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 811-21872
Mutual Fund Series Trust
(Exact name of Registrant as specified in charter)
4221 North 203rd Street, Suite 100, Elkhorn, NE 68022
(Address of principal executive offices) (Zip code)
Ultimus Fund Solutions
80 Arkay Drive, Suite 100, Hauppauge, NY 1788
(Name and address of agent for service)
Registrant's telephone number, including area code: 402-895-1600
Date of fiscal year end: 6/30
Date of reporting period: 6/30/23
ITEM 1. REPORTS TO SHAREHOLDERS.
ANNUAL REPORT |
Catalyst/Millburn Dynamic Commodity Strategy Fund |
(DCXAX, DCXCX, DCXIX) |
Catalyst/Warrington Strategic Program Fund |
(CWXAX, CWXCX, CWXIX) |
Catalyst Systematic Alpha Fund |
(ATRAX, ATRCX, ATRFX) |
Catalyst Income and Multi-Strategy Fund |
(ACXAX, ACXCX, ACXIX) |
Catalyst Nasdaq-100 Hedged Equity Fund |
(CLPAX, CLPCX, CLPFX) |
Catalyst/Millburn Hedge Strategy Fund |
(MBXAX, MBXCX, MBXIX) |
Catalyst Buffered Shield Fund |
(SHIEX, SHINX, SHIIX) |
June 30, 2023 |
Mutual Fund Series Trust |
CATALYST FUNDS
ANNUAL REPORT
TABLE OF CONTENTS
Portfolio Review | Page 3 |
Schedules of Investments | Page 24 |
Statements of Assets and Liabilities | Page 57 |
Statements of Operations | Page 59 |
Statements of Changes in Net Assets | Page 61 |
Financial Highlights | Page 65 |
Notes to Financial Statements | Page 79 |
Auditors Opinion | Page 102 |
Supplemental Information | Page 105 |
Trustees Table | Page 123 |
Expense Example | Page 125 |
Privacy Notice | Page 126 |
June 30, 2023
Catalyst/Millburn Dynamic Commodity Strategy Fund (DCXCX, DCXAX, DCXIX) (unaudited)
The Fund was unprofitable during the fiscal year (FY) as losses from trading energy futures and, to a much smaller extent, trading metal and grain futures in the Fund’s futures component far outdistanced profits from long commodity/resource focused securities within the Fund’s equity component, and from the futures component’s trading of soft commodity and livestock futures. The Fund’s I Share generated a -11.28% return for the fiscal year, underperforming the S&P 500 TR Index (+19.59%) and the Bloomberg Commodity Index TR (-9.61%).
Energy prices declined sharply during the first half of the FY and slipped further during 2023 in quite volatile trading. In general, global supply and demand fundamentals seemed a jumble of pluses and minuses. Fears of sluggish global growth (particularly in China), higher interest rates and tighter monetary policies globally, a stronger dollar, and evidence that diesel and gasoline demand was negatively impacted by increasing EV usage and government fuel economy standards held down prices. Meanwhile, a better-than-anticipated U.S. growth outlook, multiple production cuts from OPEC+, news that the U.S. was commencing a rebuild of the strategic petroleum reserve and increasing demand for air travel globally supported prices periodically. On balance, long positions in Brent crude, WTI crude, London gas oil, RBOB gasoline and heating oil were unprofitable. Long U.S. natural gas positions registered losses too, particularly during the winter months when prices declined significantly in response to warmer than normal weather in Europe and the U.S., expanding inventories, and increasing recession fears.
Uncertainties concerning global growth and manufacturing, especially in China, persistently hawkish central bank rhetoric, high and rising interest rates, and the strong dollar weighed broadly on metal prices and holdings of both industrial and precious metals were unprofitable. As a result, long nickel, aluminum, zinc, lead, copper, platinum and gold positions were unprofitable.
Grain prices fell during the period due to indications that abundant supplies would be available from the world’s top producers, the U.S., Russia, Argentina, Brazil, and India. The continuation of the UN agreement with Russia to allow Ukrainian wheat exports through the Black Sea added to downward pressure on grain prices. Hence, long corn, wheat, KC wheat, and soybean positions were unprofitable. Rumors that U.S. government biofuel subsidies would be less generous than expected weighed on soybean oil prices and the Fund’s soybean oil position was unprofitable too.
Equity prices were volatile throughout the FY. Disparate views about inflation, monetary policy, growth, and earnings kept stocks unsettled in broad ranges with widely divergent results by region, sector, and individual security. Still, long positions in commodity/resource-related securities were quite profitable. Securities focused on infrastructure, timberland and forest products, futures trading venues, industrial materials and gases, and natural resources were profitable. On the other hand, securities targeted toward hydrogen energy and fuel cells, utilities and farmland posted partially offsetting losses.
Sugar futures prices extended their upward momentum during 2023, rising to the highest point in more than 11 years, amid deepened concerns over weak supply. Sugar output in India was revised downward largely due to a lack of adequate rainfall. Sugar production in Europe slid on lower beet crops due to reduced acreage and a severe summer drought. Finally, in Brazil growers are expected to allocate larger volumes of the crop to more profitable biofuel blending as the end of tax exemptions for gasoline is set to raise demand for lower-taxed sugarcane ethanol. Consequently, long sugar trades were profitable. A long cocoa position was also profitable as prices rose due to supply tightness in top producer Ivory Coast. Cotton prices fell early in the FY on weakening demand due to the global growth slowdown and the Fund’s long cotton position was unprofitable. A long coffee trade was also unprofitable as prices fell during the September-October timeframe.
Long live cattle positions were also fractionally profitable in 2023.
1
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.CatalystMutualFunds.com or call 1-866-447-4228. Please read the prospectus carefully before investing.
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.CatalystMF.com or call 1-866-447-4228. Please read the prospectus carefully before investing.
5574-NLD-7/28/2023
2
Catalyst/Millburn Dynamic Commodity Strategy Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2023
The Fund’s performance figures* for the periods ended June 30, 2023, compared to its benchmarks:
Annualized 5 Year | Annualized Since | ||
1 Year Return | Return | Inception** | |
Class A | (11.43)% | 1.07% | 1.98% |
Class A with load | (16.53)% | (0.12)% | 1.20% |
Class C | (12.10)% | 0.31% | 1.22% |
Class I | (11.28)% | 1.31% | 2.23% |
S&P 500 Total Return Index (a) | 19.59% | 12.31% | 13.55% |
Bloomberg Commodity Total Return Index(b) | (9.61)% | 4.73% | 3.25% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods less than 1 year are not annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 3.48% for Class A, 4.23% for Class C and 3.23% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
Performance information for the period prior to June 2021 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.
(a) | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index. |
(b) | The Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment in the Bloomberg Commodity Index (“BCOM”). This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) U.S. Treasury Bills. Investors cannot invest directly in an index. |
** | Inception date is September 30, 2015. |
The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Industry/Security Type ^ | % of Net Assets | |||
Exchange - Traded Funds | 31.2 | % | ||
U.S. Government & Agencies | 17.1 | % | ||
Institutional Financial Services | 7.3 | % | ||
Electrical Equipment | 5.0 | % | ||
Timber REIT | 4.4 | % | ||
Specialty REIT | 2.8 | % | ||
Renewable Energy | 1.7 | % | ||
Automotive | 1.7 | % | ||
Electric Utilities | 1.4 | % | ||
Chemicals | 1.3 | % | ||
Other/Cash & Equivalents | 26.1 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
3
June 30, 2023
Catalyst/Warrington Strategic Program Fund (CWXAX, CWXCX, CWXIX) (unaudited)
Dear Fellow Shareholders,
Warrington boasts a rich history in managing options that dates back to January 1997, and it brings this wealth of experience to the Catalyst/Warrington Strategic Program Fund (the “Fund”). The Strategic Program, rooted in Warrington’s inception, has won the Pinnacle Award for the Best Options Strategy in the five-year category twice, in 2017 and 2019. This esteemed accolade underscores Warrington’s ability to generate profits across diverse environments while simultaneously managing market risks.
Despite witnessing a multitude of robust rallies and declines during the previous fiscal year, Warrington achieved a gain of approximately +3.21% (Class I) through the end of June 2023. The Fund successfully navigated the many economic and geopolitical challenges throughout the year.
The market transitioned from relentless selling in early 2022 to a bullish trajectory in the first half of 2023, presenting the Fund with numerous trading opportunities. Despite this market volatility, the CBOE Market Volatility Index (“VIX”) returned to its pre-2020 pandemic lows. While the Federal Reserve’s (the “Fed”) aggressive rate increases may appear excessive compared to previous rate-hike cycles, the goal of these adjustments is to try to curb the rampant inflation currently near multi-decade highs. Inflation and future inflation expectations can destabilize economies, and we are witnessing the impact in food, energy, and numerous other commodity markets. The fixed-income markets continue to factor in further Fed tightening, coupled with a protracted period of high rates—now referred to as the “higher for longer” school of thought. This implies that interest rates will remain high while the possibility of rate cuts is deferred to the future. For the Fed to back down, it would require either a recession to dampen growth or evidence that inflation is under control—an arduous task to achieve without high interest rates.
Despite less-than-ideal volatility trends, the Fund was able to deliver a solid net return. The VIX plummeted to multi-year lows, and the volatility of volatility (the VVIX) reverted to its pre-2020 trading ranges. Nevertheless, we persistently observe a robust demand for very deep out-of-the-money put options, enabling us to engage in attractive spread trades. In the context of this unprecedented market environment, we consider the Fund’s performance over the past fiscal year to be commendable.
Fiscal Year (06/30/22-06/30/23) | Since sub-advisor change (1/27/20-06/30/23) 2 | |
Class A without sales charge | 2.93% | 6.44% |
Class A with sales charge | -2.97% | 4.97% |
S&P 500 Total Return Index1 | 19.59% | 11.20% |
Fiscal Year (06/30/21-06/30/22) | Since sub-advisor change (1/27/20-06/30/22) | |
Class C | 2.21% | 5.69% |
Class I | 3.21% | 6.71% |
S&P 500 Total Return Index1 | 19.59% | 11.20% |
The Fund’s maximum sales charge for Class A shares is 5.75%. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 1-866-447-4228. You can also obtain a prospectus at www.CatalystMF.com.
4
Sincerely,
Scott Kimple and Mark Adams
Portfolio Managers
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.CatalystMutualFunds.com or call 1-866-447-4228. Please read the prospectus carefully before investing.
1 | The S&P500 Total Return Index by Standard & Poor’s Corp. is a capitalization-weighted index comprising 500 issues listed on various exchanges, representing the performance of the stock market generally. Please note that indices do not take into account any fees and expenses of investing in the individual securities that they track, and individuals cannot invest directly in any index, although individuals may invest in exchange traded funds or other investment vehicles that attempt to track the performance of an index. The Catalyst Warrington Strategic Program Fund may or may not purchase the types of securities represented by the S&P 500 Total Return Index. |
2 | Warrington Asset Management, LLC was appointed as sub-advisor to the Fund on January 28, 2020. Returns since sub- advisor change are annualized. |
1817-NLD-07192023
5
Catalyst/Warrington Strategic Program Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2023
The Fund’s performance figures* for each of the periods ended June 30, 2023, compared to its benchmark:
1 Year Return (b) | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Since Inception** | Annualized Since Inception*** | |
Class A | 2.93% | 2.15% | 0.18% | 8.30% | N/A |
Class A with load | (2.97)% | 0.95% | (0.41)% | 7.95% | N/A |
Class C | 2.21% | 1.40% | N/A | N/A | (0.57)% |
Class I | 3.21% | 2.42% | N/A | N/A | 0.42% |
S&P 500 Total Return Index (a) | 19.59% | 12.31% | 12.86% | 9.58% | 12.86% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.38% for Class A, 3.13% for Class C and 2.13% for Class I shares. Please review the Fund’s most recent prospectus for more detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
Performance information for the period prior to April 5, 2020 does not reflect the Fund’s current strategy.
(a) | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index. |
(b) | Fund performance was materially impacted by a nonrecurring litigation settlement of $1.96 million booked to the Fund on June 19, 2023. The impact was $0.1482/share, or 1.65% of the Fund’s NAV. |
** | Inception date is December 15, 2005 for Class A and the benchmark. |
*** | Inception date is August 30, 2013 for Class C, Class I and benchmark. |
The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Industry/Security Type ^ | % of Net Assets | |||
U.S. Treasury Bills | 68.7 | % | ||
Other/Cash & Equivalents | 31.3 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
6
June 30, 2023
Catalyst Systematic Alpha Fund (ATRAX, ATRCX, ATRFX) (Unaudited)
Dear Shareholders,
The Catalyst Systematic Alpha Fund seeks long-term capital appreciation through an all-season strategy that seeks to generate absolute returns through risk-balanced exposure across equity, fixed income, commodity, and currency markets.
Investment Strategy
The Fund offers access to the BNP Paribas Catalyst Systematic Alpha Index II1 (the “BNPP CASA Index II”), which is designed to provide exposure to strategies that are not typically accessible through traditional investment products or asset classes. The BNPP CASA Index II allocates to a range of rules-based BNP Paribas Indices that were specifically designed to systematically allocate across the equity, fixed income, commodity, and currency markets. The Index seeks to generate returns through an all-season approach. The Index is composed of six rules- based Index Components created by BNP Paribas (each, a “BNPP Index Component”). The Fund generally seeks exposure to the BNPP CASA Index II by investing in one or more structured notes and/or one or more non-exchange- traded total return swap contracts.
The BNPP Casa Index II uses an all-season investing strategy that has historically exhibited low correlation to the broad markets, further increasing the potential effectiveness of the BNPP CASA Index II over a variety of market cycles. The Index has the ability to play both “Offense” and “Defense” and seeks to provide superior risk-adjusted returns in each type of market environment.
The Index uses a rules-based, risk-budget model to dynamically allocate across the various asset classes. The Index may rebalance its exposure as frequently as daily to quickly adapt to various market conditions and risk levels. The Fund may utilize a cash management strategy by investing in short-term investment grade corporate bonds.
Performance
During fiscal year 2023, the Fund outperformed its underlying benchmark index, the BNP CASA Index II, which the Fund tracks. The outperformance was the result of the Fund’s fixed income component of the strategy, which allowed the Fund to generate additional returns.
BNPP CASA Index Attribution
The market fundamentals for the fiscal year worked in our favor to help spur very strong performance. In FY23, we saw positive trends develop in equity markets both domestically and in Europe and Japan. Given the trend-following nature of some of the underlying components, well-developed, sustained trends in either direction allow the Fund to take advantage through momentum investing by allocating to recent outperformers and less to recent underperformers. Furthermore, we saw the Chicago Board Options Exchange Volatility Index (VIX Index) drop by more than 50% during the fiscal year. By design, the Fund seeks to allocate more to underlying components exhibiting near-term low volatility, so the VIX Index dropping to near pre-pandemic levels is a favorable development for the Fund. In addition, compared to FY22 where we saw turbulence because of macroeconomic and geopolitical issues, commodity markets have been relatively stable with less violent swings. Benign conditions are beneficial for the Fund because it allows the models to exploit market structures without being disrupted. Finally, currencies have been performing well, specifically on the back of the strength of the U.S. dollar.
We feel confident that despite uncertainty across financial markets, the BNP CASA Index II can continue to have resilient performance as a result of its rules-based index approach designed to systematically harvest non- traditional sources of return across various markets.
7
The Fund’s total returns for the fiscal year period and since inception through the 06/30/23 period as compared to the S&P500 TR Index were as follows:
Fiscal Year (06/30/22-06/30/23) | Since Inception (07/31/14-06/30/23)3 | |
Class A | 33.65% | 6.55% |
Class C | 32.72% | 5.72% |
Class I | 33.95% | 6.75% |
BNPP CASA Index II 1 | 26.80% | 15.55% |
S&P 500 TR Index 2 | 19.59% | 11.92% |
Class A with Sales Charge | 26.01% | 5.84% |
The Fund’s maximum sales charge for Class A shares is 5.75%. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 1-866-447-4228. You can also obtain a prospectus at www.CatalystMF.com.
Prior to November 1, 2017, the Fund implemented a different investment strategy.
Summary
The Fund seeks to offer investors a distinct opportunity to capture returns from various sources of systematic inefficiencies embedded in the capital markets. We are confident in the long-term potential of the strategy of the Catalyst Systematic Alpha Fund and are glad that you have decided to share in our vision.
Sincerely,
David Miller and Charles Ashley
Portfolio Managers
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.CatalystMutualFunds.com or call 1-866-447-4228. Please read the prospectus carefully before investing.
1 | BNP Paribas Catalyst Systematic Alpha Index II™ is a rules-based Index designed to capitalize on structural inefficiencies and behavioral biases (risk premia) present within the equity, fixed-income, commodity, and currency markets. The BNPP CASA Index II is composed of seven rules-based Index Components created by BNP Paribas (each, a “BNPP Index Component”). Carry Risk Premium captures the tendency for higher yielding assets to outperform lower yielding assets over time. Volatility Risk Premium captures the behavioral tendency of markets to exaggerate the probability of near-term market corrections. Momentum Risk Premium captures the tendency for assets that have performed well in the recent past to continue to perform well, and assets that have performed poorly in the recent past to continue to perform poorly. |
BNP Paribas does not sponsor, endorse, sell, or promote any investment fund or other vehicle that is offered by third parties and that seeks to provide an investment return based on the returns of the BNP Paribas Catalyst Systematic Alpha Index (the “Index”). A decision to invest in any such investment fund or other vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or vehicle. You cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses, or sales charges.
8
2 | The S&P500 Total Return Index by Standard & Poor’s Corp. is a capitalization-weighted index comprising 500 issues listed on various exchanges, representing the performance of the stock market generally. Please note that indices do not take into account any fees and expenses of investing in the individual securities that they track, and individuals cannot invest directly in any index, although individuals may invest in exchange traded funds or other investment vehicles that attempt to track the performance of an index. The Fund may or may not purchase the types of securities represented by the S&P 500 Total Return Index. |
3 | Since inception returns assume an inception date of 07/31/2014. The performance information quoted in this Annual Report assumes the reinvestment of all dividend and capital gain distributions, if any, and represents past performance, which is not a guarantee of future results. An investor’s return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Updated performance data to the most recent month- end can be obtained by calling the Fund at 1-866-447-4228. There is a maximum sales load of 5.75% (“sales load”) on certain Class A subscriptions. A 1% Contingent Deferred Sales Charge (“CDSC fee”) is imposed on certain redemptions of Class A shares held less than eighteen months after the date of purchase (excluding shares purchased with reinvested dividends and/or distributions). The returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. |
6383-NLD-08082023
9
Catalyst Systematic Alpha Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2023
The Fund’s performance figures* for each of the periods ended June 30, 2023, compared to its benchmark:
1 Year Return | Annualized 5 Year Return | Annualized Since Inception** | |
Class A | 33.65% | 14.29% | 6.55% |
Class A with load | 26.01% | 12.95% | 5.84% |
Class C | 32.72% | 13.40% | 5.72% |
Class I | 33.95% | 14.52% | 6.75% |
S&P 500 Total Return Index(a) | 19.59% | 12.31% | 11.92% |
BNP Paribas Catalyst Systematic Alpha Index II (b) | 26.80% | 16.11% | 15.55% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods less than 1 year are not annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 4.75% for Class A, 5.50% for Class C and 4.50% for Class I shares. Please review the Fund’s most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
Performance information for the period prior to November 2017 does not reflect the Fund’s current strategy and prior to November 2022, represents performance for prior Sub-Advisor.
(a) | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index. |
(b) | BNP Paribas Catalyst Systematic Alpha Index II™ (BNP CASA Index II) is a rules-based Index that seeks absolute returns through risk-balances exposure to carry, momentum and volatility risk premia across the equity, commodity, forex and fixed-income markets. The BNPP CASA Index II is composed of six rules-based Index Components created by BNP Paribas (each, a “BNPP Index Component”). Carry Risk Premium captures the tendency for higher yielding assets to outperform lower yielding assets over time. Volatility Risk Premium captures the behavioral tendency of markets to over exaggerate the probability of near-term market corrections. Momentum Risk Premium captures the tendency for assets that have performed well in recent past to continue to perform well, and assets that have performed poorly in the recent past to continue to perform poorly. Investors cannot invest directly in an Index. |
** | Inception date is July 31, 2014. |
The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Industry/Security Type ^ | % of Net Assets | |||
Internet Media & Services | 7.6 | % | ||
Biotech & Pharma | 7.3 | % | ||
Technology Services | 7.3 | % | ||
Retail - Discretionary | 6.5 | % | ||
Chemicals | 5.6 | % | ||
Beverages | 3.8 | % | ||
Health Care Facilities & Services | 3.8 | % | ||
Semiconductors | 3.8 | % | ||
Aerospace & Defense | 3.7 | % | ||
Leisure Facilities & Services | 3.7 | % | ||
Other/Cash & Equivalents | 46.9 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
10
June 30, 2023
Catalyst Income and Multi-Strategy Fund (ACXAX, ACXCX, ACXIX) (unaudited)
Dear Fellow Shareholders,
The Fund’s one-year return of (0.84)% for the fiscal year ended June 30, 2023, included gains from our fixed income portfolio that were offset by losses in our tactical futures positions. Comparatively, U.S. Agency mortgages (as measured by the Bloomberg US Mortgage-Backed Securities Index) lost 1.52% and broad U.S. bonds (as measured by Bloomberg US Aggregate Bond Index) fell 0.94%.
The fixed-income portfolio gained approximately 2.6%. During the first half of 2023, agency MBS suffered from a drumbeat of headline risks regarding regional bank mortgage portfolios, which stoked fear in the sector. When the FDIC seized Silicon Valley Bank and Signature Bank, it retained Blackrock to commence a “gradual and orderly” liquidation of a portfolio of $114 billion in MBS. As the market priced in a greater likelihood that this same result would ripple through other U.S. regional banks, agency MBS’ spread to U.S. Treasuries widened substantially and caused losses to our holdings. Within our REIT holdings, there was substantial variation in performance. REITs with the most exposure to commercial real estate were among the worst performers and we decided to re-balance our portfolio in April 2023 to remove positions with concentrated risk in office buildings. In contrast, more than half of our REIT positions gained overall in the fiscal year. REITs with strong balance sheets and the ability to originate loans at attractive spreads maintained and even increased dividends. In particular, REIT positions that held multi- family loans were the best performers. Lastly, the large cash balances we maintained in the Fund produced slightly less than half of the overall fixed-income portfolio profits.
As illustrated in the graph below, this is the breakdown of our fixed income and cash holdings of the Fund:
Our tactical futures strategy detracted from performance and resulted in the Fund’s slight loss for the fiscal year. While this component largely insulated the Fund from the prior year’s impact of rising rates on our fixed income, we incurred losses from our positions in short-term interest rate contracts when rates reversed direction. From November 2022 through the end of June 2023, fixed income investors swung from a fear that cumulative Federal Reserve tightening would propel yields higher to a concern over a “hard landing” in the US economy. In that period, the 2-year yield swung as much as 1.50%, but the level at the end of June was roughly the same as it had been at the beginning of the prior November. This type of environment is historically challenging for our tactical strategy.
11
Income and Multi-Strategy Fund Performance
The Fund’s total returns for the 2023 YTD period ended 06/30/2023, fiscal year, 5-years, and 10-years ended 06/30/2023 and for the period since inception through 06/30/2023 were as follows:
Calendar YTD | 1 Year | 5 Years | 10 Years | Since Inception 3&4 | |
Class I | 0.60% | −0.84% | 0.87% | 1.68% | 2.79% |
Bloomberg US Mortgage Backed Securities Index1 | 1.87% | −1.52% | 0.03% | 1.13% | 2.51% |
ML 3 Month T-Bill Index2 | 2.27% | 3.62% | 1.56% | 0.99% | 0.85% |
Class A | 0.44% | −1.04% | 0.60% | n/a | −0.39% |
Class C | 0.04% | −1.84% | −0.15% | n/a | −1.15% |
Bloomberg US Mortgage Backed Securities Index1 | 1.87% | −1.52% | 0.03% | n/a | 7.75% |
ML 3 Month T-Bill Index2 | 2.27% | 3.62% | 1.56% | n/a | 1.24% |
Class A with Sales Charge | −5.32% | −6.70% | −0.58% | n/a | −1.13% |
The Fund’s maximum sales charge for Class A shares is 5.75%. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 1-866-447-4228. You can also obtain a prospectus at www.CatalystMF.com.
Summary
Fixed income and equity markets will likely continue to present more challenges than what investors experienced in the previous decade. While the Agency mortgage-backed security sector saw its nascent rebound in early 2023 reverse course as this sector suffered from even more turbulence, attractive spreads make these securities among the best risk-to-reward propositions across U.S. fixed income. We also anticipate a resurgence in market volatility that may present opportunities for our tactical futures strategy. Therefore, we believe the Catalyst Income and Multi-Strategy Fund will reward patient investors in the years ahead.
We appreciate the opportunity to help you achieve your investment goals.
Sincerely,
Darren J. Kottle, CFA
Portfolio Manager
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.CatalystMutualFunds.com or call 1-866-447-4228. Please read the prospectus carefully before investing.
1 | The Bloomberg US Mortgage Backed Securities (MBS) Index tracks fixed-rate agency mortgage backed pass- through securities guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). The index is constructed by grouping individual TBA-deliverable MBS pools into aggregates or generics based on program, coupon, and vintage. Investors cannot invest directly in an index. |
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2 | BofAML 3-Month T-Bill Index (ML 3 Month T-Bill Index) is used to represent the short-term U.S. Government bond market. Investors cannot invest directly in an index. |
3 | Class I: 10/31/2017. Class A & C: 8/13/2015. Performance shown before August 13, 2015 is for the Fund’s predecessor limited liability company (Auctos Global Diversified Fund, LLC). The prior performance is net of management fees and other expenses including the effect of the performance fee. The Fund has been managed in the same style since the predecessor limited liability company’s inception on October 31, 2007. The Fund’s investment goals, policies, guidelines, and restrictions are, in all material respects, equivalent to the predecessor limited liability company’s investment goals, policies, guidelines, and restrictions. From its inception through August 13, 2015, the predecessor limited liability company was not subject to certain investment restrictions, diversification requirements, and other restrictions of the 1940 Act of the Code, which if they had been applicable, might have adversely affected its performance. In addition, the predecessor limited partnership was not subject to sales loads that would have adversely affected performance. Performance of the predecessor fund is not an indicator of future results. |
4 | The performance information quoted in this Annual Report assumes the reinvestment of all dividend and capital gain distributions, if any, and represents past performance, which is not a guarantee of future results. An investor’s return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Updated performance data to the most recent month-end can be obtained by calling the Fund at 1-866-447-4228. There is a maximum sales load of 5.75% (“sales load”) on certain Class A subscriptions. A 1% Contingent Deferred Sales Charge (“CDSC fee”) is imposed on certain redemptions of Class A shares held less than two years after the date of purchase and Class C shares held less than one year after the date of purchase (excluding in each case, shares purchased with reinvested dividends and/or distributions). The returns shown do not reflect taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. |
6365-NLD-08022023
13
Catalyst Income and Multi-Strategy Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2023
The Fund’s performance figures* for each of the periods ended June 30, 2023, compared to its benchmark:
1 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Since Inception** | Annualized Since Inception*** | |
Class A | (1.04)% | 0.60% | N/A | N/A | (0.39)% |
Class A with load | (6.70)% | (0.58)% | N/A | N/A | (1.13)% |
Class C | (1.84)% | (0.15)% | N/A | N/A | (1.15)% |
Class I (a) | (0.84)% | 0.87% | 1.68% | 2.79% | N/A |
BofA Merrill Lynch 3 Month U.S. Treasury Bill Index (b) | 3.62% | 1.56% | 0.99% | 0.85% | 1.24% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance for periods greater than 1 year are annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 4.89% for Class A, 5.64% for Class C and 4.72% for Class I shares. Please review the Fund’s most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
Performance information for the period prior to November 2021 does not reflect the Fund’s current strategy.
(a) | The Fund acquired all of the assets and liabilities of Auctos Global Diversified Fund, LLC (the “Predecessor Fund”) in a tax-free reorganization on August 14, 2015. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Class I shares of the Fund, so the Predecessor Fund became the I shares of the Fund. The Fund’s investment objective, policies and guidelines were, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies and guidelines. The Predecessor Fund commenced operations on October 31, 2007. Updated performance information will be available at no cost by calling 1-866-447-4228 or visiting the Fund’s website at www.CatalystMF.com. |
(b) | BofA Merrill Lynch 3-Month U.S. Treasury Bill Index “BofAML 3-Month T-Bill,” is an index of short-term U.S. Government securities maturing in 90 days. Investors cannot invest directly in an index. |
** | Inception date is October 31, 2007 for Class I and benchmark. |
*** | Inception date is August 13, 2015 for Class A, Class C and benchmark. |
The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Industry/Security Type ^ | % of Net Assets | |||
Fixed Income | 43.6 | % | ||
Mortgage Finance | 22.1 | % | ||
Real Estate Investment Trusts | 3.5 | % | ||
Other/Cash & Equivalents | 30.8 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
14
June 30, 2023
Catalyst Nasdaq-100 Hedged Equity Fund (CLPFX | CLPAX | CLPCX) (unaudited)
Dear Fellow Shareholders:
The Fund’s objective is long-term capital appreciation. In October 2020, the Fund’s sub-advisor was changed when Equity Armor Investments assumed management of the Fund and began implementation of its unique strategy, which combines investment in securities that constitute the Nasdaq-100 Index (“NDX”) with a dynamic allocation to futures contracts on the CBOE Volatility Index (the “VIX Index”) as a hedge for the Fund’s exposure to the NDX.
Equity Armor utilizes EAVOL, a proprietary VIX futures methodology in CLPFX. Over the past year the Nasdaq experienced a significant bull run. For the fiscal year, the Nasdaq-100 Index was up 33.13% and our Fund was up 17.81%. The other component of our Fund is volatility trading. Over the fiscal year volatility was down 52.66%. In spite of the negative return in volatility our Fund still achieved our goal by achieving almost 15% return with a smaller drawdown for the period of 20.49% compared to the 25.97% peak to trough drawdown in the Nasdaq.
The historical Volatility for the Nasdaq was elevated at 27.63 for the year, but our program was able to reduce that all the way down to 17.06 Vol. Yes, the Nasdaq 100 has seen a significant price reduction, and the VIX has not experienced a corresponding pop in value typically associated with a bear market which the Nasdaq is in. This is the worse-case scenario for our strategy (since we are buying both stocks and buying volatility), yet despite the unfavorable market conditions, we were still able to deliver a lower drawdown over the year when compared to the Nasdaq Index. Our mission continues to gain equity exposure with less risk, and to utilize volatility to our advantage along the way.
Inflation and interest rates are significantly higher. As so often happens, the market is confused by the Fed’s actions as to how to handle the challenging conditions. The increased costs along with increased borrowing costs could lead the economy to slow significantly, possibly triggering a recession and market correction. However, if the Fed allows for higher inflation, and decides to bend to market pressures yet again, the market could continue to push higher this year.
Equity Armor’s balanced approach of equity exposure with a volatility hedge aims to provide positive returns with lower volatility. We continue to believe that investors should stay invested in the markets and that the most prudent way to be invested in equities is with a dynamic hedge and active rebalancing, which we use in our CLPFX Fund.
We thank you for your support and for being an investor in our Fund.
Sincerely yours,
Luke Rahbari
Brian Stutland
Joe Tigay
15
Performance (%): Ending June 30, 2023 | Previous Strategy | |||||
Annualized if greater than a year | ||||||
Share Class/Benchmark | YTD | 1 Year | Since 10/01/201 | 3 Years | 5 Years | Since Inception* |
Class I | 27.69 | 17.81 | 3.21 | 4.26 | 3.82 | 3.65 |
NASDAQ-100 Index | 39.35 | 33.13 | 11.22 | 15.23 | 17.66 | 17.72 |
Class A | 27.58 | 17.60 | 2.95 | 4.00 | 3.55 | 3.97 |
Class C | 26.99 | 16.66 | 2.19 | 3.22 | 2.76 | 3.15 |
NASDAQ-100 lndex** | 39.35 | 33.13 | 11.22 | 15.23 | 17.66 | 17.61 |
Class A w/ Sales Charge | 20.20 | 10.79 | 1.15 | 1.96 | 2.33 | 3.32 |
* | A&C Inception: 12/31/2013, I Inception: 6/6/2014 |
** | NASDAQ-100 Index not relevant to strategy prior to 10/01/2020 strategy change. |
1 | Prior to October 1, 2020, the Fund was managed by a different sub-advisor and implemented a different investment strategy. |
The Fund’s maximum sales charge for Class “A” shares is 5.75%. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 1-866-447-4228. You can also obtain a prospectus at www.CatalystMF.com.
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.CatalystMutualFunds.com or call 1-866-447-4228. Please read the prospectus carefully before investing.
5653-NLD-8/28/2023
16
Catalyst Nasdaq-100 Hedged Equity Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2023
The Fund’s performance figures* for the periods ended June 30, 2023, compared to its benchmarks:
1 Year Return | Annualized 5 Year Return | Annualized Since Inception** | Annualized Since Inception*** | |
Class A | 17.60% | 3.55% | 3.97% | N/A |
Class A with load | 10.79% | 2.33% | 3.32% | N/A |
Class C | 16.66% | 2.76% | 3.15% | N/A |
Class I | 17.81% | 3.82% | N/A | 3.65% |
Nasdaq-100 Index(a) | 33.13% | 17.66% | 17.61% | 17.72% |
S&P 500 Total Return Index(b) | 19.59% | 12.31% | 11.80% | 11.62% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.61% for Class A, 3.36% for Class C and 2.36% for Class I shares . Please review the Fund’s most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
Performance information for the period prior to October 2020 does not reflect the Fund’s current strategy and the Fund’s portfolio was not managed by the Fund’s current Sub-Advisor.
(a) | The Nasdaq 100 Index (“NDX”) is a large-capitalization growth index comprised of the 100 largest domestic and international (including emerging markets) non-financial companies listed on the Nasdaq Stock Market based on market capitalization. The NDX is concentrated in the technology sector Investors cannot invest directly in an index. |
(b) | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index. |
** | Inception date is December 31, 2013 for Class A, Class C. |
*** | Inception date is June 6, 2014 for Class I |
The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Industry/Security Type ^ | % of Net Assets | |||
Equity | 16.9 | % | ||
Software | 11.7 | % | ||
Semiconductors | 11.4 | % | ||
Technology Hardware | 8.9 | % | ||
Internet Media & Services | 8.9 | % | ||
E-Commerce Discretionary | 4.9 | % | ||
Automotive | 2.8 | % | ||
Biotech & Pharma | 2.3 | % | ||
Beverages | 1.5 | % | ||
Technology Services | 1.3 | % | ||
Other/Cash & Equivalents | 29.4 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
17
June 30, 2023
Catalyst/Millburn Hedge Strategy Fund (MBXAX, MBXCX, MBXIX) (unaudited)
Dear Shareholders,
The Fund was profitable during the fiscal year (FY) as gains from the Fund’s long equity component and from trading of interest rate futures and currency forwards within the Fund’s long/short futures component outdistanced losses from the futures component’s trading of commodity futures, especially in energy. The Fund’s I Share generated a +2.77% return for the fiscal year, underperforming the S&P 500 TR Index (+19.59%) and the ML 3 Month T-Bill Index (+3.62%).
Throughout the fiscal year, market prices were volatile as market participants gyrated between risk-on and risk-off positioning. Constantly changing narratives concerning the future paths of growth, inflation, and monetary policy both within and across various economic regions -- U.S., Europe, China, and Asia-ex-China -- and the growth bifurcation between sluggish manufacturing and housing sectors globally and buoyant employment, consumption and service sectors globally rattled financial and commodity markets. A variety of geopolitical events periodically added to market angst and volatility. These included the ongoing Russia/Ukraine war, the energy crisis, expanding tensions between the U.S. and China, the disastrous U.K. fiscal policy proposal by short-lived Prime Minister Truss in late September, Xi Jinping’s consolidation of power at the Communist Party Congress in October, the December start to ending China’s COVID ZERO policy, regional banking stresses in the U.S. and Europe in March, political machinations around the U.S. debt ceiling in May, a late June spate of unexpectedly hawkish activity by global central banks, and the brief mutiny by the Wagner Group in Russia.
Equity prices were volatile throughout the FY. Disparate views about inflation, monetary policy, growth, and earnings kept stocks unsettled in broad ranges with widely divergent results by region, sector, and individual security. When market participants focused on higher interest rates and hawkish monetary policy, sluggish manufacturing and housing, Chinese growth concerns and increasing recession risks globally, equities would experience selling pressures. On the other hand, when market participants expected central banks to relent on their hawkishness, or focused on strong employment, strong consumer spending and service sectors globally, and hopes for a soft landing or no landing growth scenario in the U.S., equity prices would advance. During 2023, elation about the AI revolution specifically and tech more generally also supported equity prices, especially in the U.S. In this environment, the Fund’s equity component constituents, especially U.S. focused ETFs, were highly profitable. On the other hand, trading of long/short equity futures was flat as profits from short positions in China-related futures, the VIX volatility index future, the EEM emerging markets equity index future, and the Italian stock index future were offset by losses from short U.S. equity index futures positions, especially in 2023, and from the trading of European, Canadian, Australian, Japanese, Brazilian, and EAFE equity index futures.
Global central banks, particularly developed market central banks led by the Federal Reserve, aggressively hiked interest rates and otherwise tightened monetary policy persistently throughout the FY to bring down unacceptably high inflation. Market interest rates, however, were quite volatile as market participants, who incorrectly doubted the central bank resolve to keep raising interest rates, periodically pushed market rates down during times of misplaced optimism about slowing inflation and/or about easing growth. For example, in mid-March 2023 global interest rates collapsed amid historic levels of interest rate volatility as risks of economic slowdown/recession rose in the wake of the regional banking turmoil in the U.S. and Europe, before climbing back near pre-crisis levels by the end of the FY.
18
Overall, short positions in German, U.S., and British interest rate futures, especially short-term futures were profitable. On the other hand, trading of French, Italian, and U.S. long-term interest rate futures registered partially offsetting losses.
Trading of currency forwards was mixed but profitable this FY. A long position in the high yield Mexican peso versus the U.S. dollar was consistently profitable. Long U.S. dollar positions against the euro and Canadian dollar were profitable during 2022 when the Federal Reserve was leading the way toward higher interest rates among major central banks. A long dollar position relative to the low yield Japanese yen was profitable during 2023. A short dollar position versus the pound sterling was also profitable. On the other hand, trading the U.S. dollar against the Aussie dollar, New Zealand dollar, and Swedish krona, a long dollar position versus the Norwegian krone, and a short dollar trade against the Brazilian real posted partially offsetting losses.
Energy prices were buffeted by conflicting forces throughout the FY. In general, global supply and demand fundamentals seemed a jumble of pluses and minuses. Fears of sluggish global growth, particularly in China, higher interest rates and tighter monetary policy, a stronger dollar, and evidence that diesel and gasoline demand was being negatively impacted by increasing EV usage and government fuel economy standards held down prices. Meanwhile, a better-than-anticipated U.S. growth outlook, multiple production cuts from OPEC+, news that the U.S. was commencing a rebuild of the strategic petroleum reserve and increasing demand for air travel globally supported prices. On balance, energy prices declined markedly, especially in 2022, and long positions in Brent crude, WTI crude, London gas oil, heating oil and RBOB gasoline were unprofitable. On the other hand, a short U.S. natural gas trade produced a partially offsetting gain, particularly during the winter months when prices declined in response to warmer than normal weather in Europe and the U.S., expanding inventories, and increasing recession fears.
Trading of non-energy commodities was fractionally unprofitable. Short corn and soybean meal positions were unprofitable in 2022 when grain prices rose after the USDA and MARS (the European Union’s crop monitoring service) both reported worsening crop conditions amid heatwaves in the U.S. and Europe. Trading of soybean oil was also slightly unprofitable. Also, in early 2023, a long soybean trade posted a small loss when prices fell after major grain producers reported an improving supply outlook. In the metal sector, losses on short copper and gold trades slightly outpaced the gain from a short silver position. Finally, trading of soft commodities and livestock futures was nearly flat.
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.CatalystMutualFunds.com or call 1-866-447-4228. Please read the prospectus carefully before investing.
5564-NLD-7/27/2023
19
Catalyst/Millburn Hedge Strategy Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2023
The Fund’s performance figures* for each of the periods ended June 30, 2023, compared to its benchmark:
1 Year Return | Annualized 5 Year Return | Annualized 10 Year Return | Annualized Since Inception** | Annualized Since Inception*** | Annualized Since Inception**** | |
Class A | 2.55% | 6.52% | N/A | N/A | 8.12% | N/A |
Class A with load | (3.36)% | 5.27% | N/A | N/A | 7.27% | N/A |
Class C | 1.77% | 5.73% | N/A | N/A | 7.31% | N/A |
Class C-1 | 1.79% | N/A | N/A | N/A | NA | 12.87% |
Class I (a) | 2.77% | 6.79% | 9.10% | 10.33% | N/A | N/A |
BofA Merrill Lynch 3 Month U.S. Treasury Bill Index (b) | 3.62% | 1.56% | 0.99% | 2.08% | 1.30% | 1.43% |
Credit Suisse Managed Futures Hedge Fund Index (c) | (1.65)% | 6.31% | 4.07% | 4.75% | 3.11% | 11.54% |
S&P 500 Total Return Index (d) | 19.59% | 12.31% | 12.86% | 9.00% | 12.90% | 14.04% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods less than 1 year are not annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022, the Fund’s total gross annual operating expenses, including the cost of underlying funds, are 2.27% for Class A, 3.02% for Class C, 3.02% for Class C-1 and 2.02% for Class I shares. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
(a) | The Fund acquired all of the assets and liabilities of Millburn Hedge Fund, L.P. (the “Predecessor Fund”) in a tax-free reorganization on December 28, 2015. In connection with this acquisition, shares of the Predecessor Fund were exchanged for Class I shares of the Fund, so the Predecessor Fund became the I shares of the Fund. The Fund’s investment objective, policies and guidelines are, in all material respects, equivalent to the Predecessor Fund’s investment objectives, policies and guidelines. The Predecessor Fund commenced operations on January 1, 1997. Updated performance information will be available at no cost by calling 1-866-447-4228 or visiting the Fund’s website at www.CatalystMF.com. |
(b) | BofA Merrill Lynch 3-Month U.S. Treasury Bill Index “BofAML 3-Month T-Bill”, is an index of short-term U.S. Government securities maturing in 90 days. Investors cannot invest directly in an index. |
(c) | Credit Suisse Managed Futures Hedge Fund Index is designed to broadly represent the performance of Managed Futures hedge funds in the Credit Suisse database representing at least 85% of total Managed Futures hedge fund assets under management. Investors cannot invest directly in an index. |
(d) | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an index. |
** | Inception date is January 1, 1997 for Class I shares and Benchmarks. |
*** | Inception date is December 28, 2015 for Class A shares, Class C shares and Benchmarks. |
**** | Inception date is October 30, 2020 for Class C-1 shares and Benchmarks. |
The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Industry/Security Type ^ | % of Net Assets | |||
Equity | 47.6 | % | ||
U.S. Government & Agencies | 39.6 | % | ||
Other/Cash & Equivalents | 12.8 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
20
June 30, 2023
Catalyst Buffered Shield Fund (SHIEX, SHINX, SHIIX) (unaudited)
Dear Fellow Shareholders,
Inflationary pressures have resulted in the Fed raising rates in one of the quickest tightening campaigns in history with Fed Chief Powell signaling at least one more rate hike in July as he consistently remains hawkish in his approach. While CPI, the preferred measure of inflation, continues to decline rapidly, inclusive of a recent 3% print, up until now the year-over-year comparisons have proven quite beneficial. Pundits believe softening of real estate will continue to put pressure on inflation measures given that real estate affects roughly 1/3 of the CPI measurement. However, Canada and Europe thought inflation may be in the rear-view window and yet it reared its ugly head, resulting in a resumption of rate increases there as well.
Due to one of the more inverted yield curves in history, market pundits expect a recession. Earlier in the year, talking heads were arguing between a shallow and deep recession. The conversation now, given the resilience of the US economy, is whether we need a recession at all! Given inflation declines and if the economy does not over-heat, perhaps the yield curve can normalize without the need for the Fed to ease conditions by coming to the rescue of an anemic economy.
There are few in the market though that expect fixed income yields to move up materially from here though and that is a positive for our strategy, which relies on fixed income as collateral for our option-based strategy. With yields above 5%, our collateral book throws off significant premiums in assisting us to shape some of the best risk/reward exposures since initiating this strategy roughly 10 years ago. Given geopolitical concerns, inflationary concerns, a sharp tightening of economic conditions, and a soon to be stressful presidential race, it is not unreasonable to expect a range of potential outcomes for equity markets.
The Catalyst Buffered Shield Fund’s strategy uses options in creating an exposure to the S&P 500. Our equity options strategy seeks to (1) hedge, (2) participate and (3) optimize performance based on the S&P 500. Our options though only cost a few cents on the dollar to implement. Like structured notes, we also use short term investment grade credit securities to provide collateral for our option position. The higher yield that the strategy is now generating is beneficial longer term as the strategy uses these yields in financing the options we put in place. For example, one year ago, yields were closer to 2% while today they are closer to 5%, which means that we have an additional 3% budget to spend on buying downside puts and/or purchasing upside exposure on the S&P 500.
Fund Performance
The Fund’s total returns for the fiscal year ended 06/30/23 and for the period since inception through 06/30/23 as compared to the S&P 500 Total Return Index were as follows:
Fiscal Year | Since Inception 1 | |
Class A | 4.60% | 4.31% |
Class C (09/05/2017) | 3.81% | 3.59% |
Class I | 4.83% | 4.57% |
S&P 500 TR Index 2 | 19.59% | 11.68% |
Class A with Sales Charge | -1.36% | 3.56% |
1 | Since inception returns assume inception date of 04/14/2015 for Class A and I, and 09/05/2017 for Class C. |
The Fund’s maximum sales charge for Class A shares is 5.75%. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month- end performance information or the Fund’s prospectus please call the Fund, toll free at 1-866-447-4228. You can also obtain a prospectus at wwwCatalystMF.com.
21
The Fund is comprised of exchange listed SPY equity options and a mix of short-term investment grade bond ETFs that seek to provide a proxy for short-term investment grade bonds and short-term Treasury bonds. The options serve the purpose of providing a relatively defined exposure to the S&P 500. The bonds serve as collateral for the option positions as well as provide a potential yield that is used in purchasing the options.
Fund returns over the last 12 months were generated primarily by the option component of the strategy, while there has also been a material negative effect on the bond component given the very quick move up in interest rates.
Sincerely,
Joseph Halpern
Portfolio Manager
This report is intended for the Fund’s shareholders. It may not be distributed to prospective investors unless it is preceded or accompanied by the current Fund prospectus. To obtain a prospectus or other information about the Fund, please visit www.CatalystMF.com or call 1-866-447-4228. Please read the prospectus carefully before investing.
5559-NLD-7/27/2023
2 | The S&P 500 Total Return Index (“S&P 500 TR”) is used to represent the U.S. large-cap stock market. |
22
Catalyst Buffered Shield Fund
PORTFOLIO REVIEW (Unaudited)
June 30, 2023
The Fund’s performance figures* for the periods ended June 30, 2023, compared to its benchmarks:
1 Year Return | 5 Year Return | Annualized Since Inception** | Annualized Since Inception*** | |
Class A (a) | 4.60% | 3.56% | 4.31% | N/A |
Class A with Load | (1.36)% | 2.33% | 3.56% | N/A |
Class C (a) | 3.81% | 2.77% | N/A | 3.59% |
Class I | 4.83% | 3.80% | 4.57% | N/A |
S&P 500 Total Return Index (b) | 19.59% | 12.31% | 11.68% | 12.73% |
* | The performance data quoted here represents past performance. The performance comparison includes reinvestment of all dividends and capital gains and has been adjusted for the Class A maximum applicable sales charge of 5.75%. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. Class A shares are subject to a 1.00% maximum deferred sales charge. 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. Past performance is no guarantee of future results. Performance figures for periods greater than 1 year are annualized. As disclosed in the Fund’s Prospectus dated November 1, 2022 the Fund’s total gross annual operating expenses. including the cost of underlying funds, are 1.89% for Class A, 2.64% for Class C and 1.64% for Class I shares. Please review the Fund’s most recent prospectus for detail on the expense waiver. For performance information current to the most recent month-end, please call toll-free 1-866-447-4228. |
** | Inception date is April 14, 2015 for Class A, Class I. Total returns for Class A and Class I shares are based on the performance of the Fund’s Predecessor Fund. |
*** | Inception date is September 5, 2017 for Class C. |
(a) | Buffered Shield merged with the Exceed Defined Shield Index Fund, (the “Predecessor Fund”) effective as of the close of business on September 1, 2017. The Predecessor Fund was organized originally as an investment company on April 14, 2015. Buffered Shield acquired all of the assets and liabilities of the Predecessor Fund, a series of Forum Funds in a tax-free exchange. In connection with the acquisition, Investor Shares and Institutional Shares of the Predecessor Fund were exchanged for Class A shares and Class I shares of the Buffered Shield Fund, respectively. |
(b) | The S&P 500 Total Return Index, a registered trademark of McGraw-Hill Co., Inc., is a market capitalization-weighted index of 500 widely held common stocks. Investors cannot invest directly in an Index. |
The returns are based upon unadjusted net asset values and may differ from the returns shown in the financial statements, which include adjustments in accordance with accounting principles generally accepted in the United States.
Comparison of the Change in Value of a $10,000 Investment
Holdings by Industry/Security Type ^ | % of Net Assets | |||
Fixed Income | 93.6 | % | ||
Other/Cash & Equivalents | 6.4 | % | ||
100.0 | % |
^ Does not include derivatives in which the Fund invests.
Please refer to the Schedule of Investments for a more detailed listing of the Fund’s assets.
23
CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
June 30, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 25.6% | ||||||||
AUTOMOTIVE - 1.7% | ||||||||
16,641 | Sumitomo Electric Industries Ltd. | $ | 202,653 | |||||
BEVERAGES - 0.0%(a) | ||||||||
2 | Treasury Wine Estates Ltd. | 15 | ||||||
BIOTECH & PHARMA - 0.0%(a) | ||||||||
2 | Bayer A.G. | 111 | ||||||
CHEMICALS - 1.3% | ||||||||
394 | Air Liquide S.A. | 70,597 | ||||||
219 | New Linde PLC | 83,457 | ||||||
154,054 | ||||||||
ELECTRIC UTILITIES - 1.4% | ||||||||
2 | BKW A.G. | 353 | ||||||
4,789 | Brookfield Renewable Partners, L.P. | 141,228 | ||||||
2 | Enel SpA | 13 | ||||||
7,264 | Fusion Fuel Green PLC(b) | 18,596 | ||||||
160,190 | ||||||||
ELECTRICAL EQUIPMENT - 5.0% | ||||||||
1,931 | Bloom Energy Corporation, Class A(b) | 31,572 | ||||||
10,916 | Furukawa Electric Company Ltd. | 191,949 | ||||||
1,283 | Nexans S.A. | 111,093 | ||||||
2,142 | NKT A/S(b) | 129,909 | ||||||
3,367 | Prysmian SpA | 140,647 | ||||||
605,170 | ||||||||
ENGINEERING & CONSTRUCTION - 0.0%(a) | ||||||||
2 | Stantec, Inc. | 131 | ||||||
FOOD - 0.0%(a) | ||||||||
2 | Leroy Seafood Group ASA | 8 | ||||||
FORESTRY, PAPER & WOOD PRODUCTS - 0.0%(a) | ||||||||
2 | Altri SGPS S.A. | 9 | ||||||
2 | Daio Paper Corporation | 16 |
The accompanying notes are an integral part of these consolidated financial statements.
24
CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 25.6% (Continued) | ||||||||
FORESTRY, PAPER & WOOD PRODUCTS - 0.0%(a) (Continued) | ||||||||
2 | Stora Enso OYJ, R Shares | $ | 23 | |||||
2 | Svenska Cellulosa A.B. SCA | 25 | ||||||
73 | ||||||||
GAS & WATER UTILITIES - 0.0%(a) | ||||||||
2 | American Water Works Company, Inc. | 286 | ||||||
INSTITUTIONAL FINANCIAL SERVICES - 7.3% | ||||||||
1,986 | Cboe Global Markets, Inc. | 274,087 | ||||||
1,238 | CME Group, Inc. | 229,389 | ||||||
4,734 | Hong Kong Exchanges & Clearing Ltd. | 178,340 | ||||||
1,915 | Intercontinental Exchange, Inc. | 216,548 | ||||||
898,364 | ||||||||
RENEWABLE ENERGY - 1.7% | ||||||||
6,599 | Ballard Power Systems, Inc.(b) | 28,771 | ||||||
40,983 | Cell Impact A.B.(b) | 17,118 | ||||||
6,516 | Ceres Power Holdings PLC(b) | 25,123 | ||||||
11,622 | FuelCell Energy, Inc.(b) | 25,104 | ||||||
26,432 | ITM Power PLC(b) | 24,263 | ||||||
2,761 | McPhy Energy S.A.(b) | 25,248 | ||||||
22,181 | NEL ASA(b) | 26,018 | ||||||
3,086 | Plug Power, Inc.(b) | 32,063 | ||||||
2 | Vestas Wind Systems A/S(b) | 53 | ||||||
2 | Xinjiang Goldwind Science & Technology Company Ltd. | 1 | ||||||
203,762 | ||||||||
SPECIALTY REIT - 2.8% | ||||||||
15,340 | Farmland Partners, Inc. | 187,301 | ||||||
9,379 | Gladstone Land Corporation | 152,596 | ||||||
339,897 | ||||||||
TIMBER REIT - 4.4% | ||||||||
3,448 | PotlatchDeltic Corporation | 182,227 | ||||||
5,394 | Rayonier, Inc. | 169,372 | ||||||
5,414 | Weyerhaeuser Company | 181,423 | ||||||
533,022 |
The accompanying notes are an integral part of these consolidated financial statements.
25
CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||||||
TOTAL COMMON STOCKS (Cost $3,030,361) | $ | 3,097,736 | ||||||||||
EXCHANGE-TRADED FUNDS — 31.2% | ||||||||||||
EQUITY - 28.0% | ||||||||||||
10,371 | First Trust Global Wind Energy ETF | 181,181 | ||||||||||
1,650 | First Trust NASDAQ Clean Edge Smart Grid Infrastructure Index Fund | 173,448 | ||||||||||
5,966 | Global X US Infrastructure Development ETF | 187,511 | ||||||||||
1,865 | Invesco Solar ETF(b) | 133,198 | ||||||||||
2,409 | Invesco Water Resources ETF | 135,844 | ||||||||||
10,015 | iShares Emerging Markets Infrastructure ETF | 220,230 | ||||||||||
8,687 | iShares Global Clean Energy ETF | 159,841 | ||||||||||
4,554 | iShares Global Infrastructure ETF | 213,810 | ||||||||||
2,844 | iShares Global Timber & Forestry ETF | 203,901 | ||||||||||
14,198 | Utilities Select Sector SPDR Fund | 929,118 | ||||||||||
4,025 | VanEck Agribusiness ETF | 328,963 | ||||||||||
825 | VanEck Environmental Services ETF | 133,314 | ||||||||||
2,479 | VanEck Natural Resources ETF | 119,423 | ||||||||||
907 | VanEck Rare Earth/Strategic Metals ETF | 75,426 | ||||||||||
1,409 | VanEck Steel ETF | 90,120 | ||||||||||
1,914 | VanEck Uranium + Nuclear Energy ETF | 113,701 | ||||||||||
3,399,029 | ||||||||||||
FIXED INCOME - 3.2% | ||||||||||||
3,645 | iShares TIPS Bond ETF | 392,275 | ||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $3,855,074) | 3,791,304 | |||||||||||
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 17.1% | ||||||||||||
U.S. TREASURY NOTES — 17.1% | ||||||||||||
525,000 | United States Treasury Note | 2.5000 | 08/15/23 | 523,265 |
The accompanying notes are an integral part of these consolidated financial statements.
26
CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 17.1% (Continued) | ||||||||||||
U.S. TREASURY NOTES — 17.1% | ||||||||||||
787,000 | United States Treasury Note | 2.7500 | 11/15/23 | $ | 779,759 | |||||||
525,000 | United States Treasury Note | 2.7500 | 02/15/24 | 516,443 | ||||||||
262,000 | United States Treasury Note | 2.5000 | 05/15/24 | 255,471 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,081,292) | 2,074,938 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENT — 21.7% | ||||||||||||
MONEY MARKET FUND - 21.7% | ||||||||||||
2,638,769 | First American Treasury Obligations Fund, Class X, 5.03%(c),(e) | 2,638,769 | ||||||||||
TOTAL MONEY MARKET FUNDS (Cost $2,638,769) | ||||||||||||
TOTAL INVESTMENTS - 95.6% (Cost $11,605,496) | $ | 11,602,747 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 4.4% | 538,417 | |||||||||||
NET ASSETS - 100.0% | $ | 12,141,164 |
OPEN FUTURES CONTRACTS | ||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration Date | Notional Amount(d) | Value and Unrealized Appreciation (Depreciation) | ||||||||
2 | CBOT Corn Future(e) | 12/14/2023 | $ | 49,475 | $ | (9,300 | ) | |||||
1 | CBOT Soybean Future(e) | 11/14/2023 | 67,163 | 5,050 | ||||||||
1 | CBOT Soybean Meal Future(e) | 12/14/2023 | 39,730 | 1,770 | ||||||||
3 | CBOT Soybean Oil Future(e) | 12/14/2023 | 106,146 | 9,522 | ||||||||
2 | CME Lean Hogs Future(e) | 08/14/2023 | 74,080 | 3,910 | ||||||||
5 | CME Live Cattle Future(e) | 08/31/2023 | 354,350 | 26,630 | ||||||||
4 | COMEX Gold 100 Troy Ounces Future(e) | 08/29/2023 | 771,759 | (13,550 | ) | |||||||
3 | COMEX Silver Future(e) | 09/27/2023 | 345,300 | 5,695 | ||||||||
7 | ICE Brent Crude Oil Future(e) | 07/31/2023 | 527,870 | (1,350 | ) | |||||||
3 | ICE Gas Oil Future(e) | 08/10/2023 | 210,750 | 3,450 | ||||||||
1 | KCBT Hard Red Winter Wheat Future(e) | 09/14/2023 | 40,000 | 900 | ||||||||
2 | LME Lead Future(e) | 09/18/2023 | 105,125 | 2,156 | ||||||||
2 | NYBOT CSC Cocoa Future(e) | 09/14/2023 | 67,060 | 4,000 | ||||||||
2 | NYBOT CSC Number 11 World Sugar Future(e) | 09/29/2023 | 51,050 | (4,323 | ) | |||||||
1 | NYMEX Light Sweet Crude Oil Future(e) | 07/20/2023 | 70,640 | 1,500 | ||||||||
2 | NYMEX NY Harbor ULSD Futures(e) | 07/31/2023 | 205,598 | 5,048 | ||||||||
2 | NYMEX Platinum Future(e) | 10/27/2023 | 91,320 | (1,180 | ) |
The accompanying notes are an integral part of these consolidated financial statements.
27
CATALYST/MILLBURN DYNAMIC COMMODITY STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
OPEN FUTURES CONTRACTS (Continued) | ||||||||||||
Number of Contracts | Open Long Futures Contracts (Continued) | Expiration Date | Notional Amount(d) | Value and Unrealized Appreciation (Depreciation) | ||||||||
4 | NYMEX Reformulated Gasoline Blendstock for Oxygen Blending RBOB Future(e) | 07/31/2023 | $ | 427,544 | $ | 13,096 | ||||||
TOTAL LONG FUTURES CONTRACTS | $ | 53,024 |
OPEN FUTURES CONTRACTS | ||||||||||||
Number of Contracts | Open Short Futures Contracts | Expiration Date | Notional Amount(d) | Value and Unrealized Appreciation (Depreciation) | ||||||||
2 | LME Nickel Future(e) | 09/18/2023 | $ | 246,108 | $ | 9,945 | ||||||
3 | LME Primary Aluminum Future(e) | 09/18/2023 | 161,063 | 5,207 | ||||||||
1 | LME Zinc Future(e) | 09/18/2023 | 59,731 | 2,957 | ||||||||
TOTAL SHORT FUTURES CONTRACTS | $ | 18,109 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 71,133 |
A/S - Anonim Sirketi
ETF - Exchange Traded Fund
L.P. - Limited Partnership
Ltd. - Limited Company
OYJ - Julkinen osakeyhtiö
PLC - Public Limited Company
REIT - Real Estate Investment Trust
S/A - Société Anonyme
SPDR - Standard & Poor’s Depositary Receipt
(a) | Percentage rounds to less than 0.1%. |
(b) | Non income producing security. |
(c) | Rate disclosed is the seven day effective yield as of June 30, 2023. |
(d) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
(e) | All or a portion of this investment is a holding of the CHCSF Fund Limited. |
The accompanying notes are an integral part of these consolidated financial statements.
28
CATALYST/WARRINGTON STRATEGIC PROGRAM FUND |
SCHEDULE OF INVESTMENTS |
June 30, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
U.S. GOVERNMENT & AGENCIES — 68.7% | ||||||||||||
U.S. TREASURY BILLS — 68.7% | ||||||||||||
13,000,000 | United States Treasury Bill(a) (d) | 3.8705 | 07/13/23 | $ | 12,981,830 | |||||||
15,000,000 | United States Treasury Bill(a) (d) | 4.7500 | 08/10/23 | 14,918,854 | ||||||||
10,000,000 | United States Treasury Bill(a) (d) | 4.9255 | 09/07/23 | 9,905,595 | ||||||||
10,000,000 | United States Treasury Bill(a) (d) | 5.0801 | 11/02/23 | 9,823,608 | ||||||||
15,000,000 | United States Treasury Bill(a) (d) | 5.1500 | 12/28/23 | 14,611,602 | ||||||||
20,000,000 | United States Treasury Bill(a) (d) | 4.9433 | 01/25/24 | 19,426,032 | ||||||||
81,667,521 | ||||||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $81,839,522) | 81,667,521 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENT — 1.6% | ||||||||||||
MONEY MARKET FUND - 1.6% | ||||||||||||
1,843,158 | First American Treasury Obligations Fund, Class X, 5.03% (Cost $1,843,158)(b) | 1,843,158 |
Contracts(c) | Broker/Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||
FUTURE OPTIONS PURCHASED - 0.2% | ||||||||||||||||||
PUT OPTIONS PURCHASED - 0.2% | ||||||||||||||||||
471 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/03/2023 | $ | 4,250 | $ | 100,087,500 | $ | 4,710 | |||||||||
1,284 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/10/2023 | 4,175 | 268,035,000 | 51,360 | ||||||||||||
600 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/10/2023 | 4,175 | 125,250,000 | 24,000 | ||||||||||||
642 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/10/2023 | 4,325 | 138,832,500 | 46,545 | ||||||||||||
300 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/10/2023 | 4,325 | 64,875,000 | 21,750 | ||||||||||||
1,200 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/05/2023 | 4,150 | 249,000,000 | 15,000 | ||||||||||||
684 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/05/2023 | 4,150 | 141,930,000 | 8,550 | ||||||||||||
600 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/05/2023 | 4,270 | 128,100,000 | 10,500 | ||||||||||||
342 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/05/2023 | 4,270 | 73,017,000 | 5,985 | ||||||||||||
1,384 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/07/2023 | 4,180 | 289,256,000 | 38,060 | ||||||||||||
500 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/07/2023 | 4,180 | 104,500,000 | 13,750 | ||||||||||||
692 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/07/2023 | 4,300 | 148,780,000 | 27,680 | ||||||||||||
250 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/07/2023 | 4,300 | 53,750,000 | 10,000 | ||||||||||||
250 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/06/2023 | 4,250 | 53,125,000 | 5,625 | ||||||||||||
221 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/06/2023 | 4,250 | 46,962,500 | 4,972 | ||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $945,532) | 288,487 | |||||||||||||||||
TOTAL FUTURE OPTIONS PURCHASED (Cost - $945,532) | 288,487 |
The accompanying notes are an integral part of these financial statements.
29
CATALYST/WARRINGTON STRATEGIC PROGRAM FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Fair Value | ||||||||
TOTAL INVESTMENTS - 70.5% (Cost $84,628,212) | $ | 83,799,166 | ||||||
PUT OPTIONS WRITTEN - (0.4)% (Proceeds - $953,775) | (459,225 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 29.9% | 35,529,811 | |||||||
NET ASSETS - 100.0% | $ | 118,869,752 |
Contracts(c) | Counterparty | Expiration Date | Exercise Price | Notional Value | Fair Value | |||||||||||||
FUTURE OPTIONS WRITTEN - (0.4)% | ||||||||||||||||||
PUT OPTIONS WRITTEN - (0.4)% | ||||||||||||||||||
1,413 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/03/2023 | $ | 4,125 | $ | 291,431,250 | $ | 10,597 | |||||||||
3,852 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/10/2023 | 3,900 | 751,140,000 | 77,040 | ||||||||||||
1,800 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/10/2023 | 3,900 | 351,000,000 | 36,000 | ||||||||||||
1,284 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/10/2023 | 4,250 | 272,850,000 | 64,200 | ||||||||||||
600 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/10/2023 | 4,250 | 127,500,000 | 30,000 | ||||||||||||
3,600 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/05/2023 | 3,950 | 711,000,000 | 27,000 | ||||||||||||
2,052 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/05/2023 | 3,950 | 405,270,000 | 15,390 | ||||||||||||
1,200 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/05/2023 | 4,210 | 252,600,000 | 18,000 | ||||||||||||
684 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/05/2023 | 4,210 | 143,982,000 | 10,260 | ||||||||||||
4,152 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/07/2023 | 3,925 | 814,830,000 | 62,280 | ||||||||||||
1,500 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/07/2023 | 3,925 | 294,375,000 | 22,500 | ||||||||||||
1,384 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/07/2023 | 4,240 | 293,408,000 | 44,980 | ||||||||||||
500 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/07/2023 | 4,240 | 106,000,000 | 16,250 | ||||||||||||
750 | S&P 500 Emini Future, Maturing September 2023 | ADM | 07/06/2023 | 4,125 | 154,687,500 | 13,125 | ||||||||||||
663 | S&P 500 Emini Future, Maturing September 2023 | FCS | 07/06/2023 | 4,125 | 136,743,750 | 11,603 | ||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $953,775) | 459,225 | |||||||||||||||||
TOTAL FUTURE OPTIONS WRITTEN (Proceeds - $953,775) | $ | 459,225 |
ADM | ADM Investor Services, Inc. |
FCS | StoneX Group, Inc. |
(a) | Zero coupon bond. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2023. |
(c) | Each contract is equivalent to one futures contract. |
(d) | Held as collateral for options. |
The accompanying notes are an integral part of these financial statements.
30
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
June 30, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CONVERTIBLE BONDS — 0.7% | ||||||||||||
ASSET MANAGEMENT — 0.2% | ||||||||||||
225,000 | New Mountain Finance Corporation(a) | 7.5000 | 10/15/25 | $ | 228,641 | |||||||
SPECIALTY FINANCE — 0.5% | ||||||||||||
225,000 | Arbor Realty Trust, Inc.(a) | 7.5000 | 08/01/25 | 225,225 | ||||||||
225,000 | Two Harbors Investment Corporation | 6.2500 | 01/15/26 | 201,375 | ||||||||
426,600 | ||||||||||||
TOTAL CONVERTIBLE BONDS (Cost $651,471) | 655,241 | |||||||||||
CORPORATE BONDS — 62.9% | ||||||||||||
AEROSPACE & DEFENSE — 3.7% | ||||||||||||
3,500,000 | Raytheon Technologies Corporation | 3.9500 | 08/16/25 | 3,430,092 | ||||||||
ASSET MANAGEMENT — 1.8% | ||||||||||||
1,650,000 | Ares Capital Corporation | 4.2000 | 06/10/24 | 1,611,040 | ||||||||
BEVERAGES — 3.8% | ||||||||||||
3,500,000 | Constellation Brands, Inc. | 5.0000 | 02/02/26 | 3,483,845 | ||||||||
BIOTECH & PHARMA — 7.3% | ||||||||||||
3,500,000 | AbbVie, Inc. | 3.8000 | 03/15/25 | 3,404,213 | ||||||||
3,500,000 | Gilead Sciences, Inc. | 3.6500 | 03/01/26 | 3,366,976 | ||||||||
6,771,189 | ||||||||||||
CHEMICALS — 5.6% | ||||||||||||
3,500,000 | DuPont de Nemours, Inc. | 4.4930 | 11/15/25 | 3,428,668 | ||||||||
1,760,000 | Sherwin-Williams Company (The) | 3.1250 | 06/01/24 | 1,718,474 | ||||||||
5,147,142 | ||||||||||||
FOOD — 3.6% | ||||||||||||
3,500,000 | Kraft Heinz Foods Company | 3.0000 | 06/01/26 | 3,302,822 | ||||||||
HEALTH CARE FACILITIES & SERVICES — 3.8% | ||||||||||||
3,500,000 | HCA, Inc. | 5.0000 | 03/15/24 | 3,478,416 |
The accompanying notes are an integral part of these consolidated financial statements.
31
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | Fair Value | |||||||||
CORPORATE BONDS — 62.9% (Continued) | ||||||||||||
INSTITUTIONAL FINANCIAL SERVICES — 0.8% | ||||||||||||
800,000 | Goldman Sachs Group, Inc. (The) | 3.7500 | 05/22/25 | $ | 772,363 | |||||||
INTERNET MEDIA & SERVICES — 7.6% | ||||||||||||
3,500,000 | Netflix, Inc. | 5.7500 | 03/01/24 | 3,496,255 | ||||||||
3,500,000 | VeriSign, Inc. | 5.2500 | 04/01/25 | 3,468,918 | ||||||||
6,965,173 | ||||||||||||
LEISURE FACILITIES & SERVICES — 3.7% | ||||||||||||
3,500,000 | McDonald’s Corporation Series MTN | 3.7000 | 01/30/26 | 3,383,949 | ||||||||
RETAIL - DISCRETIONARY — 6.5% | ||||||||||||
1,700,000 | Lowe’s Companies, Inc. | 4.4000 | 09/08/25 | 1,666,119 | ||||||||
1,300,000 | Lowe’s Companies, Inc. | 4.8000 | 04/01/26 | 1,287,274 | ||||||||
3,157,000 | Ross Stores, Inc. | 3.3750 | 09/15/24 | 3,068,180 | ||||||||
6,021,573 | ||||||||||||
SEMICONDUCTORS — 3.8% | ||||||||||||
3,500,000 | Intel Corporation | 4.8750 | 02/10/26 | 3,489,941 | ||||||||
SOFTWARE — 3.6% | ||||||||||||
3,500,000 | Oracle Corporation | 2.9500 | 05/15/25 | 3,339,056 | ||||||||
TECHNOLOGY SERVICES — 7.3% | ||||||||||||
3,500,000 | Equifax, Inc. | 2.6000 | 12/01/24 | 3,334,768 | ||||||||
3,500,000 | International Business Machines Corporation | 3.3000 | 05/15/26 | 3,336,571 | ||||||||
6,671,339 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $58,210,363) | 57,867,940 | |||||||||||
Discount Rate | ||||||||||||
(%) | ||||||||||||
U.S. GOVERNMENT & AGENCIES — 13.5% | ||||||||||||
U.S. TREASURY BILLS — 13.5% | ||||||||||||
1,000,000 | United States Treasury Bill(b),(c),(e) | 5.0559 | 03/21/24 | 962,783 | ||||||||
2,000,000 | United States Treasury Bill(b),(c),(e) | 5.0974 | 04/18/24 | 1,917,025 | ||||||||
5,000,000 | United States Treasury Bill(b),(c),(e) | 5.1078 | 05/16/24 | 4,772,277 | ||||||||
5,000,000 | United States Treasury Bill(b),(c),(e) | 5.0822 | 06/13/24 | 4,753,655 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $12,444,944) | 12,405,740 |
The accompanying notes are an integral part of these consolidated financial statements.
32
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 13.2% | ||||||||
MONEY MARKET FUNDS - 13.2% | ||||||||
1,246,055 | First American Government Obligations Fund, Class U, 5.03%(b) (d) | $ | 1,246,055 | |||||
10,864,482 | First American Treasury Obligations Fund, Class X, 5.03% (d) | 10,864,482 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $12,110,537) | 12,110,537 | |||||||
TOTAL INVESTMENTS - 90.3% (Cost $83,417,315) | $ | 83,039,458 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 9.7% | 8,973,457 | |||||||
NET ASSETS - 100.0% | $ | 92,012,915 |
(a) | Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of June 30, 2023 the total market value of 144A securities is $453,866 or 0.5% of net assets. |
(b) | All or a portion of this investment is a holding of the CSACS Fund Limited. |
(c) | Zero coupon bond. |
(d) | Rate disclosed is the seven day effective yield as of June 30, 2023. |
(e) | This security is segregated as Collateral for a Swap Contract. |
The accompanying notes are an integral part of these consolidated financial statements.
33
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
TOTAL RETURN SWAP - 6.0 %
The BNP Paribas Catalyst Systematic Index (“BNP CASA Index”) is a rules based index designed to capitalize on structural inefficiencies and behavioral biases present within the equity, fixed income, commodity and currency markets. The BNP CASA Index is comprised of seven rules-based Index components created by BNP Paribas.
Notional | Pay/Receive Fixed | Upfront | Unrealized | |||||||||||||||
Shares | Frequency and Reference Entity | Amount | Counterparty | Maturity | Rate | Payments | Appreciation | |||||||||||
21,079 | At Maturity BNP Paribas Catalyst Systematic Index + | 102,956,689 | BNP Paribas | 6/12/2024 | 0.1500% | — | $ | 5,522,099 |
+ | This instrument is held by CSACS Fund Ltd. |
The accompanying notes are an integral part of these consolidated financial statements.
34
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
BNP Paribas Catalyst Systematic Index Swap Holdings ^
Value | ||||||||||||||||||
Unrealized | ||||||||||||||||||
Appreciation/ | ||||||||||||||||||
Long Contracts | Notional Amount | Expiration | (Depreciation) | Weighted% | ||||||||||||||
OPEN LONG FUTURES CONTRACTS | ||||||||||||||||||
98 | CMX Gold | $ | 18,965,196 | Aug-23 | $ | (504,246 | ) | 18.42 | % | |||||||||
174 | Eurostoxx 50 | 8,497,396 | Sep-23 | 370,584 | 8.25 | % | ||||||||||||
58 | JGB | 60,189,076 | Sep-23 | 301,332 | 58.46 | % | ||||||||||||
232 | Nikkei | 27,008,493 | Sep-23 | 2,092,084 | 26.23 | % | ||||||||||||
85 | S&P 500 | 19,109,636 | Sep-23 | 1,155,902 | 18.56 | % | ||||||||||||
80 | ICE Brent Crude | 5,977,497 | Feb-24 | 281,759 | 5.81 | % | ||||||||||||
80 | ICE Brent Crude | 5,968,092 | Jan-24 | 276,866 | 5.80 | % | ||||||||||||
65 | ICE Brent Crude | 4,779,863 | Jun-24 | 225,375 | 4.64 | % | ||||||||||||
16 | ICE Brent Crude | 1,198,782 | Nov-23 | 53,338 | 1.16 | % | ||||||||||||
27 | ICE Gas Oil | 1,880,464 | Aug-23 | 132,528 | 1.83 | % | ||||||||||||
29 | ICE Gas Oil | 2,025,526 | Dec-23 | 109,655 | 1.97 | % | ||||||||||||
29 | ICE Gas Oil | 2,003,853 | Nov-23 | 113,139 | 1.95 | % | ||||||||||||
62 | LME Aluminium HG | 3,330,895 | Aug-23 | (162,491 | ) | 3.24 | % | |||||||||||
36 | LME Aluminium HG | 2,014,074 | Jun-24 | (79,130 | ) | 1.96 | % | |||||||||||
25 | LME Aluminium HG | 1,337,660 | Oct-23 | (63,476 | ) | 1.30 | % | |||||||||||
21 | LME Copper | 4,368,604 | Aug-23 | 127,781 | 4.24 | % | ||||||||||||
4 | LME Copper | 873,802 | Jan-24 | 21,732 | 0.85 | % | ||||||||||||
21 | LME Copper | 4,366,323 | Oct-23 | 117,287 | 4.24 | % | ||||||||||||
17 | LME Copper | 3,494,258 | Sep-23 | 97,159 | 3.39 | % | ||||||||||||
6 | LME Lead | 305,202 | Aug-23 | 13,656 | 0.30 | % | ||||||||||||
9 | LME Lead | 456,901 | Dec-23 | 17,253 | 0.44 | % | ||||||||||||
15 | LME Lead | 761,690 | Nov-23 | 30,120 | 0.74 | % | ||||||||||||
15 | LME Lead | 762,658 | Oct-23 | 31,884 | 0.74 | % | ||||||||||||
14 | LME Nickel | 1,698,747 | Aug-23 | (8,843 | ) | 1.65 | % | |||||||||||
3 | LME Nickel | 340,579 | Dec-23 | (2,529 | ) | 0.33 | % | |||||||||||
3 | LME Nickel | 340,625 | Nov-23 | (2,392 | ) | 0.33 | % | |||||||||||
8 | LME Nickel | 1,021,486 | Oct-23 | (6,905 | ) | 0.99 | % | |||||||||||
32 | LME Zinc | 1,925,111 | Aug-23 | 121,417 | 1.87 | % | ||||||||||||
19 | LME Zinc | 1,154,561 | Dec-23 | 69,489 | 1.12 | % | ||||||||||||
13 | LME Zinc | 770,307 | Nov-23 | 46,830 | 0.75 | % | ||||||||||||
1936 | NYMEX Gasoline RBOB | 2,069,206 | Aug-23 | 147,464 | 2.01 | % | ||||||||||||
2146 | NYMEX Gasoline RBOB | 1,999,520 | Oct-23 | 92,233 | 1.94 | % | ||||||||||||
1137 | NYMEX Heating Oil | 1,168,532 | Aug-23 | 100,424 | 1.13 | % | ||||||||||||
1529 | NYMEX Heating Oil | 1,554,758 | Dec-23 | 104,158 | 1.51 | % | ||||||||||||
290 | NYMEX Heating Oil | 293,156 | Feb-24 | 17,792 | 0.28 | % | ||||||||||||
286 | NYMEX Heating Oil | 292,270 | Nov-23 | 20,568 | 0.28 | % | ||||||||||||
115 | NYMEX Natural Gas | 3,667,384 | Apr-24 | 201,651 | 3.56 | % | ||||||||||||
93 | NYMEX Natural Gas | 3,521,090 | Feb-24 | 183,513 | 3.42 | % | ||||||||||||
222 | NYMEX Natural Gas | 7,778,095 | Mar-24 | 460,994 | 7.55 | % | ||||||||||||
92 | NYMEX WTI Crude | 6,472,233 | Jan-24 | 305,075 | 6.29 | % | ||||||||||||
93 | NYMEX WTI Crude | 6,406,701 | Jul-24 | 313,881 | 6.22 | % | ||||||||||||
93 | NYMEX WTI Crude | 6,410,497 | Jun-24 | 317,795 | 6.23 | % | ||||||||||||
NET UNREALIZED GAIN FROM OPEN LONG FUTURE CONTRACTS | $ | 7,242,707 | ||||||||||||||||
Short Contracts | ||||||||||||||||||
OPEN SHORT FUTURES CONTRACTS | ||||||||||||||||||
(40 | ) | 3 Month SOFR | $ | (9,369,241 | ) | Dec-23 | $ | 54,155 | 9.10 | % | ||||||||
(26 | ) | 3 Month SOFR | (6,254,421 | ) | Dec-24 | 47,835 | 6.07 | % | ||||||||||
(40 | ) | 3 Month SOFR | (9,428,637 | ) | Jun-24 | 83,891 | 9.16 | % | ||||||||||
(26 | ) | 3 Month SOFR | (6,279,133 | ) | Jun-25 | 38,856 | 6.10 | % | ||||||||||
(40 | ) | 3 Month SOFR | (9,393,528 | ) | Mar-24 | 72,205 | 9.12 | % | ||||||||||
(26 | ) | 3 Month SOFR | (6,269,575 | ) | Mar-25 | 44,965 | 6.09 | % | ||||||||||
(40 | ) | 3 Month SOFR | (9,366,123 | ) | Sep-23 | 22,717 | 9.10 | % | ||||||||||
(26 | ) | 3 Month SOFR | (6,232,112 | ) | Sep-24 | 55,226 | 6.05 | % | ||||||||||
(70 | ) | 3 Months Euribor | (18,413,124 | ) | Dec-23 | 54,496 | 17.88 | % | ||||||||||
(43 | ) | 3 Months Euribor | (11,477,131 | ) | Dec-24 | 67,353 | 11.15 | % |
The accompanying notes are an integral part of these consolidated financial statements.
35
CATALYST SYSTEMATIC ALPHA FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Value | ||||||||||||||||||
Unrealized | ||||||||||||||||||
Appreciation/ | ||||||||||||||||||
Short Contracts | Notional Amount | Expiration | (Depreciation) | Weighted% | ||||||||||||||
OPEN SHORT FUTURES CONTRACTS (Continued) | ||||||||||||||||||
(70 | ) | 3 Months Euribor | $ | (18,444,777 | ) | Jun-24 | $ | 108,673 | 17.92 | % | ||||||||
(43 | ) | 3 Months Euribor | (11,512,188 | ) | Jun-25 | 50,295 | 11.18 | % | ||||||||||
(70 | ) | 3 Months Euribor | (18,418,883 | ) | Mar-24 | 87,800 | 17.89 | % | ||||||||||
(43 | ) | 3 Months Euribor | (11,496,151 | ) | Mar-25 | 58,536 | 11.17 | % | ||||||||||
(70 | ) | 3 Months Euribor | (18,428,472 | ) | Sep-23 | 22,985 | 17.90 | % | ||||||||||
(43 | ) | 3 Months Euribor | (11,453,361 | ) | Sep-24 | 72,049 | 11.12 | % | ||||||||||
(368 | ) | CBOE VIX | (5,543,309 | ) | Jul-23 | 1,473,534 | 5.38 | % | ||||||||||
(13924 | ) | CMX Copper | (13,086,409 | ) | Sep-23 | (379,680 | ) | 12.71 | % | |||||||||
(239 | ) | ICE Brent Crude | (18,007,172 | ) | Sep-23 | (725,354 | ) | 17.49 | % | |||||||||
(85 | ) | ICE Gas Oil | (5,944,284 | ) | Sep-23 | (376,592 | ) | 5.77 | % | |||||||||
(125 | ) | LME Aluminium HG | (6,727,685 | ) | Sep-23 | 319,243 | 6.53 | % | ||||||||||
(44 | ) | LME Lead | (2,305,903 | ) | Sep-23 | (101,626 | ) | 2.24 | % | |||||||||
(28 | ) | LME Nickel | (3,439,150 | ) | Sep-23 | 21,331 | 3.34 | % | ||||||||||
(65 | ) | LME Zinc | (3,896,153 | ) | Sep-23 | (240,209 | ) | 3.78 | % | |||||||||
(4002 | ) | NYMEX Gasoline RBOB | (4,138,922 | ) | Sep-23 | (276,299 | ) | 4.02 | % | |||||||||
(3258 | ) | NYMEX Heating Oil | (3,341,066 | ) | Sep-23 | (265,708 | ) | 3.25 | % | |||||||||
(574 | ) | NYMEX Natural Gas | (15,930,757 | ) | Sep-23 | (2,810,515 | ) | 15.47 | % | |||||||||
(273 | ) | NYMEX WTI Crude | (19,310,938 | ) | Sep-23 | (748,178 | ) | 18.76 | % | |||||||||
NET UNREALIZED LOSS FROM OPEN SHORT FUTURE CONTRACTS | $ | (3,168,017 | ) |
^ | The make up of the underlying index and the total positions will not correlate to the unrealized gain/loss for the total return swap due to timing of contracts opened and closed in the index. |
The accompanying notes are an integral part of these consolidated financial statements.
36
CATALYST INCOME AND MULTI-STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
June 30, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 25.6% | ||||||||
MORTGAGE FINANCE - 22.1% | ||||||||
11,170 | AGNC Investment Corporation | $ | 113,152 | |||||
5,455 | Annaly Capital Management, Inc. | 109,155 | ||||||
8,200 | Arbor Realty Trust, Inc. | 121,523 | ||||||
9,240 | KKR Real Estate Finance Trust, Inc. | 112,451 | ||||||
10,910 | Ladder Capital Corporation | 118,374 | ||||||
9,759 | MFA Financial, Inc. | 109,691 | ||||||
10,560 | New York Mortgage Trust, Inc. | 104,755 | ||||||
8,810 | PennyMac Mortgage Investment Trust | 118,759 | ||||||
17,340 | Redwood Trust, Inc. | 110,456 | ||||||
12,710 | Rithm Capital Corporation | 118,838 | ||||||
5,920 | Starwood Property Trust, Inc. | 114,848 | ||||||
8,220 | Two Harbors Investment Corporation | 114,094 | ||||||
1,366,096 | ||||||||
REAL ESTATE INVESTMENT TRUSTS - 3.5% | ||||||||
7,760 | Franklin BSP Realty Trust, Inc. | 109,882 | ||||||
4,280 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 107,000 | ||||||
216,882 | ||||||||
TOTAL COMMON STOCKS (Cost $1,640,576) | 1,582,978 | |||||||
EXCHANGE-TRADED FUNDS — 34.0% | ||||||||
FIXED INCOME - 34.0% | ||||||||
3,460 | iShares Convertible Bond ETF | 264,206 | ||||||
8,915 | iShares MBS ETF | 831,456 | ||||||
2,500 | iShares Trust iShares 1 5 Year Investment Grade | 125,425 | ||||||
1,590 | Vanguard Intermediate Term Corporate Bond ETF | 125,658 | ||||||
13,610 | Vanguard Mortgage Backed Securities ETF | 625,924 |
The accompanying notes are an integral part of these consolidated financial statements.
37
CATALYST INCOME AND MULTI-STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 34.0% (Continued) | ||||||||
FIXED INCOME - 34.0% (Continued) | ||||||||
1,660 | Vanguard Short Term Corporate Bond ETF | $ | 125,596 | |||||
2,098,265 | ||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $2,288,292) | 2,098,265 | |||||||
OPEN END FUNDS — 9.6% | ||||||||
FIXED INCOME - 9.6% | ||||||||
32,013 | Catalyst Enhanced Income Strategy Fund, Class I(a) | 294,196 | ||||||
16,291 | Rational Special Situations Income Fund, Institutional Class(a) | 298,775 | ||||||
592,971 | ||||||||
TOTAL OPEN END FUNDS (Cost $647,315) | 592,971 | |||||||
SHORT-TERM INVESTMENT — 23.2% | ||||||||
MONEY MARKET FUND - 23.2% | ||||||||
1,431,278 | First American Treasury Obligations Fund, Class X, 5.03%(b)(d) (Cost $1,431,278) | 1,431,278 | ||||||
TOTAL INVESTMENTS – 92.4% (Cost $6,007,461) | $ | 5,705,492 | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 7.6% | 466,757 | |||||||
NET ASSETS - 100.0% | $ | 6,172,249 |
OPEN FUTURES CONTRACTS | ||||||||||||
Number of Contracts | Open Long Futures Contracts | Expiration Date | Notional Amount(c) | Value and Unrealized Appreciation | ||||||||
1 | CME Live Cattle Future(d) | 08/31/2023 | $ | 70,870 | $ | 4,892 | ||||||
7 | NYBOT CSC Cocoa Future(d) | 09/14/2023 | 234,710 | 13,617 | ||||||||
6 | NYMEX Henry Hub Natural Gas Futures(d) | 08/29/2023 | 166,440 | 6,660 | ||||||||
4 | SGX Nikkei 225 Stock Index Future | 09/07/2023 | 459,879 | 9,364 | ||||||||
TOTAL LONG FUTURES CONTRACTS | $ | 34,533 |
The accompanying notes are an integral part of these consolidated financial statements.
38
CATALYST INCOME AND MULTI-STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
OPEN FUTURES CONTRACTS (Continued) | ||||||||||||
Number of Contracts | Open Short Futures Contracts | Expiration Date | Notional Amount(c) | Value and Unrealized Appreciation (Depreciation) | ||||||||
26 | 3 Month Euro Euribor Future | 09/15/2025 | $ | 6,877,700 | $ | 12,199 | ||||||
18 | CME Japanese Yen Currency Future | 09/18/2023 | 1,577,813 | 8,471 | ||||||||
3 | COMEX Gold 100 Troy Ounces Future(d) | 08/29/2023 | 578,820 | 5,105 | ||||||||
3 | NYBOT CSC C Coffee Future(d) | 09/19/2023 | 178,875 | 3,094 | ||||||||
3 | NYMEX Light Sweet Crude Oil Future(d) | 07/20/2023 | 211,920 | (9,150 | ) | |||||||
9 | Three Month SONIA Index Futures | 12/16/2025 | 2,713,384 | 34,076 | ||||||||
24 | Three Month SOFR Futures | 12/16/2025 | 5,787,600 | 10,600 | ||||||||
TOTAL SHORT FUTURES CONTRACTS | $ | 64,395 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 98,928 |
ETF - Exchange Traded Fund
(a) | Affiliated Company |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2023. |
(c) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
(d) | All or a portion of this investment is a holding of the CAMFMSF Fund Limited. |
The accompanying notes are an integral part of these consolidated financial statements.
39
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS |
June 30, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 63.1% | ||||||||
AUTOMOTIVE - 2.8% | ||||||||
1,009 | Lucid Group, Inc.(a)(b) | $ | 6,952 | |||||
507 | Rivian Automotive, Inc.(a)(b) | 8,447 | ||||||
1,345 | Tesla, Inc.(a) | 352,080 | ||||||
367,479 | ||||||||
BEVERAGES - 1.5% | ||||||||
775 | Keurig Dr Pepper, Inc. | 24,234 | ||||||
575 | Monster Beverage Corporation(a) | 33,028 | ||||||
759 | PepsiCo, Inc. | 140,582 | ||||||
197,844 | ||||||||
BIOTECH & PHARMA - 2.3% | ||||||||
294 | Amgen, Inc. | 65,275 | ||||||
332 | AstraZeneca PLC ADR | 23,761 | ||||||
80 | Biogen, Inc.(a) | 22,788 | ||||||
688 | Gilead Sciences, Inc. | 53,024 | ||||||
213 | Moderna, Inc.(a) | 25,879 | ||||||
59 | Regeneron Pharmaceuticals, Inc.(a) | 42,394 | ||||||
103 | Seagen, Inc.(a)(b) | 19,823 | ||||||
142 | Vertex Pharmaceuticals, Inc.(a)(b) | 49,971 | ||||||
302,915 | ||||||||
CABLE & SATELLITE - 1.0% | ||||||||
84 | Charter Communications, Inc., Class A(a)(b) | 30,859 | ||||||
2,319 | Comcast Corporation, Class A | 96,354 | ||||||
2,145 | Sirius XM Holdings, Inc.(b) | 9,717 | ||||||
136,930 | ||||||||
COMMERCIAL SUPPORT SERVICES - 0.2% | ||||||||
56 | Cintas Corporation | 27,836 | ||||||
DIVERSIFIED INDUSTRIALS - 0.6% | ||||||||
368 | Honeywell International, Inc. | 76,361 | ||||||
E-COMMERCE DISCRETIONARY - 4.9% | ||||||||
4,355 | Amazon.com, Inc.(a) | 567,719 | ||||||
296 | eBay, Inc.(b) | 13,228 | ||||||
254 | JD.com, Inc. ADR | 8,669 |
The accompanying notes are an integral part of these financial statements.
40
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 63.1% (Continued) | ||||||||
E-COMMERCE DISCRETIONARY - 4.9% (Continued) | ||||||||
28 | MercadoLibre, Inc.(a)(b) | $ | 33,169 | |||||
325 | PDD Holdings, Inc. ADR(a) | 22,471 | ||||||
645,256 | ||||||||
ELECTRIC UTILITIES - 0.6% | ||||||||
284 | American Electric Power Company, Inc. | 23,912 | ||||||
180 | Constellation Energy Corporation(b) | 16,479 | ||||||
548 | Exelon Corporation(b) | 22,326 | ||||||
303 | Xcel Energy, Inc. | 18,838 | ||||||
81,555 | ||||||||
ENTERTAINMENT CONTENT - 0.6% | ||||||||
432 | Activision Blizzard, Inc.(a) | 36,417 | ||||||
151 | Electronic Arts, Inc. | 19,585 | ||||||
1,340 | Warner Bros Discovery, Inc.(a)(b) | 16,804 | ||||||
72,806 | ||||||||
FOOD - 0.6% | ||||||||
675 | Kraft Heinz Company (The)(b) | 23,962 | ||||||
752 | Mondelez International, Inc., Class A | 54,851 | ||||||
78,813 | ||||||||
INDUSTRIAL SUPPORT SERVICES - 0.1% | ||||||||
315 | Fastenal Company | 18,582 | ||||||
INTERNET MEDIA & SERVICES - 8.9% | ||||||||
225 | Airbnb, Inc., Class A(a)(b) | 28,836 | ||||||
2,580 | Alphabet, Inc., Class A(a) | 308,825 | ||||||
2,536 | Alphabet, Inc., Class C(a) | 306,780 | ||||||
21 | Booking Holdings, Inc.(a) | 56,707 | ||||||
1,227 | Meta Platforms, Inc., Class A(a) | 352,124 | ||||||
246 | Netflix, Inc.(a) | 108,361 | ||||||
1,161,633 | ||||||||
LEISURE FACILITIES & SERVICES - 0.7% | ||||||||
170 | Marriott International, Inc., Class A | 31,227 | ||||||
634 | Starbucks Corporation(b) | 62,804 | ||||||
94,031 |
The accompanying notes are an integral part of these financial statements.
41
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 63.1% (Continued) | ||||||||
MEDICAL EQUIPMENT & DEVICES - 1.3% | ||||||||
42 | Align Technology, Inc.(a)(b) | $ | 14,853 | |||||
213 | DexCom, Inc.(a) | 27,373 | ||||||
251 | GE HealthCare Technologies, Inc. | 20,391 | ||||||
46 | IDEXX Laboratories, Inc.(a)(b) | 23,103 | ||||||
87 | Illumina, Inc.(a)(b) | 16,312 | ||||||
193 | Intuitive Surgical, Inc.(a) | 65,993 | ||||||
168,025 | ||||||||
OIL & GAS PRODUCERS - 0.1% | ||||||||
101 | Diamondback Energy, Inc.(b) | 13,267 | ||||||
OIL & GAS SERVICES & EQUIPMENT - 0.1% | ||||||||
558 | Baker Hughes Company(b) | 17,639 | ||||||
RENEWABLE ENERGY - 0.1% | ||||||||
75 | Enphase Energy, Inc.(a)(b) | 12,561 | ||||||
RETAIL - CONSUMER STAPLES - 1.2% | ||||||||
245 | Costco Wholesale Corporation | 131,903 | ||||||
122 | Dollar Tree, Inc.(a)(b) | 17,507 | ||||||
476 | Walgreens Boots Alliance, Inc.(b) | 13,561 | ||||||
162,971 | ||||||||
RETAIL - DISCRETIONARY - 0.6% | ||||||||
67 | Lululemon Athletica, Inc.(a)(b) | 25,360 | ||||||
34 | O’Reilly Automotive, Inc.(a) | 32,479 | ||||||
190 | Ross Stores, Inc. | 21,305 | ||||||
79,144 | ||||||||
SEMICONDUCTORS - 11.4% | ||||||||
888 | Advanced Micro Devices, Inc.(a) | 101,152 | ||||||
279 | Analog Devices, Inc. | 54,352 | ||||||
466 | Applied Materials, Inc.(b) | 67,356 | ||||||
48 | ASML Holding N.V. | 34,788 | ||||||
230 | Broadcom, Inc. | 199,508 | ||||||
301 | GLOBALFOUNDRIES, Inc.(a)(b) | 19,439 | ||||||
2,281 | Intel Corporation | 76,277 |
The accompanying notes are an integral part of these financial statements.
42
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 63.1% (Continued) | ||||||||
SEMICONDUCTORS - 11.4% (Continued) | ||||||||
76 | KLA Corporation(b) | $ | 36,862 | |||||
74 | Lam Research Corporation | 47,572 | ||||||
470 | Marvell Technology, Inc. | 28,097 | ||||||
302 | Microchip Technology, Inc. | 27,056 | ||||||
602 | Micron Technology, Inc.(b) | 37,992 | ||||||
1,362 | NVIDIA Corporation | 576,152 | ||||||
143 | NXP Semiconductors N.V. | 29,269 | ||||||
615 | QUALCOMM, Inc. | 73,210 | ||||||
500 | Texas Instruments, Inc. | 90,010 | ||||||
1,499,092 | ||||||||
SOFTWARE - 11.7% | ||||||||
252 | Adobe, Inc.(a) | 123,225 | ||||||
48 | ANSYS, Inc.(a) | 15,853 | ||||||
83 | Atlassian Corp PLC, Class A(a) | 13,928 | ||||||
119 | Autodesk, Inc.(a)(b) | 24,349 | ||||||
150 | Cadence Design Systems, Inc.(a) | 35,178 | ||||||
120 | Crowdstrike Holdings, Inc., Class A(a)(b) | 17,624 | ||||||
162 | Datadog, Inc., Class A(a) | 15,938 | ||||||
432 | Fortinet, Inc.(a) | 32,655 | ||||||
155 | Intuit, Inc. | 71,019 | ||||||
3,150 | Microsoft Corporation | 1,072,701 | ||||||
167 | Palo Alto Networks, Inc.(a)(b) | 42,670 | ||||||
84 | Synopsys, Inc.(a) | 36,574 | ||||||
112 | Workday, Inc., Class A(a)(b) | 25,300 | ||||||
135 | Zoom Video Communications, Inc., Class A(a)(b) | 9,164 | ||||||
80 | Zscaler, Inc.(a)(b) | 11,704 | ||||||
1,547,882 | ||||||||
TECHNOLOGY HARDWARE - 8.9% | ||||||||
5,408 | Apple, Inc. | 1,048,990 | ||||||
2,258 | Cisco Systems, Inc. | 116,829 | ||||||
1,165,819 | ||||||||
TECHNOLOGY SERVICES - 1.3% | ||||||||
228 | Automatic Data Processing, Inc. | 50,111 | ||||||
281 | Cognizant Technology Solutions Corporation, Class A | 18,344 |
The accompanying notes are an integral part of these financial statements.
43
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||
COMMON STOCKS — 63.1% (Continued) | ||||||||
TECHNOLOGY SERVICES - 1.3% (Continued) | ||||||||
224 | CoStar Group, Inc.(a) | $ | 19,936 | |||||
199 | Paychex, Inc.(b) | 22,262 | ||||||
624 | PayPal Holdings, Inc.(a) | 41,640 | ||||||
85 | Verisk Analytics, Inc. | 19,213 | ||||||
171,506 | ||||||||
TELECOMMUNICATIONS - 0.7% | ||||||||
672 | T Mobile US, Inc.(a) | 93,341 | ||||||
TRANSPORTATION & LOGISTICS - 0.5% | ||||||||
1,137 | CSX Corporation | 38,771 | ||||||
61 | Old Dominion Freight Line, Inc. | 22,555 | ||||||
61,326 | ||||||||
TRANSPORTATION EQUIPMENT - 0.2% | ||||||||
288 | PACCAR, Inc. | 24,091 | ||||||
WHOLESALE - DISCRETIONARY - 0.2% | ||||||||
263 | Copart, Inc.(a) | 23,988 | ||||||
TOTAL COMMON STOCKS (Cost $7,490,281) | 8,302,693 | |||||||
EXCHANGE-TRADED FUND — 16.9% | ||||||||
EQUITY - 16.9% | ||||||||
6,031 | Invesco QQQ Trust Series 1(b) | 2,227,972 | ||||||
TOTAL EXCHANGE-TRADED FUND (Cost $2,198,448) | ||||||||
SHORT-TERM INVESTMENTS — 21.1% | ||||||||
COLLATERAL FOR SECURITIES LOANED - 18.1% | ||||||||
2,372,808 | Mount Vernon Liquid Assets Portfolio, LLC, 5.22% (Cost $2,372,808)(c),(d),(e) | 2,372,808 |
The accompanying notes are an integral part of these financial statements.
44
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||
SHORT-TERM INVESTMENTS — 21.1% (Continued) | ||||||||
MONEY MARKET FUND - 3.0% | ||||||||
399,735 | First American Treasury Obligations Fund, Class X, 5.03% (Cost $399,735)(d) | $ | 399,735 | |||||
TOTAL SHORT-TERM INVESTMENTS (Cost $2,772,543) | 2,772,543 |
Contracts(f) | Counterparty | Expiration Date | Exercise Price | Notional Value | ||||||||||||||
FUTURE OPTIONS PURCHASED - 0.2% | ||||||||||||||||||
PUT OPTIONS PURCHASED - 0.2% | ||||||||||||||||||
25 | S&P Emini 3rd Week Future | WED | 07/21/2023 | $ | 3,910 | $ | 5,610,313 | 1,938 | ||||||||||
12 | S&P Emini 3rd Week Future | WED | 07/21/2023 | 4,480 | 2,668,950 | 23,100 | ||||||||||||
TOTAL FUTURE OPTIONS PURCHASED (Cost - $32,575) | 25,038 | |||||||||||||||||
TOTAL INVESTMENTS - 101.3% (Cost $12,493,847) | $ | 13,328,246 | ||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.3)% | (168,484 | ) | ||||||||||||||||
NET ASSETS - 100.0% | $ | 13,159,762 |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Long Futures Contracts | Counterparty | Expiration Date | Notional Amount(g) | Value and Unrealized Appreciation (Depreciation) | |||||||||
227 | CBOE Volatility Index Future | WED | 07/19/2023 | $ | 3,407,497 | $ | (80,486 | ) | ||||||
2 | CME E Mini NASDAQ 100 Index Future | WED | 09/15/2023 | 613,480 | 4,410 | |||||||||
124 | SPIKES Volatility Index Future | WED | 07/19/2023 | 1,909,600 | (331,463 | ) | ||||||||
20 | SPIKES Volatility Index Future | WED | 08/16/2023 | 334,800 | (1,220 | ) | ||||||||
TOTAL LONG FUTURES CONTRACTS | $ | (408,759 | ) |
OPEN FUTURES CONTRACTS | ||||||||||||||
Number of Contracts | Open Short Futures Contracts | Counterparty | Expiration Date | Notional Amount(g) | Value and Unrealized Appreciation | |||||||||
392 | CBOE Volatility Index Future | WED | 08/16/2023 | $ | 6,428,918 | $ | 119,433 | |||||||
TOTAL SHORT FUTURES CONTRACTS | ||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (289,326 | ) |
The accompanying notes are an integral part of these financial statements.
45
CATALYST NASDAQ-100 HEDGED EQUITY FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
ADR - American Depositary Receipt
LLC - Limited Liability Company
N.V. - Naamioze Vennootschap
PLC - Public Limited Company
WED - Wedbush Securities
(a) | Non income producing security. |
(b) | All or a portion of the security is on loan. The total fair value of the securities on loan as of June 30, 2023 was $2,356,189. |
(c) | Security was purchased with cash received as collateral for securities on loan at June 30, 2023. Total collateral had a value of $2,372,808 at June 30, 2023. |
(d) | Rate disclosed is the seven day effective yield as of June 30, 2023. |
(e) | Mutual Fund Series Trust’s securities lending policy and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark to market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102%. |
(f) | Each contract is equivalent to one futures contract. |
(g) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
The accompanying notes are an integral part of these financial statements.
46
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS |
June 30, 2023 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 47.6% | ||||||||
EQUITY - 47.6% | ||||||||
693,414 | iShares China Large Cap ETF | $ | 18,853,927 | |||||
1,991,299 | iShares Core S&P Mid Cap ETF | 520,684,863 | ||||||
2,999,710 | iShares Core S&P Small Cap ETF | 298,921,102 | ||||||
774,980 | iShares MSCI Australia ETF | 17,475,799 | ||||||
32,506 | iShares MSCI Austria ETF | 659,872 | ||||||
22,357 | iShares MSCI Belgium ETF | 396,166 | ||||||
532,792 | iShares MSCI Brazil ETF | 17,278,445 | ||||||
482,084 | iShares MSCI Canada ETF | 16,868,119 | ||||||
294,843 | iShares MSCI Chile ETF | 8,603,519 | ||||||
300,735 | iShares MSCI France ETF | 11,587,320 | ||||||
446,043 | iShares MSCI Germany ETF | 12,743,449 | ||||||
721,922 | iShares MSCI Hong Kong ETF | 13,954,752 | ||||||
60,283 | iShares MSCI India ETF | 2,634,367 | ||||||
35,974 | iShares MSCI Israel ETF | 1,927,512 | ||||||
175,933 | iShares MSCI Italy ETF | 5,599,947 | ||||||
278,215 | iShares MSCI Japan ETF | 17,221,509 | ||||||
211,769 | iShares MSCI Malaysia ETF | 4,237,498 | ||||||
257,956 | iShares MSCI Mexico ETF | 16,039,704 | ||||||
84,474 | iShares MSCI Netherlands ETF | 3,656,035 | ||||||
78,532 | iShares MSCI Peru ETF | 2,407,006 | ||||||
539,588 | iShares MSCI Singapore ETF | 9,987,774 | ||||||
153,373 | iShares MSCI South Africa ETF | 6,101,178 | ||||||
247,868 | iShares MSCI South Korea ETF | 15,709,874 | ||||||
413,351 | iShares MSCI Spain ETF | 11,945,844 | ||||||
141,410 | iShares MSCI Sweden ETF | 5,008,742 | ||||||
276,782 | iShares MSCI Switzerland ETF | 12,790,096 | ||||||
357,822 | iShares MSCI Taiwan ETF | 16,824,790 | ||||||
84,412 | iShares MSCI Thailand ETF | 5,552,621 | ||||||
130,809 | iShares MSCI Turkey ETF | 3,695,354 | ||||||
369,297 | iShares MSCI United Kingdom ETF | 11,946,758 | ||||||
1,702,990 | iShares Russell 1000 ETF | 415,086,783 | ||||||
1,924,615 | iShares Russell 2000 ETF | 360,422,651 | ||||||
1,659,835 | iShares Russell Mid Cap ETF | 121,217,750 | ||||||
1,251,723 | Schwab U.S. REIT ETF | 24,446,150 |
The accompanying notes are an integral part of these consolidated financial statements.
47
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Shares | Fair Value | |||||||||||
EXCHANGE-TRADED FUNDS — 47.6% (Continued) | ||||||||||||
EQUITY - 47.6% (Continued) | ||||||||||||
2,970,675 | Vanguard FTSE Emerging Markets ETF | $ | 120,847,059 | |||||||||
637,446 | Vanguard FTSE Europe ETF | 39,330,418 | ||||||||||
426,474 | Vanguard Large Cap ETF | 86,454,809 | ||||||||||
828,940 | Vanguard Mid Cap ETF | 182,499,430 | ||||||||||
2,212,697 | Vanguard Real Estate ETF | 184,892,961 | ||||||||||
239,143 | Vanguard S&P 500 ETF | 97,398,161 | ||||||||||
723,773 | Vanguard Small Cap ETF | 143,951,211 | ||||||||||
441,929 | WisdomTree India Earnings Fund | 15,379,129 | ||||||||||
2,883,240,454 | ||||||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $2,432,339,829) | 2,883,240,454 | |||||||||||
Principal | Coupon Rate | |||||||||||
Amount ($) | (%) | Maturity | ||||||||||
U.S. GOVERNMENT & AGENCIES — 39.6% | ||||||||||||
U.S. TREASURY NOTES — 39.6% | ||||||||||||
818,660,000 | United States Treasury Note(a)(d) | 2.5000 | 08/15/23 | 815,954,427 | ||||||||
866,698,000 | United States Treasury Note(a)(d) | 2.7500 | 11/15/23 | 858,723,633 | ||||||||
463,055,000 | United States Treasury Note(a)(d) | 2.7500 | 02/15/24 | 455,507,889 | ||||||||
275,558,000 | United States Treasury Note(a)(d) | 2.5000 | 05/15/24 | 268,691,106 | ||||||||
TOTAL U.S. GOVERNMENT & AGENCIES (Cost $2,404,210,071) | 2,398,877,055 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS — 10.1% | ||||||||||||
MONEY MARKET FUNDS - 10.1% | ||||||||||||
612,924,973 | First American Treasury Obligations Fund, Class X, 5.03%(b) (Cost $612,924,973) (a) | 612,924,973 | ||||||||||
TOTAL INVESTMENTS - 97.3% (Cost $5,449,474,873) | $ | 5,895,042,482 | ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 2.7% | 162,925,493 | |||||||||||
NET ASSETS - 100.0% | $ | 6,057,967,975 |
The accompanying notes are an integral part of these consolidated financial statements.
48
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
OPEN FUTURES CONTRACTS | ||||||||||||
Number of | Expiration | Value and Unrealized | ||||||||||
Contracts | Open Long Futures Contracts | Date | Notional Amount(c) | Appreciation (Depreciation) | ||||||||
625 | BMF Ibovespa Index Future | 08/16/2023 | $ | 15,644,774 | $ | 76,258 | ||||||
296 | CBOE Volatility Index Future(a) | 07/19/2023 | 4,443,256 | (353,944 | ) | |||||||
442 | CBOT Soybean Oil Future(a) | 12/14/2023 | 15,638,844 | 373,668 | ||||||||
472 | CME Live Cattle Future(a) | 08/31/2023 | 33,450,640 | 1,230,050 | ||||||||
524 | Eurex DAX Index Future | 09/15/2023 | 232,609,341 | 1,308,020 | ||||||||
1,668 | Eurex EURO STOXX 50 Future | 09/15/2023 | 80,578,743 | 231,744 | ||||||||
479 | Euronext CAC 40 Index Future | 07/21/2023 | 38,734,499 | (35,089 | ) | |||||||
776 | FTSE/MIB Index Future | 09/15/2023 | 120,087,778 | 511,257 | ||||||||
2,178 | ICE Brent Crude Oil Future(a) | 07/31/2023 | 164,242,980 | (474,670 | ) | |||||||
365 | ICE Brent Crude Oil Future(a) | 08/31/2023 | 27,484,500 | 26,270 | ||||||||
78 | ICE Brent Crude Oil Future(a) | 09/29/2023 | 5,859,360 | 78,220 | ||||||||
99 | ICE Brent Crude Oil Future(a) | 10/31/2023 | 7,416,090 | 82,480 | ||||||||
75 | ICE Brent Crude Oil Future(a) | 11/30/2023 | 5,599,500 | 30,340 | ||||||||
29 | ICE Brent Crude Oil Future(a) | 12/28/2023 | 2,158,180 | 22,370 | ||||||||
432 | ICE Gas Oil Future(a) | 08/10/2023 | 30,348,000 | 82,050 | ||||||||
601 | ICE Gas Oil Future(a) | 09/12/2023 | 42,115,075 | 458,225 | ||||||||
161 | ICE Gas Oil Future(a) | 10/12/2023 | 11,278,050 | 123,825 | ||||||||
87 | ICE US mini MSCI EAFE Index Futures | 09/15/2023 | 9,376,425 | 2,340 | ||||||||
16 | LME Lead Future(a) | 09/18/2023 | 841,000 | (10,468 | ) | |||||||
187 | MEFF Madrid IBEX 35 Index Future | 07/21/2023 | 19,487,669 | 70,360 | ||||||||
40 | NYMEX Henry Hub Natural Gas Futures(a) | 09/27/2023 | 1,138,800 | 31,170 | ||||||||
67 | NYMEX Henry Hub Natural Gas Futures(a) | 10/27/2023 | 2,151,370 | 51,800 | ||||||||
7 | NYMEX Henry Hub Natural Gas Futures(a) | 11/28/2023 | 253,540 | 5,650 | ||||||||
177 | NYMEX Light Sweet Crude Oil Future(a) | 07/20/2023 | 12,503,280 | 387,170 | ||||||||
18 | NYMEX Light Sweet Crude Oil Future(a) | 10/20/2023 | 1,270,440 | (11,340 | ) | |||||||
16 | NYMEX Light Sweet Crude Oil Future(a) | 11/20/2023 | 1,126,400 | 25,650 | ||||||||
15 | NYMEX Light Sweet Crude Oil Future(a) | 12/19/2023 | 1,053,000 | 12,530 | ||||||||
479 | NYMEX NY Harbor ULSD Futures(a) | 07/31/2023 | 49,240,818 | 478,335 | ||||||||
125 | NYMEX NY Harbor ULSD Futures(a) | 08/31/2023 | 12,820,500 | 49,841 | ||||||||
62 | NYMEX NY Harbor ULSD Futures(a) | 09/29/2023 | 6,348,031 | (15,981 | ) | |||||||
37 | NYMEX NY Harbor ULSD Futures(a) | 10/31/2023 | 3,777,152 | 52,138 | ||||||||
273 | NYMEX Reformulated Gasoline Blendstock for Oxygen(a) | 07/31/2023 | 29,179,823 | 856,056 | ||||||||
29 | NYMEX Reformulated Gasoline Blendstock for Oxygen(a) | 09/29/2023 | 2,701,524 | 81,564 | ||||||||
47 | NYMEX Reformulated Gasoline Blendstock for Oxygen(a) | 10/31/2023 | 4,256,339 | 67,213 | ||||||||
1,354 | OSE Nikkei 225 Index Future | 09/07/2023 | 311,291,335 | 7,612,260 | ||||||||
153 | SAFEX FTSE/JSE Top 40 Index Future | 09/21/2023 | 5,773,786 | 38,915 | ||||||||
1,350 | SGX FTSE Taiwan Index Futures | 07/28/2023 | 78,003,000 | (279,440 | ) |
The accompanying notes are an integral part of these consolidated financial statements.
49
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
OPEN FUTURES CONTRACTS (Continued) | ||||||||||||
Number of | Expiration | Value and Unrealized | ||||||||||
Contracts | Open Long Futures Contracts (Continued) | Date | Notional Amount(c) | Appreciation (Depreciation) | ||||||||
1,415 | SGX Nifty 50 Index Futures | 07/27/2023 | $ | 54,559,570 | $ | 257,214 | ||||||
484 | SGX Nikkei 225 Stock Index Future | 09/07/2023 | 55,645,391 | 1,448,369 | ||||||||
2,634 | TSE TOPIX (Tokyo Price Index) Future | 09/07/2023 | 417,709,822 | 9,964,185 | ||||||||
5 | TTF Natural Gas Base Load Monthly Futures(a) | 07/28/2023 | 150,615 | 11,288 | ||||||||
TOTAL LONG FUTURES CONTRACTS | $ | 24,957,893 | ||||||||||
OPEN FUTURES CONTRACTS | ||||||||||||
Number of | Expiration | Value and Unrealized | ||||||||||
Contracts | Open Short Futures Contracts | Date | Notional Amount(c) | Appreciation (Depreciation) | ||||||||
2,986 | 3 Month Euro Euribor Future | 03/18/2024 | $ | 782,342,427 | $ | 2,923,469 | ||||||
1,915 | 3 Month Euro Euribor Future | 03/17/2025 | 505,289,175 | 2,001,918 | ||||||||
2,549 | 3 Month Euro Euribor Future | 06/17/2024 | 668,785,669 | 3,225,108 | ||||||||
1,451 | 3 Month Euro Euribor Future | 06/16/2025 | 383,393,183 | 1,350,178 | ||||||||
2,582 | 3 Month Euro Euribor Future | 09/16/2024 | 678,747,054 | 3,407,506 | ||||||||
1,093 | 3 Month Euro Euribor Future | 09/15/2025 | 289,127,960 | 745,585 | ||||||||
1,838 | 3 Month Euro Euribor Future | 12/16/2024 | 484,169,795 | 2,180,494 | ||||||||
332 | Carbon Emissions Future(a) | 12/18/2023 | 32,272,545 | 183,685 | ||||||||
247 | CBOE Volatility Index Future(a) | 09/20/2023 | 4,347,966 | 378,151 | ||||||||
595 | CBOE Volatility Index Future(a) | 08/16/2023 | 9,758,179 | 1,560,190 | ||||||||
8,815 | CBOT 10 Year US Treasury Note | 09/20/2023 | 989,621,264 | 495,470 | ||||||||
9,959 | CBOT 2 Year US Treasury Note Future | 09/29/2023 | 2,025,100,904 | 18,685,839 | ||||||||
12,955 | CBOT 5 Year US Treasury Note | 09/29/2023 | 1,387,400,179 | 9,512,371 | ||||||||
1,340 | CBOT Corn Future(a) | 12/14/2023 | 33,148,250 | 3,731,975 | ||||||||
539 | CBOT Soybean Future(a) | 11/14/2023 | 36,200,588 | (1,996,350 | ) | |||||||
262 | CBOT Soybean Meal Future(a) | 12/14/2023 | 10,409,260 | 209,100 | ||||||||
4,923 | CBOT US Treasure Bond Futures | 09/20/2023 | 624,759,715 | (672,965 | ) | |||||||
605 | CBOT Wheat Future(a) | 09/14/2023 | 19,692,750 | 1,616,375 | ||||||||
1,267 | CME Australian Dollar Currency Future | 09/18/2023 | 84,610,260 | 1,867,807 | ||||||||
1,046 | CME British Pound Currency Future | 09/18/2023 | 83,019,713 | 647,862 | ||||||||
491 | CME Canadian Dollar Currency Future | 09/19/2023 | 37,134,330 | (18,415 | ) | |||||||
105 | CME E Mini NASDAQ 100 Index Future | 09/15/2023 | 32,207,700 | (384,310 | ) | |||||||
1,290 | CME E mini Russell 2000 Index Futures | 09/15/2023 | 122,788,650 | (693,820 | ) | |||||||
1,887 | CME E Mini Standard & Poor’s 500 Index Futures | 09/15/2023 | 423,466,388 | (6,695,125 | ) | |||||||
142 | CME E Mini Standard & Poor’s MidCap 400 Index | 09/15/2023 | 37,546,220 | (681,960 | ) | |||||||
134 | CME Euro Foreign Exchange Currency Future | 09/18/2023 | 18,346,275 | (81,825 | ) | |||||||
1,431 | CME Japanese Yen Currency Future | 09/18/2023 | 125,436,093 | 2,671,345 | ||||||||
191 | CME Lean Hogs Future(a) | 08/14/2023 | 7,074,640 | (38,170 | ) | |||||||
236 | CME Mexican Peso Currency Future | 09/18/2023 | 6,782,640 | (13,715 | ) | |||||||
101 | CME New Zealand Dollar Currency Future | 09/18/2023 | 6,197,865 | (50,925 | ) | |||||||
301 | CME Swiss Franc Currency Future | 09/18/2023 | 42,378,919 | (69,856 | ) | |||||||
703 | COMEX Copper Future(a) | 09/27/2023 | 66,073,213 | (506,351 | ) | |||||||
533 | COMEX Gold 100 Troy Ounces Future(a) | 08/29/2023 | 102,837,020 | (96,900 | ) | |||||||
59 | COMEX Silver Future(a) | 09/27/2023 | 6,790,900 | 36,125 | ||||||||
382 | E mini Dow Jones Industrial Average Index Futures | 09/15/2023 | 66,168,130 | (1,890 | ) |
The accompanying notes are an integral part of these consolidated financial statements.
50
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
OPEN FUTURES CONTRACTS (Continued) | ||||||||||||
Number of | Expiration | Value and Unrealized | ||||||||||
Contracts | Open Short Futures Contracts (Continued) | Date | Notional Amount(c) | Appreciation (Depreciation) | ||||||||
6,008 | Eurex 10 Year Euro BUND Future | 09/07/2023 | $ | 876,811,349 | $ | 4,540,649 | ||||||
10,029 | Eurex 2 Year Euro SCHATZ Future | 09/07/2023 | 1,147,469,064 | 6,184,863 | ||||||||
2,054 | Eurex 30 Year Euro BUXL Future | 09/07/2023 | 312,896,551 | (8,022,849 | ) | |||||||
10,531 | Eurex 5 Year Euro BOBL Future | 09/07/2023 | 1,329,705,380 | 12,506,174 | ||||||||
1,938 | Euro BTP Italian Bond Futures | 09/07/2023 | 245,549,083 | (394,009 | ) | |||||||
5,208 | French Government Bond Futures | 09/07/2023 | 729,711,043 | (498,012 | ) | |||||||
129 | FTSE 100 Index Future | 09/15/2023 | 12,354,793 | 3,448 | ||||||||
2,353 | HKG Hang Seng China Enterprises Index Future | 07/28/2023 | 95,383,938 | 340,275 | ||||||||
819 | HKG Hang Seng Index Future | 07/28/2023 | 98,282,885 | 752,655 | ||||||||
1,284 | ICE US MSCI Emerging Markets EM Index Futures | 09/15/2023 | 64,065,180 | 339,035 | ||||||||
190 | KCBT Hard Red Winter Wheat Future(a) | 09/14/2023 | 7,600,000 | 63,313 | ||||||||
63 | KFE KOSPI 200 Index Future | 09/14/2023 | 4,071,513 | (9,566 | ) | |||||||
115 | LME Copper Future(a) | 09/18/2023 | 23,911,375 | (240,639 | ) | |||||||
52 | LME Nickel Future(a) | 09/18/2023 | 6,398,808 | 177,516 | ||||||||
268 | LME Primary Aluminum Future(a) | 09/18/2023 | 14,388,250 | 297,409 | ||||||||
60 | LME Zinc Future(a) | 09/18/2023 | 3,583,875 | (25,669 | ) | |||||||
3,245 | Long Gilt Future | 09/27/2023 | 392,731,417 | 867,215 | ||||||||
2,807 | Montreal Exchange 10 Year Canadian Bond Future | 09/20/2023 | 259,631,555 | (475,403 | ) | |||||||
467 | Montreal Exchange S&P/TSX 60 Index Future | 09/14/2023 | 85,917,311 | (864,524 | ) | |||||||
255 | NYBOT CSC C Coffee Future(a) | 09/19/2023 | 15,204,375 | 1,598,869 | ||||||||
169 | NYBOT CSC Cocoa Future(a) | 09/14/2023 | 5,666,570 | (185,940 | ) | |||||||
1,068 | NYBOT CSC Number 11 World Sugar Future(a) | 09/29/2023 | 27,260,486 | 172,659 | ||||||||
159 | NYBOT CTN Number 2 Cotton Future(a) | 12/06/2023 | 6,389,415 | 760 | ||||||||
191 | NYMEX Henry Hub Natural Gas Futures(a) | 08/29/2023 | 5,298,340 | (25,600 | ) | |||||||
441 | NYMEX Henry Hub Natural Gas Futures(a) | 07/27/2023 | 12,339,180 | 190,230 | ||||||||
27 | NYMEX Light Sweet Crude Oil Future(a) | 08/22/2023 | 1,911,060 | (3,460 | ) | |||||||
1 | NYMEX Light Sweet Crude Oil Future(a) | 09/20/2023 | 70,720 | (90 | ) | |||||||
36 | NYMEX Platinum Future(a) | 10/27/2023 | 1,643,760 | (4,240 | ) | |||||||
31 | NYMEX Reformulated Gasoline Blendstock for Oxygen(a) | 08/31/2023 | 3,206,175 | (125,437 | ) | |||||||
1,674 | SFE 10 Year Australian Bond Future | 09/15/2023 | 129,527,406 | 1,185,122 | ||||||||
1,805 | SFE 3 Year Australian Bond Future | 09/15/2023 | 126,990,045 | 663,051 | ||||||||
197 | SFE S&P ASX Share Price Index 200 Future | 09/21/2023 | 23,490,026 | (14,938 | ) | |||||||
1,630 | SGX FTSE China A50 Futures Contract | 07/28/2023 | 20,119,090 | (66,926 | ) | |||||||
4,653 | TEF SET50 Index Future | 09/28/2023 | 24,097,928 | (257,919 | ) | |||||||
607 | Three Month SONIA Index Futures | 06/18/2024 | 180,709,365 | 2,048,744 | ||||||||
393 | Three Month SONIA Index Futures | 06/17/2025 | 117,991,583 | 1,503,716 | ||||||||
637 | Three Month SONIA Index Futures | 09/17/2024 | 189,893,435 | 2,358,277 | ||||||||
376 | Three Month SONIA Index Futures | 09/16/2025 | 113,132,342 | 1,322,536 | ||||||||
620 | Three Month SONIA Index Futures | 12/17/2024 | 185,239,005 | 2,513,701 | ||||||||
310 | Three Month SONIA Index Futures | 12/16/2025 | 93,461,006 | 968,667 | ||||||||
517 | Three Month SONIA Index Futures | 03/18/2025 | 154,859,368 | 2,107,624 | ||||||||
9 | TSE Japanese 10 Year Bond Futures | 09/12/2023 | 9,266,550 | 22,863 | ||||||||
3,852 | Ultra U.S. Treasury Bond Futures | 09/20/2023 | 524,714,818 | (1,934,599 | ) | |||||||
TOTAL SHORT FUTURES CONTRACTS | $ | 75,007,527 | ||||||||||
TOTAL FUTURES CONTRACTS | $ | 99,965,420 |
The accompanying notes are an integral part of these consolidated financial statements.
51
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
ETF | - Exchange Traded Fund |
MSCI | - Morgan Stanley Capital International |
REIT | - Real Estate Investment Trust |
(a) | All or a portion of this investment is a holding of the CMHSF Fund Limited. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2023. |
(c) | The amounts shown are the underlying reference notional amounts to stock exchange indices and equities upon which the fair value of the futures contracts held by the Fund are based. Notional values do not represent the current fair value of, and are not necessarily indicative of the future cash flows of the Fund’s futures contracts. Further, the underlying price changes in relation to the variables specified by the notional values affects the fair value of these derivative financial instruments. The notional values as set forth within this schedule do not purport to represent economic value at risk to the Fund. |
(d) | Held as collateral for futures. |
FORWARD FOREIGN CURRENCY CONTRACTS
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Buy: | ||||||||||||||||
Australian Dollar | 07/03/2023 | Bank Of America Merrill Lynch | 44,820,000 | $ | 29,852,139 | $ | 138,331 | |||||||||
British Pound | 07/03/2023 | Bank Of America Merrill Lynch | 150,400,000 | 191,001,103 | 967,729 | |||||||||||
Euro | 07/03/2023 | Bank Of America Merrill Lynch | 34,420,000 | 37,560,017 | 131,709 | |||||||||||
Israeli Shekel | 07/03/2023 | Bank Of America Merrill Lynch | 21,680,000 | 5,849,341 | (19,456 | ) | ||||||||||
Japanese Yen | 07/03/2023 | Bank Of America Merrill Lynch | 17,230,999,999 | 119,429,986 | 466,054 | |||||||||||
Mexican Peso | 07/03/2023 | Bank Of America Merrill Lynch | 362,000,000 | 21,145,477 | (13,225 | ) | ||||||||||
New Zealand Dollar | 07/03/2023 | Bank Of America Merrill Lynch | 265,150,000 | 162,748,588 | 1,703,583 | |||||||||||
Norwegian Krone | 07/03/2023 | Bank Of America Merrill Lynch | 383,350,000 | 35,715,517 | 189,977 | |||||||||||
Polish Zloty | 07/03/2023 | Bank Of America Merrill Lynch | 40,720,000 | 10,017,467 | 49,946 | |||||||||||
Singapore Dollar | 07/03/2023 | Bank Of America Merrill Lynch | 111,040,000 | 82,108,316 | (17,420 | ) | ||||||||||
South African Rand | 07/03/2023 | Bank Of America Merrill Lynch | 482,940,000 | 25,658,954 | (26,065 | ) | ||||||||||
Swedish Krona | 07/03/2023 | Bank Of America Merrill Lynch | 639,760,000 | 59,315,630 | 372,218 | |||||||||||
Swiss Franc | 07/03/2023 | Bank Of America Merrill Lynch | 65,160,000 | 72,803,656 | 305,381 | |||||||||||
Australian Dollar | 07/05/2023 | Bank Of America Merrill Lynch | 50,170,000 | 33,415,478 | 29,599 | |||||||||||
British Pound | 07/05/2023 | Bank Of America Merrill Lynch | 41,890,000 | 53,198,380 | (64,755 | ) | ||||||||||
Canadian Dollar | 07/05/2023 | Bank Of America Merrill Lynch | 104,380,000 | 78,793,415 | (74,418 | ) | ||||||||||
Euro | 07/05/2023 | Bank Of America Merrill Lynch | 108,970,000 | 118,910,957 | (56,881 | ) | ||||||||||
Israeli Shekel | 07/05/2023 | Bank Of America Merrill Lynch | 33,440,000 | 9,022,232 | 1,825 | |||||||||||
Japanese Yen | 07/05/2023 | Bank Of America Merrill Lynch | 3,650,999,999 | 25,305,489 | 14,199 | |||||||||||
Mexican Peso | 07/05/2023 | Bank Of America Merrill Lynch | 100,260,000 | 5,856,479 | 1,210 | |||||||||||
New Zealand Dollar | 07/05/2023 | Bank Of America Merrill Lynch | 34,730,000 | 21,317,207 | 127,634 | |||||||||||
Norwegian Krone | 07/05/2023 | Bank Of America Merrill Lynch | 149,620,000 | 13,939,627 | (33,439 | ) | ||||||||||
Polish Zloty | 07/05/2023 | Bank Of America Merrill Lynch | 30,180,000 | 7,424,537 | 17,261 |
The accompanying notes are an integral part of these consolidated financial statements.
52
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
FORWARD FOREIGN CURRENCY CONTRACTS (Continued)
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Buy: (continued) | ||||||||||||||||
Singapore Dollar | 07/05/2023 | Bank Of America Merrill Lynch | 16,130,000 | $ | 11,927,296 | $ | 6,583 | |||||||||
South African Rand | 07/05/2023 | Bank Of America Merrill Lynch | 172,080,000 | 9,142,736 | 33,194 | |||||||||||
Swedish Krona | 07/05/2023 | Bank Of America Merrill Lynch | 362,160,000 | 33,577,824 | (11,707 | ) | ||||||||||
Swiss Franc | 07/05/2023 | Bank Of America Merrill Lynch | 36,670,000 | 40,971,608 | (11,485 | ) | ||||||||||
Australian Dollar | 07/19/2023 | Bank Of America Merrill Lynch | 469,450,000 | 312,814,627 | (2,968,182 | ) | ||||||||||
Brazilian Real | 07/19/2023 | Bank Of America Merrill Lynch | 1,599,600,000 | 333,150,520 | 8,554,648 | |||||||||||
British Pound | 07/19/2023 | Bank Of America Merrill Lynch | 710,840,000 | 902,834,282 | 8,652,428 | |||||||||||
Canadian Dollar | 07/19/2023 | Bank Of America Merrill Lynch | 709,620,000 | 535,794,703 | (297,910 | ) | ||||||||||
Chilean Peso | 07/19/2023 | Bank Of America Merrill Lynch | 30,293,999,999 | 37,683,887 | 57,629 | |||||||||||
Euro | 07/19/2023 | Bank Of America Merrill Lynch | 767,830,000 | 838,508,124 | 6,872,031 | |||||||||||
Indian Rupee | 07/19/2023 | Bank Of America Merrill Lynch | 4,848,540,000 | 59,032,223 | 33,706 | |||||||||||
Israeli Shekel | 07/19/2023 | Bank Of America Merrill Lynch | 271,130,000 | 73,181,953 | (1,422,707 | ) | ||||||||||
Japanese Yen | 07/19/2023 | Bank Of America Merrill Lynch | 88,811,999,993 | 617,000,322 | (22,377,866 | ) | ||||||||||
Mexican Peso | 07/19/2023 | Bank Of America Merrill Lynch | 6,091,220,000 | 354,763,270 | 6,035,102 | |||||||||||
New Zealand Dollar | 07/19/2023 | Bank Of America Merrill Lynch | 631,240,000 | 387,429,441 | (1,117,958 | ) | ||||||||||
Norwegian Krone | 07/19/2023 | Bank Of America Merrill Lynch | 3,368,990,000 | 314,054,525 | 457,543 | |||||||||||
Polish Zloty | 07/19/2023 | Bank Of America Merrill Lynch | 700,180,000 | 172,113,038 | 5,291,028 | |||||||||||
Singapore Dollar | 07/19/2023 | Bank Of America Merrill Lynch | 267,290,000 | 197,749,631 | (960,502 | ) | ||||||||||
South African Rand | 07/19/2023 | Bank Of America Merrill Lynch | 4,794,090,000 | 254,329,714 | 739,508 | |||||||||||
South Korean Won | 07/19/2023 | Bank Of America Merrill Lynch | 133,101,000,000 | 101,101,398 | (1,954,290 | ) | ||||||||||
Swedish Krona | 07/19/2023 | Bank Of America Merrill Lynch | 4,626,110,000 | 429,209,214 | (2,879,128 | ) | ||||||||||
Swiss Franc | 07/19/2023 | Bank Of America Merrill Lynch | 455,120,000 | 509,306,650 | 1,839,037 | |||||||||||
New Zealand Dollar | 08/16/2023 | Bank Of America Merrill Lynch | 24,300,000 | 14,912,541 | 12,911 | |||||||||||
Norwegian Krone | 08/16/2023 | Bank Of America Merrill Lynch | 92,280,000 | 8,611,300 | (21,839 | ) | ||||||||||
$ | 7,769,590,819 | $ | 8,772,771 | |||||||||||||
To Sell: | ||||||||||||||||
Australian Dollar | 07/03/2023 | Bank Of America Merrill Lynch | 44,820,000 | $ | 29,852,138 | $ | (238,515 | ) | ||||||||
British Pound | 07/03/2023 | Bank Of America Merrill Lynch | 150,400,000 | 191,001,105 | (1,089,521 | ) | ||||||||||
Euro | 07/03/2023 | Bank Of America Merrill Lynch | 34,420,000 | 37,560,019 | (10,537 | ) | ||||||||||
Israeli Shekel | 07/03/2023 | Bank Of America Merrill Lynch | 21,680,000 | 5,849,340 | 37,915 | |||||||||||
Japanese Yen | 07/03/2023 | Bank Of America Merrill Lynch | 17,231,000,000 | 119,429,985 | (199,527 | ) | ||||||||||
Mexican Peso | 07/03/2023 | Bank Of America Merrill Lynch | 362,000,000 | 21,145,475 | (7,369 | ) | ||||||||||
New Zealand Dollar | 07/03/2023 | Bank Of America Merrill Lynch | 265,150,000 | 162,748,584 | (1,575,822 | ) | ||||||||||
Norwegian Krone | 07/03/2023 | Bank Of America Merrill Lynch | 383,350,000 | 35,715,517 | (218,754 | ) | ||||||||||
Polish Zloty | 07/03/2023 | Bank Of America Merrill Lynch | 40,720,000 | 10,017,467 | (40,401 | ) | ||||||||||
Singapore Dollar | 07/03/2023 | Bank Of America Merrill Lynch | 111,040,000 | 82,108,314 | (75,066 | ) | ||||||||||
South African Rand | 07/03/2023 | Bank Of America Merrill Lynch | 482,940,000 | 25,658,954 | 108,605 | |||||||||||
Swedish Krona | 07/03/2023 | Bank Of America Merrill Lynch | 639,760,000 | 59,315,632 | (182,177 | ) | ||||||||||
Swiss Franc | 07/03/2023 | Bank Of America Merrill Lynch | 65,160,000 | 72,803,658 | (201,740 | ) | ||||||||||
Australian Dollar | 07/05/2023 | Bank Of America Merrill Lynch | 50,170,000 | 33,415,480 | (4,067 | ) | ||||||||||
British Pound | 07/05/2023 | Bank Of America Merrill Lynch | 41,890,000 | 53,198,379 | (115,686 | ) | ||||||||||
Canadian Dollar | 07/05/2023 | Bank Of America Merrill Lynch | 104,380,000 | 78,793,415 | 47,491 | |||||||||||
Euro | 07/05/2023 | Bank Of America Merrill Lynch | 108,970,000 | 118,910,956 | (499,340 | ) | ||||||||||
Israeli Shekel | 07/05/2023 | Bank Of America Merrill Lynch | 33,440,000 | 9,022,229 | 11,326 | |||||||||||
Japanese Yen | 07/05/2023 | Bank Of America Merrill Lynch | 3,651,000,000 | 25,305,487 | (70,977 | ) | ||||||||||
Mexican Peso | 07/05/2023 | Bank Of America Merrill Lynch | 100,260,000 | 5,856,479 | 13,031 | |||||||||||
New Zealand Dollar | 07/05/2023 | Bank Of America Merrill Lynch | 34,730,000 | 21,317,210 | (83,639 | ) | ||||||||||
Norwegian Krone | 07/05/2023 | Bank Of America Merrill Lynch | 149,620,000 | 13,939,626 | (217 | ) |
The accompanying notes are an integral part of these consolidated financial statements.
53
CATALYST/MILLBURN HEDGE STRATEGY FUND |
CONSOLIDATED SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
FORWARD FOREIGN CURRENCY CONTRACTS (Continued)
Unrealized | ||||||||||||||||
Foreign Currency | Settlement Date | Counterparty | Local Currency | U.S. Dollar Value | Appreciation/(Depreciation) | |||||||||||
To Sell: (continued) | ||||||||||||||||
Polish Zloty | 07/05/2023 | Bank Of America Merrill Lynch | 30,180,000 | $ | 7,424,537 | $ | 1,644 | |||||||||
Singapore Dollar | 07/05/2023 | Bank Of America Merrill Lynch | 16,130,000 | 11,927,300 | (30,693 | ) | ||||||||||
South African Rand | 07/05/2023 | Bank Of America Merrill Lynch | 172,080,000 | 9,142,737 | 12,614 | |||||||||||
Swedish Krona | 07/05/2023 | Bank Of America Merrill Lynch | 362,160,000 | 33,577,824 | (245,394 | ) | ||||||||||
Swiss Franc | 07/05/2023 | Bank Of America Merrill Lynch | 36,670,000 | 40,971,606 | (245,448 | ) | ||||||||||
Australian Dollar | 07/19/2023 | Bank Of America Merrill Lynch | 1,260,770,000 | 840,105,011 | (3,017,111 | ) | ||||||||||
British Pound | 07/19/2023 | Bank Of America Merrill Lynch | 1,013,810,000 | 1,287,634,940 | (1,874,878 | ) | ||||||||||
Canadian Dollar | 07/19/2023 | Bank Of America Merrill Lynch | 1,058,730,000 | 799,388,301 | (8,444,522 | ) | ||||||||||
Chilean Peso | 07/19/2023 | Bank Of America Merrill Lynch | 14,730,000,000 | 18,323,220 | (118,967 | ) | ||||||||||
Euro | 07/19/2023 | Bank Of America Merrill Lynch | 634,940,000 | 693,385,708 | (55,345 | ) | ||||||||||
Indian Rupee | 07/19/2023 | Bank Of America Merrill Lynch | 3,420,320,000 | 41,643,279 | (225,747 | ) | ||||||||||
Israeli Shekel | 07/19/2023 | Bank Of America Merrill Lynch | 271,130,000 | 73,181,953 | 699,058 | |||||||||||
Japanese Yen | 07/19/2023 | Bank Of America Merrill Lynch | 218,906,999,989 | 1,520,804,500 | 37,006,810 | |||||||||||
Mexican Peso | 07/19/2023 | Bank Of America Merrill Lynch | 7,127,390,000 | 415,111,617 | (7,180,259 | ) | ||||||||||
New Zealand Dollar | 07/19/2023 | Bank Of America Merrill Lynch | 631,240,000 | 387,429,441 | (1,976,803 | ) | ||||||||||
Norwegian Krone | 07/19/2023 | Bank Of America Merrill Lynch | 3,368,990,000 | 314,054,526 | (6,464,520 | ) | ||||||||||
Polish Zloty | 07/19/2023 | Bank Of America Merrill Lynch | 420,360,000 | 103,329,766 | (2,108,466 | ) | ||||||||||
Singapore Dollar | 07/19/2023 | Bank Of America Merrill Lynch | 335,700,000 | 248,361,521 | 433,532 | |||||||||||
South African Rand | 07/19/2023 | Bank Of America Merrill Lynch | 4,794,090,000 | 254,329,716 | 3,528,759 | |||||||||||
South Korean Won | 07/19/2023 | Bank Of America Merrill Lynch | 133,100,999,999 | 101,101,394 | 1,440,958 | |||||||||||
Swedish Krona | 07/19/2023 | Bank Of America Merrill Lynch | 4,626,109,999 | 429,209,212 | (2,770,970 | ) | ||||||||||
Swiss Franc | 07/19/2023 | Bank Of America Merrill Lynch | 704,000,000 | 787,818,338 | (4,390,315 | ) | ||||||||||
Israeli Shekel | 08/16/2023 | Bank Of America Merrill Lynch | 38,020,000 | 10,272,217 | 1,004 | |||||||||||
New Zealand Dollar | 08/16/2023 | Bank Of America Merrill Lynch | 51,700,000 | 31,727,504 | (342,052 | ) | ||||||||||
Norwegian Krone | 08/16/2023 | Bank Of America Merrill Lynch | 50,190,000 | 4,683,584 | (26,900 | ) | ||||||||||
South African Rand | 08/16/2023 | Bank Of America Merrill Lynch | 3,700,000 | 195,717 | (532 | ) | ||||||||||
South Korean Won | 08/16/2023 | Bank Of America Merrill Lynch | 20,101,000,000 | 15,286,930 | 5,551 | |||||||||||
Swedish Krona | 08/16/2023 | Bank Of America Merrill Lynch | 463,590,000 | 43,070,293 | (71,857 | ) | ||||||||||
$ | 9,736,458,141 | $ | (855,836 | ) | ||||||||||||
Total | $ | 7,916,935 |
The accompanying notes are an integral part of these consolidated financial statements.
54
CATALYST BUFFERED SHIELD FUND |
SCHEDULE OF INVESTMENTS |
June 30, 2023 |
Shares | Fair Value | |||||||
EXCHANGE-TRADED FUNDS — 93.6% | ||||||||
FIXED INCOME - 93.6% | ||||||||
252,764 | iShares Trust iShares 1 5 Year Investment Grade Corporate Bond ETF(a) | $ | 12,681,170 | |||||
253,665 | PGIM Ultra Short Bond ETF(a) | 12,533,588 | ||||||
174,223 | Vanguard Short Term Corporate Bond ETF | 13,181,712 | ||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $40,493,173) | 38,396,470 | |||||||
SHORT-TERM INVESTMENT — 0.6% | ||||||||
MONEY MARKET FUND - 0.6% | ||||||||
237,351 | First American Treasury Obligations Fund, Class X, 5.03% (Cost $237,351)(b ) | 237,351 |
Contracts(c) | Counterparty | Expiration Date | Exercise Price | Notional Value | ||||||||||||||
EQUITY OPTIONS PURCHASED - 11.9% | ||||||||||||||||||
CALL OPTIONS PURCHASED - 10.3% | ||||||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | $ | 415 | $ | 5,541,000 | $ | 456,250 | |||||||||
23 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 385 | 1,019,544 | 165,715 | ||||||||||||
50 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 405 | 2,216,400 | 270,000 | ||||||||||||
167 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 435 | 7,402,776 | 495,155 | ||||||||||||
80 | SPDR S&P 500 ETF Trust | FCS | 03/15/2024 | 400 | 3,546,240 | 507,840 | ||||||||||||
160 | SPDR S&P 500 ETF Trust | FCS | 03/15/2024 | 437 | 7,092,480 | 552,480 | ||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 410 | 5,541,000 | 772,375 | ||||||||||||
50 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 420 | 2,216,400 | 273,250 | ||||||||||||
175 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 440 | 7,757,400 | 698,425 | ||||||||||||
TOTAL CALL OPTIONS PURCHASED (Cost - $3,542,357) | 4,191,490 | |||||||||||||||||
PUT OPTIONS PURCHASED - 1.6% | ||||||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | $ | 385 | $ | 5,541,000 | $ | 16,125 | |||||||||
240 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 400 | 10,638,720 | 152,880 | ||||||||||||
80 | SPDR S&P 500 ETF Trust | FCS | 03/15/2024 | 370 | 3,546,240 | 40,160 | ||||||||||||
160 | SPDR S&P 500 ETF Trust | FCS | 03/15/2024 | 395 | 7,092,480 | 121,600 | ||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 375 | 5,541,000 | 97,625 | ||||||||||||
50 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 385 | 2,216,400 | 45,000 | ||||||||||||
175 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 400 | 7,757,400 | 192,675 | ||||||||||||
TOTAL PUT OPTIONS PURCHASED (Cost - $1,337,667) | 666,065 | |||||||||||||||||
TOTAL EQUITY OPTIONS PURCHASED (Cost - $4,880,024) | $ | 4,857,555 |
The accompanying notes are an integral part of these financial statements.
55
CATALYST BUFFERED SHIELD FUND |
SCHEDULE OF INVESTMENTS (Continued) |
June 30, 2023 |
Fair Value | ||||||||
TOTAL INVESTMENTS - 106.1% (Cost $45,610,548) | $ | 43,491,376 | ||||||
CALL OPTIONS WRITTEN - (3.2)% (Proceeds - $1,173,634) | (1,347,896 | ) | ||||||
PUT OPTIONS WRITTEN - (3.0)% (Proceeds - $2,273,177) | (1,187,235 | ) | ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES- 0.1% | 38,088 | |||||||
NET ASSETS - 100.0% | $ | 40,994,333 |
Contracts(c) | Counterparty | Expiration Date | Exercise Price | Notional Value | ||||||||||||||
WRITTEN EQUITY OPTIONS - (6.2)% | ||||||||||||||||||
CALL OPTIONS WRITTEN- (3.2)% | ||||||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | $ | 460 | $ | 5,541,000 | $ | 47,625 | |||||||||
167 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 455 | 7,402,776 | 278,890 | ||||||||||||
73 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 460 | 3,235,944 | 100,156 | ||||||||||||
140 | SPDR S&P 500 ETF Trust | FCS | 03/15/2024 | 460 | 6,205,920 | 270,900 | ||||||||||||
100 | SPDR S&P 500 ETF Trust | FCS | 03/15/2024 | 465 | 4,432,800 | 165,600 | ||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 470 | 5,541,000 | 266,250 | ||||||||||||
50 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 475 | 2,216,400 | 91,950 | ||||||||||||
175 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 505 | 7,757,400 | 126,525 | ||||||||||||
TOTAL CALL OPTIONS WRITTEN (Proceeds - $1,173,634) | 1,347,896 | |||||||||||||||||
PUT OPTIONS WRITTEN - (3.0)% | ||||||||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 09/15/2023 | $ | 415 | $ | 5,541,000 | $ | 37,625 | |||||||||
23 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 385 | 1,019,544 | 10,833 | ||||||||||||
50 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 405 | 2,216,400 | 33,950 | ||||||||||||
167 | SPDR S&P 500 ETF Trust | FCS | 01/19/2024 | 435 | 7,402,776 | 208,082 | ||||||||||||
80 | SPDR S&P 500 ETF Trust | FCS | 03/15/2024 | 400 | 3,546,240 | 66,400 | ||||||||||||
160 | SPDR S&P 500 ETF Trust | FCS | 03/15/2024 | 437 | 7,092,480 | 249,120 | ||||||||||||
125 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 410 | 5,541,000 | 159,125 | ||||||||||||
50 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 420 | 2,216,400 | 73,150 | ||||||||||||
175 | SPDR S&P 500 ETF Trust | FCS | 06/21/2024 | 440 | 7,757,400 | 348,950 | ||||||||||||
TOTAL PUT OPTIONS WRITTEN (Proceeds - $2,273,177) | 1,187,235 | |||||||||||||||||
TOTAL WRITTEN EQUITY OPTIONS (Proceeds - $3,446,811) | $ | 2,535,131 |
ETF - Exchange Traded Fund
SPDR - Standard & Poor’s Depositary Receipt
FCS - StoneX Group, Inc.
(a) | All or a portion of this security is segregated as collateral for options written. |
(b) | Rate disclosed is the seven day effective yield as of June 30, 2023. |
(c) | Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security. |
The accompanying notes are an integral part of these financial statements.
56
CATALYST FUNDS |
Statements of Assets and Liabilities |
June 30, 2023 |
Catalyst/Millburn | Catalyst/Warrington | Catalyst | ||||||||||
Dynamic Commodity | Strategic | Systematic Alpha | ||||||||||
Strategy Fund | Program Fund | Fund | ||||||||||
(Consolidated) | (Consolidated) | |||||||||||
ASSETS: | ||||||||||||
Investments in Securities at Cost | $ | 11,605,496 | $ | 84,628,212 | $ | 83,417,315 | ||||||
Investments in Securities at Value | $ | 11,602,747 | $ | 83,799,166 | $ | 83,039,458 | ||||||
Cash segregated for disgorgement of advisory fees (see Note 11) | — | 62,040 | — | |||||||||
Deposits with Broker for futures and options (a) | 432,735 | 33,455,220 | — | |||||||||
Cash Collateral Held at Custodian | — | — | 2,725,688 | |||||||||
Dividends and interest receivable | 29,391 | 7,451 | 715,072 | |||||||||
Receivable for Fund shares sold | 29,044 | 458,734 | 2,244,346 | |||||||||
Unrealized appreciation - on swap contracts | — | — | 5,522,099 | |||||||||
Receivable from litigation | — | 1,960,000 | — | |||||||||
Receivable for securities sold | 62 | — | — | |||||||||
Futures unrealized appreciation | 100,836 | — | — | |||||||||
Prepaid expenses and other assets | 31,083 | 68,964 | 37,311 | |||||||||
Total Assets | 12,225,898 | 119,811,575 | 94,283,974 | |||||||||
LIABILITIES: | ||||||||||||
Options written, at value (proceeds $0, $953,775, $0) | — | 459,225 | — | |||||||||
Payable for securities purchased | — | — | 1,962,005 | |||||||||
Management fees payable | 11,744 | 152,788 | 92,237 | |||||||||
Accrued 12b-1 fees | 3,263 | 22,825 | 4,460 | |||||||||
Payable for disgorgement of advisory fees (see Note 11) | — | 62,040 | — | |||||||||
Payable to related parties | 4,749 | 11,233 | 5,622 | |||||||||
Payable for Fund shares redeemed | — | 184,226 | 171,155 | |||||||||
Trustee fee payable | 3,684 | 3,668 | 3,677 | |||||||||
Futures unrealized depreciation | 29,703 | — | — | |||||||||
Compliance officer fees payable | 7 | 18 | 23 | |||||||||
Accrued expenses and other liabilities | 31,584 | 45,800 | 31,880 | |||||||||
Total Liabilities | 84,734 | 941,823 | 2,271,059 | |||||||||
Net Assets | $ | 12,141,164 | $ | 118,869,752 | $ | 92,012,915 | ||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid in capital | $ | 13,422,525 | $ | 1,117,487,361 | $ | 86,363,893 | ||||||
Accumulated earnings (deficit) | (1,281,361 | ) | (998,617,609 | ) | 5,649,022 | |||||||
Net Assets | $ | 12,141,164 | $ | 118,869,752 | $ | 92,012,915 | ||||||
Class A | ||||||||||||
Net Assets | $ | 2,034,686 | $ | 16,290,658 | $ | 13,658,527 | ||||||
Shares of beneficial interest outstanding (b) | 219,349 | 1,830,400 | 1,064,685 | |||||||||
Net asset value per share (Net assets/shares outstanding) | $ | 9.28 | $ | 8.90 | $ | 12.83 | ||||||
Maximum offering price per share (c) | $ | 9.85 | $ | 9.44 | $ | 13.61 | ||||||
Minimum redemption price per share (d) | $ | 9.19 | $ | 8.81 | $ | 12.70 | ||||||
Class C | ||||||||||||
Net Assets | $ | 839,321 | $ | 13,583,001 | $ | 3,122,221 | ||||||
Shares of beneficial interest outstanding (b) | 94,988 | 1,633,270 | 254,303 | |||||||||
Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $ | 8.84 | $ | 8.32 | $ | 12.28 | ||||||
Class I | ||||||||||||
Net Assets | $ | 9,267,157 | $ | 88,996,093 | $ | 75,232,167 | ||||||
Shares of beneficial interest outstanding (b) | 990,975 | 9,771,929 | 5,994,195 | |||||||||
Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $ | 9.35 | $ | 9.11 | $ | 12.55 |
(a) | See Section 1b in the notes for the breakout by counterparty. |
(b) | Unlimited number of shares of no par value beneficial interest authorized. |
(c) | There is a maximum front-end sales charge (load) of 5.75% imposed on purchases of Class A shares for each Fund. |
(d) | Investments in Class A shares made at or above $1 million breakpoint are not subject to an initial sales charge and may be subject to a 1% contingent deferred sales charges ("CDSC") on shares redeemed within two years of purchase. |
The accompanying notes are an integral part of these consolidated financial statements.
57
CATALYST FUNDS |
Statements of Assets and Liabilities (Continued) |
June 30, 2023 |
Catalyst | Catalyst | Catalyst/Millburn | Catalyst | |||||||||||||
Income and Multi | Nasdaq-100 Hedged | Hedge Strategy | Buffered Shield | |||||||||||||
Strategy Fund | Equity Fund | Fund | Fund | |||||||||||||
(Consolidated) | (Consolidated) | |||||||||||||||
ASSETS: | ||||||||||||||||
Investments in Unaffiliated securities, at cost | $ | 5,360,146 | $ | 12,493,847 | $ | 5,449,474,873 | $ | 45,610,548 | ||||||||
Investments in Affiliated securities, at cost | 647,315 | — | — | — | ||||||||||||
Securities at Cost | $ | 6,007,461 | $ | 12,493,847 | $ | 5,449,474,873 | $ | 45,610,548 | ||||||||
Investments in Unaffiliated securities, at value | $ | 5,112,521 | $ | 13,328,246 | $ | 5,895,042,482 | $ | 43,491,376 | ||||||||
Investments in Affiliated securities, at value | 592,971 | — | — | — | ||||||||||||
Securities at Value | $ | 5,705,492 | $ | 13,328,246 | $ | 5,895,042,482 | $ | 43,491,376 | ||||||||
Cash | 3,813 | — | — | — | ||||||||||||
Cash Collateral Held at Custodian | — | — | 15,960,000 | — | ||||||||||||
Futures unrealized appreciation | 108,078 | 123,843 | 126,298,749 | — | ||||||||||||
Due from Manager | 1,756 | — | — | — | ||||||||||||
Deposits with Broker for futures and options (a) | 352,750 | 2,510,347 | 47,497,992 | 82,472 | ||||||||||||
Dividends and interest receivable | 32,015 | 5,961 | 20,829,504 | 1,167 | ||||||||||||
Receivable for Fund shares sold | — | — | 6,222,498 | 18,773 | ||||||||||||
Unrealized appreciation on forward currency exchange contracts | — | — | 86,450,302 | — | ||||||||||||
Prepaid expenses and other assets | 10,982 | 16,573 | 378,232 | 22,436 | ||||||||||||
Total Assets | 6,214,886 | 15,984,970 | 6,198,679,759 | 43,616,224 | ||||||||||||
LIABILITIES: | ||||||||||||||||
Options written, at value (proceeds $0, $0, $0, $3,446,811) | — | — | — | 2,535,131 | ||||||||||||
Management fees payable | — | 1,149 | 8,573,633 | 33,084 | ||||||||||||
Accrued 12b-1 fees | 1,627 | 3,061 | 662,179 | 7,779 | ||||||||||||
Futures unrealized depreciation | 9,150 | 413,169 | 26,333,329 | — | ||||||||||||
Payable upon return of securities loaned (Market value of securities on loan $0,$2,356,189, $0, $0) | — | 2,372,808 | — | — | ||||||||||||
Due to custodian | — | — | — | — | ||||||||||||
Payable for securities purchased | — | — | 11,741,215 | — | ||||||||||||
Payable for Fund shares redeemed | 435 | — | 13,600,232 | 3,258 | ||||||||||||
Unrealized depreciation on forward currency exchange contracts | — | — | 78,533,367 | — | ||||||||||||
Payable to related parties | 2,568 | 4,129 | 246,200 | 5,675 | ||||||||||||
Trustee fee payable | 3,711 | 3,669 | 3,745 | 3,705 | ||||||||||||
Compliance officer fees payable | 35 | — | 95 | 9 | ||||||||||||
Accrued expenses and other liabilities | 25,111 | 27,223 | 1,017,789 | 33,250 | ||||||||||||
Total Liabilities | 42,637 | 2,825,208 | 140,711,784 | 2,621,891 | ||||||||||||
Net Assets | $ | 6,172,249 | $ | 13,159,762 | $ | 6,057,967,975 | $ | 40,994,333 | ||||||||
NET ASSETS CONSIST OF: | ||||||||||||||||
Paid in capital | $ | 7,040,567 | $ | 13,408,226 | $ | 5,807,580,076 | $ | 55,103,521 | ||||||||
Accumulated earnings (deficit) | (868,318 | ) | (248,464 | ) | 250,387,899 | (14,109,188 | ) | |||||||||
Net Assets | $ | 6,172,249 | $ | 13,159,762 | $ | 6,057,967,975 | $ | 40,994,333 | ||||||||
Class A | ||||||||||||||||
Net Assets | $ | 136,655 | $ | 598,054 | $ | 443,988,039 | $ | 13,444,346 | ||||||||
Shares of beneficial interest outstanding (b) | 10,629 | 54,321 | 12,620,786 | 1,533,031 | ||||||||||||
Net asset value per share (Net assets/shares outstanding) | $ | 12.86 | $ | 11.01 | $ | 35.18 | $ | 8.77 | ||||||||
Maximum offering price per share (c) | $ | 13.64 | 11.68 | $ | 37.33 | $ | 9.31 | |||||||||
Minimum redemption price per share (d) | $ | 12.73 | $ | 10.90 | $ | 34.83 | $ | 8.68 | ||||||||
Class C | ||||||||||||||||
Net Assets | $ | 540,847 | $ | 1,403,436 | $ | 363,845,013 | $ | 4,083,940 | ||||||||
Shares of beneficial interest outstanding (b) | 43,640 | 137,451 | 10,648,080 | 481,758 | ||||||||||||
Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $ | 12.39 | $ | 10.21 | $ | 34.17 | $ | 8.48 | ||||||||
Class C-1 (e) | ||||||||||||||||
Net Assets | $ | 28,126,863 | ||||||||||||||
Shares of beneficial interest outstanding (b) | 827,282 | |||||||||||||||
Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $ | 34.00 | ||||||||||||||
Class I | ||||||||||||||||
Net Assets | $ | 5,494,747 | $ | 11,158,272 | $ | 5,222,008,060 | $ | 23,466,047 | ||||||||
Shares of beneficial interest outstanding (b) | 425,665 | 999,719 | 147,292,581 | 2,653,606 | ||||||||||||
Net asset value, offering price and redemption price per share (Net assets/shares outstanding) | $ | 12.91 | $ | 11.16 | $ | 35.45 | $ | 8.84 |
(a) | See Section 1b in the notes for the breakout by counterparty. |
(b) | Unlimited number of shares of no par value beneficial interest authorized. |
(c) | There is a maximum front-end sales charge (load) of 5.75% imposed on purchases of Class A shares for each Fund. |
(d) | Investments in Class A shares made at or above $1 million breakpoint are not subject to an initial sales charge and may be subject to a 1% contingent deferred sales charge ("CDSC") on shares redeemed within two years of purchase. |
(e) | Class C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund. |
The accompanying notes are an integral part of these consolidated financial statements.
58
CATALYST FUNDS |
Statements of Operations |
For the Year Ended June 30, 2023 |
Catalyst/Millburn | Catalyst/Warrington | Catalyst | ||||||||||
Dynamic Commodity | Strategic Program | Systematic Alpha | ||||||||||
Strategy Fund | Fund | Fund | ||||||||||
(Consolidated) | (Consolidated) | |||||||||||
Investment Income: | ||||||||||||
Dividend income | $ | 182,050 | $ | — | $ | — | ||||||
Interest income | 256,844 | 3,319,771 | 605,352 | |||||||||
Foreign tax withheld | (4,588 | ) | — | — | ||||||||
Total Investment Income | 434,306 | 3,319,771 | 605,352 | |||||||||
Operating Expenses: | ||||||||||||
Investment management fees | 305,999 | 2,500,969 | 224,069 | |||||||||
12b-1 Fees: | ||||||||||||
Class A | 6,325 | 46,394 | 2,293 | |||||||||
Class C | 13,441 | 145,079 | 4,593 | |||||||||
Networking fees | 21,731 | 160,918 | 12,454 | |||||||||
Registration fees | 44,023 | 57,447 | 22,709 | |||||||||
Administration fees | 33,039 | 61,202 | 31,241 | |||||||||
Management service fees | 3,742 | 30,062 | 2,511 | |||||||||
Legal fees | 16,889 | 464,876 | * | 39,842 | ||||||||
Audit fees | 15,965 | 13,477 | 16,770 | |||||||||
Transfer Agent fees | 3,069 | 15,044 | 2,101 | |||||||||
Trustees' fees | 15,359 | 15,360 | 15,356 | |||||||||
Printing expense | 2,626 | 16,305 | 10,970 | |||||||||
Compliance officer fees | 8,527 | 14,760 | 6,406 | |||||||||
Custody fees | 24,540 | 5,534 | 4,340 | |||||||||
Insurance expense | 285 | 3,775 | 159 | |||||||||
Interest expense | 284 | 7,321 | 399 | |||||||||
Miscellaneous expense | 2,981 | 43,220 | 2,898 | |||||||||
Total Operating Expenses | 518,825 | 3,601,743 | 399,111 | |||||||||
Less: Fees waived/expenses reimbursed by Manager | (151,605 | ) | (68,573 | ) | (122,949 | ) | ||||||
Net Operating Expenses | 367,220 | 3,533,170 | 276,162 | |||||||||
Net Investment Income (Loss) | 67,086 | (213,399 | ) | 329,190 | ||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments | (718,240 | ) | 1,956,335 | (7,494 | ) | |||||||
Options purchased | — | (28,158,819 | ) | — | ||||||||
Options written | — | 30,971,463 | — | |||||||||
Futures | (4,380,651 | ) | (15,215 | ) | — | |||||||
Swaps | — | — | 658,683 | |||||||||
Foreign currency transactions | (1,635 | ) | — | — | ||||||||
Net Realized Gain (Loss) | (5,100,526 | ) | 4,753,764 | 651,189 | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 1,143,079 | (172,001 | ) | (377,857 | ) | |||||||
Options purchased | — | (764,545 | ) | — | ||||||||
Options written | — | 462,300 | — | |||||||||
Futures | 1,816,133 | — | — | |||||||||
Foreign currency translations | (19 | ) | — | — | ||||||||
Swaps | — | — | 5,755,793 | |||||||||
Net change in unrealized appreciation (depreciation) | 2,959,193 | (474,246 | ) | 5,377,936 | ||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (2,141,333 | ) | 4,279,518 | 6,029,125 | ||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (2,074,247 | ) | $ | 4,066,119 | $ | 6,358,315 |
* | Includes legal fees that are extraordinary expenses that are outside the expense limitation. |
The accompanying notes are an integral part of these consolidated financial statements.
59
CATALYST FUNDS |
Statements of Operations (Continued) |
For the Year Ended June 30, 2023 |
Catalyst | Catalyst | Catalyst/Millburn | Catalyst | |||||||||||||
Income and Multi | Nasdaq-100 Hedged | Hedge Strategy | Buffered Shield | |||||||||||||
Strategy Fund | Equity Fund | Fund | Fund | |||||||||||||
(Consolidated) | (Consolidated) | |||||||||||||||
Investment Income: | ||||||||||||||||
Dividend Income | $ | 163,140 | $ | 92,064 | $ | 50,775,605 | $ | 1,389,678 | ||||||||
Interest Income | 48,915 | 32,688 | 94,269,376 | 9,465 | ||||||||||||
Dividend income - affiliated securities | 38,300 | — | — | — | ||||||||||||
Securities Lending - net | — | 8,474 | — | — | ||||||||||||
Foreign tax withheld | — | (176 | ) | — | ||||||||||||
Total Investment Income | 250,355 | 133,050 | 145,044,981 | 1,399,143 | ||||||||||||
Operating Expenses: | ||||||||||||||||
Investment management fees | 102,330 | 162,015 | 93,509,462 | 601,254 | ||||||||||||
12b-1 Fees: | ||||||||||||||||
Class A | 322 | 1,826 | 1,028,688 | 38,473 | ||||||||||||
Class C | 5,988 | 12,939 | 3,579,727 | 41,678 | ||||||||||||
Class C-1* | — | — | 169,978 | — | ||||||||||||
Legal fees | 19,734 | 15,799 | 20,816 | 15,551 | ||||||||||||
Registration fees | 20,693 | 25,358 | 244,437 | 41,134 | ||||||||||||
Administration fees | 24,479 | 29,085 | 1,435,383 | 36,662 | ||||||||||||
Audit fees | 15,965 | 14,485 | 34,024 | 14,514 | ||||||||||||
Trustees' fees | 15,359 | 15,360 | 15,481 | 15,455 | ||||||||||||
Compliance officer fees | 11,454 | 10,704 | 140,960 | 11,664 | ||||||||||||
Management service fees | 1,230 | 2,503 | 1,077,520 | 9,704 | ||||||||||||
Printing expense | 2,298 | 925 | 359,209 | 6,580 | ||||||||||||
Networking fees | 6,381 | 14,946 | 5,396,888 | 65,602 | ||||||||||||
Custody fees | 5,123 | 7,008 | 248,331 | 25,426 | ||||||||||||
Transfer Agent fees | 1,549 | 697 | 225,352 | 2,936 | ||||||||||||
Insurance expense | 205 | 436 | 99,875 | 2,564 | ||||||||||||
Interest expense | 362 | 5,563 | 383,434 | 15,117 | ||||||||||||
Miscellaneous expense | 2,755 | 28,017 | 6,129 | 3,620 | ||||||||||||
Total Operating Expenses | 236,227 | 347,666 | 107,975,694 | 947,934 | ||||||||||||
Less: Fees waived/expenses reimbursed by Manager | (113,139 | ) | (134,268 | ) | — | (241,278 | ) | |||||||||
Net Operating Expenses | 123,088 | 213,398 | 107,975,694 | 706,656 | ||||||||||||
Net Investment Income (Loss) | 127,267 | (80,348 | ) | 37,069,287 | 692,487 | |||||||||||
Realized and Unrealized Gain (Loss) on Investments: | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments | (331,081 | ) | 72,830 | 56,738,924 | (3,785,970 | ) | ||||||||||
Affiliated Investments | (3,472 | ) | — | — | — | |||||||||||
Long Term Capital Gains from underlying investment companies | 18 | — | 1,628,032 | 1,967 | ||||||||||||
Options purchased | — | (3,867,874 | ) | — | (3,704,822 | ) | ||||||||||
Options written | — | 2,617,853 | — | 4,351,129 | ||||||||||||
Futures | (59,506 | ) | 783,151 | (276,299,993 | ) | — | ||||||||||
Foreign currency transactions | (4,526 | ) | — | 8,483,707 | — | |||||||||||
Net Realized Loss | (398,567 | ) | (394,040 | ) | (209,449,330 | ) | (3,137,696 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 198,035 | 2,835,637 | 259,324,665 | 1,753,372 | ||||||||||||
Affiliated Investments | (29,513 | ) | — | — | — | |||||||||||
Options purchased | — | (52,473 | ) | — | (164,735 | ) | ||||||||||
Options written | — | (17,820 | ) | — | 2,662,421 | |||||||||||
Futures | 21,870 | (327,593 | ) | (16,004,209 | ) | — | ||||||||||
Foreign currency translations | 392 | — | 10,184,670 | — | ||||||||||||
Net change in unrealized appreciation | 190,784 | 2,437,751 | 253,505,126 | 4,251,058 | ||||||||||||
Net Realized and Unrealized Gain (Loss) on Investments | (207,783 | ) | 2,043,711 | 44,055,796 | 1,113,362 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting From Operations | $ | (80,516 | ) | $ | 1,963,363 | $ | 81,125,083 | $ | 1,805,849 |
* | Class C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund. |
The accompanying notes are an integral part of these consolidated financial statements.
60
CATALYST FUNDS |
Statements of Changes in Net Assets |
Catalyst/Millburn Dynamic Commodity Strategy Fund | Catalyst/Warrington Strategic Program Fund | |||||||||||||||
(Consolidated) | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2023 | June 30, 2022 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss). | $ | 67,086 | $ | (124,641 | ) | $ | (213,399 | ) | $ | (2,396,290 | ) | |||||
Net realized gain (loss) on investments | (5,100,526 | ) | 5,088,620 | 4,753,764 | 12,616,624 | |||||||||||
Net change in unrealized appreciation (depreciation) on investments | 2,959,193 | (3,063,783 | ) | (474,246 | ) | (1,397,841 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | (2,074,247 | ) | 1,900,196 | 4,066,119 | 8,822,493 | |||||||||||
Distributions to Shareholders from: | ||||||||||||||||
From Accumulated Earnings | ||||||||||||||||
Class A | (514,801 | ) | — | (162,105 | ) | — | ||||||||||
Class C | (250,746 | ) | — | (357 | ) | — | ||||||||||
Class I | (2,610,544 | ) | — | (1,272,740 | ) | — | ||||||||||
Total distributions to shareholders | (3,376,091 | ) | — | (1,435,202 | ) | — | ||||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||
Class A | 920,332 | 1,712,685 | 3,852,031 | 4,865,867 | ||||||||||||
Class C | 160,494 | 987,724 | 1,849,384 | 674,700 | ||||||||||||
Class I | 7,663,846 | 21,786,614 | 78,885,921 | 60,664,956 | ||||||||||||
Reinvestment of distributions | ||||||||||||||||
Class A | 494,150 | — | 151,666 | — | ||||||||||||
Class C | 228,971 | — | 332 | — | ||||||||||||
Class I | 2,181,052 | — | 1,201,778 | — | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Class A | (1,233,613 | ) | (3,038,122 | ) | (7,279,769 | ) | (4,753,300 | ) | ||||||||
Class C | (1,043,403 | ) | (816,859 | ) | (4,148,554 | ) | (6,625,308 | ) | ||||||||
Class I | (16,283,435 | ) | (10,702,082 | ) | (82,932,616 | ) | (37,897,512 | ) | ||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | (6,911,606 | ) | 9,929,960 | (8,419,827 | ) | 16,929,403 | ||||||||||
Total Increase (Decrease) in Net Assets | (12,361,944 | ) | 11,830,156 | (5,788,910 | ) | 25,751,896 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 24,503,108 | 12,672,952 | 124,658,662 | 98,906,766 | ||||||||||||
End of year | $ | 12,141,164 | $ | 24,503,108 | $ | 118,869,752 | $ | 124,658,662 | ||||||||
Share Activity: | ||||||||||||||||
Class A | ||||||||||||||||
Shares Sold | 76,549 | 129,976 | 440,996 | 581,840 | ||||||||||||
Shares Reinvested | 48,637 | — | 17,413 | — | ||||||||||||
Shares Redeemed | (116,306 | ) | (275,603 | ) | (830,609 | ) | (572,731 | ) | ||||||||
Net increase (decrease) in shares of Beneficial interest | 8,880 | (145,627 | ) | (372,200 | ) | 9,109 | ||||||||||
Class C | ||||||||||||||||
Shares Sold | 14,502 | 77,137 | 226,213 | 84,028 | ||||||||||||
Shares Reinvested | 23,557 | — | 41 | — | ||||||||||||
Shares Redeemed | (99,800 | ) | (84,454 | ) | (507,361 | ) | (862,160 | ) | ||||||||
Net decrease in shares of Beneficial interest | (61,741 | ) | (7,317 | ) | (281,107 | ) | (778,132 | ) | ||||||||
Class I | ||||||||||||||||
Shares Sold | 675,260 | 1,623,425 | 8,810,386 | 7,030,401 | ||||||||||||
Shares Reinvested | 213,202 | — | 135,031 | — | ||||||||||||
Shares Redeemed | (1,446,051 | ) | (881,501 | ) | (9,245,762 | ) | (4,418,077 | ) | ||||||||
Net increase (decrease) in shares of Beneficial interest | (557,589 | ) | 741,924 | (300,345 | ) | 2,612,324 |
The accompanying notes are an integral part of these consolidated financial statements.
61
CATALYST FUNDS |
Statements of Changes in Net Assets (Continued) |
Catalyst Systematic Alpha Fund | ||||||||
(Consolidated) | ||||||||
Year Ended | Year Ended | |||||||
June 30, 2023 | June 30, 2022 | |||||||
Operations: | ||||||||
Net investment income (loss) | $ | 329,190 | $ | (68,478 | ) | |||
Net realized gain on investments | 651,189 | 228,871 | ||||||
Net change in unrealized appreciation (depreciation) on investments | 5,377,936 | (568,163 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 6,358,315 | (407,770 | ) | |||||
Distributions to Shareholders from: | ||||||||
From Accumulated Earnings | ||||||||
Class A | (28,482 | ) | (12,767 | ) | ||||
Class C | (8,885 | ) | (7,561 | ) | ||||
Class I | (417,241 | ) | (242,823 | ) | ||||
Total distributions to shareholders | (454,608 | ) | (263,151 | ) | ||||
Share Transactions of Beneficial Interest: | ||||||||
Net proceeds from shares sold | ||||||||
Class A | 13,116,990 | 542,656 | ||||||
Class C | 2,827,772 | 24,445 | ||||||
Class I | 71,757,664 | 5,432,398 | ||||||
Reinvestment of distributions | ||||||||
Class A | 28,389 | 11,705 | ||||||
Class C | 8,803 | 7,561 | ||||||
Class I | 231,443 | 106,452 | ||||||
Cost of shares redeemed | ||||||||
Class A | (179,916 | ) | (356,839 | ) | ||||
Class C | (60,067 | ) | (74,971 | ) | ||||
Class I | (8,123,121 | ) | (1,374,479 | ) | ||||
Net increase in net assets from share transactions of beneficial interest | 79,607,957 | 4,318,928 | ||||||
Total Increase in Net Assets | 85,511,664 | 3,648,007 | ||||||
Net Assets: | ||||||||
Beginning of year | 6,501,251 | 2,853,244 | ||||||
End of year | $ | 92,012,915 | $ | 6,501,251 | ||||
Share Activity: | ||||||||
Class A | ||||||||
Shares Sold | 1,046,808 | 48,707 | ||||||
Shares Reinvested | 2,387 | 1,049 | ||||||
Shares Redeemed | (16,763 | ) | (32,595 | ) | ||||
Net increase in shares of Beneficial interest | 1,032,432 | 17,161 | ||||||
Class C | ||||||||
Shares Sold | 245,117 | 2,185 | ||||||
Shares Reinvested | 810 | 705 | ||||||
Shares Redeemed | (5,445 | ) | (6,740 | ) | ||||
Net increase (decrease) in shares of Beneficial interest | 240,482 | (3,850 | ) | |||||
Class I | ||||||||
Shares Sold | 6,115,591 | 499,672 | ||||||
Shares Reinvested | 20,254 | 9,740 | ||||||
Shares Redeemed | (754,270 | ) | (131,665 | ) | ||||
Net increase in shares of Beneficial interest | 5,381,575 | 377,747 |
The accompanying notes are an integral part of these consolidated financial statements.
62
CATALYST FUNDS |
Statements of Changes in Net Assets (Continued) |
Catalyst Income and Multi Strategy Fund | Catalyst Nasdaq-100 Hedged Equity Fund | |||||||||||||||
(Consolidated) | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2023 | June 30, 2022 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 127,267 | $ | 1,623 | $ | (80,348 | ) | $ | (151,360 | ) | ||||||
Net realized gain (loss) on investments | (398,567 | ) | 234,675 | (394,040 | ) | 565,284 | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 190,784 | (644,360 | ) | 2,437,751 | (3,557,968 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (80,516 | ) | (408,062 | ) | 1,963,363 | (3,144,044 | ) | |||||||||
Distributions to Shareholders from: | ||||||||||||||||
From Accumulated Earnings | ||||||||||||||||
Class A | (8,375 | ) | (1,924 | ) | (17,277 | ) | (5,533 | ) | ||||||||
Class C | (35,905 | ) | (7,156 | ) | (33,526 | ) | (6,244 | ) | ||||||||
Class I | (323,357 | ) | (192,608 | ) | (267,168 | ) | (37,451 | ) | ||||||||
Total distributions to shareholders | (367,637 | ) | (201,688 | ) | (317,971 | ) | (49,228 | ) | ||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||
Class A | 76,127 | 215,596 | 17,578 | 247,058 | ||||||||||||
Class C | 124,847 | 409,000 | 155,634 | 18,866 | ||||||||||||
Class I | 1,626,687 | 1,364,279 | 1,935,194 | 6,794,770 | ||||||||||||
Reinvestment of distributions | ||||||||||||||||
Class A | 8,375 | 1,924 | 11,161 | 4,637 | ||||||||||||
Class C | 35,905 | 7,156 | 31,135 | 5,903 | ||||||||||||
Class I | 195,986 | 116,004 | 229,564 | 31,106 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Class A | (31,589 | ) | (162,428 | ) | (387,701 | ) | (702,853 | ) | ||||||||
Class C | (106,135 | ) | (25,072 | ) | (191,837 | ) | (443,638 | ) | ||||||||
Class I | (540,695 | ) | (579,857 | ) | (4,627,644 | ) | (3,034,787 | ) | ||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 1,389,508 | 1,346,602 | (2,826,916 | ) | 2,921,062 | |||||||||||
Total Increase (Decrease) in Net Assets | 941,355 | 736,852 | (1,181,524 | ) | (272,210 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 5,230,894 | 4,494,042 | 14,341,286 | 14,613,496 | ||||||||||||
End of year | $ | 6,172,249 | $ | 5,230,894 | $ | 13,159,762 | $ | 14,341,286 | ||||||||
Share Activity: | ||||||||||||||||
Class A | ||||||||||||||||
Shares Sold | 5,369 | 14,814 | 1,876 | 20,382 | ||||||||||||
Shares Reinvested | 646 | 132 | 1,225 | 370 | ||||||||||||
Shares Redeemed | (2,220 | ) | (11,296 | ) | (39,657 | ) | (59,460 | ) | ||||||||
Net increase (decrease) in shares of Beneficial interest | 3,795 | 3,650 | (36,556 | ) | (38,708 | ) | ||||||||||
Class C | ||||||||||||||||
Shares Sold | 9,374 | 29,099 | 16,764 | 1,611 | ||||||||||||
Shares Reinvested | 2,868 | 507 | 3,672 | 501 | ||||||||||||
Shares Redeemed | (8,740 | ) | (1,806 | ) | (21,176 | ) | (39,465 | ) | ||||||||
Net increase (decrease) in shares of Beneficial interest | 3,502 | 27,800 | (740 | ) | (37,353 | ) | ||||||||||
Class I | ||||||||||||||||
Shares Sold | 118,471 | 90,997 | 195,246 | 573,454 | ||||||||||||
Shares Reinvested | 15,090 | 7,986 | 24,899 | 2,457 | ||||||||||||
Shares Redeemed | (39,244 | ) | (39,266 | ) | (480,016 | ) | (257,408 | ) | ||||||||
Net increase (decrease) in shares of Beneficial interest | 94,317 | 59,717 | (259,871 | ) | 318,503 |
The accompanying notes are an integral part of these consolidated financial statements.
63
CATALYST FUNDS |
Statements of Changes in Net Assets (Continued) |
Catalyst/Millburn Hedge Strategy Fund | Catalyst Buffered Shield Fund | |||||||||||||||
(Consolidated) | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2023 | June 30, 2022 | |||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 37,069,287 | $ | (35,613,351 | ) | $ | 692,487 | $ | (40,918 | ) | ||||||
Net realized gain (loss) on investments | (209,449,330 | ) | 268,806,553 | (3,137,696 | ) | 49,769 | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 253,505,126 | (169,338,176 | ) | 4,251,058 | (11,063,386 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 81,125,083 | 63,855,026 | 1,805,849 | (11,054,535 | ) | |||||||||||
Distributions to Shareholders from: | ||||||||||||||||
From Accumulated Earnings | ||||||||||||||||
Class A | (30,221,295 | ) | — | (92,323 | ) | (3,975,970 | ) | |||||||||
Class C | (24,526,606 | ) | — | (471 | ) | (766,843 | ) | |||||||||
Class C-1 (a) | (1,131,986 | ) | — | — | — | |||||||||||
Class I | (340,694,554 | ) | — | (256,583 | ) | (9,713,609 | ) | |||||||||
Total distributions to shareholders | (396,574,441 | ) | — | (349,377 | ) | (14,456,422 | ) | |||||||||
Share Transactions of Beneficial Interest: | ||||||||||||||||
Net proceeds from shares sold | ||||||||||||||||
Class A | 213,508,262 | 115,390,084 | 1,724,460 | 7,724,513 | ||||||||||||
Class C | 98,129,688 | 60,322,104 | 204,069 | 779,041 | ||||||||||||
Class C-1 (a) | 27,622,821 | 4,535,047 | — | — | ||||||||||||
Class I | 3,581,118,084 | 1,518,465,922 | 5,087,564 | 37,478,629 | ||||||||||||
Reinvestment of distributions | ||||||||||||||||
Class A | 25,155,532 | — | 90,178 | 3,779,162 | ||||||||||||
Class C | 23,635,280 | — | 467 | 761,523 | ||||||||||||
Class C-1 (a) | 3,171 | — | — | — | ||||||||||||
Class I | 254,015,633 | — | 238,703 | 9,212,885 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Class A | (107,211,660 | ) | (90,382,303 | ) | (9,392,292 | ) | (7,521,441 | ) | ||||||||
Class C | (73,416,844 | ) | (63,450,098 | ) | (610,582 | ) | (519,011 | ) | ||||||||
Class C-1 (a) | (3,620,055 | ) | (82,162 | ) | — | — | ||||||||||
Class I | (1,675,698,057 | ) | (617,849,080 | ) | (33,064,231 | ) | (39,821,292 | ) | ||||||||
Net increase (decrease) in net assets from share transactions of beneficial interest | 2,363,241,855 | 926,949,514 | (35,721,664 | ) | 11,874,009 | |||||||||||
Total Increase (Decrease) in Net Assets | 2,047,792,497 | 990,804,540 | (34,265,192 | ) | (13,636,948 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 4,010,175,478 | 3,019,370,938 | 75,259,525 | 88,896,473 | ||||||||||||
End of year | $ | 6,057,967,975 | $ | 4,010,175,478 | $ | 40,994,333 | $ | 75,259,525 | ||||||||
Share Activity: | ||||||||||||||||
Class A | ||||||||||||||||
Shares Sold | 5,845,859 | 3,149,156 | 204,894 | 750,966 | ||||||||||||
Shares Reinvested | 724,734 | — | 10,748 | 381,734 | ||||||||||||
Shares Redeemed | (3,019,897 | ) | (2,531,842 | ) | (1,122,438 | ) | (801,973 | ) | ||||||||
Net increase (decrease) in shares of Beneficial interest | 3,550,696 | 617,314 | (906,796 | ) | 330,727 | |||||||||||
Class C | ||||||||||||||||
Shares Sold | 2,750,317 | 1,689,068 | 24,583 | 76,858 | ||||||||||||
Shares Reinvested | 698,030 | — | 57 | 79,160 | ||||||||||||
Shares Redeemed | (2,106,925 | ) | (1,786,832 | ) | (75,104 | ) | (52,518 | ) | ||||||||
Net increase (decrease) in shares of Beneficial interest | 1,341,422 | (97,764 | ) | (50,464 | ) | 103,500 | ||||||||||
Class C-1 (a) | ||||||||||||||||
Shares Sold | 786,467 | 126,788 | ||||||||||||||
Shares Reinvested | 94 | — | ||||||||||||||
Shares Redeemed | (108,539 | ) | (2,330 | ) | ||||||||||||
Net increase in shares of Beneficial interest | 678,022 | 124,458 | ||||||||||||||
Class I | ||||||||||||||||
Shares Sold | 97,210,851 | 41,140,058 | 597,108 | 3,527,081 | ||||||||||||
Shares Reinvested | 7,270,052 | — | 28,249 | 923,135 | ||||||||||||
Shares Redeemed | (46,698,513 | ) | (16,939,119 | ) | (3,874,651 | ) | (3,890,811 | ) | ||||||||
Net increase (decrease) in shares of Beneficial interest | 57,782,390 | 24,200,939 | (3,249,294 | ) | 559,405 |
(a) | Class C-1 only applies to the Catalyst/Millburn Hedge Strategy Fund. |
The accompanying notes are an integral part of these consolidated financial statements.
64
CATALYST FUNDS |
Catalyst/Millburn Dynamic Commodity Strategy Fund |
Financial Highlights (Consolidated) |
For a Share Outstanding Throughout Each Year
Class A | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 12.76 | $ | 9.56 | $ | 10.89 | $ | 10.95 | $ | 10.75 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A,E) | 0.04 | (0.11 | ) | (0.20 | ) | (0.09 | ) | (0.05 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | (1.31 | ) | 3.31 | (1.13 | ) | 0.03 | 0.29 | |||||||||||||
Total from investment operations | (1.27 | ) | 3.20 | (1.33 | ) | (0.06 | ) | 0.24 | ||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (2.15 | ) | — | — | — | (0.04 | ) | |||||||||||||
From net realized gains on investments | (0.06 | ) | — | — | — | — | ||||||||||||||
Total distributions | (2.21 | ) | — | — | — | (0.04 | ) | |||||||||||||
Net asset value, end of year | $ | 9.28 | $ | 12.76 | $ | 9.56 | $ | 10.89 | $ | 10.95 | ||||||||||
Total return (B) | (11.43 | )% | 33.47 | % | (12.21 | )% | (0.55 | )% (c) | 2.20 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 2,035 | $ | 2,685 | $ | 3,404 | $ | 5,319 | $ | 10,932 | ||||||||||
Ratios to average net assets | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D) | 3.11 | % | 3.33 | % | 2.72 | % | 2.47 | % | 2.40 | % | ||||||||||
Expenses, net waiver and reimbursement (D) | 2.24 | % | 2.24 | % | 2.27 | % | 2.27 | % | 2.26 | % | ||||||||||
Net investment loss, before waiver and reimbursement (D,E) | (0.54 | )% | (2.12 | )% | (2.41 | )% | (1.03 | )% | (0.55 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (D,E) | 0.33 | % | (1.04 | )% | (1.96 | )% | (0.83 | )% | (0.41 | )% | ||||||||||
Portfolio turnover rate | 58 | % | 123 | % | 145 | % | 0 | % | 0 | % | ||||||||||
Class C | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 12.26 | $ | 9.26 | $ | 10.62 | $ | 10.76 | $ | 10.61 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment loss (A,E) | (0.06 | ) | (0.19 | ) | (0.27 | ) | (0.18 | ) | (0.12 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | (1.23 | ) | 3.19 | (1.09 | ) | 0.04 | 0.27 | |||||||||||||
Total from investment operations | (1.29 | ) | 3.00 | (1.36 | ) | (0.14 | ) | 0.15 | ||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (2.07 | ) | — | — | — | — | ||||||||||||||
From net realized gains on investments | (0.06 | ) | — | — | — | — | ||||||||||||||
Total distributions | (2.13 | ) | — | — | — | — | ||||||||||||||
Net asset value, end of year | $ | 8.84 | $ | 12.26 | $ | 9.26 | $ | 10.62 | $ | 10.76 | ||||||||||
Total return (B) | (12.10 | )% | 32.40 | % | (12.81 | )% | (1.30 | )% (C) | 1.41 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 839 | $ | 1,921 | $ | 1,519 | $ | 6,860 | $ | 7,322 | ||||||||||
Ratios to average net assets | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D) | 3.86 | % | 4.08 | % | 3.47 | % | 3.22 | % | 3.15 | % | ||||||||||
Expenses, net waiver and reimbursement (D) | 2.99 | % | 2.99 | % | 3.02 | % | 3.02 | % | 3.01 | % | ||||||||||
Net investment loss, before waiver and reimbursement (D,E) | (1.42 | )% | (2.82 | )% | (3.15 | )% | (1.83 | )% | (1.30 | )% | ||||||||||
Net investment loss, net waiver and reimbursement (D,E) | (0.55 | )% | (1.73 | )% | (2.70 | )% | (1.63 | )% | (1.16 | )% | ||||||||||
Portfolio turnover rate | 58 | % | 123 | % | 145 | % | 0 | % | 0 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | 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. |
(D) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(E) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these consolidated financial statements.
65
CATALYST FUNDS |
Catalyst/Millburn Dynamic Commodity Strategy Fund (Continued) |
Financial Highlights (Consolidated) |
For a Share Outstanding Throughout Each Year
Class I | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 12.85 | $ | 9.61 | $ | 10.91 | $ | 10.94 | $ | 10.79 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A,E) | 0.05 | (0.08 | ) | (0.18 | ) | (0.07 | ) | (0.02 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | (1.31 | ) | 3.32 | (1.12 | ) | 0.04 | 0.28 | |||||||||||||
Total from investment operations | (1.26 | ) | 3.24 | (1.30 | ) | (0.03 | ) | 0.26 | ||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (2.18 | ) | — | — | — | (0.11 | ) | |||||||||||||
From net realized gains on investments | (0.06 | ) | — | — | — | — | ||||||||||||||
Total distributions | (2.24 | ) | — | — | — | (0.11 | ) | |||||||||||||
Net asset value, end of year | $ | 9.35 | $ | 12.85 | $ | 9.61 | $ | 10.91 | $ | 10.94 | ||||||||||
Total return (B) | (11.28 | )% | 33.71 | % | (11.92 | )% | (0.27 | )% (C) | 2.40 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 9,267 | $ | 19,897 | $ | 7,750 | $ | 30,369 | $ | 31,882 | ||||||||||
Ratios to average net assets | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D) | 2.86 | % | 3.08 | % | 2.47 | % | 2.22 | % | 2.15 | % | ||||||||||
Expenses, net waiver and reimbursement (D) | 1.99 | % | 1.99 | % | 2.02 | % | 2.02 | % | 2.01 | % | ||||||||||
Net investment loss, before waiver and reimbursement (D,E) | (0.38 | )% | (1.76 | )% | (2.17 | )% | (0.83 | )% | (0.30 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (D,E) | 0.49 | % | (0.67 | )% | (1.72 | )% | (0.63 | )% | (0.16 | )% | ||||||||||
Portfolio turnover rate | 58 | % | 123 | % | 145 | % | 0 | % | 0 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values 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. |
(D) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(E) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these consolidated financial statements.
66
CATALYST FUNDS |
Catalyst/Warrington Strategic Program Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year
Class A | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 8.72 | $ | 8.02 | $ | 7.61 | $ | 7.86 | $ | 8.07 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment loss (A) | (0.03 | ) | (0.20 | ) | (0.15 | ) | (0.10 | ) | (0.09 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.28 | 0.90 | 0.56 | (0.15 | ) | (0.12 | ) | |||||||||||||
Total from investment operations | 0.25 | 0.70 | 0.41 | (0.25 | ) | (0.21 | ) | |||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.07 | ) | — | — | — | — | ||||||||||||||
Total distributions | (0.07 | ) | — | — | — | — | ||||||||||||||
Net asset value, end of year | $ | 8.90 | $ | 8.72 | $ | 8.02 | $ | 7.61 | $ | 7.86 | ||||||||||
Total return (B) | 2.93 | % (J) | 8.73 | % (C) | 5.39 | % (C) | (3.18 | )% (C) | (2.60 | )% (C) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 16,291 | $ | 19,212 | $ | 17,587 | $ | 29,378 | $ | 82,099 | ||||||||||
Ratios to average net assets (including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D,E) | 2.65 | % | 2.49 | % | 2.43 | % | 2.59 | % | 2.33 | % | ||||||||||
Expenses, net waiver and reimbursement (D,E) | 2.60 | % | 2.45 | % | 2.02 | % (H) | 2.59 | % | 2.33 | % | ||||||||||
Net investment loss, before waiver and reimbursement (D,G) | (0.35 | )% | (2.42 | )% | (2.40 | )% | (1.30 | )% | (1.15 | )% | ||||||||||
Net investment loss, net waiver and reimbursement (D,G) | (0.30 | )% | (2.38 | )% | (1.98 | )% (H) | (1.30 | )% | (1.15 | )% | ||||||||||
Portfolio turnover rate | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % | ||||||||||
Class C | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 8.14 | $ | 7.54 | $ | 7.21 | $ | 7.51 | $ | 7.76 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment loss (A) | (0.09 | ) | (0.24 | ) | (0.20 | ) | (0.15 | ) | (0.14 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.27 | 0.84 | 0.53 | (0.15 | ) | (0.11 | ) | |||||||||||||
Total from investment operations | 0.18 | 0.60 | 0.33 | (0.30 | ) | (0.25 | ) | |||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.00 | ) (I) | — | — | — | — | ||||||||||||||
Total distributions | (0.00 | ) | — | — | — | — | ||||||||||||||
Net asset value, end of year | $ | 8.32 | $ | 8.14 | $ | 7.54 | $ | 7.21 | $ | 7.51 | ||||||||||
Total return (B) | 2.21 | % (J) | 7.96 | % (C) | 4.58 | % (C) | (3.99 | )% (C) | (3.22 | )% (C) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 13,583 | $ | 15,588 | $ | 20,305 | $ | 30,499 | $ | 65,411 | ||||||||||
Ratios to average net assets (including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D,F) | 3.40 | % | 3.24 | % | 3.19 | % | 3.36 | % | 3.08 | % | ||||||||||
Expenses, net waiver and reimbursement (D,F) | 3.35 | % | 3.20 | % | 2.77 | % (H) | 3.36 | % | 3.08 | % | ||||||||||
Net investment loss, before waiver and reimbursement (D,G) | (1.10 | )% | (3.16 | )% | (3.16 | )% | (2.13 | )% | (1.89 | )% | ||||||||||
Net investment loss, net waiver and reimbursement (D,G) | (1.05 | )% | (3.12 | )% | (2.74 | )% (H) | (2.13 | )% | (1.89 | )% | ||||||||||
Portfolio turnover rate | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | 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. |
(D) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(E) | Ratio to average net assets (excluding dividend and interest expense). |
Expenses, before waiver and reimbursement (D) | 2.64 | % | 2.49 | % | 2.43 | % | 2.59 | % | 2.27 | % | ||||||||||
Expenses, net waiver and reimbursement (D) | 2.59 | % | 2.45 | % | 2.02 | % (H) | 2.59 | % | 2.27 | % |
(F) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (D) | 3.39 | % | 3.24 | % | 3.19. | % | 3.36 | % | 3.02 | % | ||||||||||
Expenses, net waiver and reimbursement (D) | 3.34 | % | 3.20 | % | 2.77 | % (H) | 3.36 | % | 3.02 | % |
(G) | Recognition of net investment loss is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(H) | Manager has voluntarily waived a portion of expenses. This waiver will not be recaptured by the manager. |
(I) | Amount is less than $0.005. |
(J) | Fund performance was materially impacted by a nonrecurring litigation settlement of $1.96 million booked to the Fund on June 19, 2023. The impact was $0.1482/share, or 1.65% of the Fund’s NAV. |
The accompanying notes are an integral part of these financial statements.
67
CATALYST FUNDS |
Catalyst/Warrington Strategic Program Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year
Class I | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 8.92 | $ | 8.18 | $ | 7.74 | $ | 7.98 | $ | 8.17 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment loss (A) | 0.00 | (i) | (0.18 | ) | (0.13 | ) | (0.08 | ) | (0.07 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.28 | 0.92 | 0.57 | (0.16 | ) | (0.12 | ) | |||||||||||||
Total from investment operations | 0.28 | 0.74 | 0.44 | (0.24 | ) | (0.19 | ) | |||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.09 | ) | — | — | — | — | ||||||||||||||
Total distributions | (0.09 | ) | — | — | — | — | ||||||||||||||
Net asset value, end of year | $ | 9.11 | $ | 8.92 | $ | 8.18 | $ | 7.74 | $ | 7.98 | ||||||||||
Total return (B) | 3.21 | % (H) | 9.05 | % (C) | 5.68 | % (C) | (3.01 | )% (C) | (2.33 | )% (C) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 88,996 | $ | 89,859 | $ | 61,014 | $ | 84,334 | $ | 282,645 | ||||||||||
Ratios to average net assets(including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D,E) | 2.40 | % | 2.24 | % | 2.16 | % | 2.31 | % | 2.08 | % | ||||||||||
Expenses, net waiver and reimbursement (D,E) | 2.35 | % | 2.20 | % | 1.75 | % (G) | 2.31 | % | 2.08 | % | ||||||||||
Net investment loss, before waiver and reimbursement (D,F) | (0.05 | )% | (2.17 | )% | (2.13 | )% | (1.00 | )% | (0.91 | )% | ||||||||||
Net investment loss, net waiver and reimbursement (D,F) | (0.00 | )% | (2.13 | )% | (1.71 | )% (G) | (1.00 | )% | (0.91 | )% | ||||||||||
Portfolio turnover rate | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | 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. |
(D) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(E) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (D) | 2.39 | % | 2.24 | % | 2.16 | % | 2.31 | % | 2.02 | % | ||||||||||
Expenses, net waiver and reimbursement (D) | 2.34 | % | 2.20 | % | 1.75 | % (G) | 2.31 | % | 2.02 | % |
(F) | Recognition of net investment loss is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(G) | Manager has voluntarily waived a portion of expenses. This waiver will not be recaptured by the manager. |
(H) | Fund performance was materially impacted by a nonrecurring litigation settlement of $1.96 million booked to the Fund on June 19, 2023. The impact was $0.1482/share, or 1.65% of the Fund’s NAV. |
(I) | Amount less than $.005 |
The accompanying notes are an integral part of these financial statements.
68
CATALYST FUNDS |
Catalyst Systematic Alpha Fund (Consolidated) |
Financial Highlights |
For a Share Outstanding Throughout Each Year
Class A | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 10.06 | $ | 10.86 | $ | 9.56 | $ | 9.18 | $ | 8.93 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | 0.25 | (0.17 | ) | 0.04 | 0.17 | 0.15 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.03 | (0.05 | ) | 3.16 | 0.35 | 0.10 | (B) | |||||||||||||
Total from investment operations | 3.28 | (0.22 | ) | 3.20 | 0.52 | 0.25 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.51 | ) | (0.58 | ) | (1.90 | ) | (0.14 | ) | (0.00 | ) (C) | ||||||||||
From net realized gains on investments | — | — | — | — | — | |||||||||||||||
Total distributions | (0.51 | ) | (0.58 | ) | (1.90 | ) | (0.14 | ) | (0.00 | ) | ||||||||||
Net asset value, end of year | $ | 12.83 | $ | 10.06 | $ | 10.86 | $ | 9.56 | $ | 9.18 | ||||||||||
Total return (D) | 33.65 | % | (2.53 | )% (E) | 37.12 | % (E) | 5.58 | % (E) | 2.82 | % (E) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 13,659 | $ | 324 | $ | 164 | $ | 216 | $ | 140 | ||||||||||
Ratios to average net assets(including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (H,F) | 2.83 | % | 4.63 | % | 5.77 | % | 5.25 | % | 5.10 | % | ||||||||||
Expenses, net waiver and reimbursement (H,F) | 2.02 | % | 2.06 | % | 2.03 | % | 2.04 | % | 2.02 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (H,I) | 1.25 | % | (4.14 | )% | (3.44 | )% | (1.47 | )% | (1.24 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (H,I) | 2.06 | % | (1.53 | )% | 0.35 | % | 1.74 | % | 1.67 | % | ||||||||||
Portfolio turnover rate | 43 | % | 1335 | % | 121 | % | 75 | % | 120 | % | ||||||||||
Class C | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.63 | $ | 10.41 | $ | 9.23 | $ | 8.85 | $ | 8.72 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | 0.14 | (0.25 | ) | (0.04 | ) | 0.08 | 0.07 | |||||||||||||
Net realized and unrealized gain (loss) on investments | 2.93 | (0.05 | ) | 3.04 | 0.35 | 0.09 | (B) | |||||||||||||
Total from investment operations | 3.07 | (0.30 | ) | 3.00 | 0.43 | 0.16 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.42 | ) | (0.48 | ) | (1.82 | ) | (0.05 | ) | (0.03 | ) | ||||||||||
From net realized gains on investments | — | — | — | — | — | |||||||||||||||
Total distributions | (0.42 | ) | (0.48 | ) | (1.82 | ) | (0.05 | ) | (0.03 | ) | ||||||||||
Net asset value, end of year | $ | 12.28 | $ | 9.63 | $ | 10.41 | $ | 9.23 | $ | 8.85 | ||||||||||
Total return (D) | 32.72 | % | (3.32 | )% (E) | 35.99 | % (E) | 4.84 | % (E) | 1.94 | % (E) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 3,122 | $ | 133 | $ | 184 | $ | 188 | $ | 269 | ||||||||||
Ratios to average net assets(including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (H,G) | 3.58 | % | 5.38 | % | 6.53 | % | 6.00 | % | 5.85 | % | ||||||||||
Expenses, net waiver and reimbursement (H,G) | 2.77 | % | 2.81 | % | 2.78 | % | 2.79 | % | 2.77 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (H,I) | 0.46 | % | (5.13 | )% | (4.16 | )% | (2.32 | )% | (2.36 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (H,I) | 1.27 | % | (2.35 | )% | (0.39 | )% | 0.89 | % | 0.81 | % | ||||||||||
Portfolio turnover rate | 43 | % | 1335 | % | 121 | % | 75 | % | 120 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for the year ended June 30, 2019 , primarily due to the timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(C) | Represents less than $0.01 per share. |
(D) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(E) | 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. |
(F) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (H) | 2.83 | % | 4.59 | % | 5.76 | % | 5.23 | % | 5.10 | % | ||||||||||
Expenses, net waiver and reimbursement (H) | 2.02 | % | 2.02 | % | 2.02 | % | 2.02 | % | 2.02 | % |
(G) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (H) | 3.58 | % | 5.34 | % | 6.52 | % | 5.98 | % | 5.85 | % | ||||||||||
Expenses, net waiver and reimbursement (H) | 2.77 | % | 2.77 | % | 2.77 | % | 2.77 | % | 2.77 | % |
(H) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(I) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these consolidated financial statements.
69
CATALYST FUNDS |
Catalyst Systematic Alpha Fund (Consolidated) (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year
Class I | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.87 | $ | 10.67 | $ | 9.43 | $ | 9.05 | $ | 8.91 | ||||||||||
�� | ||||||||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | 0.25 | (0.14 | ) | 0.06 | 0.19 | 0.15 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 2.99 | (0.06 | ) | 3.12 | 0.35 | 0.10 | (B) | |||||||||||||
Total from investment operations | 3.24 | (0.20 | ) | 3.18 | 0.54 | 0.25 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.56 | ) | (0.60 | ) | (1.94 | ) | (0.16 | ) | (0.11 | ) | ||||||||||
From net realized gains on investments | — | — | — | — | — | |||||||||||||||
Total distributions | (0.56 | ) | (0.60 | ) | (1.94 | ) | (0.16 | ) | (0.11 | ) | ||||||||||
Net asset value, end of year | $ | 12.55 | $ | 9.87 | $ | 10.67 | $ | 9.43 | $ | 9.05 | ||||||||||
Total return (C) | 33.95 | % | (2.42 | )% (D) | 37.47 | % (D) | 5.88 | % (D) | 2.97 | % (D) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 75,232 | $ | 6,044 | $ | 2,505 | $ | 2,519 | $ | 2,206 | ||||||||||
Ratios to average net assets(including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (E,F) | 2.58 | % | 4.38 | % | 5.52 | % | 5.00 | % | 4.85 | % | ||||||||||
Expenses, net waiver and reimbursement (E,F) | 1.77 | % | 1.81 | % | 1.78 | % | 1.79 | % | 1.77 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (F,G) | 1.40 | % | (3.84 | )% | (3.10 | )% | (1.22 | )% | (1.29 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (F,G) | 2.21 | % | (1.27 | )% | 0.63 | % | 1.99 | % | 1.79 | % | ||||||||||
Portfolio turnover rate | 43 | % | 1335 | % | 121 | % | 75 | % | 120 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | As required by SEC standard per share data calculation methodology, this represents a balancing figure derived from the other amounts in the financial highlights tables that captures all other changes affecting net asset value per share. This per share gain amount does not correlate to the aggregate of the net realized and unrealized gain (loss) in the Statement of Operations for the year ended June 30, 2019, primarily due to timing of sales and repurchases of the Fund’s shares in relation to fluctuating market values of the Fund’s portfolio. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | 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. |
(E) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (F) | 2.58 | % | 4.34 | % | 5.51 | % | 4.98 | % | 4.85 | % | ||||||||||
Expenses, net waiver and reimbursement (F) | 1.77 | % | 1.77 | % | 1.77 | % | 1.77 | % | 1.77 | % |
(F) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(G) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these consolidated financial statements.
70
CATALYST FUNDS |
Catalyst Income and Multi-Strategy Fund |
Financial Highlights (Consolidated) |
For a Share Outstanding Throughout Each Year
Class A | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 13.84 | $ | 15.63 | $ | 13.64 | $ | 14.85 | $ | 14.62 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | 0.28 | (0.00 | ) (E) | (0.10 | ) | 0.04 | (0.04 | ) | ||||||||||||
Net realized and unrealized gain (loss) on investments | (0.43 | ) | (1.16 | ) | 2.33 | (0.73 | ) | 0.27 | ||||||||||||
Total from investment operations | (0.15 | ) | (1.16 | ) | 2.23 | (0.69 | ) | 0.23 | ||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.83 | ) | (0.63 | ) | (0.24 | ) | (0.43 | ) | — | |||||||||||
From return of capital | — | — | — | (0.09 | ) | — | ||||||||||||||
Total distributions | (0.83 | ) | (0.63 | ) | (0.24 | ) | (0.52 | ) | — | |||||||||||
Net asset value, end of year | $ | 12.86 | $ | 13.84 | $ | 15.63 | $ | 13.64 | $ | 14.85 | ||||||||||
Total return (B) | (1.04 | )% | (7.59 | )% | 16.46 | % | (4.76 | )% | 1.57 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 137 | $ | 95 | $ | 50 | $ | 54 | $ | 148 | ||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (C,F) | 4.18 | % | 4.69 | % | 5.50 | % | 5.10 | % | 4.32 | % | ||||||||||
Expenses, net waiver and reimbursement (C,F) | 2.24 | % | 2.27 | % | 2.28 | % | 2.29 | % | 2.26 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (F,G) | 0.15 | % | (2.45 | )% | (3.93 | )% | (2.50 | )% | (2.27 | )% | ||||||||||
Net investment income (loss) net waiver and reimbursement (F,G) | 2.09 | % | (0.01 | )% | (0.71 | )% | 0.26 | % | (0.22 | )% | ||||||||||
Portfolio turnover rate | 29 | % | 50 | % | 43 | % | 157 | % | 0 | % | ||||||||||
Class C | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 13.42 | $ | 15.19 | $ | 13.26 | $ | 14.44 | $ | 14.33 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | 0.16 | (0.09 | ) | (0.21 | ) | (0.06 | ) | (0.14 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | (0.41 | ) | (1.13 | ) | 2.27 | (0.70 | ) | 0.25 | ||||||||||||
Total from investment operations | (0.25 | ) | (1.22 | ) | 2.06 | (0.76 | ) | 0.11 | ||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.78 | ) | (0.55 | ) | (0.13 | ) | (0.33 | ) | — | |||||||||||
From return of capital | — | — | — | (0.09 | ) | — | ||||||||||||||
Total distributions | (0.78 | ) | (0.55 | ) | (0. 13) | (0.42 | ) | — | ||||||||||||
Net asset value, end of year | $ | 12.39 | $ | 13.42 | $ | 15.19 | $ | 13.26 | $ | 14.44 | ||||||||||
Total return (B) | (1.84 | )% | (8.23 | )% | 15.59 | % | (5.41 | )% | 0.77 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 541 | $ | 539 | $ | 187 | $ | 104 | $ | 166 | ||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D,F) | 4.93 | % | 5.44 | % | 6.14 | % | 5.85 | % | 5.07 | % | ||||||||||
Expenses, net waiver and reimbursement (D,F) | 2.99 | % | 3.02 | % | 3.03 | % | 3.04 | % | 3.01 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (F,G) | (0.72 | )% | (3.07 | )% | (4.50 | )% | (3.31 | )% | (3.00 | )% | ||||||||||
Net investment income (loss) net waiver and reimbursement (F,G) | 1.22 | % | (0.65 | )% | (1.43 | )% | (0.46 | )% | (0.97 | )% | ||||||||||
Portfolio turnover rate | 29 | % | 50 | % | 43 | % | 157 | % | 0 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement (F) | 4.18 | % | 4.67 | % | 5.49 | % | 5.08 | % | 4.32 | % | ||||||||||
Expenses, net waiver and reimbursement (F) | 2.24 | % | 2.25 | % | 2.27 | % | 2.27 | % | 2.26 | % |
(D) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement (F) | 4.93 | % | 5.42 | % | 6.13 | % | 5.83 | % | 5.07 | % | ||||||||||
Expenses, net waiver and reimbursement (F) | 2.99 | % | 3.00 | % | 3.02 | % | 3.02 | % | 3.01 | % |
(E) | Amount is less than $0.005. |
(F) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(G) | Recognition of net investment (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these consolidated financial statements.
71
CATALYST FUNDS |
Catalyst Income and Multi-Strategy Fund (Continued) |
Financial Highlights (Consolidated) |
For a Share Outstanding Throughout Each Year
Class I | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 13.88 | $ | 15.67 | $ | 13.68 | $ | 14.91 | $ | 14.64 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment Income (loss) (A) | 0.31 | 0.01 | (0.07 | ) | 0.09 | 0.01 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.43 | ) | (1.12 | ) | 2.33 | (0.73 | ) | 0.26 | ||||||||||||
Total from investment operations | (0.12 | ) | (1.11 | ) | 2.26 | (0.64 | ) | 0.27 | ||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.85 | ) | (0.68 | ) | (0.27 | ) | (0.50 | ) | — | |||||||||||
From return of capital | — | — | — | (0.09 | ) | — | ||||||||||||||
Total distributions | (0.85 | ) | (0.68 | ) | (0.27 | ) | (0.59 | ) | — | |||||||||||
Net asset value, end of year | $ | 12.91 | $ | 13.88 | $ | 15.67 | $ | 13.68 | $ | 14.91 | ||||||||||
Total return (B) | (0.84 | )% | (7.27 | )% | 16.68 | % | (4.41 | )% | 1.84 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 5,495 | $ | 4,598 | $ | 4,257 | $ | 2,930 | $ | 4,098 | ||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (C,D) | 3.93 | % | 4.52 | % | 5.15 | % | 4.85 | % | 4.07 | % | ||||||||||
Expenses, net waiver and reimbursement (C,D) | 1.99 | % | 2.02 | % | 2.03 | % | 2.04 | % | 2.01 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (D,E) | 0.35 | % | (2.40 | )% | (3.55 | )% | (2.19 | )% | (2.01 | )% | ||||||||||
Net investment income (loss) net waiver and reimbursement (D,E) | 2.29 | % | 0.08 | % | (0.44 | )% | 0.62 | % | 0.05 | % | ||||||||||
Portfolio turnover rate | 29 | % | 50 | % | 43 | % | 157 | % | 0 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement (D) | 3.93 | % | 4.50 | % | 5.14 | % | 4.83 | % | 4.07 | % | ||||||||||
Expenses, net waiver and reimbursement (D) | 1.99 | % | 2.00 | % | 2.02 | % | 2.02 | % | 2.01 | % |
(D) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(E) | Recognition of net investment (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these consolidated financial statements.
72
CATALYST FUNDS |
Catalyst Nasdaq-100 Hedged Equity Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year
Class A | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.60 | $ | 11.75 | $ | 10.12 | $ | 10.74 | $ | 10.11 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | (0.07 | ) | (0.14 | ) | (0.09 | ) | 0.07 | 0.08 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.71 | (1.97 | ) | 1.77 | (0.10 | ) | 0.58 | |||||||||||||
Total from investment operations | 1.64 | (2.11 | ) | 1.68 | (0.03 | ) | 0.66 | |||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | — | — | — | (0.12 | ) | (0.03 | ) | |||||||||||||
From net realized gains on investments | (0.23 | ) | (0.04 | ) | (0.01 | ) | (0.47 | ) | — | |||||||||||
From return of capital | — | — | (0.04 | ) | — | — | ||||||||||||||
Total distributions | (0.23 | ) | (0.04 | ) | (0.05 | ) | (0.59 | ) | (0.03 | ) | ||||||||||
Net asset value, end of year | $ | 11.01 | $ | 9.60 | $ | 11.75 | $ | 10.12 | $ | 10.74 | ||||||||||
Total return (C) | 17.60 | % | (18.03 | )% | 16.68 | % | (0.63 | )% | 6.54 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 598 | $ | 873 | $ | 1,522 | $ | 1,815 | $ | 2,417 | ||||||||||
Ratios to average net assets (including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D,F) | 2.82 | % | 2.55 | % | 2.76 | % | 2.68 | % | 2.60 | % | ||||||||||
Expenses, net waiver and reimbursement (D,F) | 1.78 | % | 1.74 | % | 1.72 | % | 1.63 | % | 1.60 | % | ||||||||||
Net investment loss, before waiver and reimbursement (F,G) | (1.79 | )% | (1.96 | )% | (1.87 | )% | (0.38 | )% | (0.21 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (F,G) | (0.75 | )% | (1.15 | )% | (0.83 | )% | 0.67 | % | 0.79 | % | ||||||||||
Portfolio turnover rate | 82 | % | 51 | % | 205 | % | 145 | % | 112 | % | ||||||||||
Class C | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 8.99 | $ | 11.08 | $ | 9.62 | $ | 10.25 | $ | 9.71 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | (0.14 | ) | (0.21 | ) | (0.17 | ) | (0.01 | ) | 0.00 | (B) | ||||||||||
Net realized and unrealized gain (loss) on investments | 1.59 | (1.84 | ) | 1.68 | (0.10 | ) | 0.55 | |||||||||||||
Total from investment operations | 1.45 | (2.05 | ) | 1.51 | (0.11 | ) | 0.55 | |||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | — | — | — | (0.05 | ) | (0.01 | ) | |||||||||||||
From net realized gains on investments | (0.23 | ) | (0.04 | ) | (0.01 | ) | (0.47 | ) | — | |||||||||||
From return of capital | — | — | (0.04 | ) | — | — | ||||||||||||||
Total distributions | (0.23 | ) | (0.04 | ) | (0. 05) | (0.52 | ) | (0.01 | ) | |||||||||||
Net asset value, end of year | $ | 10.21 | $ | 8.99 | $ | 11.08 | $ | 9.62 | $ | 10.25 | ||||||||||
Total return (C) | 16.66 | % | (18.58 | )% | 15.78 | % | (1.36 | )% | 5.64 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 1,403 | $ | 1,242 | $ | 1,945 | $ | 1,321 | $ | 1,179 | ||||||||||
Ratios to average net assets(including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (E,F) | 3.57 | % | 3.30 | % | 3.51 | % | 3.43 | % | 3.35 | % | ||||||||||
Expenses, net waiver and reimbursement (E,F) | 2.53 | % | 2.49 | % | 2.47 | % | 2.38 | % | 2.35 | % | ||||||||||
Net investment loss, before waiver and reimbursement (F,G) | (2.55 | )% | (2.71 | )% | (2.68 | )% | (1.17 | )% | (0.97 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (F,G) | (1.51 | )% | (1.89 | )% | (1.64 | )% | (0.12 | )% | 0.03 | % | ||||||||||
Portfolio turnover rate | 82 | % | 51 | % | 205 | % | 145 | % | 112 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Represents an amount less than $0.01 per share. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (F) | 2.78 | % | 2.55 | % | 2.74 | % | 2.58 | % | 2.52 | % | ||||||||||
Expenses, net waiver and reimbursement (F) | 1.74 | % | 1.74 | % | 1.70 | % | 1.53 | % | 1.52 | % |
(E) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (F) | 3.53 | % | 3.30 | % | 3.49 | % | 3.33 | % | 3.27 | % | ||||||||||
Expenses, net waiver and reimbursement (F) | 2.49 | % | 2.49 | % | 2.45 | % | 2.28 | % | 2.27 | % |
(F) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(G) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these financial statements.
73
CATALYST FUNDS |
Catalyst Nasdaq-100 Hedged Equity Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year
Class I | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 9.71 | $ | 11.84 | $ | 10.20 | $ | 10.81 | $ | 10.18 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | (0.06 | ) | (0.11 | ) | (0.08 | ) | 0.09 | 0.11 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 1.74 | (1.98 | ) | 1.79 | (0.09 | ) | 0.57 | |||||||||||||
Total from investment operations | 1.68 | (2.09 | ) | 1.71 | 0.00 | 0.68 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | — | — | (0.02 | ) | (0.14 | ) | (0.05 | ) | ||||||||||||
From net realized gains on investments | (0.23 | ) | (0.04 | ) | (0.01 | ) | (0.47 | ) | — | |||||||||||
From return of capital | — | — | (0.04 | ) | — | — | ||||||||||||||
Total distributions | (0.23 | ) | (0. 04) | (0.07 | ) | (0.61 | ) | (0.05 | ) | |||||||||||
Net asset value, end of year | $ | 11.16 | $ | 9.71 | $ | 11.84 | $ | 10.20 | $ | 10.81 | ||||||||||
Total return (B) | 17.81 | % | (17.72 | )% | 16.91 | % | (0.29 | )% | 6.73 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 11,158 | $ | 12,227 | $ | 11,146 | $ | 7,043 | $ | 8,613 | ||||||||||
Ratios to average net assets(including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (C,D) | 2.57 | % | 2.30 | % | 2.51 | % | 2.43 | % | 2.35 | % | ||||||||||
Expenses, net waiver and reimbursement (C,D) | 1.53 | % | 1.49 | % | 1.47 | % | 1.38 | % | 1.35 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (D,E) | (1.55 | )% | (1.68 | )% | (1.69 | )% | (0.15 | )% | 0.04 | % | ||||||||||
Net investment Income (loss), net waiver and reimbursement (D,E) | (0.51 | )% | (0.86 | )% | (0.65 | )% | 0.90 | % | 1.04 | % | ||||||||||
Portfolio turnover rate | 82 | % | 51 | % | 205 | % | 145 | % | 112 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (D) | 2.53 | % | 2.30 | % | 2.49 | % | 2.33 | % | 2.27 | % | ||||||||||
Expenses, net waiver and reimbursement (D) | 1.49 | % | 1.49 | % | 1.45 | % | 1.28 | % | 1.27 | % |
(D) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(E) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these financial statements.
74
CATALYST FUNDS |
Catalyst/Millburn Hedge Strategy Fund |
Financial Highlights (Consolidated) |
For a Share Outstanding Throughout Each Year
Class A | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 36.99 | $ | 36.25 | $ | 27.63 | $ | 32.07 | $ | 31.14 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment Income (loss) (A) | 0.18 | (0.45 | ) | (0.46 | ) | (0.14 | ) | (0.04 | ) | |||||||||||
Net realized and unrealized gain (loss) on investments | 0.72 | 1.19 | 10.29 | (2.70 | ) | 1.89 | ||||||||||||||
Total from investment operations | 0.90 | 0.74 | 9.83 | (2.84 | ) | 1.85 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (1.42 | ) | — | (1.21 | ) | (1.60 | ) | (0.45 | ) | |||||||||||
From return of capital | — | — | (0.00 | ) (G) | — | — | ||||||||||||||
From net realized gains on investments | (1.29 | ) | — | — | — | (0.47 | ) | |||||||||||||
Total distributions | (2.71 | ) | — | (1.21 | ) | (1.60 | ) | (0.92 | ) | |||||||||||
Net asset value, end of year | $ | 35.18 | $ | 36.99 | $ | 36.25 | $ | 27.63 | $ | 32.07 | ||||||||||
Total return (B) | 2.55 | % | 2.04 | % | 36.44 | % | (9.48 | )% | 6.13 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 443,988 | $ | 335,527 | $ | 306,389 | $ | 316,112 | $ | 424,968 | ||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (C,E) | 2.17 | % | 2.20 | % | 2.22 | % | 2.19 | % | 2.19 | % | ||||||||||
Expenses, net waiver and reimbursement (C,E) | 2.17 | % | 2.20 | % | 2.22 | % | 2.19 | % | 2.18 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (C,D) | 0.51 | % | (1.25 | )% | (1.47 | )% | (0.47 | )% | (0.15 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (C,D) | 0.51 | % | (1.25 | )% | (1.47 | )% | (0.47 | )% | (0.14 | )% | ||||||||||
Portfolio turnover rate | 30 | % | 9 | % | 13 | % | 54 | % | 19 | % | ||||||||||
Class C | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year/period | $ | 36.01 | $ | 35.55 | $ | 27.07 | $ | 31.46 | $ | 30.61 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment loss (A) | (0.10 | ) | (0.71 | ) | (0.68 | ) | (0.36 | ) | (0.27 | ) | ||||||||||
Net realized and unrealized gain (loss) on investments | 0.71 | 1.17 | 10.08 | (2.65 | ) | 1.86 | ||||||||||||||
Total from investment operations | 0.61 | 0.46 | 9.40 | (3.01 | ) | 1.59 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (1.16 | ) | — | (0.92 | ) | (1.38 | ) | (0.27 | ) | |||||||||||
From return of capital | — | — | (0.00 | ) (G) | — | — | ||||||||||||||
From net realized gains on investments | (1.29 | ) | — | — | — | (0.47 | ) | |||||||||||||
Total distributions | (2.45 | ) | — | (0.92 | ) | (1.38 | ) | (0.74 | ) | |||||||||||
Net asset value, end of year/period | $ | 34.17 | $ | 36.01 | $ | 35.55 | $ | 27.07 | $ | 31.46 | ||||||||||
Total return (B) | 1.77 | % | 1.29 | % | 35.42 | % | (10.15 | )% | 5.33 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 363,845 | $ | 335,127 | $ | 334,331 | $ | 326,297 | $ | 408,511 | ||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (C,F) | 2.92 | % | 2.95 | % | 2.97 | % | 2.94 | % | 2.94 | % | ||||||||||
Expenses, net waiver and reimbursement (C,F) | 2.92 | % | 2.95 | % | 2.97 | % | 2.94 | % | 2.93 | % | ||||||||||
Net investment loss , before waiver and reimbursement (C,D) | (0.28 | )% | (2.00 | )% | (2.21 | )% | (1.22 | )% | (0.90 | )% | ||||||||||
Net investment loss, net waiver and reimbursement (C,D) | (0.28 | )% | (2.00 | )% | (2.21 | )% | (1.22 | )% | (0.89 | )% | ||||||||||
Portfolio turnover rate | 30 | % | 9 | % | 13 | % | 54 | % | 19 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower in 2019. |
(C) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(D) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(E) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement (C) | 2.17 | % | 2.18 | % | ||||||||||||||||
Expenses, net waiver and reimbursement (C) | 2.17 | % | 2.18 | % |
(F) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement (C) | 2.92 | % | 2.93 | % | ||||||||||||||||
Expenses, net waiver and reimbursement (C) | 2.91 | % | 2.93 | % |
(G) | Amount is less than $0.005. |
The accompanying notes are an integral part of these consolidated financial statements.
75
CATALYST FUNDS |
Catalyst/Millburn Hedge Strategy Fund (Continued) |
Financial Highlights (Consolidated) |
For a Share Outstanding Throughout Each Year/Period
Class C-1 | ||||||||||||||||||||
For the | For the | For the | ||||||||||||||||||
Year Ended | Year Ended | Period Ended | ||||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 (A) | ||||||||||||||||||
Net asset value, beginning of year/period | $ | 36.01 | $ | 35.55 | $ | 27.37 | ||||||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment Income (loss) (B) | 0.00 | (H) | (0.63 | ) | (0.20 | ) | ||||||||||||||
Net realized and unrealized gain on investments | 0.62 | 1.09 | 9.30 | |||||||||||||||||
Total from investment operations | 0.62 | 0.46 | 9.10 | |||||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (1.34 | ) | — | (0.92 | ) | |||||||||||||||
From return of capital | — | — | (0.00 | ) (H) | ||||||||||||||||
From net realized gains on investments | (1.29 | ) | — | — | ||||||||||||||||
Total distributions | (2.63 | ) | — | (0.92 | ) | |||||||||||||||
Net asset value, end of year/period | $ | 34.00 | $ | 36.01 | $ | 35.55 | ||||||||||||||
Total return (C) | 1.79 | % | 1.29 | % | 33.93 | % (D) | ||||||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year/period (in 000’s) | $ | 28,127 | $ | 5,375 | $ | 882 | ||||||||||||||
Ratios to average net assets (Including interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (E,I) | 2.92 | % | 2.95 | % | 2.95 | % (F) | ||||||||||||||
Expenses, net waiver and reimbursement (E,I) | 2.92 | % | 2.95 | % | 2.95 | % (F) | ||||||||||||||
Net investment income (loss), before waiver and reimbursement (E,G) | (0.01 | )% | (1.78 | )% | (0.83 | )% (F) | ||||||||||||||
Net investment income (loss), net waiver and reimbursement (E,G) | (0.01 | )% | (1.78 | )% | (0.83 | )% (F) | ||||||||||||||
Portfolio turnover rate | 30 | % | 9 | % | 13 | % (D) | ||||||||||||||
Class I | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 37.25 | $ | 36.41 | $ | 27.78 | $ | 32.23 | $ | 31.29 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (B) | 0.29 | (0.35 | ) | (0.38 | ) | (0.07 | ) | 0.04 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.70 | 1.19 | 10.33 | (2.70 | ) | 1.90 | ||||||||||||||
Total from investment operations | 0.99 | 0.84 | 9.95 | (2.77 | ) | 1.94 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (1.50 | ) | — | (1.32 | ) | (1.68 | ) | (0.53 | ) | |||||||||||
From return of capital | — | — | (0.00 | ) (H) | — | — | ||||||||||||||
From net realized gains on investments | (1.29 | ) | — | — | — | (0.47 | ) | |||||||||||||
Total distributions | (2.79 | ) | — | (1. 32) | (1.68 | ) | (1.00 | ) | ||||||||||||
Net asset value, end of year/period | $ | 35.45 | $ | 37.25 | $ | 36.41 | $ | 27.78 | $ | 32.23 | ||||||||||
Total return (C) | 2.77 | % | 2.31 | % | 36.78 | % | (9.25 | )% | 6.42 | % | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 5,222,008 | $ | 3,334,146 | $ | 2,377,768 | $ | 2,476,317 | $ | 4,096,347 | ||||||||||
Ratios to average net assets (including interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (E,J) | 1.92 | % | 1.95 | % | 1.97 | % | 1.94 | % | 1.94 | % | ||||||||||
Expenses, net waiver and reimbursement (E,J) | 1.92 | % | 1.95 | % | 1.97 | % | 1.94 | % | 1.93 | % | ||||||||||
Net investment income (loss), before waiver and reimbursement (E,G) | 0.79 | % | (0.95 | )% | (1.21 | )% | (0.22 | )% | 0.11 | % | ||||||||||
Net investment income (loss), net waiver and reimbursement (E,G) | 0.79 | % | (0.95 | )% | (1.21 | )% | (0.22 | )% | 0.12 | % | ||||||||||
Portfolio turnover rate | 30 | % | 9 | % | 13 | % | 54 | % | 19 | % |
(A) | The Catalyst/Millburn Hedge Strategy Fund Class C-1 shares commenced operations on October 30, 2020. |
(B) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year/period. |
(C) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(D) | Not annualized. |
(E) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(F) | Annualized. |
(G) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(H) | Amount is less than $0.005. |
(I) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement (E) | 2.91 | % | 2.93 | % | ||||||||||||||||
Expenses, net waiver and reimbursement (E) | 2.91 | % | 2.93 | % |
(J) | Ratios to average net assets (excluding interest expense) |
Expenses, before waiver and reimbursement (E) | 1.92 | % | 1.93 | % | ||||||||||||||||
Expenses, net waiver and reimbursement (E) | 1.92 | % | 1.93 | % |
The accompanying notes are an integral part of these consolidated financial statements.
76
CATALYST FUNDS |
Catalyst Buffered Shield Fund |
Financial Highlights |
For a Share Outstanding Throughout Each Year
Class A | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 8.44 | $ | 11.24 | $ | 9.64 | $ | 9.87 | $ | 10.30 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | 0.12 | (0.02 | ) | 0.01 | 0.08 | 0.09 | ||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.27 | (1.06 | ) | 1.78 | 0.28 | 0.34 | ||||||||||||||
Total from investment operations | 0.39 | (1.08 | ) | 1.79 | 0.36 | 0.43 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.06 | ) | — | (0.04 | ) | (0.09 | ) | (0.09 | ) | |||||||||||
From net realized gains on investments | — | (1.72 | ) | (0.15 | ) | (0.50 | ) | (0.77 | ) | |||||||||||
Total distributions | (0.06 | ) | (1.72 | ) | (0.19 | ) | (0.59 | ) | (0.86 | ) | ||||||||||
Net asset value, end of year | $ | 8.77 | $ | 8.44 | $ | 11.24 | $ | 9.64 | $ | 9.87 | ||||||||||
Total return (B) | 4.60 | % | (11.85 | )% | 18.71 | % | 3.51 | % | 5.01 | % (C) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 13,444 | $ | 20,599 | $ | 23,714 | $ | 17,787 | $ | 16,053 | ||||||||||
Ratios to average net assets (including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D,F) | 2.05 | % | 1.81 | % | 1.83 | % | 2.03 | % | 2.27 | % | ||||||||||
Expenses, net waiver and reimbursement (D,F) | 1.55 | % | 1.48 | % | 1.48 | % | 1.54 | % | 1.55 | % | ||||||||||
Ratios of net Investment income (loss) (including dividend and interest expense) | ||||||||||||||||||||
Net investment income (loss), before waiver and reimbursement (F,G) | 0.89 | % | (0.50 | )% | (0.27 | )% | 0.28 | % | 0.19 | % | ||||||||||
Net investment income (loss), net waiver and reimbursement (F,G) | 1.39 | % | (0.17 | )% | 0.08 | % | 0.77 | % | 0.91 | % | ||||||||||
Portfolio turnover rate | 111 | % | 77 | % | 32 | % | 138 | % | 137 | % | ||||||||||
Class C | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 8.17 | $ | 11.01 | $ | 9.48 | $ | 9.74 | $ | 10.21 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (loss) (A) | 0.05 | (0.09 | ) | (0.07 | ) | 0.00 | (H) | 0.01 | ||||||||||||
Net realized and unrealized gain (loss) on investments | 0.26 | (1.03 | ) | 1.75 | 0.28 | 0.34 | ||||||||||||||
Total from investment operations | 0.31 | (1.12 | ) | 1.68 | 0.28 | 0.35 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.00 | ) (H) | — | — | (0.04 | ) | (0.05 | ) | ||||||||||||
From net realized gains on investments | — | (1.72 | ) | (0.15 | ) | (0.50 | ) | (0.77 | ) | |||||||||||
Total distributions | (0.00 | ) (H) | (1.72 | ) | (0.15 | ) | (0.54 | ) | (0.82 | ) | ||||||||||
Net asset value, end of year | $ | 8.48 | $ | 8.17 | $ | 11.01 | $ | 9.48 | $ | 9.74 | ||||||||||
Total return (B) | 3.81 | % | (12.51 | )% (C) | 17.86 | % (C) | 2.67 | % | 4.23 | % (C) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 4,084 | $ | 4,348 | $ | 4,720 | $ | 3,337 | $ | 1,530 | ||||||||||
Ratios to average net assets (including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (E,F) | 2.80 | % | 2.56 | % | 2.58 | % | 2.78 | % | 3.02 | % | ||||||||||
Expenses, net waiver and reimbursement (E,F) | 2.30 | % | 2.23 | % | 2.23 | % | 2.29 | % | 2.30 | % | ||||||||||
Ratios of net Investment income (loss) (including dividend and interest expense) | ||||||||||||||||||||
Net investment income (loss), before waiver and reimbursement (F,G) | 0.16 | % | (1.25 | )% | (1.02 | )% | (0.52 | )% | (0.61 | )% | ||||||||||
Net investment income (loss), net waiver and reimbursement (F,G) | 0.66 | % | (0.92 | )% | (0.67 | )% | (0.03 | )% | 0.11 | % | ||||||||||
Portfolio turnover rate | 111 | % | 77 | % | 32 | % | 138 | % | 137 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividends and does not reflect the impact of sales charges, if any. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | Includes adjustments in accordance with accounting principles generally accepted in the United States and, consequently, the net asset values 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. |
(D) | Ratios to average net assets (excluding dividend and interest expense) (Class A) |
Expenses, before waiver and reimbursement | 1.98 | % | 1.81 | % | 1.83 | % | 1.97 | % | 2.19 | % | ||||||||||
Expenses, net waiver and reimbursement | 1.48 | % | 1.48 | % | 1.48 | % | 1.48 | % | 1.47 | % |
(E) | Ratios to average net assets (excluding dividend and interest expense) (Class C) |
Expenses, before waiver and reimbursement | 2.73 | % | 2.56 | % | 2.58 | % | 2.72 | % | 2.94 | % | ||||||||||
Expenses, net waiver and reimbursement | 2.23 | % | 2.23 | % | 2.23 | % | 2.23 | % | 2.22 | % |
(F) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(G) | Recognition of net investment (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
(H) | Less than 0.01 per share. |
The accompanying notes are an integral part of these financial statements.
77
CATALYST FUNDS |
Catalyst Buffered Shield Fund (Continued) |
Financial Highlights |
For a Share Outstanding Throughout Each Year
Class I | ||||||||||||||||||||
For the | For the | For the | For the | For the | ||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | ||||||||||||||||
June 30, 2023 | June 30, 2022 | June 30, 2021 | June 30, 2020 | June 30, 2019 | ||||||||||||||||
Net asset value, beginning of year | $ | 8.52 | $ | 11.32 | $ | 9.70 | $ | 9.93 | $ | 10.36 | ||||||||||
INCOME (LOSS) FROM INVESTMENT OPERATIONS: | ||||||||||||||||||||
Net investment income (A) | 0.13 | 0.01 | 0.03 | 0.09 | 0.12 | |||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.28 | (1.08 | ) | 1.80 | 0.29 | 0.34 | ||||||||||||||
Total from investment operations | 0.41 | (1.07 | ) | 1.83 | 0.38 | 0.46 | ||||||||||||||
LESS DISTRIBUTIONS: | ||||||||||||||||||||
From net investment income | (0.09 | ) | (0.01 | ) | (0.06 | ) | (0.11 | ) | (0.12 | ) | ||||||||||
From net realized gains on investments | — | (1.72 | ) | (0.15 | ) | (0.50 | ) | (0.77 | ) | |||||||||||
Total distributions | (0.09 | ) | (1.73 | ) | (0.21 | ) | (0.61 | ) | (0.89 | ) | ||||||||||
Net asset value, end of year | $ | 8.84 | $ | 8.52 | $ | 11.32 | $ | 9.70 | $ | 9.93 | ||||||||||
Total return (B) | 4.83 | % | (11.70 | )% (C) | 19.07 | % (C) | 3.74 | % | 5.27 | % (C) | ||||||||||
RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||
Net assets, end of year (in 000’s) | $ | 23,466 | $ | 50,313 | $ | 60,463 | $ | 32,703 | $ | 13,629 | ||||||||||
Ratios to average net assets(including dividend and interest expense) | ||||||||||||||||||||
Expenses, before waiver and reimbursement (D,E) | 1.80 | % | 1.56 | % | 1.58 | % | 1.78 | % | 2.02 | % | ||||||||||
Expenses, net waiver and reimbursement (D,E) | 1.30 | % | 1.23 | % | 1.23 | % | 1.29 | % | 1.30 | % | ||||||||||
Ratios of net Investment income (loss) (including dividend and interest expense) | ||||||||||||||||||||
Net investment income (loss), before waiver and reimbursement (E,F) | 1.09 | % | (0.26 | )% | (0.04 | )% | 0.46 | % | 0.44 | % | ||||||||||
Net investment Income, net waiver and reimbursement (E,F) | 1.59 | % | 0.07 | % | 0.31 | % | 0.95 | % | 1.16 | % | ||||||||||
Portfolio turnover rate | 111 | % | 77 | % | 32 | % | 138 | % | 137 | % |
(A) | Per share amounts calculated using average shares method, which more appropriately presents the per share data for the year. |
(B) | Total return in the above table represents the rate that the investor would have earned or lost on an investment in the Fund assuming reinvestment of dividend. Had the manager not waived its fees and reimbursed expenses, total return would have been lower. |
(C) | 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. |
(D) | Ratios to average net assets (excluding dividend and interest expense) |
Expenses, before waiver and reimbursement (E) | 1.73 | % | 1.56 | % | 1.58 | % | 1.72 | % | 1.94 | % | ||||||||||
Expenses, net waiver and reimbursement (E) | 1.23 | % | 1.23 | % | 1.23 | % | 1.23 | % | 1.22 | % |
(E) | Does not include expenses of the underlying investment companies in which the Fund invests. |
(F) | Recognition of net investment income (loss) is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests. |
The accompanying notes are an integral part of these financial statements.
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CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS | |
June 30, 2023 | ANNUAL REPORT |
(1) | ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES |
Mutual Fund Series Trust (the “Trust”), was organized as an Ohio business trust on February 27, 2006. The Trust is registered as an open-end management investment company under the Investment Company Act of 1940, as amended, (“1940 Act”). The Trust currently consists of thirty-six series. These financial statements include the following seven series set forth below (each a “Fund” and collectively, the “Funds”). The investment objectives of each Fund are set forth below. The Funds’ investment manager is Catalyst Capital Advisors, LLC (the “Manager” or “CCA”).
Fund | Sub-Advisor | Primary Objective | ||
Catalyst/Millburn Dynamic Commodity Strategy (“Dynamic Commodity” ) | Millburn Ridgefield Corp. | Long term capital appreciation. | ||
Catalyst/Warrington Strategic Program (“Warrington” ) | Warrington Asset Management, LLC | Long term capital appreciation | ||
Catalyst Systematic Alpha (“Systematic Alpha” ) * | Long term capital appreciation | |||
Catalyst Income and Multi-Strategy (“Income and Multi-Strategy” ) | Caddo Capital Management, LLC | Total return consisting of income and capital appreciation | ||
Catalyst Nasdaq-100 Hedged Equity Fund (“Hedged Equity” ) | Equity Armor Investments, LLC | Long term capital appreciation | ||
Catalyst/Millburn Hedge Strategy (“Millburn Hedge Strategy” ) | Millburn Ridgefield Corp. | Long-term capital appreciation. | ||
Catalyst Buffered Shield (“Buffered Shield” ) | Exceed Advisory LLC | Long-term capital appreciation |
* | Effective July 8, 2022, Teza Capital Management LLC (“Teza”) resigned as the sub-advisor of the Fund. |
The Funds are diversified series of the Trust.
Currently, each Fund offers Class A, Class C and Class I shares and Millburn Hedge Strategy offers Class C-1 shares. Each class represents an interest in the same assets of the applicable Fund, and the classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans.
The following is a summary of significant accounting policies consistently followed by the Funds which are in accordance with accounting principles generally accepted in the United States of America (“GAAP”). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946 “Financial Services – Investment Companies” and Accounting Standards Update (“ASU”) 2013-08.
a) 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 exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ, at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the last bid price on the day of valuation. Debt securities including Bank Loans (other than short-term obligations) are valued each day by an independent pricing service approved by the Board of Trustees (the “Board”) using methods which include current market quotations from a major market maker in the securities and based on methods which include the consideration of yields or prices of securities of comparable quality, coupon, maturity and type. The Funds may invest in portfolios of open-end (the “open-end funds”) or closed-end investment companies. Open-end funds are valued at their respective net asset values as reported by such investment companies. 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 by the methods established by the boards of directors of the open-end funds. 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. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost, provided each such valuation represents fair value. Options are valued at their closing price on the exchange they are traded on. When no closing price is available, options are valued at their mean price. Futures, which are traded on an exchange, are valued at the settlement price determined by the exchange. Swap transactions are valued through an independent pricing service or at fair value based on daily price reporting from
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CATALYST FUNDS | |
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June 30, 2023 | ANNUAL REPORT |
the swap counterparty issuing the swap. Foreign currency and forward currency exchange contracts are valued daily at the London Stock Exchange close each day.
In unusual circumstances, instead of valuing securities in the usual manner, the Funds may value securities at “fair value” as determined in good faith by the Board, pursuant to the procedures (the “Procedures”) approved by the Board. The Procedures consider, among others, the following factors to determine a security’s fair value: the nature and pricing history (if any) of the security; whether any dealer quotations for the security are available; and possible valuation methodologies that could be used to determine the fair value of the security. Fair value may also be used by the Board if extraordinary events occur after the close of the relevant world market but prior to the NYSE close.
Each Fund utilizes various methods to measure the fair value 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 in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the 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, 2023, for each Fund’s assets and liabilities measured at fair value.
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CATALYST FUNDS | |
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June 30, 2023 | ANNUAL REPORT |
Dynamic Commodity | ||||||||||||||||
Assets (a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 3,097,736 | $ | — | $ | — | $ | 3,097,736 | ||||||||
Exchange-Traded Funds | 3,791,304 | — | — | 3,791,304 | ||||||||||||
U.S. Government & Agencies | — | 2,074,938 | — | 2,074,938 | ||||||||||||
Short-Term Investment | 2,638,769 | — | — | 2,638,769 | ||||||||||||
Total Assets | $ | 9,527,809 | $ | 2,074,938 | $ | — | $ | 11,602,747 | ||||||||
Derivatives | ||||||||||||||||
Assets | ||||||||||||||||
Futures Contracts(b) | $ | 100,836 | $ | — | $ | — | $ | 100,836 | ||||||||
Liabilities | ||||||||||||||||
Future Contracts(b) | (29,703 | ) | — | — | (29,703 | ) | ||||||||||
Total Derivatives | $ | 71,133 | $ | — | $ | — | $ | 71,133 | ||||||||
Warrington | ||||||||||||||||
Assets (a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Government & Agencies | $ | — | $ | 81,667,521 | $ | — | $ | 81,667,521 | ||||||||
Short-Term Investment | 1,843,158 | — | — | 1,843,158 | ||||||||||||
Put Options Purchased | 288,487 | — | — | 288,487 | ||||||||||||
Total Assets | $ | 2,131,645 | $ | 81,667,521 | $ | — | $ | 83,799,166 | ||||||||
Derivatives(a) | ||||||||||||||||
Liabilities | ||||||||||||||||
Put Options Written | $ | (459,225 | ) | $ | — | $ | — | $ | (459,225 | ) | ||||||
Total Derivatives | $ | (459,225 | ) | $ | — | $ | — | $ | (459,225 | ) | ||||||
Systematic Alpha | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Convertible Bonds | $ | — | $ | 655,241 | $ | — | $ | 655,241 | ||||||||
Corporate Bonds | — | 57,867,940 | — | 57,867,940 | ||||||||||||
U.S. Government & Agencies | — | 12,405,740 | — | 12,405,740 | ||||||||||||
Short-Term Investments | 12,110,537 | — | — | 12,110,537 | ||||||||||||
Total Assets | $ | 12,110,537 | $ | 70,928,921 | $ | — | $ | 83,039,458 | ||||||||
Derivative | ||||||||||||||||
Assets | ||||||||||||||||
Total Return Swap(b) | — | $ | 5,522,099 | $ | — | $ | 5,522,099 |
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CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
Income and Multi Strategy | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 1,582,978 | $ | — | $ | — | $ | 1,582,978 | ||||||||
Exchange-Traded Funds | 2,098,265 | — | — | 2,098,265 | ||||||||||||
Open End Funds | 592,971 | — | — | 592,971 | ||||||||||||
Short-Term Investment | 1,431,278 | — | — | 1,431,278 | ||||||||||||
Total Assets | $ | 5,705,492 | $ | — | $ | — | $ | 5,705,492 | ||||||||
Derivatives | ||||||||||||||||
Assets | ||||||||||||||||
Futures (b) | $ | 108,078 | $ | — | $ | — | $ | 108,078 | ||||||||
Derivatives | ||||||||||||||||
Liabilities | ||||||||||||||||
Futures (b) | $ | (9,150 | ) | $ | — | $ | — | $ | (9,150 | ) | ||||||
Total Derivatives | $ | 98,928 | $ | — | $ | — | $ | 98,928 | ||||||||
Hedged Equity | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 8,302,693 | $ | — | $ | — | $ | 8,302,693 | ||||||||
Exchange-Traded Fund | 2,227,972 | — | — | 2,227,972 | ||||||||||||
Money Market Fund | 399,735 | — | — | 399,735 | ||||||||||||
Future Options Purchased | 25,038 | — | — | 25,038 | ||||||||||||
Total | $ | 10,955,438 | $ | — | $ | — | $ | 10,955,438 | ||||||||
Collateral for Securities Loaned (c) | 2,372,808 | |||||||||||||||
Total Assets | 13,328,246 | |||||||||||||||
Derivatives (a) | ||||||||||||||||
Assets | ||||||||||||||||
Futures Contracts(b) | $ | 123,843 | $ | — | $ | — | $ | 123,843 | ||||||||
Liabilities | ||||||||||||||||
Futures Contracts(b) | $ | (413,169 | ) | $ | — | $ | — | $ | (413,169 | ) | ||||||
Total Derivatives | $ | (289,326 | ) | $ | — | $ | — | $ | (289,326 | ) |
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CATALYST FUNDS | |
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June 30, 2023 | ANNUAL REPORT |
Millburn Hedge Strategy | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 2,883,240,454 | $ | — | $ | — | $ | 2,883,240,454 | ||||||||
U.S. Government & Agencies | — | 2,398,877,055 | — | 2,398,877,055 | ||||||||||||
Short-Term Investment | 612,924,973 | — | — | 612,924,973 | ||||||||||||
Total Assets | $ | 3,496,165,427 | $ | 2,398,877,055 | $ | — | $ | 5,895,042,482 | ||||||||
Derivatives | ||||||||||||||||
Assets | ||||||||||||||||
Futures Contracts (b) | $ | 126,298,749 | $ | — | $ | — | $ | 126,298,749 | ||||||||
Forward Foreign Currency Contracts (b) | — | 86,450,302 | — | 86,450,302 | ||||||||||||
$ | 126,298,749 | $ | 86,450,302 | $ | — | $ | 212,749,051 | |||||||||
Liabilities | ||||||||||||||||
Futures Contracts (b) | $ | (26,333,329 | ) | $ | — | $ | — | $ | (26,333,329 | ) | ||||||
Forward Foreign Currency Contracts (b) | — | (78,533,367 | ) | — | (78,533,367 | ) | ||||||||||
Total Derivatives | $ | 99,965,420 | $ | 7,916,935 | $ | — | $ | 107,882,355 | ||||||||
Buffered Shield | ||||||||||||||||
Assets(a) | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 38,396,470 | $ | — | $ | — | $ | 38,396,470 | ||||||||
Short-Term Investment | 237,351 | — | — | 237,351 | ||||||||||||
Call Options Purchased | 4,191,490 | — | — | 4,191,490 | ||||||||||||
Put Options Purchased | 666,065 | — | — | 666,065 | ||||||||||||
Total Assets | $ | 43,491,376 | $ | — | $ | — | $ | 43,491,376 | ||||||||
Derivatives | ||||||||||||||||
Liabilities (a) | ||||||||||||||||
Call Options Written | $ | (1,347,896 | ) | $ | — | $ | — | $ | (1,347,896 | ) | ||||||
Put Options Written | (1,187,235 | ) | — | — | (1,187,235 | ) | ||||||||||
Total Liabilities | $ | (2,535,131 | ) | $ | — | $ | — | $ | (2,535,131 | ) |
The Funds did not hold any Level 3 securities during the year.
(a) | Refer to the Schedule of Investments for security details. |
(b) | Amounts shown for swaps, futures and forwards are unrealized appreciation/depreciation. |
(c) | In accordance with Subtopic 820-10, certain investments that are measured at fair value using the net asset value per share (or its equivalent) have not been classified in the fair value hierarchy. The fair value amount presented in this table is intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statements of Assets and Liabilities. |
Options – The Funds are subject to equity price risks in the normal course of pursuing their investment objective and may purchase or sell options to help hedge against risk. When the Funds write a call or put option, an amount equal to the premium received is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Funds enter into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the purchase cost of the underlying security is reduced by the premium originally received. As writer of an option, the Funds have no control over whether the option will be exercised and, as a result, retain the market risk of an unfavorable change in the price of the security underlying the written option.
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CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
Certain Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in a Funds’ portfolio. If such a decline occurs, the put options will permit a Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by a Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to a Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to a Fund, the benefits realized by a Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Funds since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default. Initial margin deposits required upon entering into options contracts are satisfied by the deposits of cash as collateral for the account of the broker (the Funds’ agent in acquiring the options). For the year ended June 30, 2023, Warrington, Hedged Equity and Buffered Shield invested in options.
Futures Contracts – Each Fund may purchase and sell futures contracts. A Fund may use futures contracts to gain exposure to, or hedge against changes in the value of equities, interest rates or foreign currencies. Upon entering into a contract, a Fund deposits and maintains as collateral such initial margin as required by the exchange on which the transaction is affected. Pursuant to the contract, a Fund agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in value of the contract. Such receipts or payments are known as “variation margin” and are recorded by a Fund as unrealized gains and losses. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. As collateral for futures contracts, a Fund is required under the 1940 Act to maintain assets consisting of cash, cash equivalents or liquid securities. This collateral is required to be adjusted daily to reflect the market value of the purchase obligation for long futures contracts or the market value of the instrument underlying the contract, but not less than the market price at which the futures contract was established, for short futures contracts. For the year ended June 30, 2023, Dynamic Commodity, Warrington, Income and Multi-Strategy, Hedged Equity and Millburn Hedge Strategy invested in futures.
Swap Agreements – Systematic Alpha has entered into various swap transactions for investment purposes. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.
The gross returns to be exchanged or “swapped” between parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as upfront payments. The Funds amortize upfront payments and/or accrue for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statements of Operations. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The Funds segregate liquid securities having a value at least equal to the amount of their current obligation under any swap transaction. Entering into these agreements involves, to varying degrees, lack of liquidity and elements of credit, market, and counterparty risk in excess of amounts recognized on the Statements of Assets and Liabilities. The Funds’ maximum risk of loss from counterparty credit risk is the unrealized appreciation to be received from the counterparty over the contract’s remaining life, to the extent that that amount is positive.
Forward Currency Contracts – A Fund may enter into forward foreign currency exchange contracts as an investment strategy consistent with that Fund’s investment objective. As foreign securities are purchased, a Fund generally enters into forward foreign currency exchange contracts in order to hedge against foreign currency exchange rate risks. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from investments and foreign currency transactions in the Statements of Operations.
Foreign Currency – All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities and income and expenses are translated
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CATALYST FUNDS | |
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June 30, 2023 | ANNUAL REPORT |
at the rate of exchange quoted on the respective date that such transactions are recorded. The Funds do not isolate the portion of the results of operations for realized gain and losses resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held.
Consolidation of Subsidiaries – CHCSF Fund Limited (Dynamic Commodity-CFC), CSACS Fund Limited (Systematic – CFC), CAMFMSF Fund Limited (Income and Multi-Strategy-CFC) and CMHSF Fund Limited (Millburn-CFC) the (“CFCs”) The Consolidated Schedules of Investments, Consolidated Statements of Assets and Liabilities, Consolidated Statements of Operations, Consolidated Statements of Changes in Net Assets and the Consolidated Financial Highlights of the Funds include the accounts of Dynamic Commodity, Systematic Alpha, Income and Multi-Strategy, and Millburn Hedge Strategy, which include the accounts of Dynamic Commodity-CFC, Systematic-CFC, Income and Multi-Strategy-CFC, and Millburn-CFC respectively, which all are wholly-owned and controlled foreign subsidiaries. All inter-company accounts and transactions have been eliminated in consolidation.
Each Fund may invest up to 25% of its total assets in a controlled foreign corporation (“CFC”), which acts as an investment vehicle in order to affect certain investments consistent with the Funds investment objectives and policies.
A summary of each Fund’s investment in its respective CFC is as follows:
Inception Date of | CFC Net Assets as of | % of Net Assets as of | |
CFC | June 30, 2023 | June 30, 2023 | |
Dynamic Commodity – CFC | 6/25/2015 | $ 2,501,370 | 20.60% |
Systematic – CFC | 12/19/2017 | 21,904,580 | 23.81% |
Income and Multi-Strategy – CFC | 6/25/2015 | 938,111 | 15.20% |
Millburn Hedge Strategy - CFC | 11/2/2015 | 591,840,701 | 9.77% |
For tax purposes, the CFCs are exempted Cayman investment companies. The CFCs have received an undertaking from the Government of the Cayman Islands exempting it from all local income, profits and capital gains taxes. No such taxes are levied in the Cayman Islands at the present time. For U.S. income tax purposes, the CFCs are a controlled foreign corporation which generates and is allocated no income which is considered effectively connected with U.S. trade of business and as such is not subject to U.S. income tax. However, as a wholly-owned controlled foreign corporation, the CFCs net income and capital gain, to the extent of its earnings and profits, will be included each year in the respective Fund’s investment company taxable income.
In accordance with its investment objectives and through its exposure to the aforementioned managed futures programs, the Funds may have increased or decreased exposure to one or more of the following risk factors defined below:
Market Risk – Overall market risks may also affect the value of the Funds. The market values of securities or other investments owned by the Funds will go up or down, sometimes rapidly or unpredictably. Factors such as economic growth and market conditions, interest rate levels, exchange rates and political events affect the securities markets. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments. Unexpected local, regional or global events and their aftermath, such as war; acts of terrorism; financial, political or social disruptions; natural, environmental or man-made disasters; the spread of infectious illnesses or other public health issues; recessions and depressions; or other tragedies, catastrophes and events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to a Fund’s net asset value, and may impair market liquidity, thereby increasing liquidity risk. Such events can cause investor fear and panic, which can adversely affect the economies of many companies, sectors, nations, regions and the market in general, in ways that cannot necessarily be foreseen. The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. In times of severe market disruptions you could lose your entire investment.
Derivatives Risk – The use of derivative instruments, such as forwards, futures, options and swaps, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. These risks include (i) the risk that the counterparty to a derivative transaction may not fulfill its contractual obligations; (ii) risk of mispricing or improper valuation; and (iii) the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Derivative prices are highly volatile and may fluctuate substantially during a short period of time. Such prices are influenced by numerous factors that
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CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
affect the markets, including, but not limited to: changing supply and demand relationships; government programs and policies; national and international political and economic events, changes in interest rates, inflation and deflation and changes in supply and demand relationships. Trading derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in securities.
Commodity Risk – Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Counterparty Risk – Counterparty risk is the risk that a counterparty to a financial instrument held by the Fund or by a special purpose or structured vehicle invested in by the Fund may become insolvent or otherwise fail to perform its obligations, and the Fund may obtain no or limited recovery of its investment, and any recovery may be significantly delayed.
Credit Risk – Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds.
Foreign Exchange Rate Risk – Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk – Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk – Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
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CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
The following derivatives are not accounted for as hedging instruments under GAAP. The effect of derivative instruments on the Statements of Assets and Liabilities at June 30, 2023, were as follows:
Location of derivatives on Statements | Fair value of asset/liability | |||||||||
Fund | Derivative | Risk Type | of Assets and Liabilities | derivatives | ||||||
Dynamic Commodity | ||||||||||
Futures | Commodity | Futures unrealized appreciation | $ | 100,836 | ||||||
Totals | $ | 100,836 | ||||||||
Futures | Commodity | Futures unrealized depreciation | $ | (29,703 | ) | |||||
Totals | $ | (29,703 | ) | |||||||
Warrington | ||||||||||
Put options purchased | Equity | Investments in securities, at value | $ | 288,487 | ||||||
Put options written | Equity | Options written, at value | (459,225 | ) | ||||||
Totals | $ | (170,738 | ) | |||||||
Systematic Alpha | ||||||||||
Commodity | ||||||||||
Swap Contracts | /Interest * | Unrealized appreciation on swaps | $ | 5,522,099 | ||||||
Totals | $ | 5,522,099 | ||||||||
Income and Multi Strategy | ||||||||||
Futures | Equity | Futures unrealized appreciation | $ | 9,364 | ||||||
Commodity | Futures unrealized appreciation | 33,368 | ||||||||
Currency | Futures unrealized appreciation | 8,471 | ||||||||
Interest Rate | Futures unrealized appreciation | 56,875 | ||||||||
Total | $ | 108,078 | ||||||||
Futures | Commodity | Futures unrealized depreciation | (9,150 | ) | ||||||
Total | $ | (9,150 | ) |
* | The risk types relates to the positions in the underlying index, which are included within Portfolio of Investments. |
87
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
Location of derivatives on Statements of | Fair value of asset/liability | |||||||||
Fund | Derivative | Risk Type | Assets and Liabilities | derivatives | ||||||
Hedged Equity | ||||||||||
Futures Contracts | Equity | Futures unrealized appreciation | $ | 123,843 | ||||||
Futures Contracts | Equity | Futures unrealized depreciation | (413,169 | ) | ||||||
Totals | $ | (289,326 | ) | |||||||
Put Options Purchased | Equity | Investments in securities, at value | $ | 25,038 | ||||||
Millburn Hedge Strategy | ||||||||||
Futures Contracts | Commodity | Futures unrealized appreciation | $ | 12,895,918 | ||||||
Futures Contracts | Currency | Futures unrealized appreciation | 5,187,014 | |||||||
Futures Contracts | Equity | Futures unrealized appreciation | 24,894,677 | |||||||
Futures Contracts | Interest Rate | Futures unrealized appreciation | 83,321,140 | |||||||
Totals | $ | 126,298,749 | ||||||||
Futures Contracts | Commodity | Futures unrealized depreciation | $ | (3,761,304 | ) | |||||
Futures Contracts | Currency | Futures unrealized depreciation | (234,736 | ) | ||||||
Futures Contracts | Equity | Futures unrealized depreciation | (10,339,451 | ) | ||||||
Futures Contracts | Interest Rate | Futures unrealized depreciation | (11,997,838 | ) | ||||||
Totals | $ | (26,333,329 | ) | |||||||
Foreign Forward Currency Contract | Currency | Unrealized appreciation on forward currency exchange contracts | $ | 86,450,302 | ||||||
Foreign Forward Currency Contract | Currency | Unrealized depreciation on forward currency exchange contracts | (78,533,367 | ) | ||||||
Totals | $ | 7,916,935 | ||||||||
Buffered Shield | ||||||||||
Call options purchased | Equity | Investments in securities, at value | $ | 4,191,490 | ||||||
Put options purchased | Equity | Investments in securities, at value | 666,065 | |||||||
Call options written | Equity | Options written, at value | (1,347,896 | ) | ||||||
Put options written | Equity | Options written, at value | (1,187,235 | ) | ||||||
Totals | $ | 2,322,424 |
88
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
The effect of derivative instruments on the Statements of Operations for the year ended June 30, 2023, were as follows:
Realized and unrealized | ||||||||||
Fund | Derivative | Risk Type | Location of gain (loss) on derivatives | gain (loss) on derivatives | ||||||
Dynamic Commodity | ||||||||||
Futures | Commodity | Net realized loss on futures | $ | (4,380,651 | ) | |||||
Futures | Commodity | Net change in unrealized appreciation on futures | 1,816,133 | |||||||
Totals | $ | (2,564,518 | ) | |||||||
Warrington | ||||||||||
Options purchased | Equity | Net realized loss from options purchased | $ | (28,158,819 | ) | |||||
Options written | Equity | Net realized gain from options written | 30,971,463 | |||||||
Futures | Equity | Net realized loss on futures | (15,215 | ) | ||||||
Options purchased | Equity | Net change in unrealized depreciation on options purchased | (764,545 | ) | ||||||
Options written | Equity | Net change in unrealized appreciation on options written | 462,300 | |||||||
Totals | $ | 2,495,184 | ||||||||
Systematic Alpha | ||||||||||
Swap Contracts | Commodity | Net realized gain from swaps | $ | 658,683 | ||||||
Swap Contracts | Commodity | Net change in unrealized appreciation on swaps | 5,755,793 | |||||||
Totals | $ | 6,414,476 | ||||||||
Income and Multi Strategy | ||||||||||
Futures | Commodity | Net realized gain from futures | $ | 128,313 | ||||||
Currency | Net realized loss from futures | (29,798 | ) | |||||||
Equity | Net realized loss from futures | (65,839 | ) | |||||||
Interest Rate | Net realized loss from futures | (92,182 | ) | |||||||
$ | (59,506 | ) | ||||||||
Futures | Commodity | Net change in unrealized depreciation on futures | $ | (36,868 | ) | |||||
Currency | Net change in unrealized appreciation on futures | 11,066 | ||||||||
Equity | Net change in unrealized depreciation on futures | (2,334 | ) | |||||||
Interest Rate | Net change in unrealized appreciation on futures | 50,006 | ||||||||
Totals | $ | 21,870 | ||||||||
Hedged Equity | ||||||||||
Options purchased | Equity | Net realized loss from options purchased | $ | (3,867,874 | ) | |||||
Options written | Equity | Net realized gain from options written | 2,617,853 | |||||||
Futures | Equity | Net realized gain from futures | 783,151 | |||||||
Options purchased | Equity | Net change in unrealized depreciation on options purchased | (52,473 | ) | ||||||
Options written | Equity | Net change in unrealized depreciation on options written | (17,820 | ) | ||||||
Futures | Equity | Net change in unrealized depreciation on futures | (327,593 | ) | ||||||
Totals | $ | (864,756 | ) | |||||||
Millburn Hedge Strategy | ||||||||||
Futures | Commodity | Net realized loss from futures | $ | (346,882,674 | ) | |||||
Currency | Net realized gain from futures | 22,475,786 | ||||||||
Equity | Net realized loss on futures | (29,125,799 | ) | |||||||
Interest Rate | Net realized gain from futures | 77,232,694 | ||||||||
Totals | $ | (276,299,993.00 | ) | |||||||
Forward Contracts | Currency | Net realized gain on foreign currency transactions | $ | 8,483,707 | ||||||
Futures | Commodity | Net change in unrealized depreciation on futures | (18,863,997 | ) | ||||||
Currency | Net change in unrealized appreciation on futures | 4,496,368 | ||||||||
Equity | Net change in unrealized depreciation on futures | (18,433,294 | ) | |||||||
Interest Rate | Net change in unrealized appreciation on futures | 16,796,714 | ||||||||
Totals | $ | (16,004,209 | ) | |||||||
Forward Contracts | Currency | Net change in unrealized appreciation on foreign currency translations | $ | 10,184,670 | ||||||
Buffered Shield | ||||||||||
Options purchased | Equity | Net realized loss from options purchased | $ | (3,704,822 | ) | |||||
Options written | Equity | Net realized gain from options written | 4,351,129 | |||||||
Options purchased | Equity | Net change in unrealized depreciation on options purchased | (164,735 | ) | ||||||
Options written | Equity | Net change in unrealized appreciation on options written | 2,662,421 | |||||||
Totals | $ | 3,143,993 |
89
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
The notional value of derivative instruments outstanding as of June 30, 2023, as disclosed in the Schedules of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.
The following table presents the Funds’ assets and liabilities available for offset under a master netting arrangement net of collateral pledged as of June 30, 2023:
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Statements of Assets & Liabilities | ||||||||||||||||||||||||||
Financial | Cash | |||||||||||||||||||||||||
Gross Amounts of | Derivatives available for | Instruments | Collateral | |||||||||||||||||||||||
Dynamic Commodity | Counterparty | Recognized Assets | Offset | Net Amounts of Assets | Pledged | Received (2) | Net Amount | |||||||||||||||||||
Description of Asset: | ||||||||||||||||||||||||||
Futures Contracts | Goldman Sachs | $ | 100,836 | $ | (29,703 | ) | $ | 71,133 | — | $ | — | $ | 71,133 | |||||||||||||
Total | $ | 100,836 | $ | (29,703 | ) | $ | 71,133 | — | $ | — | $ | 71,133 | ||||||||||||||
Financial | Cash | |||||||||||||||||||||||||
Gross Amounts of | Derivatives available for | Instruments | Collateral | |||||||||||||||||||||||
Counterparty | Recognized Liabilities | Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount | ||||||||||||||||||||
Description of Liability: | ||||||||||||||||||||||||||
Futures Contracts | Goldman Sachs | $ | (29,703 | ) | $ | 29,703 | $ | — | — | $ | — | $ | — | |||||||||||||
Total | $ | (29,703 | ) | $ | 29,703 | $ | — | — | $ | — | $ | — | ||||||||||||||
Financial | Cash | |||||||||||||||||||||||||
Gross Amounts of | Derivatives available for | Instruments | Collateral | |||||||||||||||||||||||
Warrington | Counterparty | Recognized Assets | Offset | Net Amounts of Assets | Pledged | Received (2) | Net Amount | |||||||||||||||||||
Description of Asset: | ||||||||||||||||||||||||||
Options Purchased Contracts | ADM | $ | 199,480 | $ | (199,480 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Options Purchased Contracts | StoneX | 89,007 | (89,007 | ) | — | — | — | — | ||||||||||||||||||
Total | $ | 288,487 | $ | (288,487 | ) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Financial | Cash | |||||||||||||||||||||||||
Gross Amounts of | Derivatives available for | Instruments | Collateral | |||||||||||||||||||||||
Description of Liability: | Counterparty | Recognized Liabilities | Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount | |||||||||||||||||||
Options Written Contracts | ADM | $ | (317,222 | ) | $ | 199,480 | $ | (117,742 | ) | $ | — | $ | 117,742 | $ | — | |||||||||||
Options Written Contracts | StoneX | (142,003 | ) | $ | 89,007 | (52,996 | ) | — | 52,996 | — | ||||||||||||||||
Total | $ | (459,225 | ) | $ | 288,487 | $ | (170,738 | ) | $ | — | $ | 170,738 | $ | — | ||||||||||||
Systematic Alpha | ||||||||||||||||||||||||||
Financial | Cash | |||||||||||||||||||||||||
Gross Amounts of | Derivatives available for | Instruments | Collateral | |||||||||||||||||||||||
Description of Asset: | Counterparty | Recognized Assets | Offset | Net Amounts of Assets | Pledged | Received (2) | Net Amount | |||||||||||||||||||
Total Return Swap | BNP Paribas | $ | 5,522,099 | (1) | $ | — | $ | 5,522,099 | $ | — | $ | — | $ | 5,522,099 | ||||||||||||
Total | $ | 5,522,099 | $ | — | $ | 5,522,099 | $ | — | $ | — | $ | 5,522,099 |
90
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Statements of Assets & Liabilities | ||||||||||||||||||||||||||
Income and Multi-Strategy | ||||||||||||||||||||||||||
Financial | ||||||||||||||||||||||||||
Gross Amounts of | Derivatives available | Instruments | Cash Collateral | |||||||||||||||||||||||
Description of Asset: | Counterparty | Recognized Assets | for Offset | Net Amounts of Assets | Pledged | Received (2) | Net Amount | |||||||||||||||||||
Futures Contracts | RJ O’Brien | $ | 108,078 | $ | (9,150 | ) | $ | 98,928 | $ | — | $ | — | $ | 98,928 | ||||||||||||
Total | $ | 108,078 | $ | (9,150 | ) | $ | 98,928 | $ | — | $ | — | $ | 98,928 | |||||||||||||
Gross Amounts of | Financial | |||||||||||||||||||||||||
Recognized | Derivatives available | Instruments | Cash Collateral | |||||||||||||||||||||||
Description of Liability: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount | |||||||||||||||||||
Futures Contracts | RJ O’Brien | $ | (9,150 | ) | $ | 9,150 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Total | $ | (9,150 | ) | $ | 9,150 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Hedged Equity | ||||||||||||||||||||||||||
Gross Amounts of | Derivatives available | Financial | Cash Collateral | |||||||||||||||||||||||
Description of Asset: | Counterparty | Recognized Assets | for Offset | Net Amounts of Assets | Instruments | Received (2) | Net Amount | |||||||||||||||||||
Futures Contracts | Wedbush | $ | 123,843 | $ | (123,843 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Future Options | Wedbush | 25,038 | — | 25,038 | — | — | 25,038 | |||||||||||||||||||
Total | $ | 148,881 | $ | (123,843 | ) | $ | 25,038 | $ | — | $ | — | $ | 25,038 | |||||||||||||
Gross Amounts of | Financial | |||||||||||||||||||||||||
Recognized | Derivatives available | Instruments | Cash Collateral | |||||||||||||||||||||||
Description of Liability: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount | |||||||||||||||||||
Futures Contracts | Wedbush | $ | (413,169 | ) | $ | 123,843 | $ | (289,326 | ) | $ | — | $ | 289,326 | $ | — | |||||||||||
Future Options | Wedbush | — | — | — | — | — | — | |||||||||||||||||||
Total | $ | (413,169 | ) | $ | 123,843 | $ | (289,326 | ) | $ | — | $ | 289,326 | — | |||||||||||||
Millburn Hedge Strategy | ||||||||||||||||||||||||||
Financial | ||||||||||||||||||||||||||
Gross Amounts of | Derivatives available | Instruments | Cash Collateral | |||||||||||||||||||||||
Description of Asset: | Counterparty | Recognized Assets | for Offset | Net Amounts of Assets | Pledged | Received | Net Amount | |||||||||||||||||||
Futures Contracts | Bank of America Merrill Lynch | $ | 15,668,895 | $ | (10,027,081 | ) | $ | 5,641,814 | $ | — | $ | — | $ | 5,641,814 | ||||||||||||
Futures Contracts | Deutsche Bank | 37,915,055 | (645,657 | ) | 37,269,398 | — | — | 37,269,398 | ||||||||||||||||||
Futures Contracts | Goldman Sachs | 72,714,799 | (15,660,591 | ) | 57,054,208 | — | — | 57,054,208 | ||||||||||||||||||
Forward Contracts | Bank of America Merrill Lynch | 86,450,302 | (78,533,367 | ) | 7,916,935 | — | — | 7,916,935 | ||||||||||||||||||
Total | $ | 212,749,051 | $ | (104,866,696 | ) | $ | 107,882,355 | $ | — | $ | — | $ | 107,882,355 | |||||||||||||
Gross Amounts of | Financial | |||||||||||||||||||||||||
Recognized | Derivatives available | Instruments | Cash Collateral | |||||||||||||||||||||||
Description of Liability: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount | |||||||||||||||||||
Futures Contracts | Bank of America Merrill Lynch | $ | (10,027,081 | ) | $ | 10,027,081 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Futures Contracts | Deutsche Bank | (645,657 | ) | 645,657 | — | — | — | — | ||||||||||||||||||
Futures Contracts | Goldman Sachs | (15,660,591 | ) | 15,660,591 | — | — | — | — | ||||||||||||||||||
Forward Contracts | Bank of America Merrill Lynch | (78,533,367 | ) | 78,533,367 | — | — | — | — | ||||||||||||||||||
Total | $ | (104,866,696 | ) | $ | 104,866,696 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Buffered Shield | ||||||||||||||||||||||||||
Gross Amounts of | Financial | |||||||||||||||||||||||||
Recognized | Derivatives available | Instruments | Cash Collateral | |||||||||||||||||||||||
Description of Asset: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Received (2) | Net Amount | |||||||||||||||||||
Options Purchased Contracts | StoneX | $ | 4,857,555 | $ | (2,535,131 | ) | $ | 2,322,424 | $ | — | $ | — | $ | 2,322,424 | ||||||||||||
Total | $ | 4,857,555 | $ | (2,535,131 | ) | $ | 2,322,424 | $ | — | $ | — | $ | 2,322,424 | |||||||||||||
Gross Amounts of | Financial | |||||||||||||||||||||||||
Recognized | Derivatives available | Instruments | Cash Collateral | |||||||||||||||||||||||
Description of Liability: | Counterparty | Liabilities | for Offset | Net Amounts of Liabilities | Pledged | Pledged (2) | Net Amount | |||||||||||||||||||
Options Written Contracts | StoneX | $ | (2,535,131 | ) | $ | 2,535,131 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Total | $ | (2,535,131 | ) | $ | 2,535,131 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
(1) | Value as presented in the Schedule of Investments. |
(2) | Excess collateral is not shown on this table. |
91
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
b) Deposits with Broker for futures and options
Fund | Broker | Deposit with Broker | ||||
Dynamic Commodity | Goldman Sachs | $ | 432,735 | |||
Warrington | ADM | 21,988,422 | ||||
StoneX | 11,465,918 | |||||
Rosenthal Collins Group | 880 | |||||
Income and Multi Strategy | RJ O’Brien | 352,750 | ||||
Hedged Equity | Wedbush | 2,510,347 | ||||
Millburn Hedge Strategy | Bank of America Merrill Lynch | 13,564,685 | ||||
Deutsche Bank | 11,170,672 | |||||
Goldman Sachs | 22,762,635 | |||||
Buffered Shield | StoneX | 82,472 |
c) Investment Companies – Income and Multi-Strategy, Hedged Equity, Millburn Hedge Strategy and Buffered Shield concentrate their investments in exchange traded funds (���ETFs”) and, therefore, are more susceptible to ETF risk. Some Funds may invest in other investment companies, including closed-end funds and ETFs. ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.
Underlying funds in which the Funds invest are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in the underlying funds and may be higher than other mutual funds that invest directly in stocks and bonds. Each of the underlying funds is subject to its own specific risks, but the manager and/or sub-advisor expect the principal investments risks of such underlying funds will be similar to the risks of investing in the Funds.
d) Federal Income Tax – The Funds have qualified and/or intend to continue to qualify as regulated investment companies and to comply with the applicable provisions of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of their taxable income to their shareholders. Therefore, no federal income or excise tax provisions are required.
As of and during the year ended June 30, 2023, the Funds did not have a liability for any unrecognized tax expense. The Funds recognize interest and penalties, if any, related to unrecognized tax expense as income tax expense in the Statements of Operations. As of June 30, 2023, the Funds did not incur any interest or penalties. As required, management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years (tax years or periods ended 2020-2022 for the Funds) or expected to be taken in 2023 and has concluded that no provision for income tax is required in these financial statements. The tax filings are open for examination by applicable taxing authorities, including the Internal Revenue Service. No examinations of the Funds’ filings are presently in progress.
e) Security Transactions and Investment Income – Investment and shareholder transactions are recorded on the trade date. The Funds determine the gain or loss realized from the investment transactions by comparing the original cost of the security lot sold with the net sales proceeds. Dividend income is recognized on the ex-dividend date or as soon as information is available to the Funds and interest income is recognized on an accrual basis. Discounts and premiums on debt securities are amortized over their respective lives using the effective interest method except certain callable debt securities that are held at premium and will be amortized to the earliest call date. Withholding taxes on foreign dividends have been provided for in accordance with the Funds’ understanding of the applicable country’s tax rules and rates. Distributions received from a Fund’s investments in MLPs generally are comprised of income and return of capital. The Funds record these distributions as investment income and subsequently adjusts these distributions within the components of net assets based upon their tax treatment when the information becomes available.
f) Multiple Class Allocations – Income, non-class specific expenses and realized/unrealized gains or losses are allocated to each class based on relative net assets. Distribution fees are charged to each respective share class in accordance with the distribution plan. 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.
92
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
g) Distribution to Shareholders – Distributions to shareholders, which are determined in accordance with income tax regulations and may differ from GAAP, are recorded on the ex-dividend date. The following table summarizes each Fund’s intended dividend and capital gain declaration policy:
Fund | Income Dividends | Capital Gains | ||
Dynamic Commodity | Annually | Annually | ||
Warrington | Annually | Annually | ||
Systematic Alpha | Monthly* | Annually | ||
Income and Multi-Strategy | Monthly | Annually | ||
Hedged Equity | Annually | Annually | ||
Millburn Hedge Strategy | Annually | Annually | ||
Buffered Shield | Annually | Annually |
* | Prior to March 2023, dividends were annual. |
h) Use of Estimates – 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 revenues and expenses during the reporting period. Actual results could differ from those estimates. The Funds follow the specialized accounting and reporting requirements under GAAP that are applicable to investment companies.
i) Indemnification – The Trust indemnifies its Officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the risk of loss due to these warranties and indemnities appears to be remote.
j) Redemption Fees and Sales Charges (loads) – A wire transfer fee of $15 may be charged to defray custodial charges for redemptions paid by wire transfer. A maximum sales charge of 5.75% is imposed on Class A shares of the Funds. Investments in Class A shares made at or above the $1 million breakpoint are not subject to an initial sales charge and may be subject to a 1% contingent deferred sales charge (“CDSC”) on shares redeemed within two years of purchase (excluding shares purchased with reinvested dividends and/or distributions). A CDSC of 1.00% is imposed on Class C-1 shares for certain redemption transactions within one year following such investments. The respective shareholders pay such CDSC charges, which are not an expense of the Funds. For the year ended June 30, 2023, there were no CDSC fees paid by the shareholders of Dynamic Commodity, Warrington, Systematic Alpha, Income and Multi-Strategy, Hedged Equity, Millburn Hedge Strategy, and Buffered Shield.
k) Forward Exchange Contracts – Millburn Hedge Strategy has entered into a foreign exchange contract agreement with Bank of America Merrill Lynch and Deutsche Bank as a part of its investment strategy. When executing forward contracts, the Fund is obligated to buy or sell a foreign currency at a specified rate on a certain date in the future. With respect to sales of forwards contracts, the Fund would incur a loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. The Fund realizes a gain if the value of the contract decreases between those dates. With respect to purchases of forward contracts, the Fund would incur a loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed. The Fund realizes a gain if the value of the contract increases between those dates. The Fund is exposed to foreign currency risk as a result of changes in value of the underlying financial instruments. The Fund is also exposed to credit risk associated with counterparty nonperformance on these forward contracts, which is typically limited to the unrealized gain on each open contract.
Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts at the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts on the respective dates of such transactions. The Trust does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from the changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments. Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, forward exchange contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and
93
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
foreign withholding taxes recorded on the company’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities other than investments in securities at fiscal period end, resulting from changes in exchange rates.
l) | Cash – The Funds consider their investments in an FDIC insured interest bearing savings account to be cash. The Funds maintain cash balances, which, at times, may exceed federally insured limits. The Funds maintain these balances with a high quality financial institution. |
m) | Distributions from REITS — Distribution from REITs are initially recorded as dividend income and, to the extent such represent a return of capital or capital gain for tax purposes, are reclassified when such information becomes available. |
(2) | INVESTMENT TRANSACTIONS |
For the year ended June 30, 2023, aggregate purchases and proceeds from sales of investment securities (excluding short-term investments) for the Funds were as follows:
Purchases | Sales Proceeds | |||||||||||||||
(excluding U.S. | (excluding U.S. | Purchases of | Sales Proceeds of | |||||||||||||
Government | Government | U.S. Government | U.S. Government | |||||||||||||
Fund | Securities) | Securities) | Securities | Securities | ||||||||||||
Dynamic Commodity | $ | 6,101,372 | $ | 10,928,173 | $ | — | $ | — | ||||||||
Warrington | — | — | — | — | ||||||||||||
Systematic Alpha | 62,940,414 | 4,215,042 | — | — | ||||||||||||
Income and Multi Strategy | 2,198,599 | 1,146,407 | — | — | ||||||||||||
Hedged Equity | 8,673,447 | 12,443,803 | — | — | ||||||||||||
Millburn Hedge Strategy | 1,495,800,691 | 759,611,176 | 3,392,287,545 | 2,644,938,594 | ||||||||||||
Buffered Shield | 52,103,791 | 86,996,713 | — | — |
(3) | MANAGEMENT AGREEMENT AND OTHER RELATED PARTY TRANSACTIONS |
CCA acts as investment manager for the Funds pursuant to the terms of a Management Agreement with the Trust, on behalf of the Funds (the “Management Agreement”). Under the terms of the Management Agreement, the Manager manages the investment operations of the Funds in accordance with each Fund’s respective investment policies and restrictions. Each investment sub-advisor is responsible for the day-to-day management of its Fund’s portfolios. The Manager provides the Funds with investment advice and supervision and furnishes an investment program for the Funds. For its investment management services, the Funds pay to the Manager, as of the last day of each month, an annualized fee as shown in the below table, such fees to be computed daily based upon daily average net assets of the Funds. The Funds’ sub-advisors are paid by the Manager, except the Dynamic Commodity and Millburn Hedge Strategy Funds, each pay its sub-advisor on behalf of the Manager.
The Manager and the Trust, with respect to the Funds have entered into Expense Limitation Agreements (the “Expense Limitation”) under which the Manager has contractually agreed to waive fees and/or reimburse expenses to the extent necessary to maintain total annual operating expenses (excluding brokerage costs; borrowing costs, such as (a) interest and (b) dividends on securities sold short; taxes; underlying fund expenses; and extraordinary expenses such as regulatory and litigation expenses) do not exceed the limitation shown in the table below, and is based on the Funds’ average daily net assets.
94
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
For the year ended June 30, 2023, the Manager waived management fees. The Manager may recapture a portion of the waived amounts. The Manager may seek reimbursement only for fees waived or expenses reimbursed by a Fund within the three years following the date the waiver and/or reimbursement was incurred, if the Fund is able to make the repayment without exceeding the limitation in effect at that time of the waiver or at the time of the reimbursement, no later than the dates as stated below:
Management | ||||||||||||||||
Fees Waived/ | ||||||||||||||||
Management | Expense Limitation | Expenses | ||||||||||||||
Fund | Agreement | Cl A | Cl C | CL I | C-1 | Expires | Reimbursed | |||||||||
Dynamic Commodity | 1.75% | 2.24% | 2.99% | 1.99% | N/A | 10/31/2023 | $ | 151,605 | ||||||||
Warrington | 1.75% | 2.24% | 2.99% | 1.99% | N/A | 10/31/2023 | 68,573 | |||||||||
Systematic Alpha | 1.50% | 2.02% | 2.77% | 1.77% | N/A | 10/31/2023 | 122,949 | |||||||||
Income and Multi Strategy | 1.75% | 2.24% | 2.99% | 1.99% | N/A | 10/31/2023 | 113,139 | |||||||||
Hedged Equity | 1.25% | 1.74% | 2.49% | 1.49% | N/A | 10/31/2023 | 134,268 | |||||||||
Millburn Hedge Strategy | 1.75% | N/A | N/A | N/A | N/A | N/A | — | |||||||||
Buffered Shield | 1.25% | 1.48% | 2.23% | 1.23% | N/A | 10/31/2023 | 241,278 |
Recapture Expires | ||||||||||||
June 30, | ||||||||||||
Fund | 2024 | 2025 | 2026 | |||||||||
Dynamic Commodity | $ | 127,495 | $ | 174,001 | $ | 151,605 | ||||||
Warrington | — | 44,482 | 68,573 | |||||||||
Systematic Alpha | 107,610 | 134,001 | 122,949 | |||||||||
Income and Multi Strategy | 113,505 | 113,448 | 113,139 | |||||||||
Hedged Equity | 131,835 | 123,326 | 134,268 | |||||||||
Millburn Hedge Strategy | — | — | — | |||||||||
Buffered Shield | 244,502 | 304,113 | 241,278 |
A Trustee is also the controlling member of MFund Services, LLC (“MFund”) and the Manager, and is not paid any fees directly by the Trust for serving in such capacities.
Trustees who are not “interested persons” as that term is defined in the 1940 Act, are paid a quarterly retainer and receive compensation for each special Board meeting and Risk and Compliance Committee meeting attended. The fees paid to the Independent Trustees for their attendance at a meeting will be shared equally by the Funds of the Trust in which the meeting relates. The Lead Independent Trustee of the Trust, and the Chairmen of the Trust’s Audit Committee and Risk and Compliance Committee receive an additional quarterly retainer. The “interested persons” of the Trust receive no compensation from the Funds. The Trust reimburses each Trustee and Officer for his or her travel and other expenses related to attendance at such meetings.
The Board has adopted the Trust’s Master Distribution and Shareholder Servicing Plan (the “Plan”) pursuant to rule 12b-1 under the 1940 Act. Each class of shares, excluding Class I shares, allows the Funds to pay distribution and shareholder servicing expenses of up to 0.50% per annum for the Class A shares and up to 1.00% for the Class C and C-1 shares based on average daily net assets of each class. The Class A shares are currently paying 0.25% per annum of 12b-1 fees and Class C and C-1 shares are currently paying 1.00% per annum of 12b-1 fees. The fee may be used for a variety of purposes, including compensating dealers and other financial service organizations for eligible services provided by those parties to the Funds and their shareholders and to reimburse Northern Lights Distributors, LLC. (the “Distributor”) and Manager for distribution related expenses. Brokers may receive a 1.00% commission from the Distributor for the sale of Class C and C-1 shares. Catalyst Mutual Funds Distributors, LLC, acts as a wholesale marketing and distribution agent for the Funds. As compensation for these services, Catalyst Mutual Funds Distributors is entitled to reimbursement, through the Funds’ Rule 12b-1 Plan, of expenses attributable to sales of Fund shares including marketing materials, broker commission financing costs, and wholesaling fees.
Pursuant to the Management Services Agreement between the Trust and MFund Services LLC (“MFund”), MFund, an affiliate of the Advisor, provides the Funds with various management and legal administrative services (“Management Services Agreement”). For these services, the Funds pay MFund as of the last day of each month an annualized asset-based fee which scales downward based upon net assets. In addition, the Funds reimburse MFund for any reasonable out-of-pocket expenses incurred in the performance of its duties under the Management Services Agreement. The amounts due to MFund for the Management Services Agreement are listed in the Statements of Assets and Liabilities under “Payable to related parties” and the amounts accrued for the year are shown in the Statements of Operations under “Management service fees.”
Pursuant to the Compliance Services Agreement (the “Compliance Services Agreement”), MFund, an affiliate of the Manager provides chief compliance officer services to the Funds. For these services, the Funds pay MFund as of the last day of each month annualized based fees plus an annualized asset-based fee based upon net assets. In addition, the Funds reimburse MFund for any reasonable out-of-pocket
95
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
expenses incurred in the performance of its duties under the Compliance Services Agreement. The amounts due to MFund for chief compliance officer are listed in the Statements of Assets and Liabilities under “Compliance officer fees payable” and the amounts accrued for the year are shown in the Statements of Operations under “Compliance officer fees.”
In addition, certain affiliates of the Distributor provide services to the Funds as follows:
Ultimus Fund Solutions, LLC (“UFS”) – an affiliate of the Distributor, provides administrative, fund accounting, and transfer agency services to the Funds pursuant to agreements with the Trust, for which it receives from each Fund: (i) basis points in decreasing amounts as assets reach certain breakpoints; and (ii) any related out-of-pocket expenses. Officers of the Trust are also employees of UFS, are not paid any fees directly by the Trust for serving in such capacity.
Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of the Distributor and UFS, 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.
For the year ended June 30, 2023 the 12b-1 expenses incurred by the Funds were as follows:
12b-1 Fees | ||||||||||||
Fund | Class A | Class C | Class C-1 | |||||||||
Dynamic Commodity | $ | 6,325 | $ | 13,441 | N/A | |||||||
Warrington | 46,394 | 145,079 | N/A | |||||||||
Systematic Alpha | 2,293 | 4,593 | N/A | |||||||||
Income and Multi Strategy | 322 | 5,988 | N/A | |||||||||
Hedged Equity | 1,826 | 12,939 | N/A | |||||||||
Millburn Hedge Strategy | 1,028,688 | 3,579,727 | $ | 169,978 | ||||||||
Buffered Shield | 38,473 | 41,678 | N/A |
(4) | AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS |
Gross | Gross | Net Unrealized | ||||||||||||||
Tax | Unrealized | Unrealized | Appreciation/ | |||||||||||||
Cost | Appreciation | Depreciation | (Depreciation) | |||||||||||||
Dynamic Commodity | $ | 12,446,048 | $ | 403,643 | $ | (1,226,679 | ) | $ | (823,036 | ) | ||||||
Warrington | 83,511,942 | — | (172,001 | ) | (172,001 | ) | ||||||||||
Systematic Alpha | 83,418,315 | 5,489,083 | (345,841 | ) | 5,143,242 | |||||||||||
Income and Multi Strategy | 6,138,249 | 139,914 | (517,033 | ) | (377,119 | ) | ||||||||||
Hedged Equity | 12,770,756 | 1,141,153 | (583,663 | ) | 557,490 | |||||||||||
Millburn Hedge Strategy | 5,451,736,113 | 549,867,223 | (50,505,797 | ) | 499,361,426 | |||||||||||
Buffered Shield | 42,173,629 | 2,026,387 | (3,243,771 | ) | (1,217,384 | ) |
96
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
(5) | DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL |
The tax character of distributions paid for the years ended June 30, 2023 and June 30, 2022 was as follows:
For year ended | Ordinary | Long-Term | ||||||||||
6/30/2023 | Income | Capital Gains | Total | |||||||||
Dynamic Commodity | $ | 3,376,091 | $ | — | $ | 3,376,091 | ||||||
Warrington | 1,435,202 | — | 1,435,202 | |||||||||
Systematic Alpha | 454,608 | — | 454,608 | |||||||||
Income and Multi Strategy | 367,637 | — | 367,637 | |||||||||
Hedged Equity | 236,207 | 81,764 | 317,971 | |||||||||
Millburn Hedge Strategy | 293,293,273 | 103,281,168 | 396,574,441 | |||||||||
Buffered Shield | 349,377 | — | 349,377 | |||||||||
For year ended | Ordinary | Long-Term | ||||||||||
6/30/2022 | Income | Capital Gains | Total | |||||||||
Dynamic Commodity | $ | — | $ | — | $ | — | ||||||
Warrington | — | — | — | |||||||||
Systematic Alpha | 263,151 | — | 263,151 | |||||||||
Income and Multi Strategy | 201,688 | — | 201,688 | |||||||||
Hedged Equity | — | 49,228 | 49,228 | |||||||||
Millburn Hedge Strategy | — | — | — | |||||||||
Buffered Shield | 14,399,757 | 56,665 | 14,456,422 |
As of June 30, 2023, the components of accumulated earnings/(deficit) on a tax basis were as follows:
Undistributed | Undistributed | Post October Loss | Capital Loss | Other | Unrealized | Total | ||||||||||||||||||||||
Ordinary | Long-Term | and | Carry | Book/Tax | Appreciation/ | Accumulated | ||||||||||||||||||||||
Income | Capital Gains | Late Year Loss | Forwards | Differences | (Depreciation) | Earnings/(Deficits) | ||||||||||||||||||||||
Dynamic Commodity | $ | — | $ | — | $ | (458,288 | ) | $ | — | $ | — | $ | (823,073 | ) | $ | (1,281,361 | ) | |||||||||||
Warrington | — | — | — | (998,445,608 | ) | — | (172,001 | ) | (998,617,609 | ) | ||||||||||||||||||
Systematic Alpha | 736,293 | — | — | (230,513 | ) | — | 5,143,242 | 5,649,022 | ||||||||||||||||||||
Income and Multi Strategy | — | — | (324,239 | ) | (165,933 | ) | — | (378,146 | ) | (868,318 | ) | |||||||||||||||||
Hedged Equity | — | — | (487,646 | ) | (318,308 | ) | — | 557,490 | (248,464 | ) | ||||||||||||||||||
Millburn Hedge Strategy | — | — | (256,586,956 | ) | — | — | 506,974,855 | 250,387,899 | ||||||||||||||||||||
Buffered Shield | 263,947 | — | — | (11,129,364 | ) | (2,026,387 | ) | (1,217,384 | ) | (14,109,188 | ) |
The difference between book basis and tax basis unrealized appreciation (depreciation), undistributed net investment income (loss) and accumulated net realized gains (losses) from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on non-equity options, future contracts and forward foreign currency contracts, deemed dividend distributions, foreign tax passthrough basis adjustments and tax adjustments for partnerships. The unrealized appreciation (depreciation) in the table above may include unrealized foreign currency gains (losses). In addition, the amount listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles.
97
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
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 following Funds incurred and elected to defer such late year losses as follows:
Late Year | ||||
Losses | ||||
Dynamic Commodity | $ | 13,620 | ||
Warrington | — | |||
Systematic Alpha | — | |||
Income and Multi Strategy | — | |||
Hedged Equity | 42,383 | |||
Millburn Hedge Strategy | 8,221,894 | |||
Buffered Shield | — |
Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The following Funds incurred and elected to defer such capital losses as follows:
Post October | ||||
Losses | ||||
Dynamic Commodity | $ | 444,668 | ||
Warrington | — | |||
Systematic Alpha | — | |||
Income and Multi Strategy | 324,239 | |||
Hedged Equity | 445,263 | |||
Millburn Hedge Strategy | 248,365,062 | |||
Buffered Shield | — |
At June 30, 2023, the Funds below had capital loss carry forwards for federal income tax purposes available to offset future capital gains as well as capital loss carryforwards utilized as follows:
Short-Term | Long-Term | |||||||||||||||
Non-Expiring | Non-Expiring | Total | CLCF Utilized | |||||||||||||
Dynamic Commodity | $ | — | $ | — | $ | — | $ | — | ||||||||
Warrington | 397,123,408 | 601,322,200 | 998,445,608 | 4,451,519 | ||||||||||||
Systematic Alpha | 230,513 | — | 230,513 | — | ||||||||||||
Income and Multi Strategy | 165,933 | — | 165,933 | 10,093 | ||||||||||||
Hedged Equity | 273,403 | 44,905 | 318,308 | — | ||||||||||||
Millburn Hedge Strategy | — | — | — | 103,660,051 | ||||||||||||
Buffered Shield | 7,692,539 | 3,436,825 | 11,129,364 | — |
During the fiscal period ended June 30, 2023, certain of the Funds utilized tax equalization which is the use of earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. Permanent book and tax differences, primarily attributable to the book/tax basis treatment of net operating losses, non-deductible expenses, accumulated losses from the Funds’ wholly owned subsidiaries, equalization credits and distributions in excess resulted in reclassifications for the Funds for the fiscal year ended June 30, 2023 as follows:
Paid In | Accumulated | |||||||
Capital | Earnings (Deficit) | |||||||
Dynamic Commodity | $ | (2,764,063 | ) | $ | 2,764,063 | |||
Warrington | $ | (538,255 | ) | $ | 538,255 | |||
Systematic Alpha | $ | 12,037 | $ | (12,037 | ) | |||
Income and Multi Strategy | $ | (33,346 | ) | $ | 33,346 | |||
Hedged Equity | $ | (38,152 | ) | $ | 38,152 | |||
Millburn Hedge Strategy | $ | (348,703,211 | ) | $ | 348,703,211 | |||
Buffered Shield | — | — |
98
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
(6) | LINE OF CREDIT |
Currently, the Funds have a $150,000,000 uncommitted line of credit provided by U.S. Bank National Association (the “Bank”) under an agreement (the “Uncommitted Line”). Any advance under the Uncommitted Line is contemplated primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Interest on borrowings is payable on an annualized basis. The Uncommitted Line is not a “committed” line of credit, which is to say that the Bank is not obligated to lend money to the Funds. Accordingly, it is possible that the Funds may wish to borrow money for a temporary or emergency purpose but may not be able to do so. During the year ended June 30, 2023, Dynamic Commodity, Warrington, Income and Multi-Strategy and Millburn Hedge Strategy did not access the line of credit. The Funds accessed the line of credit, based only on the days borrowed, as follows:
Average Amount | ||||||||||||||||
Borrowings | Number of Days | Interest | Average | |||||||||||||
Outstanding | Outstanding | Expense (1) | Interest Rate | |||||||||||||
Dynamic Commodity | $ | — | $ | — | $ | — | — | |||||||||
Warrington | — | — | — | — | ||||||||||||
Systematic Alpha | 139,000 | 2 | 48 | 6.25 | % | |||||||||||
Income and Multi Strategy | — | — | — | — | ||||||||||||
Hedged Equity | 86,756 | 19 | 357 | 7.80 | % | |||||||||||
Millburn Hedge Strategy | — | — | — | — | ||||||||||||
Buffered Shield | 1,218,286 | 65 | 12,609 | 5.73 | % |
(1) | Includes only Interest Expense for the year ended June 30, 2023 and may not tie back to the Statements of Operations, which also may include overdrafts, line of credit fees, and broker interests. |
(7) | UNDERLYING INVESTMENTS IN OTHER INVESTMENT COMPANIES |
Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds’ direct fees and expenses.
The performance of Buffered Shield will be directly affected by the performance of the iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF and Vanguard Short-Term Corporate Bond ETF. The financial statements of the iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF and Vanguard Short-Term Corporate Bond ETF, including the Schedule of Investments, can be found at the SEC’s website www.sec.gov and should be read in conjunction with the Fund’s financial statements. As of June 30, 2023, the percentage of Buffered Shield’s net assets invested in iShares Trust iShares 1-5 Year Investment Grade Corporate Bond ETF, PGIM Ultra Short Bond ETF and Vanguard Short-Term Corporate Bond ETF were 30.9%, 30.6% and 32.2%, respectively.
(8) | SECURITIES LENDING |
The Funds have entered into a Securities Lending Agreement (“Agreement”) with US Bank NA. Each participating Fund can lend their securities to brokers, dealers and other financial institutions approved by the Board to earn additional income. Loans are collateralized at a value at least equal to 105% of the then current market value of any loaned security that are foreign, or 102% of the then current market value of any other loaned security. All interest and dividend payments received on securities which are held on loan, provided that there is no material default, will be paid to the respective Fund. A portion of the income generated by the investment in the Fund’s collateral, net of any rebates paid by the Bank to the borrowers is remitted to the Bank as lending agent and the remainder is paid to the Fund(s).
Securities lending income, if any, is disclosed in the Funds’ Statements of Operations and is net of fees retained by the counterparty. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Borrower fails to return them. Should the borrower of the securities fail financially, each Fund has the right to repurchase the securities using the collateral in the open market. The remaining contractual maturity of all securities lending transactions are overnight and continuous.
99
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
The following table presents financial instruments that are subject to enforceable netting arrangements as of June 30, 2023:
Percentage of Total | ||||||||||
Fund | Market Value of Loaned Securities | Market Value of Collateral (1) | Investment Income | |||||||
Hedged Equity | $ | 2,356,189 | $ | 2,372,808 | 6.37% |
(1) | The amount is limited to the loaned securities and accordingly, does not include excess collateral pledged. |
* | Securities collateralized below 102% or 105% for foreign securities. The Trust’s securities lending policies and procedures require that the borrower: (i) deliver cash or U.S. Government securities as collateral with respect to each new loan of U.S. securities, equal to at least 102% or 105% of the value of the portfolio securities loaned, and (ii) at all times thereafter mark-to-market the collateral on a daily basis so that the market value of such collateral is at least 100% of the value of securities loaned. From time to time the collateral may not be 102% or 105% due to end of day market movement. The next business day additional collateral is obtained/received from the borrower to replenish/reestablish 102% or 105%. |
The below table shows the collateral held by each Fund at the year ended June 30, 2023.
Gross Amounts Not Offset in the | ||||||||||||||||||||||||||
Statement of Assets & Liabilities | ||||||||||||||||||||||||||
Gross Amounts | Net Amounts of | |||||||||||||||||||||||||
Gross Amounts | Offset in the | Liabilities Presented in | ||||||||||||||||||||||||
of Recognized | Statement of Assets & | the Statement of Assets | Financial | Cash Collateral | ||||||||||||||||||||||
Description | Counterparty | Liabilities | Liabilities | & Liabilities | Instruments | Pledged | Net Amount | |||||||||||||||||||
Hedged Equity | ||||||||||||||||||||||||||
Liabilities Securities Loaned | US Bank | $ | (2,372,808 | ) | $ | — | $ | (2,372,808 | ) | $ | 2,372,808 | $ | — | $ | — | |||||||||||
(9) | BENEFICIAL OWNERSHIP |
The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2023, the companies that held more than 25% of the voting securities of the Funds, and may be deemed to control each respective Fund, are as follows:
Dynamic | Systematic | Income and | Hedged | Buffered | ||||||||||||||||||||
Owner (1) | Commodity | Warrington | Alpha | Multi Strategy | Equity | Shield | ||||||||||||||||||
TD Ameritrade | — | — | — | — | 44 | % | 43 | % | ||||||||||||||||
Charles Schwab | — | — | 35 | % | — | — | — | |||||||||||||||||
National Financial Services LLC | — | 39 | % | 28 | % | — | — | — | ||||||||||||||||
Millennium Trust Co. LLC | — | — | — | 34 | % | — | — | |||||||||||||||||
LPL Financial | 48 | % | — | — | — | — | — |
(1) | These owners are comprised of multiple investors and accounts. |
(10) | INVESTMENTS IN AFFILIATED COMPANIES |
Affiliated companies are mutual funds which are advised by CCA and Rational Advisors, Inc. Companies which are affiliates of the Funds’ at June 30, 2023, are noted in the Funds’ Schedules of Investments. Transactions during the year ended June 30, 2023, with companies which are affiliates are as follows:
Share Balance | Share Balance | Market Value | Dividend | Change in | ||||||||||||||||||||||||||||||||
Beginning | June 30, | Beginning | Realized | Interest | Unrealized | |||||||||||||||||||||||||||||||
Fund Affiliated Holding | of Year | Purchases | Sales | 2023 | of Year | Gain/Loss | Income | Gain/(Loss) | Fair Value | |||||||||||||||||||||||||||
Income and Multi Strategy | ||||||||||||||||||||||||||||||||||||
Catalyst Enhanced Income Strategy Fund, Cl. I | 24,443 | 9,300 | (1,730 | ) | 32,013 | $ | 252,493 | $ | (2,114 | ) | $ | 19,875 | $ | (30,659 | ) | $ | 294,196 | |||||||||||||||||||
Rational Special Situations Income Fund, Inst Class | 13,891 | 3,780 | (1,380 | ) | 16,291 | 254,481 | (1,358 | ) | 18,425 | 1,146 | 298,775 | |||||||||||||||||||||||||
38,334 | 13,080 | (3,110 | ) | 48,304 | $ | 506,974 | $ | (3,472 | ) | $ | 38,300 | $ | (29,513 | ) | $ | 592,971 |
100
CATALYST FUNDS | |
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued) | |
June 30, 2023 | ANNUAL REPORT |
(11) | LITIGATION |
On January 27, 2020, CCA and its chief executive officer (collectively, “Catalyst”) reached a settlement with the SEC to resolve allegations in connection with its investigation of risk disclosures related to Catalyst Hedged Futures Strategy Fund (the “Fund”) and Catalyst’s management of the Fund.
Under the terms of the SEC’s cease-and-desist order (“SEC Order”), pursuant to which Catalyst neither admitted nor denied any of the allegations contained therein, CCA agreed to pay a total of $8,908,481 as a rebate of advisory fees and prejudgment interest plus $1.3 million in civil monetary penalties, and its chief executive officer agreed to pay $300,000 in civil monetary penalties.
Pursuant to the terms of the SEC Order, an account was established for the pro-rata distribution of the $10,508,481 in disgorgement of advisory fees, prejudgment interest and civil monetary penalties to the Fund’s shareholders between December 1, 2016 and February 28, 2017 based on each shareholder’s pro rata advisory fees paid during the period. The calculation of these disbursements and the amount paid to each affected shareholder will be submitted to, reviewed and approved by the SEC staff in accordance with the SEC Order. The foregoing is a summary of the SEC Order. A copy of the SEC Order and the distribution plan are available at https://www.sec.gov/litigation/admin/2020/ia-5436.pdf.
Accordingly, CCA Deposited $ 10,508,481 in an escrow account in the Fund’s name to be distributed to the affected shareholders. As of June 30, 2023, the remaining pro-rata distribution of $62,040 is shown in the Fund’s Statement of Assets and Liabilities as an offsetting Asset and Liability. The amount is held in cash in a segregated account and the CCA does not use this balance for trading activities, nor receives additional management fees.
(12) | 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.
101
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders of Catalyst/Millburn Dynamic Commodity Strategy Fund, Catalyst/Warrington Strategic Program Fund, Catalyst Systematic Alpha Fund, Catalyst Income and Multi-Strategy Fund, Catalyst Nasdaq-100 Hedged Equity Fund, Catalyst/Milburn Hedge Strategy Fund, Catalyst Buffered Shield Fund and
Board of Trustees of Mutual Fund Series Trust
Opinion on the Financial Statements
We have audited the accompanying consolidated (where noted) statements of assets and liabilities, including the consolidated (where noted) schedules of investments, of Catalyst/Millburn Dynamic Commodity Strategy Fund, Catalyst/Warrington Strategic Program Fund, Catalyst Systematic Alpha Fund, Catalyst Income and Multi-Strategy Fund, Catalyst Nasdaq-100 Hedged Equity Fund, Catalyst/Milburn Hedge Strategy Fund, and Catalyst Buffered Shield Fund (the “Funds”), each a series of Mutual Fund Series Trust, as of June 30, 2023, and the related consolidated (where noted) statements of operations and changes in net assets, the related consolidated notes, and the consolidated (where noted) financial highlights for the year then ended (collectively referred to as the “financial statements”) . In our opinion, the financial statements present fairly, in all material respects, the financial position of the Funds as of June 30, 2023, the results of their operations, the changes in net assets, and the financial highlights for the year then ended, in conformity with accounting principles generally accepted in the United States of America.
The Funds’ financial statements and financial highlights for the years and periods ended June 30, 2022, and prior, were audited by another auditor whose report dated August 29, 2022 expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements 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 audits to obtain reasonable assurance about whether the financial statements are free of material misstatement whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of June 30, 2023, by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
COHEN & COMPANY, LTD.
800.229.1099 | 866.818.4538 fax | cohencpa.com
Registered with the Public Company Accounting Oversight Board
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We have served as the Funds’ auditor since 2023.
COHEN & COMPANY, LTD.
Philadelphia, Pennsylvania
August 29, 2023
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Change in Independent Registered Public Accounting Firm (Unaudited) |
June 30, 2023 |
On March 9, 2023, BBD LLP (“BBD”) ceased to serve as the independent registered public accounting firm of Catalyst/Millburn Dynamic Commodity Strategy Fund, Catalyst/Warrington Strategic Program Fund, Catalyst Systematic Alpha Fund, Catalyst Income & Multi Strategy Fund, Catalyst NASDAQ-100 Hedged Equity Fund, Catalyst/Millburn Hedge Strategy Fund and Catalyst Buffered Shield Fund each a “Fund” and collectively, the “Funds”. The Audit Committee of the Board of Trustees approved the replacement of BBD as a result of Cohen & Company, Ltd.’s (“Cohen”) acquisition of BBD’s investment management group.
The reports of BBD on the financial statements of the Funds for the years ended June 30, 2022 and 2021 did not contain an adverse opinion or a disclaimer of opinion, and were not qualified or modified as to uncertainties, audit scope or accounting principles. During the interim period ended March 9, 2023: (i) there were no disagreements between the registrant and BBD on any matter of accounting principles or practices, financial statement disclosure, or auditing scope or procedure, which disagreements, if not resolved to the satisfaction of BBD, would have caused it to make reference to the subject matter of the disagreements in its reports on the financial statements of the Funds for such years or interim period; and (ii) there were no “reportable events,” as defined in Item 304(a)(1)(v) of Regulation S-K under the Securities Exchange Act of 1934, as amended.
The registrant requested that BBD furnish it with a letter addressed to the U.S. Securities and Exchange Commission stating that it agrees with the above statements. A copy of such letter is filed as an exhibit hereto.
On May 22, 2023, the Audit Committee of the Board of Trustees also recommended and approved the appointment of Cohen as the Funds’ independent registered public accounting firm for the fiscal period ended June 30, 2023.
During the fiscal years ended June 30, 2021 and June 30, 2022, and during the subsequent interim period through May 22, 2023, neither the registrant, nor anyone acting on its behalf, consulted with Cohen on behalf of the Funds regarding the application of accounting principles to a specified transaction (either completed or proposed), the type of audit opinion that might be rendered on the Funds’ financial statements, or any matter that was either: (i) the subject of a “disagreement,” as defined in Item 304(a)(1)(iv) of Regulation S-K and the instructions thereto; or (ii) “reportable events,” as defined in Item 304(a)(1)(v) of Regulation S-K.
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LIQUIDITY RISK MANAGEMENT PROGRAM
The Funds have adopted and implemented a written liquidity risk management program as required by Rule 22e-4 (the “Liquidity Rule”) under the Investment Company Act. The program is reasonably designed to assess and manage each Fund’s liquidity risk, taking into consideration, among other factors, each respective Fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions; its short and long-term cash flow projections; and its cash holdings and access to other funding sources.
During the fiscal year ended June 30, 2023, the Trust’s Liquidity Risk Management Program Committee (the “Committee”) reviewed the Funds’ investments and determined that the Funds held adequate levels of cash and highly liquid investments to meet shareholder redemption activities in accordance with applicable requirements. Accordingly, the Committee concluded that (i) the Funds’ liquidity risk management program is reasonably designed to prevent violations of the Liquidity Rule and (ii) the Funds’ liquidity risk management program has been effectively implemented.
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Consideration and Renewal of the Management Agreement between Catalyst Capital Advisors, LLC and Mutual Fund Series Trust with respect to Catalyst Systematic Alpha Fund, Catalyst/Warrington Strategic Program Fund, Catalyst Buffered Shield Fund, Catalyst Income and Multi-Strategy Fund, Catalyst/Millburn Dynamic Commodity Strategy Fund, Catalyst/Millburn Hedge Strategy Fund, Catalyst Nasdaq-100 Hedged Equity Fund, Catalyst Insider Buying Fund, Catalyst Energy Infrastructure Fund, Catalyst/MAP Global Equity Fund, Catalyst/MAP Global Balanced Fund, Catalyst/Lyons Tactical Allocation Fund, Catalyst Dynamic Alpha Fund, Catalyst Insider Income Fund, Catalyst/SMH High Income Fund, Catalyst/SMH Total Return Income Fund, Catalyst/CIFC Floating Rate Income Fund, and Catalyst Enhanced Income Strategy Fund
In connection with a meeting held on May 9, 10 and 22, 2023, the Board of Trustees (the “Board”) of Mutual Fund Series Trust (the “Trust”), including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of the management agreement (the “Catalyst Agreement”) between the Trust and Catalyst Capital Advisors, LLC (“Catalyst”) with respect to Catalyst Systematic Alpha Fund (“Catalyst SA”), Catalyst/Warrington Strategic Program Fund (“Warrington SP”), Catalyst Buffered Shield Fund (“Catalyst Shield”), Catalyst Income and Multi-Strategy Fund (“Catalyst IMS”), Catalyst/Millburn Dynamic Commodity Strategy Fund (“Millburn DCS”), Catalyst/Millburn Hedge Strategy Fund (“Millburn HS”), Catalyst Nasdaq-100 Hedged Equity Fund (“Catalyst HE”), Catalyst Insider Buying Fund (“Catalyst IB”), Catalyst Energy Infrastructure Fund (“Catalyst Energy”), Catalyst/MAP Global Equity Fund (“MAP Global Equity”), Catalyst/MAP Global Balanced Fund (“MAP Global Balanced”), Catalyst/Lyons Tactical Allocation Fund (“Lyons TA”), Catalyst Dynamic Alpha Fund, (“Catalyst DA”), Catalyst Insider Income Fund (“Catalyst Insider”), Catalyst/SMH High Income Fund (“SMH High Income”), Catalyst/SMH Total Return Income Fund (“SMH Total Return”), Catalyst/CIFC Floating Rate Income Fund (“CIFC Floating Rate”) and Catalyst Enhanced Income Strategy Fund (“Catalyst EIS”) (collectively, the “Catalyst Renewal Funds”).
The Board examined Catalyst’s responses to a series of questions regarding, among other things, its management services provided to the Catalyst Renewal Funds, comparative fee and expense information, and profitability from managing the Catalyst Renewal Funds. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in determining the material factors to be considered in evaluating the Catalyst Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to renewal of the Catalyst Agreement.
Nature, Extent and Quality of Services: The Board reviewed Catalyst’s key personnel servicing the Catalyst Renewal Funds and noted their expertise and years of experience, and changes in some key personnel during the past year. The Board acknowledged that Catalyst reviewed and analyzed the Catalyst Renewal Funds’ portfolios regularly and coordinated and monitored the Funds’ administration, accounting and regulatory compliance. The Board noted that Catalyst provided oversight to each sub-advisor and that Catalyst utilized a risk management function to assess and monitor portfolio risk for all the Catalyst Renewal Funds and to oversee the sub-advisors’ risk management programs. The Board observed that there were no material compliance issues and that Catalyst continued to contract with a cybersecurity and compliance specialty firm as a partner to help manage cybersecurity risks. The Board discussed that Catalyst implemented enhanced cyber training programs which integrated simulations into the process and experienced no material data security incidents since the management agreement’s last renewal. The Board observed that Catalyst intended to renew the expense limitation agreements it had with each
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Catalyst Renewal Fund, except Millburn HS, which currently did not have an expense limitation agreement. After further discussion, the Board concluded that Catalyst had sufficient quality and depth of personnel, resources, investment methods and compliance policies and procedures necessary to perform its duties under the management agreement, and that the nature, overall quality and extent of the advisory services provided by Catalyst to each Catalyst Renewal Fund were satisfactory. The Board determined that Catalyst had the resources to continue providing high quality service to each Catalyst Renewal Fund and its shareholders.
Performance. The Board reviewed performance reports including each of the Catalyst Renewal Funds as of February 28, 2023 along with information that Catalyst provided in connection with renewing the Catalyst Agreement. The Board reviewed the performance of each Catalyst Renewal Fund relative to its Morningstar category and a peer group selected by Catalyst.
Catalyst SA: The Board observed that Catalyst SA had significantly outperformed its peer group and Morningstar category across all periods and had outperformed the BNP Paribas Catalyst Systematic Alpha Index II over the 1 -year and 3-year periods. The Board remarked that Catalyst SA had outperformed the S&P 500 TR Index over the 1-year, 3-year and 5-year periods. A representative of Catalyst noted that performance for the since inception period reflected an investment strategy that was significantly different than the Catalyst SA’s current investment strategy.
Warrington SP: The Board recalled that Warrington SP had engaged a subadvisor in January 2020 and noted that Warrington SP outperformed its peer group and Morningstar category for the 1 -year and 3-year periods and the S&P 500 TR Index over the 1-year period. The Board noted Catalyst’s explanation that Warrington SP was not expected to outperform the S&P 500 TR Index during bull markets.
Catalyst Shield: The Board observed that Catalyst Shield underperformed its peer group and Morningstar category over the 1-year, 3-year and 5-year periods, but outperformed the Morningstar category over the since inception period. The Board noted that Catalyst Shield outperformed the HFRX Equity Hedge Index over the 5-year and since inception period but lagged the S&P 500 TR Index across all periods. The Board considered that Catalyst attributed the recent underperformance to Catalyst Shield’s losses on the corporate bond collateral used in its portfolio, which had come under stress, as well as a market downturn with too short a duration on a portion of the options. The Board considered Catalyst’s contention that the sub-advisor was exploring additional processes and adjustments to its approach and that Catalyst Shield’s current yields showed improvement, which the sub-advisor believed could enhance fund returns in the future.
Catalyst IMS: The Board recalled that Catalyst IMS’s investment objective and investment strategy changed in November 2021 to allow Catalyst IMS to invest in a fixed income portfolio with a managed futures overlay. The Board noted that Catalyst IMS underperformed all benchmarks over the 1-year and 3-year periods except for the BofA US 3-Month Treasury Bill TR Index over the 3-year period and 10-year period. The Board acknowledged Catalyst’s explanation that Catalyst IMS’s performance could be attributed to the outperformance of pure long-term trends over the past two years and to the drag from the portfolio’s fixed income allocation during the past year. The Board noted Catalyst IMS’s trading advisor informed Catalyst that the futures program had outperformed Credit Suisse Managed Futures Liquid Index since 2018.
Millburn DCS: The Board acknowledged the change in sub-advisor, investment strategy and investment objective for Millburn DCS in June 2021. The Board observed that Millburn DCS outperformed the Commodities Broad Basket Morningstar Category and the Bloomberg Commodity Index but underperformed the Peer Group and Morningstar Systematic Trend category for the 1-year period, which
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was the relevant period to evaluate the new sub-advisor. The Board discussed Catalyst’s explanation that the underperformance compared to the Systematic Trend Morningstar category and peer group across was due to the exceptionally strong returns generated by the pure play trend following strategies during the past year.
Millburn HS: The Board observed that Millburn HS outperformed its peer group, the Macro Trading Morningstar category, the Multistrategy Morningstar category and the BofA US 3-Month Treasury Bill TR Index across all periods. The Board commented that Millburn HS outperformed the Credit Suisse MF Hedge Fund Index over the 3-year, 5-year and 10 -year periods and outperformed the S&P 500 TR Index over the 1-year period. The Board noted Catalyst did not expect Millburn HS to outperform the S&P 500 TR Index during extreme bull markets due to its sub- 100% equity allocation. The Board commented that Millburn HS underperformed the Systematic Trend Morningstar category and Credit Suisse MF Hedge Fund Index over the 1-year period due to strong returns of pure play trend following strategies over the past year.
Catalyst HE: The Board discussed that Catalyst HE’s sub-advisor began managing Catalyst HE pursuant to its new investment strategy in October 2020. The Board noted that Catalyst HE had underperformed all benchmarks for the 1-year period. The Board considered that Catalyst attributed the underperformance to Catalyst HE’s volatility overlay combined with the Nasdaq-100 Index’s underperformance relative to the S&P 500 TR Index.
Catalyst IB: The Board observed that Catalyst IB outperformed its peer group, the Large Growth Morningstar Category and the S&P 500 TR Index over the 1-year period. The Board acknowledged that only one other fund in the peer group outperformed Catalyst IB. The Board discussed Catalyst’s explanation that Catalyst IB’s underperformance over other periods was largely attributed to the Fund’s defensive position following March 2020 and to innovative growth and stay-at-home stocks being out of favor.
Catalyst Energy: The Board acknowledged that Catalyst Energy outperformed its peer group and the Energy Limited Partnership Morningstar category with positive returns over the 1-year, 3 -year and 5-year periods. The Board noted that Catalyst Energy underperformed the Alerian MLP TR Index across all periods but recognized that the index did not have limitations on MLPs like the Fund had in order to qualify as a registered investment company.
MAP Global Equity: The Board commented that MAP Global Equity outperformed the MSCI ACWI Index for the 1-year period but trailed all other benchmarks. The Board acknowledged Catalyst’s explanation that, because of MAP Global Equity’s concentrated portfolio, MAP Global Equity was often over- or under-weight industry allocations relative to its peer group, Morningstar category and benchmark over certain time periods. The Board discussed that the COVID-19 pandemic and value-oriented holdings of the MAP Global Equity had a negative impact on MAP Global Equity’s performance. The Board noted that MAP Global Equity’s underperformance was not material relative to its primary benchmark.
MAP Global Balanced: The Board recognized that MAP Global Balanced outperformed its peer group, Morningstar category and MSCI ACWI Index over the 1 -year period. The Board acknowledged MAP Global Balanced underperformed the blended benchmarks for the 1-year period due to the Fund’s equity exposure relative to the blended benchmarks.
Lyons TA: The Board observed that Lyons TA had underperformed its benchmarks for the 1 -year period due to defensive positioning in July 2022. The Board observed that Lyons TA outperformed all benchmarks over the 3-year and 10-year periods.
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Catalyst DA: The Board commented that Catalyst DA had a strong year and outperformed all benchmarks over the 1-year period. The Board observed that Catalyst DA outperformed or was on par with all but one of its benchmarks for the 3-year and 10 -year periods, though it underperformed all benchmarks for the 5-year period. The Board discussed that Catalyst DA’s underperformance with respect to the S&P 500 TR Index could be attributed to its exposure to high momentum stocks. The Board recognized Catalyst DA’s improved performance.
Catalyst Insider: The Board commented that Catalyst Insider outperformed the Short -Term Bond Morningstar category and the High Yield Bond Morningstar category over the 1-year period and outperformed or performed in line with all benchmarks for the 3-year and 5-year periods. The Board acknowledged Catalyst’s explanation that Catalyst Insider underperformed its peer group and High Yield Bond Morningstar category since inception due to a drag on returns from trading costs associated with launching a diversified bond portfolio with a small asset base.
SMH High Income: The Board noted that while SMH High Income underperformed all benchmarks over the 1-year and 10-year periods. It outperformed all benchmarks over the 3-year period. The Board observed that SMH High Income was often over- or underweight industry allocations relative to its benchmarks because of its concentrated portfolio, and therefore was not expected to closely track its benchmarks. The Board discussed that a contributing factor to the Fund’s underperformance over the 1-year period was that SMH High Income duration was longer than its benchmarks, and SMH High Income was adversely impacted by rising interest rates.
SMH Total Return: The Board recognized that SMH Total Return outperformed all benchmarks over the 1-year period. The Board observed that SMH Total Return was often over- or underweight industry allocations relative to its benchmarks because of its concentrated portfolio, and therefore was not expected to closely track its benchmarks. The Board observed that Catalyst reported that income-generating equities generally trailed the S&P 500 TR Index which accounted for SMH Total Return’s underperformance for the 3-year, 5-year and 10-year periods.
CIFC Floating Rate: The Board acknowledged that CIFC Floating Rate outperformed all its peer group and Morningstar category across all periods but underperformed the S&P LSTA US Leveraged Loan 100 Index over the 1-year, 3-year and 5-year periods. The Board acknowledged Catalyst’s explanation that CIFC Floating Rate historically outperformed the S&P LSTA US Leveraged Loan 100 Index during normal market environments and that the underperformance could be attributed to the index’s higher allocation to the BB-rated part of the market.
Catalyst EIS: The Board commented that Catalyst EIS outperformed all benchmarks over the 3-year and since inception periods and the Bloomberg US Aggregate Bond TR Index and Bloomberg MBS Index over the 1-year period. The Board noted Catalyst’s explanation that Catalyst EIS’s limited duration exposure between November 2022 and January 2023 was a contributing factor to its underperformance of its peer group and Morningstar categories over the 1-year period.
After discussion, the Board concluded that the performance of each Catalyst Renewal Fund was acceptable.
Fees and Expenses: The Board reviewed the management fee for each Catalyst Renewal Fund, and the average fees charged by each Catalyst Renewal Fund’s peer group and Morningstar category. The Board reviewed the expense limitation agreements currently in place with respect to the Catalyst Renewal Funds and discussed that Catalyst intended to renew each of those agreements with the exception of Milburn HS, which currently did not have an expense limitation agreement in place. The Board considered the
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allocation of the management fee to pay each sub-advisory fee compared to the allocation of duties between Catalyst and each sub-advisor of the Catalyst Renewal Funds managed by a sub-advisor. The Board acknowledged that the fee allocation between Catalyst and each sub-advisor was the result of arm’s length negotiations and determined that the allocations were appropriate.
Catalyst SA: The Board noted that although Catalyst SA’s management fee and net expense ratio were higher than the medians and averages of its peer group and Morningstar category, they were significantly lower than the highs of each.
Warrington SP: The Board noted that Warrington SP’s management fee was tied with the high of its peer group and the Options Trading Morningstar category. The Board reviewed Warrington SP’s net expense ratio and noted that it was higher than the medians and averages of its peer group and the Morningstar category, but below the highs of each.
Catalyst Shield: The Board noted that Catalyst Shield’s management fee and net expense ratio were higher than the medians and averages of its peer group and Morningstar category, but significantly below the highs of each.
Catalyst IMS: The Board recognized that Catalyst IMS’s management fee was higher than the medians and averages of its peer group and Morningstar categories, but lower than the highs of each, and significantly lower than the high of the Systematic Trend Morningstar category. The Board discussed that Catalyst IMS’s net expense ratio was higher than the medians and averages of its peer group, Macro Trading Morningstar category and Systematic Trend Morningstar category, but was lower than the highs of each.
Millburn DCS: The Board noted that Millburn DCS’s management fee was higher than the medians and averages of its peer group, Commodities Broad Basket Morningstar category and Systematic Trend Morningstar category. The Board observed that Millburn DCS’s management fee was below the highs of its peer group and Systematic Trend Morningstar category and in line of the high of the Commodities Broad Basket Morningstar category. The Board discussed that the net expense ratio for Millburn DCS was higher than the medians and averages of its peer group and Morningstar categories, but lower than the high of its peer group and Systematic Trend Morningstar category. The Board noted that the net expense ratio was the highest of the Commodities Broad Basket Morningstar category. The Board discussed Catalyst’s explanation that neither Morningstar category provided an apt comparison to Millburn DCS and that, after waiver, Catalyst’s management fee was below the medians and averages of its peer group and Morningstar categories.
Millburn HS: The Board observed that Millburn HS’s management fee was higher than the medians and averages of its peer group and Morningstar categories but below the highs of its peer group, Multistrategy Morningstar category and Systematic Trend Morningstar category and in line with the high of the Macro Trading Morningstar category. The Board considered that Millburn HS’s net expense ratio was higher than the medians and averages of its peer group and Morningstar categories, but below the highs of each.
Catalyst HE: The Board noted that Catalyst HE’s management fee and expense ratio were higher than the medians and averages of its peer group and Morningstar categories, lower than the high of its peer group and Options Trading Morningstar category, and the highest of the Derivative Income Morningstar category. The Board noted that Catalyst considered the Options Trading Morningstar category to provide a more apt comparison than the Derivative Income Morningstar category because the latter historically consisted of equity funds that utilized covered call writing to supplement income whereas Catalyst HE used a proprietary and dynamic volatility overlay strategy.
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Catalyst IB: The Board reviewed Catalyst IB’s management fee and net expense ratios and noted that they were higher than the averages and medians of its peer group and the Large Growth Morningstar category, but lower than the highs of each.
Catalyst Energy: The Board observed that Catalyst Energy’s management fee was higher than the medians and averages of its peer group and Morningstar category and noted that it was tied with the high of its peer group and Morningstar category. The Board discussed that Catalyst Energy’s net expense ratio was higher than the medians and averages of its peer group and Morningstar category, but significantly below the high of its peer group and Morningstar category.
MAP Global Equity: The Board commented that MAP Global Equity’s management fee was tied with the high of its peer group and lower than the high of the Global Large-Stock Value Morningstar category. The Board discussed that MAP Global Equity’s net expense ratio was higher than the medians and averages of its peer group and Morningstar category but well below the highs of each.
MAP Global Balanced: The Board recognized that MAP Global Balanced’s management fee was tied with the high of its peer group but well below the high of its Morningstar category. The Board discussed that MAP Global Balanced’s net expense ratio was in line with the average of its peer group and well below the high of its Morningstar category.
Lyons TA: The Board discussed that the management fee for Lyons TA was higher than the averages and medians of its peer group and Morningstar category and in line with the high of its peer group and slightly lower than the high of the Tactical Allocation Morningstar category. The Board noted that the net expense ratio for Lyons TA was slightly higher than the median expense ratio of its Morningstar category but below the average and median of its peer group.
Catalyst DA: The Board observed that Catalyst DA’s management fee and net expense ratio were higher than the averages and medians of its peer group and Morningstar category, but lower than the highs of each.
Catalyst Insider: The Board reviewed Catalyst Insider’s management fee and noted that it was higher than the median and averages of its peer group and Short-Term Bond Morningstar category and High Yield Bond Morningstar category but significantly lower than the highs of each. The Board observed that Catalyst Insider’s net expense ratio was lower than the averages and medians of its peer group and significantly lower than the highs of the Morningstar categories.
SMH High Income: The Board noted that SMH High Income’s management fee and net expense ratio were higher than the averages and medians of its peer group and Morningstar category, but significantly lower than the highs of each.
SMH Total Return: The Board acknowledged that SMH Total Return’s management fee was higher than the medians and averages of its peer group and Morningstar category, but below the highs of each. The Board noted that SMH Total Return’s net expense ratio was higher than the peer group and Morningstar category medians and averages but below the highs of each.
CIFC Floating Rate: The Board noted that the management fee for CIFC Floating Rate was higher than the high of its peer group but on par with the high of its Morningstar category. The Board noted that the CIFC Floating Rate’s net expense ratio was lower than the highs of its peer group and Morningstar category. The Board considered that CIFC Floating Rate was actively managed and that its portfolio consisted of bank loans and high yield loans, and the fee was comparable to high yield funds. The Board acknowledged
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that CIFC Floating Rate’s net management fee, after fee waiver, was within range of its peer group and that the expense cap for the Fund was set at a lower level than the management fee.
Catalyst EIS: The Board recognized that Catalyst EIS’s management fee was the highest of its peer group, tied with the high of the Multisector Bond Morningstar category but below the high of the Nontraditional Bond Morningstar category. The Board discussed that Catalyst EIS’s net expense ratio was on par with the median of its peer group and significantly below the highs of its Morningstar categories.
After further discussion, the Board concluded that based on the information and advisory services provided by Catalyst and the various sub-advisors, including the payment of the sub-advisory fees, the management fee for each Catalyst Renewal Fund was not unreasonable.
Profitability. The Board discussed Catalyst’s profitability from its relationship with each Catalyst Renewal Fund based on the information that Catalyst provided, including soft dollar benefits, the payment of the sub-advisory fees and the reimbursement received by Catalyst from certain of the Catalyst Renewal Funds for distribution expenses pursuant to the Trust’s Rule 12b-1 plans. The Board noted that Catalyst was operating at a loss with respect to Catalyst IB, Catalyst SA, MAP Global Balanced and Catalyst IMS and therefore concluded that excessive profitability with respect to those Funds was not an issue at this time.
The Board acknowledged that, for all of the other Catalyst Renewal Funds without sub-advisors, profits were used to compensate the owner personnel of Catalyst that provided management services to certain Catalyst Renewal Funds. The Board recognized that Catalyst’s aggregate profits would be reduced if those payments were taken into account.
The Board discussed that Catalyst earned a marginal profit from its Catalyst Agreement with the Trust for Catalyst HE, Catalyst IB, MAP Global Balanced and SMH High Income. The Board observed that Catalyst earned a reasonable profit from managing Catalyst Insider, Millburn HS, Millburn DCS, MAP Global Equity, SMH Total Return, Catalyst DA, Lyons TA, Catalyst EIS, Catalyst Shield, CIFC Floating Rate and Catalyst Energy. The Board discussed that Catalyst’s profit margins for each of these Catalyst Renewal Funds were well-within the industry norms for strategies similar to the particular Catalyst Renewal Fund. The Board determined Catalyst’s profitability for each Catalyst Renewal Fund was not excessive.
Economies of Scale. The Board noted that the Catalyst Agreement did not contain breakpoints reducing the fee rate on assets above specified levels, but that shareholders of most Catalyst Renewal Funds had benefitted from the respective Catalyst Renewal Fund’s expense limitation. The Board agreed that breakpoints may be an appropriate way for Catalyst to share economies of scale with a Catalyst Renewal Fund and its shareholders if the Catalyst Renewal Fund experienced significant growth in assets. The Board acknowledged Catalyst’s explanation that breakpoints were not currently appropriate due to significant risks inherent in management of the Catalyst Renewal Funds arising from daily liquidity, operational complexity and heightened regulatory demands. The Board noted that no Catalyst Renewal Fund had reached such levels where profits were excessive and agreed to revisit the issue of breakpoints at the Catalyst Agreement’s next renewal.
Conclusion. Having requested and received such information from Catalyst as the Board believed to be reasonably necessary to evaluate the terms of the Catalyst Agreement, and as assisted by the advice of counsel, the Board concluded that renewal of the Catalyst Agreement was in the best interests of each Catalyst Renewal Fund and its respective shareholders.
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Consideration and Renewal of the Sub-Advisory Agreements between Catalyst Capital Advisors, LLC, and Millburn Ridgefield Corporation with respect to the Catalyst/Millburn Dynamic Commodity Strategy Fund and Catalyst/Millburn Hedge Strategy Fund
In connection with a meeting held on May 9, 10, and 22, 2023, the Board of Trustees (the “Board” ) of Mutual Fund Series Trust, (the “Trust”) including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of the sub-advisory agreements (the “Millburn Agreements”) between Catalyst Capital Advisors, LLC (“Catalyst”) and Millburn Ridgefield Corporation (“Millburn”) with respect to Catalyst/Millburn Dynamic Commodity Strategy Fund (“Millburn DCS”) and Catalyst/Millburn Hedge Strategy Fund (“Millburn HS”) (collectively, the “Millburn Funds”).
The Board examined Millburn’s responses to a series of questions regarding, among other things, the sub-advisory services it would provide to the Millburn Funds, comparative fee and expense information, and expected profitability from sub-advising the Millburn Funds. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in determining the material factors to be considered in evaluating the Millburn Agreements and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to approval of the Millburn Agreements.
Nature, Extent and Quality of Services: The Board observed that a deputy chief investment officer and director of research were added to the key personnel servicing the Millburn Funds and reviewed the employment history of each. The Board commented that Millburn provided research, technology and trade order entry services to the Millburn Funds. The Board reviewed Millburn’s policies governing best execution selection of broker-dealers. The Board noted that Millburn was planning a tabletop program to train its personnel in cybersecurity incident response and reviewed its approach to cybersecurity. The Board noted that there were no material compliance issues or material litigation reported. The Board agreed that Millburn could be expected to continue providing quality services to the Millburn Funds.
Performance: The Board reviewed the performance of each of Millburn DCS and Millburn HS relative to its benchmarks and concluded that the performance was acceptable.
Millburn DCS: The Board acknowledged that Millburn was added as sub-advisor to Millburn DCS in June 2021. The Board observed that Millburn DCS outperformed the Commodities Broad Basket Morningstar Category and the Bloomberg Commodity Index for the 1-year period and outperformed the Systematic Trend Morningstar category average since inception. The Board discussed the advisor’s explanation that the underperformance compared to the Systematic Trend Morningstar category and peer group across all periods was due to the exceptionally strong returns generated by the pure play trend following strategies during the past year, as well as the historical performance from the previous manager.
Millburn HS: The Board observed that Millburn HS outperformed its peer group, the Macro Trading Morningstar category, the Multistrategy Morningstar category and the BofA US 3-Month Treasury Bill TR Index across all periods. The Board commented that Millburn HS outperformed the Credit Suisse MF Hedge Fund Index over the 3-year, 5-year and 10-year periods and outperformed the S&P 500 TR Index over the 1-year period. The Board noted the advisor did not expect Millburn HS to outperform the S&P 500 TR Index during extreme bull markets due to its sub-100% equity allocation. The Board commented that Millburn HS underperformed the Systematic Trend Morningstar category and Credit Suisse MF Hedge
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Fund Index over the 1-year period due to strong returns of pure play trend following strategies over the past year.
Fees and Expenses: The Board noted that the advisor charged a management fee of 1.75% for the Millburn Funds and that 50% of the net management fee was paid to Millburn, except for any investments made in Millburn HS by Millburn or its employees or affiliates, in which case 100% of the net management fee was paid to Millburn. The Board noted that Millburn reported that it did not manage any other accounts comparable to the Millburn Funds. The Board discussed the allocation of fees between the advisor and Millburn relative to their respective duties and other factors and agreed the allocation for the Millburn Funds were appropriate. The Board concluded that the sub-advisory fee received by Millburn for each of the Millburn Funds was not unreasonable.
Profitability: The Board reviewed the profitability analysis provided by Millburn, noting that Millburn was sub-advising Millburn DCS at a loss and Millburn HS at a reasonable profit. The Board concluded that the excessive profitability of Millburn was not an issue for Millburn at this time.
Economies of Scale: The Board considered whether it was likely that Millburn would realize economies of scale with respect to the sub-advisory services provided to the Millburn Funds. The Board agreed that this was primarily an advisor level issue and should be considered with respect to the overall management agreement, taking into consideration the impact of the sub-advisory expense. The Board concluded that it was unlikely that Millburn was benefitting from any material economies of scale.
Conclusion: Having requested and received such information from Millburn as the Board believed to be reasonably necessary to evaluate the terms of the Millburn Agreements, and as assisted by the advice of counsel, the Trustees concluded that renewal of the Millburn Agreements was in the best interests of each Millburn Fund and its shareholders.
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June 30, 2023 |
Consideration and Renewal of Sub-Advisory Agreement between Catalyst Capital Advisors, LLC and Warrington Asset Management, LLC with respect to Catalyst/Warrington Strategic Program Fund
In connection with a meeting held on May 9, 10, and 22, 2023, the Board of Trustees (the “Board”) of Mutual Fund Series Trust, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “Warrington Agreement”) between Catalyst Capital Advisors, LLC (“Catalyst”) and Warrington Asset Management, LLC (“Warrington”) with respect to Catalyst/Warrington Strategic Program Fund (“Warrington SP”).
The Board examined Warrington’s responses to a series of questions regarding, among other things, its sub-advisory services provided to Warrington SP, comparative fee and expense information, and profitability from sub-advising Warrington SP. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in determining the material factors to be considered in evaluating the Warrington Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to renewal of the Warrington Agreement.
Nature, Extent and Quality of Services: The Board observed that Warrington SP’s portfolio manager also served as Warrington’s chief compliance officer. The Board noted that Warrington retained a third-party compliance consultant to assist with various regulatory and compliance matters. The Board commented that Warrington added an investment analyst in the past year with excellent credentials. The Board discussed the technical and fundamental analysis the portfolio manager used to formulate its market opinions and the risk management plan used to establish risk action levels. The Board discussed Warrington’s monitoring of Warrington SP’s risk characteristics using proprietary models on a real-time basis. The Board discussed that the chief compliance officer reviewed transactions pre-trade to ensure they were consistent with Warrington SP’s investment objective and limitations and that he received post-trade notifications to confirm continued compliance with such objective and limitations. The Board observed that Warrington had annual trainings to enhance its cybersecurity protocols. The Board remarked that Warrington reported a routine National Futures Association audit in which there were no material findings and that all minor issues had been rectified. The Board observed that Warrington stated there were no litigation or cybersecurity issues since the Warrington Agreement was last renewed. The Board agreed that Warrington could be expected to continue providing quality services to Warrington SP.
Performance: The Board recalled that Warrington SP changed its investment strategy in April 2020 after a change in management in January 2020 and noted that Warrington SP outperformed its peer group and Morningstar category for the 1 -year and 3-year periods and the S&P 500 TR Index over the 1-year period. The Board noted the advisor’s explanation that Warrington SP was not expected to outperform the S&P 500 TR Index during bull markets.
Fees and Expenses: The Board observed that Warrington’s sub-advisory fee was 50% of the 1.75% management fee net of any fee waivers. It noted that Warrington’s sub-advisory fee was lower than the fee it charged to other accounts. The Board concluded that Warrington’s sub-advisory fee was not unreasonable.
Profitability: The Board reviewed the profitability analysis provided by Warrington, noting that Warrington was earning a reasonable profit from sub-advising Warrington SP. The Board concluded that excessive profitability was not an issue for Warrington at this time.
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Economies of Scale: The Board considered whether Warrington had realized economies of scale with respect to the sub-advisory services it provided to Warrington SP. The Board agreed that this was primarily an advisor level issue and should be considered with respect to the overall management agreement, taking into consideration the impact of the sub-advisory expense. The Board agreed that Warrington did not appear to have benefited from material economies of scale.
Conclusion: Having requested and received such information from Warrington as the Board believed to be reasonably necessary to evaluate the terms of the Warrington Agreement, and as assisted by the advice and guidance of counsel, the Board concluded that renewal of the Warrington Agreement was in the best interests of Warrington SP and its shareholders.
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June 30, 2023 |
Consideration and Approval of Renewal of the Trading Advisory Agreement between Catalyst Capital Advisors, LLC and Caddo Capital Management, LLC, with respect to Catalyst Income and Multi-Strategy Fund
In connection with a meeting held on May 9, 10 and 22, 2023, the Board of Trustees (the “Board”) of Mutual Fund Series Trust, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of the trading advisory agreement (the “Trading Advisory Agreement”) between Catalyst Capital Advisors, LLC (“Catalyst”) and Caddo Capital Management, LLC (“Caddo”) with respect to Catalyst Income and Multi-Strategy Fund (“Catalyst IMS”).
The Board examined Caddo’s responses to a series of questions regarding, among other things, its management services provided to Catalyst IMS, comparative fee and expense information, and profitability from serving as trading advisor to Catalyst IMS. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in determining the material factors to be considered in evaluating the Trading Advisory Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to renewal of the Trading Advisory Agreement.
Nature, Extent and Quality of Services. The Board reviewed the key personnel of Caddo and discussed the services provided by the trading advisor, including on-going, day-to-day trading management of Catalyst IMS through careful systematic execution and ongoing research to continuously seek improvements to the Catalyst IMS strategy. The Board discussed that Caddo conducted real-time monitoring of all risks inherent to the trading strategy through extensive checklists for careful oversight of daily trading. The Board acknowledged that Caddo employed an automated order management system to pre-clear trades to ensure trade limitations were followed and that Caddo conducted routine back-testing to maintain confidence in its system. The Board considered that Caddo selected broker-dealers on the basis of best execution. The Board acknowledged that Caddo reported no material litigation or cybersecurity incidents. The Board concluded that the nature, extent and quality of services provided by Caddo were satisfactory and that Caddo had performed all duties required of it under the Trading Advisory Agreement.
Performance. The Board noted that the sleeve of Catalyst IMS managed by Caddo had outperformed the Credit Suisse Managed Futures Liquid Index for the 5-year and since inception periods, though it underperformed its benchmark for the 1-year and 3-year periods. The Board considered Caddo’s assertion that Catalyst IMS’s approach with a blend of different sub-strategies produced a positive profile. The Board concluded that Catalyst IMS’s performance was acceptable.
Fees and Expenses. The Board observed that Caddo’s trading advisory fee was 50% of the advisor’s net management fee, or a maximum of 0.875% annually. It noted that Caddo’s fee for Catalyst IMS was lower than the fee it charged to other accounts. The Board concluded that the trading advisory fee for Catalyst IMS was not unreasonable.
Profitability. The Board observed that, based on the information Caddo provided, Caddo was managing Catalyst IMS at a loss. The Board concluded that excessive profit was not a concern at this time.
Economies of Scale. The Board considered whether Caddo had realized economies of scale with respect to its services provided to Catalyst IMS. The Board agreed that this was primarily an advisory level issue and should be considered with respect to the overall management agreement, taking into consideration the
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impact of the trading expense. The Board agreed that Caddo did not appear to have benefitted from material economies of scale related to Catalyst IMS.
Conclusion. Having requested and received such information from Caddo as the Board believed to be reasonably necessary to evaluate the terms of the Trading Advisory Agreement, and as assisted by the advice of counsel, the Board concluded that renewal of the Trading Advisory Agreement was in the best interests of Catalyst IMS and its shareholders.
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June 30, 2023 |
Consideration and Renewal of Sub-Advisory Agreement between Catalyst Capital Advisors, LLC and Equity Armor Investments, LLC with respect to Catalyst Nasdaq-100 Hedged Equity Fund
In connection with a meeting held on May 9, 10, and 22, 2023, the Board of Trustees (the “Board”) of Mutual Fund Series Trust, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “EA Agreement”) between Catalyst Capital Advisors, LLC (“Catalyst”) and Equity Armor Investments, LLC (“Equity Armor”) with respect to Catalyst Nasdaq-100 Hedged Equity Fund (“Catalyst HE”).
The Board examined Equity Armor’s responses to a series of questions regarding, among other things, its sub-advisory services provided to Catalyst HE, comparative fee and expense information, and profitability from sub-advising Catalyst HE. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in determining the material factors to be considered in evaluating the Equity Armor Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to renewal of the Equity Armor.
Nature, Extent and Quality of Services: The Board reviewed the key personnel servicing Catalyst HE and observed that the Chief Executive Officer was also serving as the Chief Compliance Officer. The Board noted that Equity Armor provided discretionary investment advisory services to Catalyst HE, including the implementation of strategies using its EAVOL and Hedged NASDAQ 100 Index Strategy and the evaluation of investments and strategy performance using a variety of analysis techniques. The Board remarked that Equity Armor utilized a spreadsheet that was automatically populated daily to ensure compliance with sector weightings. The Board remarked that Equity Armor sought broker-dealers on the basis of best execution. The Board noted that Equity Armor reported no cybersecurity incidents or material litigation since the most recent renewal of the EA Agreement. The Board agreed that Equity Armor had the experience and resources necessary to provide quality service to Catalyst HE.
Performance: The Board discussed that Equity Armor began managing Catalyst HE pursuant to its new investment strategy in October 2020. The Board noted that Catalyst HE had underperformed all benchmarks for the 1-year period. The Board considered that Catalyst attributed the underperformance to Catalyst HE’s volatility overlay combined with the Nasdaq-100 Index’s underperformance relative to the S&P 500 TR Index. A representative of the advisor noted that Catalyst HE was expected to align with the Nasdaq-100 Index going forward.
Fees and Expenses: The Board noted that the advisor, Catalyst, charged a management fee of 1.25% for Catalyst HE and that 50% of Catalyst HE’s net management fee (after certain expenses) was paid by the advisor to Equity Armor. After further discussion, the Board concluded that the sub-advisory fee charged with respect to Catalyst HE and the allocation of fees between the advisor and Equity Armor were not unreasonable.
Profitability. The Board commented that although Equity Armor was managing Catalyst HE at a reasonable profit on a percentage of revenue basis, its profit was fairly modest on an absolute basis. The Board concluded that excessive profitability was not an issue for Equity Armor.
Economies of Scale. The Board considered whether Equity Armor had realized economies of scale with respect to the sub-advisory services provided to Catalyst HE. The Board agreed that this was primarily an advisor-level issue and should be considered with respect to the overall management agreement taking
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into consideration the impact of the sub-advisory expense. The Board concluded that, based on the current size of Catalyst HE, it was unlikely that Equity Armor was benefitting from any material economies of scale that warranted a change in the total management fee or the sub-advisory fee.
Conclusion. Having requested and received such information from Equity Armor as the Board believed to be reasonably necessary to evaluate the terms of the EA Agreement as assisted by the advice and guidance of counsel, the Board concluded that renewal of the Warrington Agreement was in the best interests of Catalyst HE and its shareholders.
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SUPPLEMENTAL INFORMATION (Unaudited) (Continued) |
June 30, 2023 |
Consideration and Renewal of Sub-Advisory Agreement between Catalyst Capital Advisors, LLC and Exceed Advisory, LLC with respect to Catalyst Buffered Shield Fund
In connection with a meeting held on May 9, 10, and 22, 2023, the Board of Trustees (the “Board”) of Mutual Fund Series Trust, including a majority of the Trustees who are not “interested persons” as that term is defined in the Investment Company Act of 1940, as amended, discussed the renewal of a sub-advisory agreement (the “Exceed Agreement”) between Catalyst Capital Advisors, LLC (“Catalyst”) and Exceed Advisory LLC (“Exceed”) with respect to Catalyst Buffered Shield Fund (“Catalyst Shield”).
The Board examined Exceed’s responses to a series of questions regarding, among other things, its sub-advisory services provided to Catalyst Shield, comparative fee and expense information, and profitability from sub-advising Catalyst Shield. The Board was assisted by legal counsel throughout the review process and relied upon the advice of legal counsel and its own business judgment in determining the material factors to be considered in evaluating the Exceed Agreement and the weight to be given to each factor considered. The conclusions reached by the Board were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to renewal of the Exceed Agreement.
Nature, Extent and Quality of Services: The Board noted that a new portfolio manager and analyst joined Exceed in late 2022 and had extensive experience as a market strategist. The Board reviewed Exceed’s services provided to Catalyst Shield, including the day-to-day management of the portfolio and the determination of securities to be bought and sold. The Board commented on Exceed’s internal software and controls to monitor compliance daily. The Board took note of Exceed’s continuous cybersecurity training and policies. The Board noted that Exceed did not report any material litigation since the Exceed Agreement’s most recent renewal. After further discussion, the Board concluded that the nature, extent and quality of services provided by Exceed to Catalyst Shield was adequate.
Performance: The Board observed that Catalyst Shield underperformed its peer group and Morningstar category over the 1-year, 3-year and 5-year periods, but outperformed the Morningstar category over the since inception period. The Board noted that Catalyst Shield outperformed the HFRX Equity Hedge Index over the 5-year and since inception period but lagged the S&P 500 TR Index across all periods. The Board considered that the advisor attributed the recent underperformance to Catalyst Shield’s losses on the corporate bond collateral used in its portfolio, which had come under stress, as well as a market downturn with too short a duration on a portion of the options. The Board considered the advisor’s contention that Exceed was exploring additional processes and adjustments to its approach and that Catalyst Shield’s current yields showed improvement, which the sub-advisor believed could enhance fund returns in the future.
Fees and Expenses: The Board noted that the advisor charged a management fee of 1.25% for Catalyst Shield and that 50% of Catalyst Shield’s net management fee (after certain expenses) was paid to Exceed by the advisor. The Board acknowledged that Exceed’s maximum net sub-advisory fee of 0.675% for Catalyst Shield was similar to the gross fees Exceed charged to its other clients. The Board discussed the allocation of fees between the advisor and Exceed relative to their respective duties and other factors and agreed the allocation for Catalyst Shield was appropriate. The Board concluded that the sub-advisory fee received by Exceed for Catalyst Shield was not unreasonable.
Profitability: The Board noted that Exceed allocated its expenses to Catalyst Shield based on the time it spent on Catalyst Shield. The Board remarked that Exceed earned a profit from sub-advising Catalyst Shield. The Board discussed how Exceed’s profits from sub-advising Catalyst Shield were used to
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June 30, 2023 |
compensate Exceed’s owner as the portfolio manager and reimburse his expenses. The Board recognized that Exceed’s profits would be reduced if those payments were taken into account. After further discussion, the Board determined that Exceed’s profit in connection with Catalyst Shield was not excessive.
Economies of Scale. The Board considered whether Exceed had realized economies of scale with respect to the sub-advisory services provided to Catalyst Shield. The Board agreed that this was primarily an advisor-level issue and should be considered with respect to the overall management agreement taking into consideration the impact of the sub-advisory expense. The Board recognized the systems and technology used by Exceed to efficiently manage Catalyst Shield and concluded that, based on the current size of Catalyst Shield, it was unlikely that Exceed was benefitting from any economies of scale that warranted a fee concession.
Conclusion. Having requested and received such information from Exceed as the Board believed to be reasonably necessary to evaluate the terms of the Exceed Agreement, and as assisted by the advice of counsel, the Board concluded that renewal of the Exceed Agreement was in the best interests of Catalyst Shield and its shareholders.
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SUPPLEMENTAL INFORMATION |
June 30, 2023 (Unaudited) |
Independent Trustees
Name, Address Year of Birth | Position(s) Held with Registrant | Term and Length Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios Overseen in the Fund Complex** | Other Directorships Held During Past 5 Years |
Tobias Caldwell c/o Mutual Fund Series Trust 36 N. New York Avenue, Huntington, NY 11743 Year of Birth: 1967 | Lead Trustee, Chairman of the Audit Committee and Nominating Committee | Since 6/2006 | Manager of Genovese Family Enterprises LLC & affiliates, the Genovese family office, since 1999; Managing Member of Bear Properties, LLC, a real estate management firm, since 2006; Managing Member of PTL Real Estate LLC, from 2000 until 2019. | 53 | Trustee of Variable Insurance Trust since 2010; Chairman of the Board of Mutual Fund and Variable Insurance Trust since 2016; Chairman of the Board of Strategy Shares since 2016; Trustee of IDX Funds Trust since 2016; Chairman of the Board of AlphaCentric Prime Meridian Income Fund since 2018 |
Tiberiu Weisz c/o Mutual Fund Series Trust 36 N. New York Avenue, Huntington, NY 11743 Year of Birth: 1949 | Trustee, Chairman of the Risk and Compliance Committee | Since 6/2006 | Attorney since 1982. | 37 | Trustee of Variable Insurance Trust since 2010 |
Stephen P. Lachenauer c/o Mutual Fund Series Trust 36 N. New York Avenue, Huntington, NY 11743 Year of Birth: 1967 | Trustee | Since 4/2022 | Attorney, private practice since 2010. | 53 | Trustee and Chair of the Audit and Risk and Compliance Committees since 2016, and Chair of the Investment Committee since November 2020, Mutual Fund and Variable Insurance Trust; Trustee and Chair of the Audit and Risk and Compliance Committees since 2016, and Chair of the Investment Committee since November 2020, Strategy Shares; Chairman of the Board, TCG Financial Series Trusts I-X since 2015; Trustee and Chair of the Audit and Risk and Compliance Committees since 2018, and Chair of the Investment Committee since November 2020, AlphaCentric Prime Meridian Income Fund. |
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SUPPLEMENTAL INFORMATION
June 30, 2023 (Unaudited)(Continued)
Interested Trustee*** and Officers
Name, Address, Year of Birth | Position(s) Held with Registrant | Term and Length Served* | Principal Occupation(s) During Past 5 Years | Number of Portfolios Overseen In The Fund Complex** | Other Directorships Held During Past 5 Years |
Jerry Szilagyi 53 Palmeras St. Suite 601 San Juan, PR 00901 Year of Birth: 1962 | Chairman of the Board | Trustee since 7/2006; President 2/2012- 3/2022 | President of the Trust, 2/2012- 3/2022; President, Rational Advisors, Inc., 1/2016 - present; Chief Executive Officer, Catalyst Capital Advisors LLC, 1/2006- present; Member, AlphaCentric Advisors LLC, 2/2014 to Present; Managing Member, MFund Distributors LLC, 10/2012- present; Managing Member, MFund Services LLC, 1/2012 – Present; CEO, Catalyst International Advisors LLC, 11/2019 to present; CEO, Insights Media LLC, 11/2019 to present; CEO, MFund Management LLC, 11/2019 to present. | 37 | Variable Insurance Trust since 2010 |
Michael Schoonover 53 Palmeras St. Suite 601 San Juan, PR 00901 Year of Birth: 1983 | President | Since 3/2022 | Vice President of the Trust, 2018-- 2022; Chief Operating Officer, Catalyst Capital Advisors LLC and Rational Advisors, Inc., 6/2017 to present; Portfolio Manager, Catalyst Capital Advisors LLC 12/2013 to 5/2021; Portfolio Manager, Rational Advisors, Inc. 1/2016 to 5/2018; President, MFund Distributors LLC, 1/2020 to present; COO, Catalyst International Advisors LLC, 11/2019 to present; COO, Insights Media LLC, 11/2019 to present; COO, MFund Management LLC, 11/2019 to present; COO, AlphaCentric Advisors LLC, since 1/2021. | N/A | N/A |
Alex Merino 53 Palmeras St. Suite 601 San Juan, PR 00901 Year of Birth: 1985 | Vice President | Since 3/2022 | Investment Operations Manager, MFund Management LLC, 1/2022 to present; Investment Operations Analyst, MFund Management LLC, 9/2020 to 12/2021; Tax Senior Associate, PwC Asset & Wealth Management NY Metro, 7/2016-6/2019. | N/A | N/A |
Erik Naviloff 4221 North 203rd Street, Suite 100, Elkhorn, Nebraska, 68022 Year of Birth: 1968 | Treasurer | Since 4/2012 | Vice President – Fund Administration, Ultimus Fund Solutions, LLC, since 2011. | N/A | N/A |
Brian Curley 4221 North 203rd Street, Suite 100, Elkhorn, Nebraska, 68022 Year of Birth: 1970 | Assistant Treasurer | Since 11/2013 | Vice President – Fund Administration, Ultimus Fund Solutions, LLC since 1/2015. | N/A | N/A |
Sam Singh 4221 North 203rd Street, Suite 100, Elkhorn, Nebraska, 68022 Year of Birth: 1976 | Assistant Treasurer | Since 2/2015 | Vice President – Fund Administration, Ultimus Fund Solutions, LLC since 1/2015. | N/A | N/A |
Frederick J. Schmidt 36 N. New York Avenue Huntington, NY 11743 Year of Birth: 1959 | Chief Compliance Officer | Since 5/2015 | Director of Compliance Services, MFund Services LLC since 5/2015. | N/A | N/A |
Jennifer A. Bailey 36 N. New York Avenue Huntington, NY 11743 Year of Birth: 1968 | Secretary | Secretary since 4/2014 | Director of Legal Services, MFund Services LLC, since 2012. | N/A | N/A |
* | The term of office of each Trustee is indefinite. |
** | The ‘Fund Complex’ includes the Trust, Variable Insurance Trust, Mutual Fund and Variable Insurance Trust, Strategy Shares, and AlphaCentric Prime Meridian Income Fund, each a registered investment company. |
*** | The Trustee who is an “interested person” of the Trust as defined in the 1940 Act is an interested person by virtue of being an officer of the advisor to certain series of the Trust. |
The Fund’s SAI includes additional information about the Trustees and is available, free of charge, by calling toll-free 1-866-447-4228.
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INFORMATION ABOUT YOUR FUNDS’ EXPENSES (Unaudited) |
As a shareholder of the Fund(s), you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments; and (2) ongoing costs, including management fees, distribution and/or service (12b-1) fees; and other Fund expenses. The example below is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example below illustrates an investment of $1,000 invested at the beginning of the period (01/01/23) and held for the entire period through 6/30/23.
Actual Expenses
The "Actual" columns in the table below provide information about actual account values and actual expenses. You may use the information in these sections, 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 first row 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 provide information about the hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the 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 exchange fees. Therefore, the second section of 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. For more information on transactional costs, please refer to the Funds’ prospectus.
Hypothetical | ||||||||||||
Actual | (5% return before expenses) | |||||||||||
Beginning | ||||||||||||
Fund's Annualized | Account Value | Ending Account | Expenses Paid | Ending Account | Expenses Paid | |||||||
Expense Ratio ** | 01/01/23 | Value 6/30/23 | During Period * | Value 6/30/23 | During Period * | |||||||
Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class A | 2.24% | $1,000.00 | $936.40 | $10.75 | $1,013.69 | $11.18 | ||||||
Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class C | 2.99% | 1,000.00 | 932.50 | 14.33 | 1,009.97 | 14.90 | ||||||
Catalyst/ Millburn Dynamic Commodity Strategy Fund - Class I | 1.99% | 1,000.00 | 936.90 | 9.56 | 1,014.93 | 9.94 | ||||||
Catalyst/Warrington Strategic Program Fund - Class A | 2.24% | 1,000.00 | 1,016.00 | 11.20 | 1,013.69 | 11.18 | ||||||
Catalyst/Warrington Strategic Program Fund - Class C | 2.99% | 1,000.00 | 1,013.40 | 14.93 | 1,009.97 | 14.90 | ||||||
Catalyst/Warrington Strategic Program Fund - Class I | 1.99% | 1,000.00 | 1,017.90 | 9.96 | 1,014.93 | 9.94 | ||||||
Catalyst Systematic Alpha Fund - Class A | 2.02% | 1,000.00 | 1,249.60 | 11.27 | 1,014.78 | 10.09 | ||||||
Catalyst Systematic Alpha Fund - Class C | 2.77% | 1,000.00 | 1,245.30 | 15.42 | 1,011.06 | 13.81 | ||||||
Catalyst Systematic Alpha Fund - Class I | 1.77% | 1,000.00 | 1,251.30 | 9.88 | 1,016.02 | 8.85 | ||||||
Catalyst Income and Multi Strategy Fund - Class A | 2.24% | 1,000.00 | 1,004.40 | 11.13 | 1,013.69 | 11.18 | ||||||
Catalyst Income and Multi Strategy Fund - Class C | 2.99% | 1,000.00 | 1,000.40 | 14.83 | 1,009.97 | 14.90 | ||||||
Catalyst Income and Multi Strategy Fund - Class I | 1.99% | 1,000.00 | 1,006.00 | 9.90 | 1,014.93 | 9.94 | ||||||
Catalyst Nasdaq-100 Hedged Equity Fund - Class A | 1.74% | 1,000.00 | 1,275.80 | 9.82 | 1,016.17 | 8.70 | ||||||
Catalyst Nasdaq-100 Hedged Equity Fund - Class C | 2.49% | 1,000.00 | 1,269.90 | 14.01 | 1,012.45 | 12.42 | ||||||
Catalyst Nasdaq-100 Hedged Equity Fund - Class I | 1.49% | 1,000.00 | 1,276.90 | 8.41 | 1,017.41 | 7.45 | ||||||
Catalyst Millburn Hedge Strategy Fund - Class A | 2.19% | 1,000.00 | 980.80 | 10.76 | 1,013.93 | 10.94 | ||||||
Catalyst Millburn Hedge Strategy Fund - Class C | 2.94% | 1,000.00 | 977.10 | 14.41 | 1,010.22 | 14.65 | ||||||
Catalyst Millburn Hedge Strategy Fund - Class C-1 | 2.95% | 1,000.00 | 982.00 | 14.50 | 1,010.17 | 14.70 | ||||||
Catalyst Millburn Hedge Strategy Fund - Class I | 1.94% | 1,000.00 | 982.00 | 9.53 | 1,015.17 | 9.69 | ||||||
Catalyst Buffered Shield Fund - Class A | 1.48% | 1,000.00 | 1,072.10 | 7.60 | 1,017.46 | 7.40 | ||||||
Catalyst Buffered Shield Fund - Class C | 2.23% | 1,000.00 | 1,068.00 | 11.43 | 1,013.74 | 11.13 | ||||||
Catalyst Buffered Shield Fund - Class I | 1.23% | 1,000.00 | 1,072.80 | 6.32 | 1,018.70 | 6.16 |
* | Expenses are equal to the Funds’ annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period. |
** | Annualized expense ratio does not include interest expenses or dividend expenses. |
For more information on Fund expenses, please refer to the Funds’ prospectus, which can be obtained from your investment representative or by calling 1-866-447-4228. Please read it carefully before you invest or send money.
125
PRIVACY NOTICE
Mutual Fund Series Trust
Rev. August 2021
FACTS | WHAT DOES MUTUAL FUND SERIES 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 Mutual Fund Series Trust chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information: | Does Mutual Fund Series 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 our affiliates to market to you | NO | We don’t share |
For non-affiliates to market to you | NO | We don’t share |
126
PRIVACY NOTICE
Mutual Fund Series Trust
What we do: | |
How does Mutual Fund Series 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 Mutual Fund Series 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 non-affiliates 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 non-financial companies.
● Mutual Fund Series Trust does not share with affiliates. |
Non-affiliates | Companies not related by common ownership or control. They can be financial and non-financial companies.
● Mutual Fund Series Trust doesn’t share with non-affiliates so they can market to you. |
Joint marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
● Mutual Fund Series Trust doesn’t jointly market. |
QUESTIONS? CALL | Alpha Centric | 844-223-8637 |
Catalyst | 866-447-4228 | |
Day Hagan | 877-329-4246 | |
Empiric | 888-839-7424 | |
Eventide | 877-771-3836 | |
JAG | 855-552-4596 |
127
MUTUAL FUND SERIES TRUST |
4221 North 203rd Street, Suite 100 |
Elkhorn, NE 68022 |
MANAGER |
Catalyst Capital Advisors, LLC |
53 Palmeras Street, Suite 601 |
San Juan, PR 00901 |
ADMINISTRATOR |
Ultimus Fund Solutions, LLC |
225 Pictoria Drive, Suite 450 |
Cincinnati, OH 45246 |
TRANSFER AGENT |
Ultimus Fund Solutions, LLC |
225 Pictoria Drive, Suite 450 |
Cincinnati, OH 45246 |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM |
Cohen & Company, Ltd. |
1835 Market Street |
Suite 310 |
Philadelphia, PA 19103 |
LEGAL COUNSEL |
Thompson Hine LLP |
41 South High Street |
Suite 1700 |
Columbus, OH 43215 |
CUSTODIAN BANK |
U.S. Bank |
1555 N. Rivercenter Drive. |
Suite 302 |
Milwaukee, WI 53212 |
Reference is made to the Prospectus and the Statement of Additional Information for more detailed descriptions of the Management Agreements, Services Agreements and Distribution and/or Service (12b-1) Plans, tax aspects of the Funds and the calculations of the net asset values of shares of the Funds.
The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission (the “Commission”) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Funds’ Forms N-PORT are available on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-PORT may be obtained by calling 1-800-SEC-0330.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling 1-866-447-4228; and on the Commission’s website at http://www.sec.gov.
Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling 1-866-447-4228; and on the Commission’s website at http://www.sec.gov.
CatalystHedge-A23 |
ITEM 2. CODE OF ETHICS.
(a) The registrant has, as of the end of the period covered by this report, adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, and 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) N/A
(c) During the period covered by this report, there were no amendments to any provision of the code of ethics.
(d) During the period covered by this report, there were no waivers or implicit waivers of a provision of the code of ethics.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Registrant’s Board of Trustees has determined that it does not have an audit committee financial expert serving on its audit committee. At this time, the Registrant believes that the experience provided by each member of the audit committee together offer the Registrant adequate oversight for the Registrant’s level of financial complexity. |
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) | Audit Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by the Registrant's principal accountant for the audit of the Registrant's annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are as follows: |
Trust Series | 2023 | 2022 |
Catalyst/Millburn Dynamic Commodity Strategy Fund | 12,500 | 12,000 |
Catalyst/Warrington Strategic Program Fund | 11,000 | 11,000 |
Catalyst Systematic Alpha Fund | 13,000 | 13,000 |
Catalyst Income and Multi Strategy Fund | 12,500 | 12,000 |
Catalyst NASDAQ-100 Hedge Equity Fund | 12,000 | 12,000 |
Catalyst/Millburn Hedge Strategy Fund | 30,000 | 25,000 |
Catalyst Buffered Shield Fund | 12,000 | 12,000 |
(b) | Audit-Related Fees. There were no fees billed in each of the last two fiscal years for assurances and related services by the principal accountant that are reasonably related to the performance of the audit of the Registrant’s financial statements and are not reported under paragraph (a) of this item. |
(c) | Tax Fees. The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance are as follows: |
Trust Series | 2023 | 2022 |
Catalyst/Millburn Dynamic Commodity Strategy Fund | 3,500 | 3,500 |
Catalyst/Warrington Strategic Program Fund | 2,500 | 2,000 |
Catalyst Systematic Alpha Fund | 3,500 | 3,500 |
Catalyst Income and Multi Strategy Fund | 3,500 | 3,500 |
Catalyst NASDAQ-100 Hedged Equity Fund | 2,500 | 2,000 |
Catalyst/Millburn Hedge Strategy Fund | 4,000 | 3,500 |
Catalyst Buffered Shield Fund | 2,500 | 2,000 |
(d) | All Other Fees. The aggregate fees billed in each of the last two fiscal years for products and services provided by the Registrant’s principal accountant, other than the services reported in paragraphs (a) through (c) of this item were $0 and $0 for the fiscal years ended June 30, 2023, and 2022 respectively. |
(e)(1) | The audit committee does not have pre-approval policies and procedures. Instead, the audit committee or audit committee chairman approves on a case-by-case basis each audit or non-audit service before the principal accountant is engaged by the Registrant. |
(e)(2) | There were no services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
f) | Not applicable. The percentage of hours expended on the principal accountant's engagement to audit the Registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees was zero percent (0%). |
(g) | All non-audit fees billed by the Registrant's principal accountant for services rendered to the Registrant for the fiscal years ended June 30, 2022 and 2023, respectively, are disclosed in (b)-(d) above. There were no audit or non-audit services performed by the Registrant's principal accountant for the Registrant's adviser. |
(h) | Not Applicable
|
(I) | Not Applicable.
|
(J) | Not Applicable.
|
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable
ITEM 6. SCHEDULE OF INVESTMENT
Included in annual report to shareholders filed under item 1 of this form.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable Fund is an open-end management investment company
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable Fund is an open-end management investment company
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable Fund is an open-end management investment company
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Not applicable at this time.
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 Registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act, are effective, as of a date within 90 days of the filing date of this report, based on the evaluation of these controls
and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report 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 CLSOED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable to open-end investment companies.
ITEM 13. EXHIBITS
(a)(1) Code of Ethics for Principal Executive and Senior Financial Officers is attached hereto.
(a)(3) Not applicable.
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.
Mutual Fund Series Trust
By Michael Schoonover | /s/ Michael Schoonover __________ |
President | |
Date: September 06, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.
By Michael Schoonover | /s/ Michael Schoonover __________ |
President | |
Date: September 06, 2023 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following person on behalf of the Registrant and in the capacities and on the date indicated.
By Erik Naviloff | /s/ Erik Naviloff_____________ |
Treasurer | |
Date: September 06, 2023 |