ||
Technology Services | 4.1 | % | ||
Specialty Finance | 4.1 | % | ||
Technology Hardware | 4.0 | % | ||
Household Products | 3.8 | % | ||
Asset Management | 3.8 | % | ||
Publishing & Broadcasting | 3.8 | % | ||
Other Industries | 45.5 | % | ||
Other Assets in Excess of Liabilities | 0.1 | % | ||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for a detailed listing of the Fund’s holdings.
Donoghue Forlines Tactical Allocation Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2021
The Fund’s performance figures* for the periods ended June 30, 2021, compared to its benchmarks:
Annualized | ||
One Year | Since Inception (a) | |
Donoghue Forlines Tactical Allocation Fund - Class A | 21.34% | 3.93% |
Donoghue Forlines Tactical Allocation Fund - Class A with load | 15.24% | 2.29% |
Donoghue Forlines Tactical Allocation Fund - Class C | 20.54% | 3.16% |
Donoghue Forlines Tactical Allocation Fund - Class I | 21.63% | 4.19% |
MSCI AC World Index (b) | 39.27% | 13.86% |
Reference Index (c) | 25.19% | 8.40% |
Comparison of the Change in Value of a $100,000 Investment
* | 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 total annual operating expenses as stated in the fee table of the Fund’s Class A, Class C and Class I prospectus dated October 28, 2020 is 1.57%, 2.32% and 1.32% for Class A, Class C, and Class I shares, respectively. Class A shares are subject to a maximum sales charge imposed on purchases of 5.00%. For performance information current to the most recent month-end, please call 1-877-779-7462. |
(a) | Inception date is April 6, 2018. |
(b) | The MSCI AC World Index is designed to represent performance of the full opportunity set of large- and mid-cap stocks across 23 developed and 24 emerging markets. Index returns assume reinvestment of dividends. Investors may not invest in an Index directly. Unlike the Fund’s returns, Index returns do not reflect any fees or expenses. |
(c) | The Reference Index is a combination of 80% Bloomberg Barclays Global Aggregate Bond Index, 10% of MSCI ACWI, and 10% of S&P Goldman Sachs Commodities Index. The Bloomberg Barclays Global Aggregate Bond Index is composed of the U.S. Aggregate Index, the Pan-European Index and the Japanese component of the Global Treasury Index. All issues must be fixed rate, nonconvertible and have at least one year remaining to maturity. Securities from countries classified as emerging markets are excluded. The index is weighted according to each country’s market capitalization except for Japan, which is weighted by the market capitalization of the 40 largest Japanese government bonds. The S&P Goldman Sachs Commodities Index is a composite index of commodity sector returns representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. |
Portfolio Composition as of June 30, 2021 | ||||
Holdings By Investment Type | % of Net Assets | |||
Exchange Traded Funds - Equity | 69.2 | % | ||
Exchange Traded Funds - Fixed Income | 25.3 | % | ||
Exchange Traded Funds - Commodity | 4.8 | % | ||
Money Market Fund | 0.8 | % | ||
Liabilities in Excess of Other Assets | (0.1 | )% | ||
100.0 | % |
Please refer to the Portfolio of Investments in this annual report for a detailed listing of the Fund’s holdings.
DONOGHUE FORLINES TACTICAL INCOME FUND |
SCHEDULE OF INVESTMENTS |
June 30, 2021 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 99.0% | ||||||||
COMMODITY - 5.8% | ||||||||
201,445 | SPDR Gold MiniShares Trust(a) | $ | 3,547,446 | |||||
EQUITY - 24.1% | ||||||||
49,322 | iShares Core Dividend Growth ETF | 2,483,856 | ||||||
19,027 | iShares Core High Dividend ETF | 1,836,676 | ||||||
46,423 | iShares Emerging Markets Dividend ETF(b) | 1,803,534 | ||||||
74,292 | iShares International Select Dividend ETF | 2,407,061 | ||||||
83,394 | iShares Mortgage Real Estate ETF | 3,095,585 | ||||||
23,839 | iShares MSCI USA Quality Factor ETF | 3,167,488 | ||||||
14,794,200 | ||||||||
FIXED INCOME - 69.1% | ||||||||
582,194 | iShares 0-5 Year High Yield Corporate Bond ETF | 26,815,856 | ||||||
353,664 | SPDR Wells Fargo Preferred Stock ETF | 15,639,022 | ||||||
42,454,878 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $58,686,956) | 60,796,524 | |||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||
MONEY MARKET FUNDS - 1.2% | ||||||||
4,777 | Dreyfus Treasury Securities Cash Management, Institutional Class, 0.01%(c) | 4,777 | ||||||
14,559 | Fidelity Government Portfolio, Institutional Class, 0.01%(c) | 14,559 | ||||||
690,593 | Goldman Sachs Financial Square Government Fund, Class FST, 0.03%(c) | 690,593 | ||||||
14,402 | Invesco STIT Liquid Assets - Government & Agency Portfolio, Institutional Class, 0.03%(c) | 14,402 | ||||||
TOTAL MONEY MARKET FUNDS (Cost $724,331) | 724,331 | |||||||
COLLATERAL FOR SECURITIES LOANED - 0.3% | ||||||||
198,500 | Fidelity Government Portfolio, Institutional Class, 0.01% (Cost $198,500)(c) | 198,500 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $922,831) | 922,831 |
DONOGHUE FORLINES TACTICAL INCOME FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2021 |
Fair Value | ||||||||
TOTAL INVESTMENTS - 100.5% (Cost $59,609,787) | $ | 61,719,355 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.5)% | (281,906 | ) | ||||||
NET ASSETS - 100.0% | $ | 61,437,449 |
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
SPDR | - Standard & Poor’s Depositary Receipt |
(a) | Non-income producing security. |
(b) | All or a portion of this security is on loan. Total loaned securities had a value of $194,450 as of June 30, 2021. |
(c) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
See accompanying notes which are an integral part of these financial statements.
DONOGHUE FORLINES DIVIDEND FUND |
SCHEDULE OF INVESTMENTS |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.6% | ||||||||
ADVERTISING & MARKETING - 1.9% | ||||||||
11,665 | Omnicom Group, Inc. | $ | 933,083 | |||||
AEROSPACE & DEFENSE - 2.0% | ||||||||
4,468 | Huntington Ingalls Industries, Inc. | 941,631 | ||||||
ASSET MANAGEMENT - 6.3% | ||||||||
16,770 | Apollo Global Management, Inc. | 1,043,094 | ||||||
21,835 | Carlyle Group, Inc. (The) | 1,014,891 | ||||||
5,000 | T Rowe Price Group, Inc. | 989,850 | ||||||
3,047,835 | ||||||||
BEVERAGES - 2.0% | ||||||||
6,454 | PepsiCo, Inc. | 956,289 | ||||||
BIOTECH & PHARMA - 6.0% | ||||||||
14,632 | Bristol-Myers Squibb Company | 977,710 | ||||||
5,644 | Johnson & Johnson | 929,793 | ||||||
24,652 | Pfizer, Inc. | 965,372 | ||||||
2,872,875 | ||||||||
CABLE & SATELLITE - 2.0% | ||||||||
16,586 | Comcast Corporation, Class A | 945,734 | ||||||
CHEMICALS - 1.9% | ||||||||
26,231 | Chemours Company | 912,839 | ||||||
CONTAINERS & PACKAGING - 1.9% | ||||||||
15,083 | International Paper Company | 924,739 | ||||||
DIVERSIFIED INDUSTRIALS - 3.9% | ||||||||
4,712 | 3M Company | 935,945 | ||||||
4,125 | Illinois Tool Works, Inc. | 922,185 | ||||||
1,858,130 | ||||||||
ELECTRIC UTILITIES - 2.1% | ||||||||
37,841 | AES Corporation | 986,515 |
DONOGHUE FORLINES DIVIDEND FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.6% (Continued) | ||||||||
ELECTRICAL EQUIPMENT - 2.2% | ||||||||
3,614 | Rockwell Automation, Inc. | $ | 1,033,676 | |||||
ENTERTAINMENT CONTENT - 2.1% | ||||||||
22,752 | ViacomCBS, Inc., Class B | 1,028,390 | ||||||
FOOD – 2.0% | ||||||||
5,509 | Hershey Company | 959,558 | ||||||
GAS & WATER UTILITIES - 2.0% | ||||||||
18,512 | National Fuel Gas Company | 967,252 | ||||||
HEALTH CARE FACILITIES & SERVICES - 5.8% | ||||||||
11,042 | CVS Health Corporation | 921,344 | ||||||
7,181 | Quest Diagnostics, Inc. | 947,677 | ||||||
2,310 | UnitedHealth Group, Inc. | 925,016 | ||||||
2,794,037 | ||||||||
HOME & OFFICE PRODUCTS - 1.9% | ||||||||
17,448 | Leggett & Platt, Inc. | 903,981 | ||||||
HOUSEHOLD PRODUCTS - 1.9% | ||||||||
20,811 | Energizer Holdings, Inc. | 894,457 | ||||||
INDUSTRIAL SUPPORT SERVICES - 1.9% | ||||||||
10,222 | MSC Industrial Direct Company, Inc., Class A | 917,220 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 3.7% | ||||||||
20,457 | Lazard Ltd., Class A | 925,680 | ||||||
31,556 | Virtu Financial, Inc., Class A | 871,892 | ||||||
1,797,572 | ||||||||
INSURANCE - 5.8% | ||||||||
7,832 | Cincinnati Financial Corporation | 913,368 | ||||||
14,964 | Mercury General Corporation | 971,912 | ||||||
36,466 | Old Republic International Corporation | 908,368 | ||||||
2,793,648 |
DONOGHUE FORLINES DIVIDEND FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.6% (Continued) | ||||||||
LEISURE PRODUCTS - 2.1% | ||||||||
7,293 | Polaris, Inc. | $ | 998,849 | |||||
MORTGAGE FINANCE - 1.9% | ||||||||
102,860 | Annaly Capital Management, Inc. | 913,397 | ||||||
OIL & GAS PRODUCERS - 6.1% | ||||||||
116,739 | Equitrans Midstream Corporation | 993,449 | ||||||
52,333 | Kinder Morgan, Inc. | 954,031 | ||||||
36,485 | Williams Companies, Inc. | 968,677 | ||||||
2,916,157 | ||||||||
PUBLISHING & BROADCASTING - 3.9% | ||||||||
15,239 | John Wiley & Sons, Inc., Class A | 917,083 | ||||||
6,330 | Nexstar Media Group, Inc., Class A | 936,080 | ||||||
1,853,163 | ||||||||
RETAIL - DISCRETIONARY - 1.9% | ||||||||
7,289 | Genuine Parts Company | 921,840 | ||||||
SEMICONDUCTORS – 5.9% | ||||||||
2,028 | Broadcom, Inc. | 967,032 | ||||||
6,132 | Microchip Technology, Inc. | 918,206 | ||||||
5,060 | Texas Instruments, Inc. | 973,038 | ||||||
2,858,276 | ||||||||
SPECIALTY FINANCE - 5.9% | ||||||||
20,555 | Fidelity National Financial, Inc. | 893,320 | ||||||
16,434 | OneMain Holdings, Inc. | 984,561 | ||||||
20,222 | Synchrony Financial | 981,171 | ||||||
2,859,052 | ||||||||
SPECIALTY REIT - 1.9% | ||||||||
22,055 | Iron Mountain, Inc. | 933,367 | ||||||
TECHNOLOGY HARDWARE - 2.0% | ||||||||
18,031 | Cisco Systems, Inc. | 955,643 |
DONOGHUE FORLINES DIVIDEND FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.6% (Continued) | ||||||||
TECHNOLOGY SERVICES - 2.0% | ||||||||
6,678 | International Business Machines Corporation | $ | 978,928 | |||||
TELECOMMUNICATIONS - 2.0% | ||||||||
69,265 | Lumen Technologies, Inc. | 941,311 | ||||||
TRANSPORTATION & LOGISTICS - 1.8% | ||||||||
11,668 | Ryder System, Inc. | 867,282 | ||||||
TRANSPORTATION EQUIPMENT - 1.9% | ||||||||
22,804 | Allison Transmission Holdings, Inc. | 906,231 | ||||||
TOTAL COMMON STOCKS (Cost $44,465,342) | 47,372,957 | |||||||
SHORT-TERM INVESTMENTS — 1.5% | ||||||||
MONEY MARKET FUNDS - 1.5% | ||||||||
4,599 | Dreyfus Treasury Securities Cash Management, Institutional Class, 0.01%(a) | 4,599 | ||||||
6,342 | Fidelity Government Portfolio, Institutional Class, 0.01%(a) | 6,342 | ||||||
726,198 | Goldman Sachs Financial Square Government Fund, Class FST, 0.03%(a) | 726,198 | ||||||
4,999 | Invesco STIT Liquid Assets - Government & Agency Portfolio Institutional Class, 0.03%(a) | 4,999 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $742,138) | 742,138 | |||||||
TOTAL INVESTMENTS - 100.1% (Cost $45,207,480) | $ | 48,115,095 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% | (44,853 | ) | ||||||
NET ASSETS - 100.0% | $ | 48,070,242 |
LTD | - Limited Company |
REIT | - Real Estate Investment Trust |
(a) | Rate disclosed is the seven day effective yield as of June 30, 2021 |
See accompanying notes which are an integral part of these financial statements.
DONOGHUE FORLINES RISK MANAGED INCOME FUND |
SCHEDULE OF INVESTMENTS |
June 30, 2021 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 64.4% | ||||||||
FIXED INCOME - 64.4% | ||||||||
165,149 | First Trust Senior Loan ETF | $ | 7,928,803 | |||||
720,434 | Invesco Senior Loan ETF(a) | 15,957,614 | ||||||
51,653 | iShares 0-5 Year High Yield Corporate Bond ETF | 2,379,137 | ||||||
57,401 | iShares Broad USD High Yield Corporate Bond ETF(a) | 2,394,770 | ||||||
172,173 | SPDR Blackstone Senior Loan ET | 7,969,888 | ||||||
86,479 | SPDR Bloomberg Barclays Short Term High Yield Bond | 2,385,091 | ||||||
59,209 | Xtrackers USD High Yield Corporate Bond ETF(a) | 2,386,715 | ||||||
41,402,018 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $41,143,351) | 41,402,018 | |||||||
OPEN END FUNDS — 34.4% | ||||||||
FIXED INCOME - 34.4% | ||||||||
553,052 | BlackRock Floating Rate Income Portfolio, Institutional Class | 5,508,396 | ||||||
658,990 | Hartford Floating Rate Fund, Class Y | 5,509,154 | ||||||
656,133 | Lord Abbett Floating Rate Fund, Class I | 5,537,759 | ||||||
668,602 | Virtus Seix Floating Rate High Income Fund, Class I | 5,515,967 | ||||||
22,071,276 | ||||||||
TOTAL OPEN END FUNDS (Cost $21,235,983) | 22,071,276 | |||||||
SHORT-TERM INVESTMENTS — 25.5% | ||||||||
COLLATERAL FOR SECURITIES LOANED - 24.2% | ||||||||
15,560,250 | Fidelity Government Portfolio, Institutional Class, 0.01% (Cost $15,560,250)(b) | 15,560,250 | ||||||
MONEY MARKET FUNDS - 1.3% | ||||||||
802,748 | Goldman Sachs Financial Square Government Fund, Class FST, 0.03% (Cost $802,748)(b) | 802,748 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $16,362,998) | 16,362,998 |
DONOGHUE FORLINES RISK MANAGED INCOME FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2021 |
Fair Value | ||||||||
TOTAL INVESTMENTS - 124.3% (Cost $78,742,332) | $ | 79,836,292 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (24.3)% | (15,618,176 | ) | ||||||
NET ASSETS - 100.0% | $ | 64,218,116 |
ETF | - Exchange-Traded Fund |
SPDR | - Standard & Poor’s Depositary Receipt |
(a) | All or a portion of this security is on loan. Total loaned securities had a value of $15,211,850 as of June 30, 2021. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
See accompanying notes which are an integral part of these financial statements.
DONOGHUE FORLINES MOMENTUM FUND |
SCHEDULE OF INVESTMENTS |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.2% | ||||||||
ADVERTISING & MARKETING - 1.9% | ||||||||
9,405 | Interpublic Group of Companies, Inc. | $ | 305,568 | |||||
ASSET MANAGEMENT - 3.8% | ||||||||
2,160 | LPL Financial Holdings, Inc. | 291,557 | ||||||
1,647 | T Rowe Price Group, Inc. | 326,057 | ||||||
617,614 | ||||||||
AUTOMOTIVE - 2.0% | ||||||||
21,336 | Ford Motor Company(a) | 317,053 | ||||||
CABLE & SATELLITE - 1.9% | ||||||||
5,461 | Comcast Corporation, Class A | 311,386 | ||||||
CHEMICALS - 3.7% | ||||||||
1,430 | Avery Dennison Corporation | 300,643 | ||||||
8,655 | Chemours Company | 301,194 | ||||||
601,837 | ||||||||
ELECTRIC UTILITIES - 2.0% | ||||||||
12,461 | AES Corporation | 324,858 | ||||||
ELECTRICAL EQUIPMENT - 2.1% | ||||||||
4,046 | Trimble, Inc.(a) | 331,084 | ||||||
FOOD - 2.0% | ||||||||
1,815 | Hershey Company | 316,137 | ||||||
HEALTH CARE FACILITIES & SERVICES - 6.1% | ||||||||
934 | Charles River Laboratories International, Inc.(a) | 345,505 | ||||||
1,312 | IQVIA Holdings, Inc.(a) | 317,924 | ||||||
1,141 | Laboratory Corp of America Holdings(a) | 314,745 | ||||||
978,174 | ||||||||
HOME & OFFICE PRODUCTS - 3.7% | ||||||||
5,734 | Leggett & Platt, Inc. | 297,079 | ||||||
11,014 | Newell Brands, Inc. | 302,554 | ||||||
599,633 |
DONOGHUE FORLINES MOMENTUM FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.2% (Continued) | ||||||||
HOUSEHOLD PRODUCTS - 3.8% | ||||||||
1,027 | Estee Lauder Companies, Inc., Class A | $ | 326,668 | |||||
3,540 | Spectrum Brands Holdings, Inc. | 301,042 | ||||||
627,710 | ||||||||
INSTITUTIONAL FINANCIAL SERVICES - 1.9% | ||||||||
2,178 | Evercore, Inc., Class A | 306,597 | ||||||
INSURANCE - 3.7% | ||||||||
1,085 | Berkshire Hathaway, Inc., Class B(a) | 301,543 | ||||||
2,571 | Cincinnati Financial Corporation | 299,830 | ||||||
601,373 | ||||||||
LEISURE PRODUCTS - 1.9% | ||||||||
14,899 | Mattel, Inc.(a) | 299,470 | ||||||
MACHINERY - 3.8% | ||||||||
868 | Deere & Company | 306,152 | ||||||
2,815 | Toro Company | 309,312 | ||||||
615,464 | ||||||||
MEDICAL EQUIPMENT & DEVICES - 6.5% | ||||||||
2,276 | Agilent Technologies, Inc. | 336,416 | ||||||
4,573 | Bruker Corporation | 347,457 | ||||||
567 | IDEXX Laboratories, Inc.(a) | 358,089 | ||||||
1,041,962 | ||||||||
MORTGAGE FINANCE - 3.6% | ||||||||
16,859 | AGNC Investment Corporation | 284,749 | ||||||
33,896 | Annaly Capital Management, Inc. | 300,996 | ||||||
585,745 | ||||||||
OIL & GAS PRODUCERS - 2.0% | ||||||||
3,679 | Cheniere Energy, Inc.(a) | 319,116 | ||||||
PUBLISHING & BROADCASTING - 3.8% | ||||||||
11,807 | News Corporation, Class A | 304,266 | ||||||
2,089 | Nexstar Media Group, Inc., Class A | 308,921 | ||||||
613,187 |
DONOGHUE FORLINES MOMENTUM FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.2% (Continued) | ||||||||
RETAIL - CONSUMER STAPLES - 2.1% | ||||||||
1,377 | Target Corporation | $ | 332,876 | |||||
RETAIL - DISCRETIONARY - 1.8% | ||||||||
3,095 | AutoNation, Inc.(a) | 293,437 | ||||||
SEMICONDUCTORS - 12.0% | ||||||||
2,285 | Applied Materials, Inc. | 325,384 | ||||||
667 | Broadcom, Inc. | 318,052 | ||||||
999 | KLA Corporation | 323,886 | ||||||
486 | Lam Research Corporation | 316,240 | ||||||
2,396 | Teradyne, Inc. | 320,968 | ||||||
1,664 | Texas Instruments, Inc. | 319,987 | ||||||
1,924,517 | ||||||||
SOFTWARE - 6.3% | ||||||||
1,351 | Crowdstrike Holdings, Inc., Class A(a) | 339,520 | ||||||
1,425 | Fortinet, Inc.(a) | 339,421 | ||||||
6,583 | Teradata Corporation(a) | 328,953 | ||||||
1,007,894 | ||||||||
SPECIALTY FINANCE - 4.0% | ||||||||
2,706 | Discover Financial Services | 320,093 | ||||||
6,666 | Synchrony Financial | 323,435 | ||||||
643,528 | ||||||||
TECHNOLOGY HARDWARE - 4.0% | ||||||||
6,603 | NCR Corporation(a) | 301,163 | ||||||
635 | Zebra Technologies Corporation, Class A(a) | 336,226 | ||||||
637,389 | ||||||||
TECHNOLOGY SERVICES - 4.1% | ||||||||
1,114 | Accenture plc, Class A | 328,396 | ||||||
660 | EPAM Systems, Inc.(a) | 337,234 | ||||||
665,630 | ||||||||
TRANSPORTATION & LOGISTICS - 3.7% | ||||||||
3,855 | Ryder System, Inc. | 286,542 | ||||||
1,466 | United Parcel Service, Inc., Class B | 304,884 | ||||||
591,426 |
DONOGHUE FORLINES MOMENTUM FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2021 |
Shares | Fair Value | |||||||
COMMON STOCKS — 98.2% (Continued) | ||||||||
TOTAL COMMON STOCKS (Cost $15,064,225) | $ | 15,810,665 | ||||||
SHORT-TERM INVESTMENTS — 1.7% | ||||||||
MONEY MARKET FUNDS - 1.7% | ||||||||
284,021 | Goldman Sachs Financial Square Government Fund, Class FST, 0.03% (Cost $284,021)(b) | 284,021 | ||||||
TOTAL INVESTMENTS - 99.9% (Cost $15,348,246) | $ | 16,094,686 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.1% | 9,504 | |||||||
NET ASSETS - 100.0% | $ | 16,104,190 |
PLC | - Public Limited Company |
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
See accompanying notes which are an integral part of these financial statements.
DONOGHUE FORLINES TACTICAL ALLOCATION FUND |
SCHEDULE OF INVESTMENTS |
June 30, 2021 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 99.3% | ||||||||
COMMODITY - 4.8% | ||||||||
160,185 | SPDR Gold MiniShares Trust(a) | $ | 2,820,858 | |||||
EQUITY - 69.2% | ||||||||
34,556 | Invesco QQQ Trust Series 1 | 12,247,683 | ||||||
77,064 | iShares Core MSCI EAFE ETF | 5,769,011 | ||||||
88,667 | iShares Core MSCI Emerging Markets ETF | 5,939,802 | ||||||
40,824 | iShares Core S&P U.S. Value ETF | 2,937,695 | ||||||
79,032 | iShares Global Clean Energy ETF | 1,854,091 | ||||||
45,998 | iShares MSCI Emerging Markets Min Vol Factor ETF | 2,951,232 | ||||||
68,240 | iShares MSCI USA Quality Factor ETF | 9,067,049 | ||||||
40,766,563 | ||||||||
FIXED INCOME - 25.3% | ||||||||
193,793 | iShares 0-5 Year High Yield Corporate Bond ETF | 8,926,105 | ||||||
134,989 | SPDR Wells Fargo Preferred Stock ETF | 5,969,214 | ||||||
14,895,319 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $52,662,494) | 58,482,740 | |||||||
SHORT-TERM INVESTMENTS — 0.8% | ||||||||
MONEY MARKET FUNDS - 0.8% | ||||||||
485,288 | Goldman Sachs Financial Square Government Fund, Class FST, 0.03% (Cost $485,288)(b) | 485,288 | ||||||
TOTAL INVESTMENTS - 100.1% (Cost $53,147,782) | $ | 58,968,028 | ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1)% | (68,080 | ) | ||||||
NET ASSETS - 100.0% | $ | 58,899,948 |
EAFE | - Europe, Australasia and Far East |
ETF | - Exchange-Traded Fund |
MSCI | - Morgan Stanley Capital International |
SPDR | - Standard & Poor’s Depositary Receipt |
(a) | Non-income producing security. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2021. |
See accompanying notes which are an integral part of these financial statements.
Donoghue Forlines Funds |
STATEMENTS OF ASSETS AND LIABILITIES |
June 30, 2021 |
Donoghue Forlines | Donoghue Forlines | Donoghue Forlines | Donoghue Forlines | Donoghue Forlines | ||||||||||||||||
Tactical Income | Dividend | Risk Managed Income | Momentum | Tactical Allocation | ||||||||||||||||
Fund | Fund | Fund | Fund | Fund | ||||||||||||||||
ASSETS | ||||||||||||||||||||
Investment securities: | ||||||||||||||||||||
At cost | $ | 59,609,787 | $ | 45,207,480 | $ | 78,742,332 | $ | 15,348,246 | $ | 53,147,782 | ||||||||||
At value * | $ | 61,719,355 | $ | 48,115,095 | $ | 79,836,292 | $ | 16,094,686 | $ | 58,968,028 | ||||||||||
Receivable for Fund shares sold | 17,557 | 22,722 | 1,240 | 13,241 | 6,641 | |||||||||||||||
Dividends and interest receivable | 20 | 98,540 | 27 | 20,952 | 13,727 | |||||||||||||||
Prepaid expenses and other assets | 19,813 | 24,701 | 23,574 | 23,733 | 24,379 | |||||||||||||||
TOTAL ASSETS | 61,756,745 | 48,261,058 | 79,861,133 | 16,152,612 | 59,012,775 | |||||||||||||||
LIABILITIES | ||||||||||||||||||||
Security lending collateral (Note 5) | 198,500 | — | 15,560,250 | — | — | |||||||||||||||
Payable for Fund shares repurchased | 25,551 | 30,953 | 9,534 | 4,051 | 26,666 | |||||||||||||||
Investment advisory fees payable | 51,559 | 40,907 | 34,579 | 13,005 | 38,829 | |||||||||||||||
Distribution (12b-1) fees payable | 2,791 | 11,490 | 618 | 1,763 | 3,835 | |||||||||||||||
Payable to related parties | 12,677 | 20,633 | 13,693 | 6,534 | 12,321 | |||||||||||||||
Payable to trustees | 209 | 300 | 258 | 309 | 232 | |||||||||||||||
Accrued expenses and other liabilities | 28,009 | 86,533 | 24,085 | 22,760 | 30,944 | |||||||||||||||
TOTAL LIABILITIES | 319,296 | 190,816 | 15,643,017 | 48,422 | 112,827 | |||||||||||||||
NET ASSETS | $ | 61,437,449 | $ | 48,070,242 | $ | 64,218,116 | $ | 16,104,190 | $ | 58,899,948 | ||||||||||
COMPOSITION OF NET ASSETS: | ||||||||||||||||||||
Paid in capital | $ | 77,561,521 | $ | 166,082,882 | $ | 63,973,629 | $ | 15,727,346 | $ | 58,661,156 | ||||||||||
Accumulated income (losses) | (16,124,072 | ) | (118,012,640 | ) | 244,487 | 376,844 | 238,792 | |||||||||||||
NET ASSETS | $ | 61,437,449 | $ | 48,070,242 | $ | 64,218,116 | $ | 16,104,190 | $ | 58,899,948 | ||||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||||||||||
Class A Shares: | ||||||||||||||||||||
Net Assets | $ | 5,421,724 | $ | 14,488,092 | $ | 105,869 | $ | 1,555,319 | $ | 15,277,325 | ||||||||||
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | 554,453 | 1,582,910 | 10,436 | 126,249 | 1,399,168 | |||||||||||||||
Net asset value (Net Assets ÷ Shares Outstanding) and redemption price per share | $ | 9.78 | $ | 9.15 | $ | 10.14 | $ | 12.32 | $ | 10.92 | ||||||||||
Maximum offering price per share (net asset value plus maximum sales charge of 5.00%) (a) | $ | 10.29 | $ | 9.63 | $ | 10.67 | $ | 12.97 | $ | 11.49 | ||||||||||
Class C Shares: | ||||||||||||||||||||
Net Assets | $ | 1,384,376 | $ | 9,174,350 | $ | 721,627 | $ | 1,205,282 | $ | 886,302 | ||||||||||
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | 142,560 | 1,010,945 | 71,848 | 101,313 | 81,724 | |||||||||||||||
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share | $ | 9.71 | $ | 9.08 | $ | 10.04 | $ | 11.90 | $ | 10.85 | ||||||||||
Class I Shares: | ||||||||||||||||||||
Net Assets | $ | 54,631,349 | $ | 24,407,800 | $ | 63,390,620 | $ | 13,343,589 | $ | 42,736,321 | ||||||||||
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | 5,606,649 | 2,679,885 | 6,265,106 | 1,073,051 | 3,931,090 | |||||||||||||||
Net asset value (Net Assets ÷ Shares Outstanding), offering price and redemption price per share | $ | 9.74 | $ | 9.11 | $ | 10.12 | $ | 12.44 | $ | 10.87 |
* | Includes Securities Loaned $194,450; $0; $15,211,850; $0; $0 |
(a) | On investments of $50,000 or more, the offering price is reduced. |
See accompanying notes to financial statements.
Donoghue Forlines Funds |
STATEMENTS OF OPERATIONS |
For the Year Ended June 30, 2021 |
Donoghue Forlines | Donoghue Forlines | Donoghue Forlines | Donoghue Forlines | Donoghue Forlines | ||||||||||||||||
Tactical Income | Dividend | Risk Managed Income | Momentum | Tactical Allocation | ||||||||||||||||
Fund | Fund | Fund | Fund | Fund | ||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||
Dividends (including foreign dividend tax withholding of $0, $0, $0, $276, and $0, respectively) | $ | 1,993,275 | $ | 1,721,556 | $ | 2,376,511 | $ | 205,308 | $ | 1,318,653 | ||||||||||
Interest | 604 | 270 | 468 | 117 | 466 | |||||||||||||||
Securities lending | 15,007 | 1,052 | 19,489 | 3,243 | 18,627 | |||||||||||||||
TOTAL INVESTMENT INCOME | 2,008,886 | 1,722,878 | 2,396,468 | 208,668 | 1,337,746 | |||||||||||||||
EXPENSES | ||||||||||||||||||||
Investment advisory fees | 729,311 | 501,273 | 401,932 | 167,592 | 509,569 | |||||||||||||||
Distribution (12b-1) fees: | ||||||||||||||||||||
Class A | 15,526 | 37,298 | 257 | 3,595 | 36,475 | |||||||||||||||
Class C | 28,789 | 109,170 | 7,593 | 20,647 | 8,296 | |||||||||||||||
Administration fees | 76,350 | 51,515 | 67,032 | 27,602 | 71,008 | |||||||||||||||
Registration fees | 55,998 | 56,306 | 43,748 | 51,273 | 45,270 | |||||||||||||||
Accounting services fees | 42,451 | 35,175 | 41,359 | 37,247 | 41,947 | |||||||||||||||
Third party administrative servicing fees | 37,875 | 23,926 | 41,623 | 7,995 | 19,531 | |||||||||||||||
Transfer agent fees | 32,749 | 48,675 | 26,626 | 13,513 | 22,435 | |||||||||||||||
Audit fees | 18,443 | 18,151 | 18,172 | 18,152 | 24,637 | |||||||||||||||
Trustees’ fees and expenses | 14,981 | 14,981 | 14,981 | 14,882 | 14,981 | |||||||||||||||
Legal fees | 12,711 | 13,264 | 19,308 | 13,025 | 22,488 | |||||||||||||||
Printing and postage expenses | 11,962 | 14,404 | 17,724 | 5,808 | 22,906 | |||||||||||||||
Compliance officer fees | 11,087 | 8,492 | 8,289 | 5,640 | 10,565 | |||||||||||||||
Custodian fees | 8,345 | 3,113 | 10,794 | 3,847 | 13,588 | |||||||||||||||
Insurance expense | 2,116 | 1,330 | 1,517 | 747 | 2,040 | |||||||||||||||
Other expenses | 4,330 | 3,980 | 4,261 | 4,434 | 3,105 | |||||||||||||||
TOTAL EXPENSES | 1,103,024 | 941,053 | 725,216 | 395,999 | 868,841 | |||||||||||||||
Less: Fees waived by the Advisor | — | — | — | (35,648 | ) | (6,690 | ) | |||||||||||||
NET EXPENSES | 1,103,024 | 941,053 | 725,216 | 360,351 | 862,151 | |||||||||||||||
NET INVESTMENT INCOME (LOSS) | 905,862 | 781,825 | 1,671,252 | (151,683 | ) | 475,595 | ||||||||||||||
REALIZED AND UNREALIZED GAIN ON INVESTMENTS | ||||||||||||||||||||
Net realized gain from security transactions | 3,570,036 | 11,517,859 | 2,657,101 | 7,205,359 | 7,403,642 | |||||||||||||||
Net change in unrealized appreciation on investments | 668,240 | 2,704,097 | 1,169,060 | 521,283 | 5,652,191 | |||||||||||||||
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS | 4,238,276 | 14,221,956 | 3,826,161 | 7,726,642 | 13,055,833 | |||||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 5,144,138 | $ | 15,003,781 | $ | 5,497,413 | $ | 7,574,959 | $ | 13,531,428 |
See accompanying notes to financial statements.
Donoghue Forlines Tactical Income Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
For the | For the | |||||||
Year Ended | Year Ended | |||||||
June 30, 2021 | June 30, 2020 | |||||||
FROM OPERATIONS | ||||||||
Net investment income | $ | 905,862 | $ | 2,166,775 | ||||
Net realized gain (loss) from security transactions | 3,570,036 | (8,977,553 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 668,240 | (1,863,512 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 5,144,138 | (8,674,290 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Total Distributions paid: | ||||||||
Class A | (68,011 | ) | (163,868 | ) | ||||
Class C | (3,069 | ) | (24,508 | ) | ||||
Class I | (872,598 | ) | (2,159,972 | ) | ||||
Net decrease in net assets resulting from distributions to shareholders | (943,678 | ) | (2,348,348 | ) | ||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 456,114 | 3,514,057 | ||||||
Class C | 100,797 | 1,372,858 | ||||||
Class I | 6,605,774 | 22,181,372 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A | 58,157 | 110,853 | ||||||
Class C | 2,572 | 19,677 | ||||||
Class I | 775,241 | 1,677,179 | ||||||
Payments for shares redeemed: | ||||||||
Class A | (2,717,271 | ) | (9,310,784 | ) | ||||
Class C | (2,299,276 | ) | (1,185,394 | ) | ||||
Class I | (34,312,281 | ) | (71,656,199 | ) | ||||
Net decrease in net assets resulting from shares of beneficial interest | (31,330,173 | ) | (53,276,381 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (27,129,713 | ) | (64,299,019 | ) | ||||
NET ASSETS | ||||||||
Beginning of Year | 88,567,162 | 152,866,181 | ||||||
End of Year | $ | 61,437,449 | $ | 88,567,162 | ||||
SHARE ACTIVITY | ||||||||
Class A: | ||||||||
Shares Sold | 47,764 | 355,252 | ||||||
Shares Reinvested | 6,022 | 11,392 | ||||||
Shares Redeemed | (287,181 | ) | (978,048 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (233,395 | ) | (611,404 | ) | ||||
Class C: | ||||||||
Shares Sold | 10,858 | 141,583 | ||||||
Shares Reinvested | 273 | 1,991 | ||||||
Shares Redeemed | (242,784 | ) | (124,721 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | (231,653 | ) | 18,853 | |||||
Class I: | ||||||||
Shares Sold | 699,827 | 2,229,345 | ||||||
Shares Reinvested | 80,727 | 173,936 | ||||||
Shares Redeemed | (3,643,419 | ) | (7,576,588 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (2,862,865 | ) | (5,173,307 | ) |
See accompanying notes to financial statements.
Donoghue Forlines Dividend Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
For the | For the | |||||||
Year Ended | Year Ended | |||||||
June 30, 2021 | June 30, 2020 | |||||||
FROM OPERATIONS | ||||||||
Net investment income | $ | 781,825 | $ | 2,390,663 | ||||
Net realized gain (loss) from security transactions | 11,517,859 | (28,628,921 | ) | |||||
Net change in unrealized appreciation on investments | 2,704,097 | 795,117 | ||||||
Net increase (decrease) in net assets resulting from operations | 15,003,781 | (25,443,141 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Total Distributions paid: | ||||||||
Class A | (601,043 | ) | (595,102 | ) | ||||
Class C | (357,396 | ) | (283,054 | ) | ||||
Class I | (1,051,494 | ) | (1,651,487 | ) | ||||
Net decrease in net assets resulting from distributions to shareholders | (2,009,933 | ) | (2,529,643 | ) | ||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 897,732 | 1,653,284 | ||||||
Class C | 408,644 | 711,173 | ||||||
Class I | 7,912,996 | 10,564,313 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A | 566,151 | 560,218 | ||||||
Class C | 318,408 | 257,214 | ||||||
Class I | 977,241 | 1,545,254 | ||||||
Redemption fee proceeds: | ||||||||
Class A | — | 5 | ||||||
Payments for shares redeemed: | ||||||||
Class A | (7,889,685 | ) | (35,795,308 | ) | ||||
Class C | (7,125,129 | ) | (17,071,442 | ) | ||||
Class I | (18,950,502 | ) | (171,097,517 | ) | ||||
Net decrease in net assets resulting from shares of beneficial interest | (22,884,144 | ) | (208,672,806 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (9,890,296 | ) | (236,645,590 | ) | ||||
NET ASSETS | ||||||||
Beginning of Year | 57,960,538 | 294,606,128 | ||||||
End of Year | $ | 48,070,242 | $ | 57,960,538 | ||||
SHARE ACTIVITY | ||||||||
Class A: | ||||||||
Shares Sold | 108,630 | 225,884 | ||||||
Shares Reinvested | 73,750 | 68,153 | ||||||
Shares Redeemed | (1,024,418 | ) | (4,577,449 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (842,038 | ) | (4,283,412 | ) | ||||
Class C: | ||||||||
Shares Sold | 49,118 | 90,683 | ||||||
Shares Reinvested | 42,759 | 31,419 | ||||||
Shares Redeemed | (922,853 | ) | (2,207,063 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (830,976 | ) | (2,084,961 | ) | ||||
Class I: | ||||||||
Shares Sold | 980,739 | 1,340,016 | ||||||
Shares Reinvested | 127,179 | 189,826 | ||||||
Shares Redeemed | (2,459,831 | ) | (21,942,496 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (1,351,913 | ) | (20,412,654 | ) |
See accompanying notes to financial statements.
Donoghue Forlines Risk Managed Income Fund |
STATEMENT OF CHANGES IN NET ASSETS |
For the | For the | |||||||
Year Ended | Year Ended | |||||||
June 30, 2021 | June 30, 2020 | |||||||
FROM OPERATIONS | ||||||||
Net investment income | $ | 1,671,252 | $ | 1,822,277 | ||||
Net realized gain (loss) from security transactions | 2,657,101 | (2,631,302 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 1,169,060 | (407,898 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 5,497,413 | (1,216,923 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Total distributions paid: | ||||||||
Class A | (2,724 | ) | (4,042 | ) | ||||
Class C | (13,967 | ) | (6,161 | ) | ||||
Class I | (1,782,260 | ) | (1,801,712 | ) | ||||
Net decrease in net assets resulting from distributions to shareholders | (1,798,951 | ) | (1,811,915 | ) | ||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A | — | 330,519 | ||||||
Class C | 407,056 | 392,451 | ||||||
Class I | 24,816,912 | 15,477,930 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A | 2,724 | 4,042 | ||||||
Class C | 12,762 | 4,214 | ||||||
Class I | 934,089 | 1,296,775 | ||||||
Payments for shares redeemed: | ||||||||
Class A | — | (494,800 | ) | |||||
Class C | (273,089 | ) | (245,588 | ) | ||||
Class I | (22,339,574 | ) | (36,954,795 | ) | ||||
Net increase (decrease) in net assets resulting from shares of beneficial interest | 3,560,880 | (20,189,252 | ) | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 7,259,342 | (23,218,090 | ) | |||||
NET ASSETS | ||||||||
Beginning of Year | 56,958,774 | 80,176,864 | ||||||
End of Year | $ | 64,218,116 | $ | 56,958,774 | ||||
SHARE ACTIVITY | ||||||||
Class A: | ||||||||
Shares Sold | — | 33,200 | ||||||
Shares Reinvested | 273 | 410 | ||||||
Shares Redeemed | — | (50,122 | ) | |||||
Net increase (decrease) in shares of beneficial interest outstanding | 273 | (16,512 | ) | |||||
Class C: | ||||||||
Shares Sold | 41,957 | 40,590 | ||||||
Shares Reinvested | 1,296 | 431 | ||||||
Shares Redeemed | (27,733 | ) | (25,040 | ) | ||||
Net increase in shares of beneficial interest outstanding | 15,520 | 15,981 | ||||||
Class I: | ||||||||
Shares Sold | 2,493,861 | 1,563,195 | ||||||
Shares Reinvested | 93,681 | 132,185 | ||||||
Shares Redeemed | (2,245,598 | ) | (3,745,280 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | 341,944 | (2,049,900 | ) |
See accompanying notes to financial statements.
Donoghue Forlines Momentum Fund |
STATEMENTS OF CHANGES IN NET ASSETS |
For the | For the | |||||||
Year Ended | Year Ended | |||||||
June 30, 2021 | June 30, 2020 | |||||||
FROM OPERATIONS | ||||||||
Net investment loss | $ | (151,683 | ) | $ | (156,420 | ) | ||
Net realized gain (loss) from security transactions | 7,205,359 | (6,454,087 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 521,283 | (391,935 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 7,574,959 | (7,002,442 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
From return of capital: | ||||||||
Class A | — | (13,177 | ) | |||||
Class C | — | (8,834 | ) | |||||
Class I | — | (81,316 | ) | |||||
Total distributions paid: | ||||||||
Class A | — | (202,233 | ) | |||||
Class C | — | (135,579 | ) | |||||
Class I | — | (1,248,006 | ) | |||||
Net decrease in net assets resulting from distributions to shareholders | — | (1,689,145 | ) | |||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 186,011 | 1,623,635 | ||||||
Class C | 81,657 | 1,088,715 | ||||||
Class I | 2,843,619 | 9,776,571 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A | — | 201,896 | ||||||
Class C | — | 124,780 | ||||||
Class I | — | 1,277,154 | ||||||
Payments for shares redeemed: | ||||||||
Class A | (584,650 | ) | (5,193,799 | ) | ||||
Class C | (2,012,695 | ) | (1,974,214 | ) | ||||
Class I | (9,631,157 | ) | (32,218,169 | ) | ||||
Net decrease in net assets resulting from shares of beneficial interest | (9,117,215 | ) | (25,293,431 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (1,542,256 | ) | (33,985,018 | ) | ||||
NET ASSETS | ||||||||
Beginning of Year | 17,646,446 | 51,631,464 | ||||||
End of Year | $ | 16,104,190 | $ | 17,646,446 | ||||
SHARE ACTIVITY | ||||||||
Class A: | ||||||||
Shares Sold | 16,087 | 155,591 | ||||||
Shares Reinvested | — | 19,716 | ||||||
Shares Redeemed | (59,078 | ) | (546,483 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (42,991 | ) | (371,176 | ) | ||||
Class C: | ||||||||
Shares Sold | 8,304 | 113,079 | ||||||
Shares Reinvested | — | 12,478 | ||||||
Shares Redeemed | (201,280 | ) | (207,055 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (192,976 | ) | (81,498 | ) | ||||
Class I: | ||||||||
Shares Sold | 256,839 | 947,864 | ||||||
Shares Reinvested | — | 124,116 | ||||||
Shares Redeemed | (989,020 | ) | (3,314,616 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (732,181 | ) | (2,242,636 | ) |
See accompanying notes to financial statements.
Donoghue Forlines Tactical Allocation Fund |
STATEMENT OF CHANGES IN NET ASSETS |
For the | For the | |||||||
Year Ended | Year Ended | |||||||
June 30, 2021 | June 30, 2020 | |||||||
FROM OPERATIONS | ||||||||
Net investment income | $ | 475,595 | $ | 1,371,478 | ||||
Net realized gain (loss) from security transactions | 7,403,642 | (4,922,381 | ) | |||||
Net change in unrealized appreciation (depreciation) on investments | 5,652,191 | (4,314,719 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 13,531,428 | (7,865,622 | ) | |||||
DISTRIBUTIONS TO SHAREHOLDERS | ||||||||
Total distributions paid: | ||||||||
Class A | (98,652 | ) | (159,619 | ) | ||||
Class C | (1,903 | ) | (2,955 | ) | ||||
Class I | (448,403 | ) | (1,236,604 | ) | ||||
Net decrease in net assets resulting from distributions to shareholders | (548,958 | ) | (1,399,178 | ) | ||||
FROM SHARES OF BENEFICIAL INTEREST | ||||||||
Proceeds from shares sold: | ||||||||
Class A | 2,320,960 | 3,691,906 | ||||||
Class C | 245,988 | 207,688 | ||||||
Class I | 3,645,815 | 17,156,071 | ||||||
Net asset value of shares issued in reinvestment of distributions: | ||||||||
Class A | 96,382 | 156,587 | ||||||
Class C | 1,899 | 2,933 | ||||||
Class I | 411,289 | 976,666 | ||||||
Payments for shares redeemed: | ||||||||
Class A | (5,199,061 | ) | (3,955,908 | ) | ||||
Class C | (166,267 | ) | (424,130 | ) | ||||
Class I | (40,045,840 | ) | (41,427,318 | ) | ||||
Net decrease in net assets resulting from shares of beneficial interest | (38,688,835 | ) | (23,615,505 | ) | ||||
TOTAL DECREASE IN NET ASSETS | (25,706,365 | ) | (32,880,305 | ) | ||||
NET ASSETS | ||||||||
Beginning of Year | 84,606,313 | 117,486,618 | ||||||
End of Year | $ | 58,899,948 | $ | 84,606,313 | ||||
SHARE ACTIVITY | ||||||||
Class A: | ||||||||
Shares Sold | 232,826 | 396,951 | ||||||
Shares Reinvested | 9,255 | 15,568 | ||||||
Shares Redeemed | (534,144 | ) | (450,404 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (292,063 | ) | (37,885 | ) | ||||
�� | ||||||||
Class C: | ||||||||
Shares Sold | 26,104 | 21,629 | ||||||
Shares Reinvested | 190 | 287 | ||||||
Shares Redeemed | (16,338 | ) | (43,574 | ) | ||||
Net increase (decrease) in shares of beneficial interest outstanding | 9,956 | (21,658 | ) | |||||
Class I: | ||||||||
Shares Sold | 370,489 | 1,747,909 | ||||||
Shares Reinvested | 40,062 | 100,582 | ||||||
Shares Redeemed | (4,089,982 | ) | (4,426,385 | ) | ||||
Net decrease in shares of beneficial interest outstanding | (3,679,431 | ) | (2,577,894 | ) |
See accompanying notes to financial statements.
Donoghue Forlines Tactical Income Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |
Class A | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.22 | $ | 9.94 | $ | 9.70 | $ | 10.05 | $ | 9.85 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.11 | 0.15 | 0.28 | 0.27 | 0.26 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.57 | (0.72 | ) | 0.22 | (0.34 | ) | 0.21 | |||||||||||||
Total from investment operations | 0.68 | (0.57 | ) | 0.50 | (0.07 | ) | 0.47 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.12 | ) | (0.15 | ) | (0.26 | ) | (0.28 | ) | (0.27 | ) | ||||||||||
Total distributions | (0.12 | ) | (0.15 | ) | (0.26 | ) | (0.28 | ) | (0.27 | ) | ||||||||||
Net asset value, end of year | $ | 9.78 | $ | 9.22 | $ | 9.94 | $ | 9.70 | $ | 10.05 | ||||||||||
Total return (2) | 7.37 | % | (5.82 | )% | 5.24 | % | (0.72 | )% | 4.78 | % | ||||||||||
Net assets, at end of year (000s) | $ | 5,422 | $ | 7,266 | $ | 13,910 | $ | 26,645 | $ | 33,484 | ||||||||||
Ratio of expenses to average net assets (3) | 1.70 | % | 1.61 | % | 1.54 | % | 1.54 | % | 1.52 | % | ||||||||||
Ratio of net investment income to average net assets (3,4) | 1.18 | % | 1.55 | % | 2.87 | % | 2.74 | % | 2.62 | % | ||||||||||
Portfolio Turnover Rate | 205 | % | 221 | % | 175 | % | 274 | % | 253 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(2) | Total returns are historical in nature and exclude the effect of applicable sales charges and assumes reinvestment of dividends and capital gain distributions. |
(3) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Tactical Income Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |
Class C | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.13 | $ | 9.83 | $ | 9.60 | $ | 9.95 | $ | 9.78 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.04 | 0.06 | 0.20 | 0.19 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.55 | (0.69 | ) | 0.22 | (0.33 | ) | 0.19 | |||||||||||||
Total from investment operations | 0.59 | (0.63 | ) | 0.42 | (0.14 | ) | 0.38 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.01 | ) | (0.07 | ) | (0.19 | ) | (0.21 | ) | (0.21 | ) | ||||||||||
Total distributions | (0.01 | ) | (0.07 | ) | (0.19 | ) | (0.21 | ) | (0.21 | ) | ||||||||||
Net asset value, end of year | $ | 9.71 | $ | 9.13 | $ | 9.83 | $ | 9.60 | $ | 9.95 | ||||||||||
Total return (2) | 6.47 | % | (6.50 | )% | 4.47 | % | (1.41 | )% | 3.93 | % | ||||||||||
Net assets, at end of year (000s) | $ | 1,384 | $ | 3,416 | $ | 3,493 | $ | 4,861 | $ | 3,913 | ||||||||||
Ratio of expenses to average net assets (3) | 2.45 | % | 2.36 | % | 2.29 | % | 2.29 | % | 2.27 | % | ||||||||||
Ratio of net investment income to average net assets (3,4) | 0.39 | % | 0.64 | % | 2.10 | % | 1.95 | % | 1.92 | % | ||||||||||
Portfolio Turnover Rate | 205 | % | 221 | % | 175 | % | 274 | % | 253 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(2) | Total returns are historical in nature and exclude the effect of applicable sales charges and assumes reinvestment of dividends and capital gain distributions. |
(3) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Tactical Income Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |
Class I | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.20 | $ | 9.93 | $ | 9.71 | $ | 10.06 | $ | 9.85 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.14 | 0.18 | 0.30 | 0.30 | 0.29 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.55 | (0.72 | ) | 0.23 | (0.34 | ) | 0.21 | |||||||||||||
Total from investment operations | 0.69 | (0.54 | ) | 0.53 | (0.04 | ) | 0.50 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.15 | ) | (0.19 | ) | (0.31 | ) | (0.31 | ) | (0.29 | ) | ||||||||||
Total distributions | (0.15 | ) | (0.19 | ) | (0.31 | ) | (0.31 | ) | (0.29 | ) | ||||||||||
Net asset value, end of year | $ | 9.74 | $ | 9.20 | $ | 9.93 | $ | 9.71 | $ | 10.06 | ||||||||||
Total return (2) | 7.50 | % | (5.54 | )% | 5.56 | % | (0.47 | )% | 5.07 | % | ||||||||||
Net assets, at end of year (000s) | $ | 54,631 | $ | 77,885 | $ | 135,463 | $ | 133,392 | $ | 171,214 | ||||||||||
Ratio of expenses to average net assets (3) | 1.45 | % | 1.36 | % | 1.29 | % | 1.29 | % | 1.27 | % | ||||||||||
Ratio of net investment income to average net assets (3,4) | 1.43 | % | 1.80 | % | 3.03 | % | 3.01 | % | 2.89 | % | ||||||||||
Portfolio Turnover Rate | 205 | % | 221 | % | 175 | % | 274 | % | 253 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(2) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(3) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(4) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Dividend Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |
Class A | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of year | $ | 7.01 | $ | 8.43 | $ | 11.60 | $ | 11.75 | $ | 10.94 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.13 | 0.13 | 0.20 | 0.28 | 0.29 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.35 | (1.41 | ) | (0.79 | ) | (0.07 | ) | 0.79 | ||||||||||||
Total from investment operations | 2.48 | (1.28 | ) | (0.59 | ) | 0.21 | 1.08 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.34 | ) | (0.14 | ) | (0.18 | ) | (0.27 | ) | (0.27 | ) | ||||||||||
Net realized gains | — | — | (2.40 | ) | (0.09 | ) | — | |||||||||||||
Total distributions | (0.34 | ) | (0.14 | ) | (2.58 | ) | (0.36 | ) | (0.27 | ) | ||||||||||
Paid-in-Capital From Redemption Fees (1) | — | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | |||||||||||
Net asset value, end of year | $ | 9.15 | $ | 7.01 | $ | 8.43 | $ | 11.60 | $ | 11.75 | ||||||||||
Total return (3) | 36.34 | % | (15.48 | )% | (5.82 | )% | 1.65 | % | 9.94 | % | ||||||||||
Net assets, at end of year (000s) | $ | 14,488 | $ | 17,009 | $ | 56,578 | $ | 124,630 | $ | 276,098 | ||||||||||
Ratio of expenses to average net assets (4) | 1.83 | % | 1.66 | % | 1.52 | % | 1.43 | % | 1.45 | % | ||||||||||
Ratio of net investment income to average net assets (4,5) | 1.65 | % | 1.70 | % | 1.97 | % | 2.27 | % | 2.49 | % | ||||||||||
Portfolio Turnover Rate | 309 | % | 253 | % | 319 | % | 265 | % | 56 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(2) | Amount is less than $0.01. |
(3) | Total returns are historical in nature and exclude the effect of applicable sales charges and assumes reinvestment of dividends and capital gain distributions. |
(4) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(5) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Dividend Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |
Class C | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of year | $ | 6.94 | $ | 8.38 | $ | 11.51 | $ | 11.67 | $ | 10.88 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.07 | 0.07 | 0.12 | 0.18 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.33 | (1.41 | ) | (0.77 | ) | (0.07 | ) | 0.78 | ||||||||||||
Total from investment operations | 2.40 | (1.34 | ) | (0.65 | ) | 0.11 | 0.98 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.26 | ) | (0.10 | ) | (0.08 | ) | (0.18 | ) | (0.19 | ) | ||||||||||
Net realized gains | — | — | (2.40 | ) | (0.09 | ) | — | |||||||||||||
Total distributions | (0.26 | ) | (0.10 | ) | (2.48 | ) | (0.27 | ) | (0.19 | ) | ||||||||||
Paid-in-Capital From Redemption Fees (1) | — | — | — | 0.00 | (2) | 0.00 | (2) | |||||||||||||
Net asset value, end of year | $ | 9.08 | $ | 6.94 | $ | 8.38 | $ | 11.51 | $ | 11.67 | ||||||||||
Total return (3) | 35.42 | % | (16.15 | )% | (6.43 | )% | 0.85 | % (4) | 9.07 | % | ||||||||||
Net assets, at end of year (000s) | $ | 9,174 | $ | 12,788 | $ | 32,900 | $ | 52,777 | $ | 53,076 | ||||||||||
Ratio of expenses to average net assets (5) | 2.58 | % | 2.41 | % | 2.27 | % | 2.18 | % | 2.20 | % | ||||||||||
Ratio of net investment income to average net assets (5) (6) | 0.89 | % | 0.96 | % | 1.20 | % | 1.52 | % | 1.73 | % | ||||||||||
Portfolio Turnover Rate | 309 | % | 253 | % | 319 | % | 265 | % | 56 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(2) | Amount is less than $0.01. |
(3) | Total returns are historical in nature and exclude the effect of applicable sales charges and assumes reinvestment of dividends and capital gain distributions. |
(4) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(5) | The ratios of expenses and net investment income (loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(6) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Dividend Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |
Class I | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||
Net asset value, beginning of year | $ | 6.99 | $ | 8.39 | $ | 11.60 | $ | 11.76 | $ | 10.95 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (1) | 0.15 | 0.15 | 0.22 | 0.31 | 0.32 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.34 | (1.40 | ) | (0.78 | ) | (0.08 | ) | 0.79 | ||||||||||||
Total from investment operations | 2.49 | (1.25 | ) | (0.56 | ) | 0.23 | 1.11 | |||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | (0.37 | ) | (0.15 | ) | (0.25 | ) | (0.30 | ) | (0.30 | ) | ||||||||||
Net realized gains | — | — | (2.40 | ) | (0.09 | ) | — | |||||||||||||
Total distributions | (0.37 | ) | (0.15 | ) | (2.65 | ) | (0.39 | ) | (0.30 | ) | ||||||||||
Paid-in-Capital From Redemption Fees (1) | — | — | 0.00 | (2) | 0.00 | (2) | 0.00 | (2) | ||||||||||||
Net asset value, end of year | $ | 9.11 | $ | 6.99 | $ | 8.39 | $ | 11.60 | $ | 11.76 | ||||||||||
Total return (3) | 36.60 | % | (15.19 | )% | (5.53 | )% | 1.84 | % (4) | 10.19 | % | ||||||||||
Net assets, at end of year (000s) | $ | 24,408 | $ | 28,164 | $ | 205,128 | $ | 567,854 | $ | 434,322 | ||||||||||
Ratio of expenses to average net assets (5) | 1.58 | % | 1.41 | % | 1.27 | % | 1.18 | % | 1.20 | % | ||||||||||
Ratio of net investment income to average net assets (5,6) | 1.89 | % | 1.95 | % | 2.20 | % | 2.51 | % | 2.71 | % | ||||||||||
Portfolio Turnover Rate | 309 | % | 253 | % | 319 | % | 265 | % | 56 | % | ||||||||||
(1) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(2) | Amount is less than $0.01. |
(3) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(4) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(5) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the |
(6) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Risk Managed Income Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |
Class A | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
June 30, | June 30, | June 30, | June 30, | |||||||||||||
2021 | 2020 | 2019 | 2018 (1) | |||||||||||||
Net asset value, beginning of period/year | $ | 9.53 | $ | 9.93 | $ | 9.88 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment income (2) | 0.25 | 0.30 | 0.33 | 0.12 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.63 | (0.51 | ) | 0.02 | (0.10 | ) | ||||||||||
Total from investment operations | 0.88 | (0.21 | ) | 0.35 | 0.02 | |||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (0.27 | ) | (0.19 | ) | (0.30 | ) | (0.14 | ) | ||||||||
Total distributions | (0.27 | ) | (0.19 | ) | (0.30 | ) | (0.14 | ) | ||||||||
Paid-in-Capital From Redemption Fees (2) | — | — | — | 0.00 | (3) | |||||||||||
Net asset value, end of period/year | $ | 10.14 | $ | 9.53 | $ | 9.93 | $ | 9.88 | ||||||||
Total return (4) | 9.25 | % | (2.14 | )% | 3.61 | % | 0.17 | % (5) | ||||||||
Net assets, at end of period/year (000s) | $ | 106 | $ | 97 | $ | 265 | $ | 46 | ||||||||
Ratio of expenses to average net assets before fee waivers/recapture (8) | 1.41 | % | 1.40 | % | 1.33 | % | 2.38 | % (6) | ||||||||
Ratio of net expenses to average net assets (8) | 1.41 | % | 1.40 | % | 1.33 | % | 2.25 | % (6) | ||||||||
Ratio of net investment income to average net assets (7,8) | 2.50 | % | 3.00 | % | 3.27 | % | 2.31 | % (6) | ||||||||
Portfolio Turnover Rate | 148 | % | 412 | % | 209 | % | 9 | % (5) | ||||||||
(1) | The Fund commenced operations December 27, 2017. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Amount is less than $0.01. |
(4) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(8) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Risk Managed Income Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |
Class C | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
June 30, | June 30, | June 30, | June 30, | |||||||||||||
2021 | 2020 | 2019 | 2018 (1) | |||||||||||||
Net asset value, beginning of period/year | $ | 9.42 | $ | 9.86 | $ | 9.79 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment income (2) | 0.18 | 0.15 | 0.25 | 0.07 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.61 | (0.44 | ) | 0.08 | (0.08 | ) | ||||||||||
Total from investment operations | 0.79 | (0.29 | ) | 0.33 | (0.01 | ) | ||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (0.17 | ) | (0.15 | ) | (0.26 | ) | (0.20 | ) | ||||||||
Total distributions | (0.17 | ) | (0.15 | ) | (0.26 | ) | (0.20 | ) | ||||||||
Net asset value, end of period/year | $ | 10.04 | $ | 9.42 | $ | 9.86 | $ | 9.79 | ||||||||
Total return (3) | 8.58 | % (9) | (2.94 | )% | 3.36 | % | (0.11 | )% (4) | ||||||||
Net assets, at end of period/year (000s) | $ | 722 | $ | 531 | $ | 398 | $ | 100 | (5) | |||||||
Ratio of expenses to average net assets before fee waivers/recapture (8) | 2.16 | % | 2.15 | % | 2.08 | % | 3.13 | % (6) | ||||||||
Ratio of net expenses to average net assets (8) | 2.16 | % | 2.15 | % | 2.08 | % | 3.00 | % (6) | ||||||||
Ratio of net investment income to average net assets (7,8) | 1.77 | % | 1.57 | % | 2.55 | % | 1.33 | % (6) | ||||||||
Portfolio Turnover Rate | 148 | % | 412 | % | 209 | % | 9 | % (4) | ||||||||
(1) | The Fund commenced operations December 27, 2017. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(4) | Not annualized. |
(5) | Not in 000’s. |
(6) | Annualized. |
(7) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(8) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(9) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
See accompanying notes to financial statements.
Donoghue Forlines Risk Managed Income Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |
Class I | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
June 30, | June 30, | June 30, | June 30, | |||||||||||||
2021 | 2020 | 2019 | 2018 (1) | |||||||||||||
Net asset value, beginning of period/year | $ | 9.51 | $ | 9.97 | $ | 9.92 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment income (2) | 0.28 | 0.27 | 0.34 | 0.17 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.63 | (0.46 | ) | 0.05 | (0.10 | ) | ||||||||||
Total from investment operations | 0.91 | (0.19 | ) | 0.39 | 0.07 | |||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (0.30 | ) | (0.27 | ) | (0.34 | ) | (0.15 | ) | ||||||||
Total distributions | (0.30 | ) | (0.27 | ) | (0.34 | ) | (0.15 | ) | ||||||||
Paid-in-Capital From Redemption Fees (2) | — | — | 0.00 | (3) | 0.00 | (3) | ||||||||||
Net asset value, end of period/year | $ | 10.12 | $ | 9.51 | $ | 9.97 | $ | 9.92 | ||||||||
Total return (4) | 9.61 | % | (1.93 | )% | 3.93 | % | 0.66 | % (5) | ||||||||
Net assets, at end of period/year (000s) | $ | 63,391 | $ | 56,331 | $ | 79,514 | $ | 72,373 | ||||||||
Ratio of expenses to average net assets before fee waivers (8) | 1.16 | % | 1.15 | % | 1.08 | % | 1.15 | % (6) | ||||||||
Ratio of net expenses to average net assets (8) | 1.16 | % | 1.15 | % | 1.08 | % | 1.13 | % (6) | ||||||||
Ratio of net investment income to average net assets (7,8) | 2.76 | % | 2.79 | % | 3.41 | % | 3.40 | % (6) | ||||||||
Portfolio Turnover Rate | 148 | % | 412 | % | 209 | % | 9 | % (5) | ||||||||
(1) | The Fund commenced operations December 27, 2017. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Amount is less than $0.01. |
(4) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(8) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Momentum Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |
Class A | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 (1) | ||||||||||||||||
Net asset value, beginning of period/year | $ | 7.76 | $ | 10.38 | $ | 10.63 | $ | 10.20 | $ | 10.00 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (loss) (2) | (0.10 | ) | (0.06 | ) | 0.00 | (3) | (0.01 | ) | (0.04 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 4.66 | (2.11 | ) | 0.33 | 0.94 | 0.25 | ||||||||||||||
Total from investment operations | 4.56 | (2.17 | ) | 0.33 | 0.93 | 0.21 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | — | (0.01 | ) | — | (0.01 | ) | |||||||||||||
Net realized gains | — | (0.45 | ) | (0.57 | ) | (0.50 | ) | — | ||||||||||||
Return of capital | — | (0.00 | ) (3) | — | — | — | ||||||||||||||
Total distributions | — | (0.45 | ) | (0.58 | ) | (0.50 | ) | (0.01 | ) | |||||||||||
Paid-in-Capital From Redemption Fees (2) | — | — | 0.00 | (3) | 0.00 | (3) | 0.00 | (3) | ||||||||||||
Net asset value, end of period/year | $ | 12.32 | $ | 7.76 | $ | 10.38 | $ | 10.63 | $ | 10.20 | ||||||||||
Total return (4) | 58.76 | % | (21.99 | )% | 3.36 | % | 8.99 | % (5) | 2.14 | % (6) | ||||||||||
Net assets, at end of period/year (000s) | $ | 1,555 | $ | 1,314 | $ | 5,610 | $ | 3,420 | $ | 185 | ||||||||||
Ratio of expenses to average net assets before fee waivers/recapture (10) | 2.46 | % | 1.97 | % | 1.76 | % | 1.86 | % | 2.37 | % (7) | ||||||||||
Ratio of net expenses after waiver/recapture to average net assets (10) | 2.25 | % | 1.97 | % | 1.76 | % | 1.91 | % (8) | 2.25 | % (7) | ||||||||||
Ratio of net investment income (loss) to average net assets (9,10) | (0.98 | )% | (0.56 | )% | 0.03 | % | (0.09 | )% | (0.68 | )% (7) | ||||||||||
Portfolio Turnover Rate | 400 | % | 428 | % | 571 | % | 484 | % | 240 | % (6) | ||||||||||
(1) | The Fund commenced operations December 23, 2016. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Amount is less than $0.01. |
(4) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(5) | For the period ended June 30, 2018, 0.31% of the Fund’s total return consisted of a reimbursement by a related party. Excluding this item, total return would have been 8.68%. |
(6) | Not annualized. |
(7) | Annualized. |
(8) | Represents the ratio of expenses to average net assets inclusive of the Advisor’s recapture of waived/reimbursed fees from prior periods. |
(9) | Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(10) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Momentum Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |
Class C | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 (1) | ||||||||||||||||
Net asset value, beginning of period/year | $ | 7.55 | $ | 10.19 | $ | 10.51 | $ | 10.17 | $ | 10.00 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment loss (2) | (0.17 | ) | (0.13 | ) | (0.07 | ) | (0.09 | ) | (0.06 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 4.52 | (2.06 | ) | 0.32 | 0.93 | 0.24 | ||||||||||||||
Total from investment operations | 4.35 | (2.19 | ) | 0.25 | 0.84 | 0.18 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | — | — | — | (0.01 | ) | ||||||||||||||
Net realized gains | — | (0.45 | ) | (0.57 | ) | (0.50 | ) | — | ||||||||||||
Return of capital | — | (0.00 | ) (3) | — | — | — | ||||||||||||||
Total distributions | — | (0.45 | ) | (0.57 | ) | (0.50 | ) | (0.01 | ) | |||||||||||
Paid-in-Capital From Redemption Fees (2) | — | — | — | 0.00 | (3) | 0.00 | (3) | |||||||||||||
Net asset value, end of period/year | $ | 11.90 | $ | 7.55 | $ | 10.19 | $ | 10.51 | $ | 10.17 | ||||||||||
Total return (4) | 57.62 | % | (22.61 | )% | 2.64 | % | 8.11 | % (5,6) | 1.84 | % (7) | ||||||||||
Net assets, at end of period/year (000s) | $ | 1,205 | $ | 2,223 | $ | 3,828 | $ | 1,845 | $ | 532 | ||||||||||
Ratio of expenses to average net assets before fee waivers (10) | 3.21 | % | 2.72 | % | 2.51 | % | 2.66 | % | 3.00 | % (8) | ||||||||||
Ratio of net expenses after waiver to average net assets (10) | 3.00 | % | 2.72 | % | 2.51 | % | 2.66 | % | 3.00 | % (8) | ||||||||||
Ratio of net investment loss to average net assets (9,10) | (1.76 | )% | (1.35 | )% | (0.71 | )% | (0.89 | )% | (1.25 | )% (8) | ||||||||||
Portfolio Turnover Rate | 400 | % | 428 | % | 571 | % | 484 | % | 240 | % (7) | ||||||||||
(1) | The Fund commenced operations December 23, 2016. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Amount is less than $0.01. |
(4) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(5) | For the period ended June 30, 2018, 0.31% of the Fund’s total return consisted of a reimbursement by a related party. Excluding this item, total return would have been 7.80%. |
(6) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(7) | Not annualized. |
(8) | Annualized. |
(9) | Recognition of net investment loss by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(10) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Momentum Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Period/Year |
Class I | ||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Period Ended | ||||||||||||||||
June 30, | June 30, | June 30, | June 30, | June 30, | ||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 (1) | ||||||||||||||||
Net asset value, beginning of period/year | $ | 7.82 | $ | 10.42 | $ | 10.67 | $ | 10.21 | $ | 10.00 | ||||||||||
Activity from investment operations: | ||||||||||||||||||||
Net investment income (loss) (2) | (0.07 | ) | (0.03 | ) | 0.03 | 0.00 | (3) | 0.02 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 4.69 | (2.12 | ) | 0.32 | 0.96 | 0.21 | ||||||||||||||
Total from investment operations | 4.62 | (2.15 | ) | 0.35 | 0.96 | 0.23 | ||||||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | — | (0.03 | ) | (0.00 | ) (3) | (0.02 | ) | ||||||||||||
Net realized gains | — | (0.45 | ) | (0.57 | ) | (0.50 | ) | — | ||||||||||||
Return of capital | — | (0.00 | ) (3) | — | — | — | ||||||||||||||
Total distributions | — | (0.45 | ) | (0.60 | ) | (0.50 | ) | (0.02 | ) | |||||||||||
Paid-in-Capital From Redemption Fees (2) | — | — | — | 0.00 | (3) | 0.00 | (3) | |||||||||||||
Net asset value, end of period/year | $ | 12.44 | $ | 7.82 | $ | 10.42 | $ | 10.67 | $ | 10.21 | ||||||||||
Total return (4) | 59.08 | % | (21.70 | )% | 3.53 | % | 9.30 | % (5) | 2.28 | % (6) | ||||||||||
Net assets, at end of period/year (000s) | $ | 13,344 | $ | 14,110 | $ | 42,194 | $ | 32,927 | $ | 32,497 | ||||||||||
Ratio of expenses to average net assets before fee waivers/recapture (10) | 2.21 | % | 1.72 | % | 1.51 | % | 1.62 | % | 2.12 | % (7) | ||||||||||
Ratio of net expenses after waiver/recapture to average net assets (10) | 2.00 | % | 1.72 | % | 1.51 | % | 1.66 | % (8) | 2.00 | % (7) | ||||||||||
Ratio of net investment income (loss)to average net assets (9,10) | (0.74 | )% | (0.31 | )% | 0.28 | % | 0.04 | % | 0.29 | % (7) | ||||||||||
Portfolio Turnover Rate | 400 | % | 428 | % | 571 | % | 484 | % | 240 | % (6) | ||||||||||
(1) | The Fund commenced operations December 23, 2016. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Amount is less than $0.01. |
(4) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(5) | For the period ended June 30, 2018, 0.30% of the Fund’s total return consisted of a reimbursement by a related party. Excluding this item, total return would have been 9.00%. |
(6) | Not annualized. |
(7) | Annualized. |
(8) | Represents the ratio of expenses to average net assets inclusive of the Advisor’s recapture of waived/reimbursed fees from prior periods. |
(9) | Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(10) | The ratios of expenses and net investment income/(loss) to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Tactical Allocation Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |
Class A | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
June 30, | June 30, | June 30, | June 30, | |||||||||||||
2021 | 2020 | 2019 | 2018 (1) | |||||||||||||
Net asset value, beginning of period/year | $ | 9.06 | $ | 9.80 | $ | 9.88 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment income (2) | 0.07 | 0.11 | 0.19 | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.86 | (0.76 | ) | (0.10 | ) | (0.10 | ) | |||||||||
Total from investment operations | 1.93 | (0.65 | ) | 0.09 | (0.09 | ) | ||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (0.07 | ) | (0.09 | ) | (0.17 | ) | (0.03 | ) | ||||||||
Total distributions | (0.07 | ) | (0.09 | ) | (0.17 | ) | (0.03 | ) | ||||||||
Paid-in-Capital From Redemption Fees (2) | — | — | — | 0.00 | (3) | |||||||||||
Net asset value, end of period/year | $ | 10.92 | $ | 9.06 | $ | 9.80 | $ | 9.88 | ||||||||
Total return (4) | 21.34 | % | (6.73 | )% | 0.95 | % | (0.85 | )% (5) | ||||||||
Net assets, at end of period/year (000s) | $ | 15,277 | $ | 15,318 | $ | 16,944 | $ | 12,060 | ||||||||
Ratio of expenses to average net assets before Advisory fee waiver/recapture (6) | 1.46 | % | 1.32 | % | 1.32 | % | 1.71 | % (7) | ||||||||
Ratio of net expenses to average net assets (6) | 1.45 | % | 1.32 | % | 1.34 | % | 1.45 | % (7) | ||||||||
Ratio of net investment income to average net assets (6,8) | 0.64 | % | 1.10 | % | 1.95 | % | 3.56 | % (7) | ||||||||
Portfolio Turnover Rate | 150 | % | 294 | % | 210 | % | 11 | % (5) | ||||||||
(1) | The Fund commenced operations April 6, 2018. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Amount is less than $0.01. |
(4) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(5) | Not annualized. |
(6) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(7) | Annualized. |
(8) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Tactical Allocation Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |
Class C | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
June 30, | June 30, | June 30, | June 30, | |||||||||||||
2021 | 2020 | 2019 | 2018 (1) | |||||||||||||
Net asset value, beginning of period/year | $ | 9.02 | $ | 9.79 | $ | 9.86 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment income (loss) (2) | (0.01 | ) | 0.03 | 0.11 | 0.06 | |||||||||||
Net realized and unrealized gain (loss) on investments | 1.86 | (0.75 | ) | (0.09 | ) | (0.17 | ) | |||||||||
Total from investment operations | 1.85 | (0.72 | ) | 0.02 | (0.11 | ) | ||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (0.02 | ) | (0.05 | ) | (0.09 | ) | (0.03 | ) | ||||||||
Total distributions | (0.02 | ) | (0.05 | ) | (0.09 | ) | (0.03 | ) | ||||||||
Paid-in-Capital From Redemption Fees (2) | — | — | — | 0.00 | (3) | |||||||||||
Net asset value, end of period/year | $ | 10.85 | $ | 9.02 | $ | 9.79 | $ | 9.86 | ||||||||
Total return (4) | 20.54 | % | (7.46 | )% | 0.26 | % | (1.14 | )% (5) | ||||||||
Net assets, at end of period/year (000s) | $ | 886 | $ | 647 | $ | 915 | $ | 600 | ||||||||
Ratio of expenses to average net assets before Advisory fee waiver/recapture (6) | 2.21 | % | 2.07 | % | 2.07 | % | 2.46 | % (7) | ||||||||
Ratio of net expenses to average net assets (6) | 2.20 | % | 2.07 | % | 2.09 | % | 2.20 | % (7) | ||||||||
Ratio of net investment income (loss)to average net assets (6,8) | (0.05 | )% | 0.26 | % | 1.18 | % | 2.53 | % (7) | ||||||||
Portfolio Turnover Rate | 150 | % | 294 | % | 210 | % | 11 | % (5) | ||||||||
(1) | The Fund commenced operations April 6, 2018. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Amount is less than $0.01. |
(4) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(5) | Not annualized. |
(6) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(7) | Annualized. |
(8) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Tactical Allocation Fund |
FINANCIAL HIGHLIGHTS |
Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout each Period/Year |
Class I | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Period Ended | |||||||||||||
June 30, | June 30, | June 30, | June 30, | |||||||||||||
2021 | 2020 | 2019 | 2018 (1) | |||||||||||||
Net asset value, beginning of period/year | $ | 9.02 | $ | 9.78 | $ | 9.88 | $ | 10.00 | ||||||||
Activity from investment operations: | ||||||||||||||||
Net investment income (2) | 0.08 | 0.13 | 0.21 | 0.11 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.87 | (0.76 | ) | (0.09 | ) | (0.19 | ) | |||||||||
Total from investment operations | 1.95 | (0.63 | ) | 0.12 | (0.08 | ) | ||||||||||
Less distributions from: | ||||||||||||||||
Net investment income | (0.10 | ) | (0.13 | ) | (0.22 | ) | (0.04 | ) | ||||||||
Total distributions | (0.10 | ) | (0.13 | ) | (0.22 | ) | (0.04 | ) | ||||||||
Paid-in-Capital From Redemption Fees (2) | — | — | — | 0.00 | (3) | |||||||||||
Net asset value, end of period/year | $ | 10.87 | $ | 9.02 | $ | 9.78 | $ | 9.88 | ||||||||
Total return (4) | 21.63 | % | (6.52 | )% | 1.27 | % | (0.83 | )% (5) | ||||||||
Net assets, at end of period/year (000s) | $ | 42,736 | $ | 68,640 | $ | 99,627 | $ | 93,740 | ||||||||
Ratio of expenses to average net assets before Advisory fee waiver/recapture (6) | 1.21 | % | 1.07 | % | 1.07 | % | 1.46 | % (7) | ||||||||
Ratio of net expenses to average net assets (6) | 1.20 | % | 1.07 | % | 1.09 | % | 1.20 | % (7) | ||||||||
Ratio of net investment income to average net assets (6,8) | 0.83 | % | 1.35 | % | 2.20 | % | 4.36 | % (7) | ||||||||
Portfolio Turnover Rate | 150 | % | 294 | % | 210 | % | 11 | % (5) | ||||||||
(1) | The Fund commenced operations April 6, 2018. |
(2) | Per share amounts calculated using the average shares method, which appropriately presents the per share data for the period. |
(3) | Amount is less than $0.01. |
(4) | Total returns are historical in nature and assumes reinvestment of dividends and capital gain distributions. |
(5) | Not annualized. |
(6) | The ratios of expenses and net investment income to average net assets do not reflect the Fund’s proportionate share of income and expenses of underlying investment companies in which the Fund invests. |
(7) | Annualized. |
(8) | Recognition of net investment income by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
See accompanying notes to financial statements.
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS |
June 30, 2021 |
1. | ORGANIZATION |
The Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Risk Managed Income Fund, Donoghue Forlines Momentum Fund and Donoghue Forlines Tactical Allocation Fund (each a “Fund” and collectively the “Funds”) each 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. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Donoghue Forlines Tactical Income Fund Class A and Class I shares commenced operations on September 14, 2010. The Donoghue Forlines Dividend Fund Class A and Class I shares commenced operations on November 7, 2013. Class C shares of both the Donoghue Forlines Tactical Income Fund and Donoghue Forlines Dividend Fund commenced operations on November 25, 2014. Class A, Class C and Class I shares of the Donoghue Forlines Risk Managed Income Fund commenced operations on December 27, 2017. Class A, Class C and Class I shares of the Donoghue Forlines Momentum Fund commenced operations on December 23, 2016. The Donoghue Forlines Tactical Allocation Fund Class A, Class C and Class I shares commenced operations on April 6, 2018.
The Funds’ investment objectives are as follows:
Donoghue Forlines Tactical Income Fund – total return from income and capital appreciation with capital preservation as a secondary objective.
Donoghue Forlines Dividend Fund – total return from dividend income and capital appreciation. Capital preservation is a secondary objective of the Fund.
Donoghue Forlines Risk Managed Income Fund – total return from income and capital appreciation with capital preservation as a secondary objective.
Donoghue Forlines Momentum Fund – capital growth with a secondary objective of generating income.
Donoghue Forlines Tactical Allocation Fund – long-term capital appreciation.
Each Fund currently offers three classes of shares: Class A shares, Class C shares and Class I shares. Class A shares are offered at net asset value plus a maximum sales charge of 5.00%. Class C shares and Class I 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 and minimum investment amounts. 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. Class specific expenses are allocated to that share class.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies followed by the Funds in 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. Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies” including Accounting Standards Update 2013-08.
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. 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. Futures and future options are valued at the final settled price or, in the absence of a settled price, at the last sale price 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”)
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
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. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. The Fund may fair value a particular bond if the advisor does not believe that the round lot value provided by the independent pricing service reflects fair value of the Fund’s holding. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost.
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.
The Funds may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor. The committee may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as- needed basis to assist in determining a security-specific fair value. The Board has also engaged a third party valuation firm to attend valuation meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.
Fair Valuation Process – As noted above, the fair value committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor. The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source), (ii) securities for which, in the judgment of the advisor, the prices or values available do not represent the fair value of the instrument. Factors which may cause the advisor to make such a judgment include, but are not limited to, the following: only a bid price or an ask price is available; the spread between bid and ask prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to the Funds’ calculation of their 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 via inputs from the advisor based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the advisor is unable to obtain a current bid from such independent dealers or other independent parties, the fair value committee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Funds’ 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.
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
Each Fund utilizes 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 the Funds have 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 on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of June 30, 2021 for the Funds’ investments measured at fair value:
Donoghue Forlines Tactical Income Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 60,796,524 | $ | �� | $ | — | $ | 60,796,524 | ||||||||
Short-Term Investments | 724,331 | — | — | 724,331 | ||||||||||||
Collateral For Securities Loaned | 198,500 | — | — | 198,500 | ||||||||||||
Total | $ | 61,719,355 | $ | — | $ | — | $ | 61,719,355 | ||||||||
Donoghue Forlines Dividend Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 47,372,957 | $ | — | $ | — | $ | 47,372,957 | ||||||||
Short-Term Investments | 742,138 | — | — | 742,138 | ||||||||||||
Total | $ | 48,115,095 | $ | — | $ | — | $ | 48,115,095 | ||||||||
Donoghue Forlines Risk Managed Income Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 41,402,018 | $ | — | $ | — | $ | 41,402,018 | ||||||||
Open End Funds | 22,071,276 | — | — | 22,071,276 | ||||||||||||
Short-Term Investment | 802,748 | — | — | 802,748 | ||||||||||||
Collateral For Securities Loaned | 15,560,250 | — | — | 15,560,250 | ||||||||||||
Total | $ | 79,836,292 | $ | — | $ | — | $ | 79,836,292 | ||||||||
Donoghue Forlines Momentum Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 15,810,665 | $ | — | $ | — | $ | 15,810,665 | ||||||||
Short-Term Investment | 284,021 | — | — | 284,021 | ||||||||||||
Total | $ | 16,094,686 | $ | — | $ | — | $ | 16,094,686 |
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
Donoghue Forlines Tactical Allocation Fund | ||||||||||||||||
Assets * | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 58,482,740 | $ | — | $ | — | $ | 58,482,740 | ||||||||
Short-Term Investment | 485,288 | — | — | 485,288 | ||||||||||||
Total | $ | 58,968,028 | $ | — | $ | — | $ | 58,968,028 |
The Funds did not hold any Level 3 securities during the period.
* | Refer to the Portfolios of Investments for security or industry classifications. |
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. The accounting records are maintained in U.S. dollars.
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. ETFs trade like common stock and represent a fixed portfolio of securities. The Funds may purchase ETFs to gain exposure to a portion of the U.S. or a foreign market. The risks of owning ETFs generally reflect the risks of owning the underlying securities they are designed to track, although a potential lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
Exchange Traded Notes – The Funds may invest in exchange traded notes (“ETNs”). ETNs are a type of debt security that is linked to the performance of underlying securities. The risks of owning an ETN generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETN could result in it being more volatile. Additionally, ETNs have fees and expenses that reduce their value.
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 their 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 – The Funds intend to comply with the provisions of the Internal Revenue Code that are applicable to regulated investment companies and to distribute substantially all of their taxable income and net realized gains to shareholders. Therefore, no federal income tax provisions are 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 June 30, 2018 - 2020, or expected to be taken in the Funds’ June 30, 2021 tax returns. The Funds identify their major tax jurisdictions as U.S. federal and Ohio, and foreign jurisdictions where the Funds make significant investments. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.
Expenses – Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses which are not readily identifiable to a specific fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.
Indemnification – The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. 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
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
3. | INVESTMENT TRANSACTIONS |
For the year ended June 30, 2021, cost of purchases and proceeds from sales of portfolio securities, other than short-term investments were as follows:
Purchases | Sales | |||||||
Donoghue Forlines Tactical Income Fund | $ | 145,887,780 | $ | 172,942,364 | ||||
Donoghue Forlines Dividend Fund | 151,619,818 | 175,982,448 | ||||||
Donoghue Forlines Risk Managed Income Fund | 93,235,592 | 89,758,956 | ||||||
Donoghue Forlines Momentum Fund | 65,330,912 | 74,627,932 | ||||||
Donoghue Forlines Tactical Allocation Fund | 99,357,635 | 132,356,497 |
4. | INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES |
Donoghue Forlines LLC serves as the Funds’ investment advisor (the “Advisor”).
Pursuant to investment advisory agreements with the Trust on behalf of the Funds, the Advisor, under the oversight of the Board, directs the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Donoghue Tactical Income Fund, Donoghue Forlines Dividend Fund and Donoghue Forlines Momentum Fund pay the Advisor an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 1.00% of the respective Fund’s average daily net assets. As compensation for its services and the related expenses borne by the Advisor, the Donoghue Forlines Risk 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 Fund’s average daily net assets. As compensation for its services and the related expenses borne by the Advisor, Donoghue Forlines Tactical Allocation Fund pays the Advisor an investment advisory fee, computed and accrued daily and paid monthly, at an annual rate of 0.75% of the Fund’s average daily net assets. For the year ended June 30, 2021, the Advisor earned fees as follows:
Management Fee | ||||
Donoghue Forlines Tactical Income Fund | $ | 729,311 | ||
Donoghue Forlines Dividend Fund | 501,273 | |||
Donoghue Forlines Risk Managed Income Fund | 401,932 | |||
Donoghue Forlines Momentum Fund | 167,592 | |||
Donoghue Forlines Tactical Allocation Fund | 509,569 |
The Advisor has contractually agreed to waive all or part of its management fees and/or make payments to limit the expenses of the Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Risk Managed Income Fund and Donoghue Forlines Momentum Fund (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 Fund service providers (other than the Advisor))) at least until October 31, 2022, so that the total annual operating expenses do not exceed 2.25%, 3.00% and 2.00% of the average daily net assets of Class A, Class C and Class I shares, respectively, of each of the Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Donoghue Forlines Risk Managed Income Fund, and the Donoghue Forlines Momentum Fund. The total operating expenses do not exceed 1.45%, 2.20% and 1.20% of the average daily net assets of Class A, Class C and Class I shares, respectively, of the Donoghue Forlines Tactical Allocation Fund. 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 the reimbursement.
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
For the year ended June 30, 2021 Donoghue Forlines Momentum Fund, and the Donoghue Forlines Tactical Allocation Fund waived $35,648, and $6,690 respectively. The fees are subject to recapture. No other funds waived any fees.
During the year ended June 30, 2021 there were no advisory fees recaptured.
As of June 30, 2021, $35,648 and 6,690 are subject to recapture for the Donoghue Forlines Momentum Fund, and the Donoghue Forlines Tactical Allocation Fund respectively by June 30, 2024.
Distributor – The distributor of the Funds is Northern Lights Distributors, LLC (the “Distributor” or “NLD”). The Board has adopted, on behalf of the Funds, the Trust’s Master Distribution and Shareholder Servicing Plan (the “Plan”), as amended, pursuant to Rule 12b-1 under the Investment Company Act of 1940, to pay for certain distribution activities and shareholder services. Under the Plan, each Fund may pay 0.25% per year of the average daily net assets of Class A shares and 1.00% per year of the average daily net assets of Class C shares for such distribution and shareholder service activities. For the year ended June 30, 2021 the Funds incurred distribution fees as follows:
Class A | Class C | |||||||
Donoghue Forlines Tactical Income Fund | $ | 15,526 | $ | 28,789 | ||||
Donoghue Forlines Dividend Fund | 37,298 | 109,170 | ||||||
Donoghue Forlines Risk Managed Income Fund | 257 | 7,593 | ||||||
Donoghue Forlines Momentum Fund | 3,595 | 20,647 | ||||||
Donoghue Forlines Tactical Allocation Fund | 36,475 | 8,296 |
The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ Class A, Class C and Class I shares. During the year ended June 30, 2021 the Distributor received underwriter commissions as follows:
Amount | ||||||||
Underwriter | Retained By | |||||||
Commissions | Principal Underwriter | |||||||
Donoghue Forlines Tactical Income Fund | $ | 756 | $ | 112 | ||||
Donoghue Forlines Dividend Fund | 9,657 | 1,527 | ||||||
Donoghue Forlines Risk Managed Income Fund | — | — | ||||||
Donoghue Forlines Momentum Fund | 350 | 52 | ||||||
Donoghue Forlines Tactical Allocation Fund | 1,139 | 170 |
In addition, certain affiliates of the Distributor provide services to the Funds as follows:
Gemini Fund Services, LLC (“GFS”), an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with GFS, the Funds pay GFS customary fees for providing administration, fund accounting and transfer agency services to the Funds. Certain officers of the Trust are also officers of GFS, and are not paid any fees directly by the Funds for serving in such capacities.
Northern Lights Compliance Services, LLC (“NLCS”), an affiliate of GFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Funds.
Blu Giant, LLC (“Blu Giant”), an affiliate of GFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
5. | 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 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 is a summary of the Portfolios’ securities loaned and related collateral which are subject to a netting agreement as of June 30, 2021:
Gross Amounts Not Offset in the Statement of Assets & Liabilities * | ||||||||||||||||||||||||
Net Amounts of | ||||||||||||||||||||||||
Gross Amounts | Assets | |||||||||||||||||||||||
Offset in the | Presented in the | |||||||||||||||||||||||
Gross Amounts | Statements of | Statements of | Financial | Pledged | ||||||||||||||||||||
of Recognized | Assets & | Assets & | Instruments | Collateral | Net Amount of | |||||||||||||||||||
Assets: | Assets | Liabilities | Liabilities | Pledged | Received | Assets | ||||||||||||||||||
Donoghue Forlines Tactical Income Fund | ||||||||||||||||||||||||
Description: | ||||||||||||||||||||||||
Securities Loaned | $ | 198,500 | $ | — | $ | 198,500 | $ | 198,500 | $ | (198,500 | ) | $ | — | |||||||||||
Total | $ | 198,500 | $ | — | $ | 198,500 | $ | 198,500 | $ | (198,500 | ) | $ | — | |||||||||||
Donoghue Forlines Risk Managed Income Fund | ||||||||||||||||||||||||
Description: | ||||||||||||||||||||||||
Securities Loaned | $ | 15,560,250 | $ | — | $ | 15,560,250 | $ | 15,560,250 | $ | (15,560,250 | ) | $ | — | |||||||||||
Total | $ | 15,560,250 | $ | — | $ | 15,560,250 | $ | 15,560,250 | $ | (15,560,250 | ) | $ | — |
* | The amount is limited to the derivative asset balance and accordingly, does not include excess collateral pledged. |
The following table breaks out the holdings received as collateral as of June 30, 2021:
Securities Lending Transactions | ||||
Overnight and Continuous | ||||
Donoghue Forlines Tactical Income Fund | ||||
Fidelity Government Portfolio, Institutional Class | $ | 194,450 | ||
Donoghue Forlines Risk Managed Income Fund | ||||
Fidelity Government Portfolio, Institutional Class | $ | 15,211,850 |
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
The fair value of the securities loaned for Donoghue Forlines Tactical Income Fund and Donoghue Forlines Risk Managed Income Fund totaled $198,500 and $15,560,250 at June 30, 2021, respectively. The securities loaned are noted in the Portfolios of Investments. The fair value of the “Investments purchased for securities lending collateral” on the Portfolio of Investments includes only cash collateral received and reinvested that totaled $194,450, and $15,211,850 for the Donoghue Forlines Tactical Income Fund and Donoghue Forlines Risk Managed Income Fund at June 30, 2021, respectively. This amount is offset by a liability recorded as “Collateral on securities loaned.” At June 30, 2021, the Donoghue Forlines Tactical Income Fund and Donoghue Forlines Risk Managed Income Fund received non-cash collateral of $198,500, and $36,814,697, respectively. The non-cash collateral consists of short-term investments and long- term bonds and is held for benefit of a Portfolio at the Portfolio’s custodian. A Portfolio cannot pledge or resell the collateral.
6. | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of distributions paid during the fiscal years ended June 30, 2021 and June 30, 2020 was as follows:
For the period ended June 30, 2021 | ||||||||||||||||
Ordinary | Long-Term | Return of | ||||||||||||||
Fund | Income | Capital Gains | Capital | Total | ||||||||||||
Donoghue Forlines Tactical Income Fund | $ | 943,678 | $ | — | $ | — | $ | 943,678 | ||||||||
Donoghue Forlines Dividend Fund | 2,009,933 | — | — | 2,009,933 | ||||||||||||
Donoghue Forlines Risk Managed Income Fund | 1,798,951 | — | — | 1,798,951 | ||||||||||||
Donoghue Forlines Momentum Fund | — | — | — | — | ||||||||||||
Donoghue Forlines Tactical Allocation Fund | 548,958 | — | — | 548,958 | ||||||||||||
For the period ended June 30, 2020 | ||||||||||||||||
Ordinary | Long-Term | Return of | ||||||||||||||
Fund | Income | Capital Gains | Capital | Total | ||||||||||||
Donoghue Forlines Tactical Income Fund | $ | 2,348,348 | $ | — | $ | — | $ | 2,348,348 | ||||||||
Donoghue Forlines Dividend Fund | 2,529,643 | — | — | 2,529,643 | ||||||||||||
Donoghue Forlines Risk Managed Income Fund | 1,811,915 | — | — | 1,811,915 | ||||||||||||
Donoghue Forlines Momentum Fund | 1,585,818 | — | 103,327 | 1,689,145 | ||||||||||||
Donoghue Forlines Tactical Allocation Fund | 1,399,178 | — | — | 1,399,178 |
As of June 30, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed | Undistributed | Capital Loss | Other | Post October Loss | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | Carry | Book/Tax | and | Appreciation/ | Accumulated | ||||||||||||||||||||||
Fund | Income | Capital Gains | Forwards | Differences | Late Year Loss | (Depreciation) | Earnings/(Deficits) | |||||||||||||||||||||
Donoghue Forlines Tactical Income Fund | $ | 201,689 | $ | — | $ | (18,360,343 | ) | $ | — | $ | — | $ | 2,034,582 | $ | (16,124,072 | ) | ||||||||||||
Donoghue Forlines Dividend Fund | 310,590 | — | # | (121,240,202 | ) | — | — | 2,916,972 | (118,012,640 | ) | ||||||||||||||||||
Donoghue Forlines Risk Managed Income Fund | — | — | # | (842,043 | ) | — | — | 1,086,530 | 244,487 | |||||||||||||||||||
Donoghue Forlines Momentum Fund | — | — | (289,899 | ) | — | (79,143 | ) | 745,886 | 376,844 | |||||||||||||||||||
Donoghue Forlines Tactical Allocation Fund | — | — | (5,527,613 | ) | — | — | 5,766,405 | 238,792 |
The difference between book basis and tax basis undistributed net investment income, accumulated net realized gain/(loss), and unrealized appreciation from investments is primarily attributable to the tax deferral of losses on wash sales.
Late year losses incurred after December 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Donoghue Forlines Momentum Fund incurred and elected to defer such late year losses of $79,143.
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
At June 30, 2021, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains and capital losses utilized as follows:
Fund | Short-Term | Long-Term | Total | CLCF Utilized | ||||||||||||
Donoghue Forlines Tactical Income Fund | $ | 18,360,343 | $ | — | $ | 18,360,343 | $ | — | ||||||||
Donoghue Forlines Dividend Fund | 88,063,056 | 33,177,146 | 121,240,202 | — | ||||||||||||
Donoghue Forlines Risk Managed Income Fund | 26,091 | 815,952 | 842,043 | 547,273 | ||||||||||||
Donoghue Forlines Momentum Fund | 289,899 | — | 289,899 | — | ||||||||||||
Donoghue Forlines Tactical Allocation Fund | 5,527,613 | — | 5,527,613 | 1,335,540 |
Permanent book and tax differences, primarily attributable to the reclassification of Fund distributions, tax treatment of net operating losses and the tax adjustments for prior year tax returns resulted in reclassifications for the Funds for the fiscal year ended June 30, 2021 as follows:
Paid In | Accumulated | |||||||
Fund | Capital | Earnings (Losses) | ||||||
Donoghue Forlines Tactical Income Fund | $ | — | $ | — | ||||
Donoghue Forlines Dividend Fund | — | — | ||||||
Donoghue Forlines Risk Managed Income Fund | (56,732 | ) | 56,732 | |||||
Donoghue Forlines Momentum Fund | (154,412 | ) | 154,412 | |||||
Donoghue Forlines Tactical Allocation Fund | (78,396 | ) | 78,396 |
7. | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
Gross Unrealized | Gross Unrealized | Net Unrealized | ||||||||||||||
Fund | Tax Cost | Appreciation | Depreciation | Appreciation / Depreciation | ||||||||||||
Donoghue Forlines Tactical Income Fund | $ | 59,684,773 | $ | 2,113,533 | $ | (78,951 | ) | $ | 2,034,582 | |||||||
Donoghue Forlines Dividend Fund | 45,198,123 | 3,491,358 | (574,386 | ) | 2,916,972 | |||||||||||
Donoghue Forlines Risk Managed Income Fund | 78,749,762 | 1,097,273 | (10,743 | ) | 1,086,530 | |||||||||||
Donoghue Forlines Momentum Fund | 15,348,800 | 994,160 | (248,274 | ) | 745,886 | |||||||||||
Donoghue Forlines Tactical Allocation Fund | 53,201,623 | 5,877,769 | (111,364 | ) | 5,766,405 |
8. | INVESTMENTS IN UNDERLYING INVESTMENT COMPANIES |
The Donoghue Forlines Tactical Income Fund (the “Fund”) currently invests a portion of its assets in the iShares 0-5 Year High Yield Corporate Bond ETF and the SPDR Wells Fargo Preferred Stock ETF (the “Securities”). The iShares Fund seeks to track the investment results of an index composed of U.S. dollar-denominated, high yield corporate bonds with remaining maturities of less than five years. The SPDR Wells Fargo Preferred Stock ETF seeks to replicate the performance of the ICE Exchange- Listed Fixed and Adjustable Rate Preferred Securities Index, by using the representative sampling approach. The Fund may redeem their investments from the Securities at any time if the Advisor determines that it is in the best interest of the Fund and their shareholders to do so. The performance of the Fund will be directly affected by the performance of the Securities. The financial statements of Securities, 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 Funds’ financial statements. As of June 30, 2021, the percentage of the Donoghue Forlines Tactical Income Fund’s net assets invested in the iShares 0-5 Year High Yield Corporate Bond ETF and the SPDR Wells Fargo Preferred Stock ETF were 43.6% and 25.5%, Respectively.
Donoghue Forlines Funds |
NOTES TO FINANCIAL STATEMENTS (Continued) |
June 30, 2021 |
9. | 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, 2020, 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 | ||
TD Ameritrade, Inc. | Donoghue Forlines Tactical Income Fund | 35.84% | ||
Pershing LLC | Donoghue Forlines Dividend Fund | 33.26% | ||
Matrix Trust Company | Donoghue Forlines Momentum Fund | 48.23% | ||
National Financial Services | Donoghue Forlines Risk Managed Income Fund | 62.79% | ||
Matrix Trust Company | Donoghue Forlines Tactical Allocation Fund | 35.53% |
10. | 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 Fund’s portfolio may underperform due to inflation (or expectations for inflation), interest rates, global demand for particular products or resources, natural disasters, pandemics, epidemics, terrorism, regulatory events and governmental or quasi-governmental actions. The occurrence of global events similar to those in recent years may result in market volatility and may have long term effects on both the U.S. and global financial markets. The current novel coronavirus (COVID-19) global pandemic and the aggressive responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged quarantines or similar restrictions, as well as the forced or voluntary closure of, or operational changes to, many retail and other businesses, has had negative impacts, and in many cases severe negative impacts, on markets worldwide. It is not known how long such impacts, or any future impacts of other significant events described above, will or would last, but there could be a prolonged period of global economic slowdown, which may impact your Fund investment.
Please refer to each Fund’s prospectus and the statement of additional information for a full listing of risks associated with each Fund’s investment strategies.
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.
Deloitte & Touche LLP
695 Town Center Drive
Tel: 714 436 7100 |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the shareholders and the Board of Trustees of Northern Lights Fund Trust
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities, including the portfolios of investments, of Donoghue Forlines Tactical Income Fund, Donoghue Forlines Dividend Fund, Donoghue Forlines Risk Managed Income Fund, Donoghue Forlines Momentum Fund, and Donoghue Forlines Tactical Allocation Fund (the “Funds”), five of the funds constituting the Northern Lights Fund Trust (the “Trust”), as of June 30, 2021, 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, the financial highlights for each of the three years in the period then ended (as to Donoghue Forlines Tactical Allocation Fund, for each of the three years in the period then ended and the period from April 6, 2018 (commencement of operations) through June 30, 2018), and the related notes.
In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds of the Trust as of June 30, 2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the three years in the period then ended (as to Donoghue Forlines Tactical Allocation Fund, for each of the three years in the period ended June 30, 2021 and for the period from April 6, 2018 (commencement of operations) through June 30, 2018) in conformity with accounting principles generally accepted in the United States of America. The financial highlights for each of the two years in the period ended June 30, 2018 for Donoghue Forlines Tactical Income Fund and Donoghue Forlines Dividend Fund, the financial highlights for the year ended June 30, 2018 and the period from December 23, 2016 (commencement of operations) through June 30, 2017 for Donoghue Forlines Momentum Fund, and the financial highlights for the period from December 27, 2017 (commencement of operations) through June 30, 2018 for Donoghue Forlines Risk Managed Income Fund, were audited by other auditors whose report, dated August 28, 2018, expressed an unqualified opinion on those statements.
Basis for Opinion
These financial statements and financial highlights 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 the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The 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 and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of June 30, 2021, by correspondence with the custodian and brokers. We believe that our audits provide a reasonable basis for our opinion.
Costa Mesa, California
August 27, 2021
We have served as the auditor of one or more Donoghue Forlines Funds investment companies since 2018.
Donoghue Forlines Funds |
Supplement Information (Unaudited) |
June 30, 2021 |
LIQUIDITY RISK MANAGEMENT PROGRAM
The Fund has adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act. The program is reasonably designed to assess and manage the Fund’s liquidity risk, taking into consideration, among other factors, the Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.
During the fiscal period ended June 30, 2021, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Fund’s investments and determined that the Fund held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Fund’s liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Fund’s liquidity risk management program has been effectively implemented.
Donoghue Forlines Funds |
SUPPLEMENTAL INFORMATION (Unaudited) |
June 30, 2021 |
The Trustees and the executive officers of the Trust are listed below with their present positions with the Trust and principal occupations over at least the last five years. The business address of each Trustee and Officer is 225 Pictoria Drive, Suite 450, Cincinnati, OH 45246. All correspondence to the Trustees and Officers should be directed to c/o Gemini Fund Services, LLC, P.O. Box 541150, Omaha, Nebraska 68154.
Independent Trustees
Name, Address and Year of Birth | Position/Term of Office* | Principal Occupation During the Past Five Years | Number of Portfolios in Fund Complex** Overseen by Trustee | Other Directorships held by Trustee During the Past Five Years |
Mark Garbin Born in 1951 | Trustee Since 2013 | Managing Principal, Coherent Capital Management LLC (since 2007). | 7 | 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). | 7 | 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. | 7 | 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). | 7 | 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). | 7 | 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). | 7 | 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). |
6/30/21 – NLFT_v1
Donoghue Forlines Funds |
SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
June 30, 2021 |
Officers
Name, Address and Year of Birth | Position/Term of Office* | Principal Occupation During the Past Five Years | Number of Portfolios in Fund Complex** Overseen by Trustee | Other Directorships held by Trustee During the Past Five Years |
Kevin E. Wolf Born in 1969 | President Since June 2017 | Vice President, The Ultimus Group, LLC and Executive Vice President, Gemini Fund Services, LLC (since 2019); President, Gemini Fund Services, LLC (2012-2019) Treasurer of the Trust (2006-June 2017); Director of Fund Administration, Gemini Fund Services, LLC (2006 - 2012); and Vice-President, Blu Giant, LLC, (2004 -2013). | N/A | N/A |
Richard Malinowski Born in 1983 | Vice President Since March 2018 | Senior Vice President (since 2017); Vice President and Counsel (2016-2017) and Assistant Vice President, Gemini Fund Services, LLC (2012-2016). | N/A | N/A |
James Colantino Born in 1969 | Treasurer Since June 2017 | Assistant Treasurer of the Trust (2006-June 2017); Senior Vice President -Fund Administration, Gemini Fund Services, LLC (since 2012). | N/A | N/A |
Stephanie Shearer Born in 1979 | Secretary Since February 2017 | Assistant Secretary of the Trust (2012-February 2017); Manager of Legal Administration, Gemini Fund Services, LLC (since 2018); Senior Paralegal, Gemini Fund Services, LLC (from 2013 - 2018); Paralegal, Gemini Fund Services, LLC (2010-2013). | N/A | N/A |
Michael J. Nanosky Born in 1966 | Chief Compliance Officer Since January 2021 | Chief Compliance Officer, of the Trust (since January 2021); Vice President-Senior Compliance Officer, Ultimus Fund Solutions (since 2020); Vice President, Chief Compliance Officer for Williamsburg Investment Trust (2020-current); Senior Vice President- Chief Compliance Officer, PNC Funds (2014-2019). | N/A | N/A |
* | The term of office for each Trustee and officer listed above will continue indefinitely until the individual resigns or is removed. |
** | As of June 30, 2021, the Trust was comprised of 68 active portfolios managed by unaffiliated investment advisers. The term “Fund Complex” applies only to the Funds in the Trust advised by the Fund’s Adviser. The Funds do not hold themselves out as related to any other series within the Trust that is not advised by the Fund’s Adviser. |
The Funds’ SAI includes additional information about the Trustees and is available free of charge, upon request, by calling toll-free at 1-877-779-7462.
6/30/21 – NLFT_v1
Donoghue Forlines Funds |
EXPENSE EXAMPLE (Unaudited) |
June 30, 2021 |
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchases and redemptions fees on certain redemptions; (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2021 through June 30, 2021.
Actual Expenses
The “Actual” columns in the table below provide information about actual account values and actual expenses. You may use the information below; together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The “Hypothetical” columns in the table below provide information about hypothetical account values 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 balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), or redemption fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Hypothetical | |||||||||||||
Actual* | (5% return before expenses) | ||||||||||||
Fund’s | Beginning | Ending | Ending | ||||||||||
Annualized | Account | Account | Expenses | Account | Expenses | ||||||||
Expense | Value | Value | Paid During | Value | Paid During | ||||||||
Ratio | 1/1/21 | 6/30/21 | Period | 6/30/21 | Period | ||||||||
Donoghue Forlines Tactical Income Fund – Class A | 1.70% | $1,000.00 | $1,036.10 | $ 8.58 | $1,016.36 | $ 8.50 | |||||||
Donoghue Forlines Tactical Income Fund – Class C | 2.45% | $1,000.00 | $1,031.40 | $ 12.34 | $1,012.65 | $ 12.23 | |||||||
Donoghue Forlines Tactical Income Fund – Class I | 1.45% | $1,000.00 | $1,036.00 | $ 7.32 | $1,017.60 | $ 7.25 | |||||||
Donoghue Forlines Dividend Fund – Class A | 1.71% | $1,000.00 | $1,230.50 | $ 9.46 | $1,016.31 | $ 8.55 | |||||||
Donoghue Forlines Dividend Fund – Class C | 2.46% | $1,000.00 | $1,226.60 | $ 13.58 | $1,012.60 | $ 12.28 | |||||||
Donoghue Forlines Dividend Fund – Class I | 1.46% | $1,000.00 | $1,232.30 | $ 8.08 | $1,017.55 | $ 7.30 | |||||||
Donoghue Forlines Risk Managed Income Fund – Class A | 1.42% | $1,000.00 | $1,018.80 | $ 7.11 | $1,017.75 | $ 7.10 | |||||||
Donoghue Forlines Risk Managed Income Fund – Class C | 2.17% | $1,000.00 | $1,015.20 | $ 10.84 | $1,014.03 | $ 10.84 | |||||||
Donoghue Forlines Risk Managed Income Fund – Class I | 1.17% | $1,000.00 | $1,020.70 | $ 5.86 | $1,018.99 | $ 5.86 | |||||||
Donoghue Forlines Momentum Fund – Class A | 2.26% | $1,000.00 | $1,235.70 | $ 12.53 | $1,013.59 | $ 11.28 | |||||||
Donoghue Forlines Momentum Fund – Class C | 3.01% | $1,000.00 | $1,231.90 | $ 16.66 | $1,009.87 | $ 15.00 | |||||||
Donoghue Forlines Momentum Fund – Class I | 2.01% | $1,000.00 | $1,237.80 | $ 11.15 | $1,014.83 | $ 10.04 | |||||||
Donoghue Forlines Tactical Allocation Fund Class A | 1.49% | $1,000.00 | $1,081.00 | $ 7.69 | $1,017.41 | $ 7.45 | |||||||
Donoghue Forlines Tactical Allocation Fund Class C | 2.24% | $1,000.00 | $1,077.50 | $ 11.54 | $1,013.69 | $ 11.18 | |||||||
Donoghue Forlines Tactical Allocation Fund Class I | 1.24% | $1,000.00 | $1,081.70 | $ 6.40 | $1,018.65 | $ 6.21 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the number of days in the period (181) divided by the number of days in the fiscal year (365). |
PRIVACY NOTICE
Northern Lights Fund Trust
Rev. February 2014
FACTS | WHAT DOES NORTHERN LIGHTS FUND TRUST DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some, but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depends on the product or service that you have with us. This information can include:
● Social Security number and wire transfer instructions
● account transactions and transaction history
● investment experience and purchase history
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Northern Lights Fund Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information: | Does Northern Lights Fund Trust share information? | Can you limit this sharing? |
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. | YES | NO |
For our marketing purposes - to offer our products and services to you. | NO | We don’t share |
For joint marketing with other financial companies. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your transactions and records. | NO | We don’t share |
For our affiliates’ everyday business purposes - information about your credit worthiness. | NO | We don’t share |
For nonaffiliates to market to you | NO | We don’t share |
QUESTIONS? | Call 1-402-493-4603 |
PRIVACY NOTICE
Northern Lights Fund Trust
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. |
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 1-877-779-7462 or by referring to the SEC’s website at http://www.sec.gov.
PORTFOLIO HOLDINGS
Each Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT. Form N-PORT is available on the SEC’s website at http://www.sec.gov. The information on Form N-PORT is available without charge, upon request, by calling 1-877-779-7462
INVESTMENT ADVISOR |
Donoghue Forlines LLC |
One International Place, Suite 310 |
Boston, MA 02110 |
ADMINISTRATOR |
Gemini Fund Services, LLC |
4221 N 203rd St., Suite 100 |
Elkhorn, NE 68022-3474 |
DONOGHUE-AR21 |
Item 2. Code of Ethics.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party.
(b) For purposes of this item, “code of ethics” means written standards that are reasonably designed to deter wrongdoing and to promote:
(1) | Honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; |
(2) | Full, fair, accurate, timely, and understandable disclosure in reports and documents that a registrant files with, or submits to, the Commission and in other public communications made by the registrant; |
(3) Compliance with applicable governmental laws, rules, and regulations;
(4) | The prompt internal reporting of violations of the code to an appropriate person or persons identified in the code; and |
(5) Accountability for adherence to the code.
(c) Amendments: During the period covered by the report, there have not been any amendments to the provisions of the code of ethics.
(d) Waivers: During the period covered by the report, the registrant has not granted any express or implicit waivers from the provisions of the code of ethics.
(e) The Code of Ethics is not posted on Registrant’ website.
(f) A copy of the Code of Ethics is attached as an exhibit.
Item 3. Audit Committee Financial Expert.
(a) The Registrant’s board of trustees has determined that Mark H. Taylor is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Taylor is independent for purposes of this Item 3.
Item 4. Principal Accountant Fees and Services.
(a) Audit Fees
2019 | 2020 | 2021 | |||||||||
Donoghue Forlines Income Fund | $ | 14,300 | $ | 15,475 | $ | 15,030 | |||||
Donoghue Forlines Dividend Fund | $ | 14,000 | $ | 15,175 | $ | 15,030 | |||||
Donoghue Forlines Momentum Fund | $ | 14,300 | $ | 15,475 | $ | 15,030 | |||||
Donoghue Forlines Dividend Mid-Cap Fund | $ | 14,300 | $ | 15,475 | $ | 15,030 | |||||
Donoghue Forlines Risk Managed Fund | $ | 14,300 | $ | 15,475 | $ | 15,030 | |||||
Donoghue Forlines Tactical Allocation Fund | $ | 14,700 | $ | 15,875 | $ | 15,440 |
(b) Audit-Related Fees
2019 | 2020 | 2021 | ||||||||||
Donoghue Forlines Income Fund | None | None | None | |||||||||
Donoghue Forlines Dividend Fund | None | None | None | |||||||||
Donoghue Forlines Momentum Fund | None | None | None | |||||||||
Donoghue Forlines Dividend Mid-Cap Fund | None | None | None | |||||||||
Donoghue Forlines Risk Managed Fund | None | None | None | |||||||||
Donoghue Forlines Tactical Allocation Fund | None | None | None |
(c) Tax Fees
2019 | 2020 | 2021 | ||||||||||
Donoghue Forlines Income Fund | $ | 3,100 | $ | 3,175 | $ | 3,240 | ||||||
Donoghue Forlines Dividend Fund | $ | 3,100 | $ | 3,175 | $ | 3,240 | ||||||
Donoghue Forlines Momentum Fund | $ | 3,100 | $ | 3,175 | $ | 3,240 | ||||||
Donoghue Forlines Dividend Mid-Cap Fund | $ | 3,100 | $ | 3,175 | $ | 3,240 | ||||||
Donoghue Forlines Risk Managed Fund | $ | 3,100 | $ | 3,175 | $ | 3,240 | ||||||
Donoghue Forlines Tactical Allocation Fund | $ | 3,200 | $ | 3,275 | $ | 3,340 |
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
2019 | 2020 | 2021 | |||||||||
Donoghue Forlines Income Fund | None | None | None | ||||||||
Donoghue Forlines Dividend Fund | None | None | None | ||||||||
Donoghue Forlines Momentum Fund | None | None | None | ||||||||
Donoghue Forlines Dividend Mid-Cap Fund | None | None | None | ||||||||
Donoghue Forlines Risk Managed Fund | None | None | None | ||||||||
Donoghue Forlines Tactical Allocation Fund | N/A | 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 |
Donoghue Forlines Tactical Income Fund 2021 2020 2019
Audit-Related Fees: 0.00% 0.00% 0.00%
Tax Fees: 0.00% 0.00% 0.00%
All Other Fees: 0.00% 0.00% 0.00%
Donoghue Forlines Dividend Fund 2021 2020 2019
Audit-Related Fees: 0.00% 0.00% 0.00%
Tax Fees: 0.00% 0.00% 0.00%
All Other Fees: 0.00% 0.00% 0.00%
Donoghue Forlines Momentum Fund 2021 2020 2019
Audit-Related Fees: 0.00% 0.00% 0.00%
Tax Fees: 0.00% 0.00% 0.00%
All Other Fees: 0.00% 0.00% 0.00%
Donoghue Forlines Dividend Mid-Cap Fund 2021 2020 2019
Audit-Related Fees: 0.00% 0.00% 0.00%
Tax Fees: 0.00% 0.00% 0.00%
All Other Fees: 0.00% 0.00% 0.00%
Donoghue Forlines Risk Managed Income Fund 2021 2020 2019
Audit-Related Fees: 0.00% 0.00% 0.00%
Tax Fees: 0.00% 0.00% 0.00%
All Other Fees: 0.00% 0.00% 0.00%
Donoghue Forlines Tactical Allocation Fund 2021 2020 2019
Audit-Related Fees: 0.00% 0.00% 0.00%
Tax Fees: 0.00% 0.00% 0.00%
All Other Fees: 0.00% 0.00% 0.00%
(f) | During the audit of registrant's financial statements for the most recent fiscal year, less than 50 percent of the hours expended on the principal accountant's engagement were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. |
(g) | The aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant: |
2021 | 2020 | 2019 | ||||||||||
Donoghue Forlines Tactical Income Fund | $ | 3,240 | $ | 3,175 | $ | 3,100 | ||||||
Donoghue Forlines Dividend Fund | $ | 3,240 | $ | 3,175 | $ | 3,100 | ||||||
Donoghue Forlines Momentum Fund | $ | 3,240 | $ | 3,175 | $ | 3,100 | ||||||
Donoghue Forlines Dividend Mid-Cap | $ | 3,240 | $ | 3,100 | $ | 3,175 | ||||||
Donoghue Forlines Risk Managed Fund | $ | 3,240 | $ | 3,175 | $ | 3,100 | ||||||
Donoghue Forlines Tactical Allocation Fund | $ | 3,340 | $ | 3,275 | $ | 3,200 |
(h) The registrant's audit committee has considered whether the provision of non-audit services to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant, that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, is compatible with maintaining the principal accountant's independence.
Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.
Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.
Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.
Item 10. Submission of Matters to a Vote of Security Holders. Vote of security holders is included under item 1.
Item 11. Controls and Procedures.
(a) Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.
(b) There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not applicable to open-end investment companies.
Item 13. Exhibits.
(a)(1) Code of Ethics filed herewith.
(a)(3) Not applicable for open-end investment companies.
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 9/3/21
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 9/3/21
By (Signature and Title)
/s/ Jim Colantino
Jim Colantino, Principal Financial Officer/Treasurer
Date 9/3/21