MARKET + PORTFOLIO COMMENTARY Q4.2014

Altegris Futures Evolution Strategy Fund EVOAX | EVOCX | EVOIX | EVONX Market Commentary What a difference a year makes. At this time last year, volatility was low and world economies were stuck together in a central bank-led race out of economic malaise. The U.S. clearly pulled ahead of the pack in 2014 and defined its own economic path, while the rest of the globe largely pursued more aggressive policy action to catch up. Domestically, the U.S. Dollar (USD) strengthened, unemployment dipped to 5.6%, and consumer confidence rose. The cherry on top of sustained growth in the U.S. was the rapid retreat of oil prices, which peaked well over $100 a barrel in the summer only to end the year at $53 for WTI and $57 for Brent Crude. The decline in oil had significant broader consequences as well. Structural weakness in China led to increased volatility in

commodity markets over the quarter; however, the descent of crude oil amplified the effect. This is because crude oil is the largest component of the commodity indices and has a big effect on the price of other commodities, from the production of fertilizer to the fuel for tractors. On balance, most commodity prices declined over the period due to oil and the lack of Chinese demand for raw materials. The strength of the USD also influenced commodity markets, as a stronger dollar makes dollar-denominated assets, like commodities, more expensive for holders of other currencies. The sharp decline in oil prices not only increased global volatility across commodity markets, but also impacted equity, fixed income and currency markets. In equities, oil’s decline translated into indiscriminate selling across most equity securities that were deemed to have any potential revenue exposure to the price of the

FUND RETURNS | As of December 31, 2014

EVOAX: Class A (NAV) EVOAX: Class A (max load)** EVOCX: Class C (NAV) EVOIX: Class I (NAV) EVONX: Class N (NAV) BofA Merrill Lynch 3-Month T-Bill Index Altegris 40 Index® S&P 500 TR Index MSCI World Index

Q4 2014 13.11% 6.65% 12.96% 13.27% 13.13% 0.00% 9.40% 4.93% 0.66%

Year to Date 25.99% 18.77% 24.98% 26.29% 25.92% 0.03% 15.75% 13.69% 2.93%

1-Year 25.99% 18.77% 24.98% 26.29% 25.92% 0.03% 15.75% 13.69% 2.93%

5-Year NA NA NA NA NA NA NA NA NA

Since Inception* 7.13% 5.14% 6.51% 7.40% 7.10% 0.07% 2.73% 19.54% 11.32%

*The inception date of Class A, Class I and Class N is 10/31/11; the inception date of Class C is 02/16/12. Past performance is not indicative of future results. Returns for periods longer than one year are annualized. The Altegris 40 Index is a monthly index; its since inception performance is shown from 10/31/11. ** The maximum sales charge (load) for Class A is 5.75%. Class A Share investors may be eligible for a reduction in sales charges. The total annual Fund operating expense ratio, gross of any fee waivers or expense reimbursements is 2.06%, 2.81%, 1.81% and 2.06% of average daily net assets attributable to Class A, Class C, Class I and Class N shares. The performance data quoted here represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance data quoted above. Investment return and principal value will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. The Fund’s adviser has contractually agreed to reduce its fees and to reimburse expenses, at least until January 31, 2016, to ensure that total annual Fund operating expenses after fee waiver and reimbursement will not exceed 1.94%, 2.69%, 1.69% and 1.94% of average daily net assets attributable to Class A, Class C, Class I and Class N shares, respectively, subject to possible recoupment in future years. This agreement may be terminated only by the Fund’s Board of Trustees, on 60 days written notice to the adviser. Results shown reflect the waiver, without which the results could have been lower. A Fund’s performance, especially for very short periods of time, should not be the sole factor in making your investment decisions. For performance information current to the most recent month end, please call (888) 524-9441. The referenced indices are shown for general market comparisons and are not meant to represent any particular Fund. TRUSTED ALTERNATIVES. INTELLIGENT INVESTING.®

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MARKET + PORTFOLIO COMMENTARY › ALTEGRIS FUTURES EVOLUTION STRATEGY FUND Q4.2014

commodity. Despite the oil-led hiccups, the Dow Jones Industrial Average hit an all-time high over 18,000 just in time for Christmas on the back of solid earnings expectations, ex-energy. High yield markets were also affected by oil. The energy sector is a 15% allocation within the high yield index1 — the largest weighting of any sector — and energy related high yield bonds tumbled in lock-step with oil price declines. It is important to note that outside of the energy sector, most sectors in the high yield bond index held up. Investors who were long high yield bonds likely struggled on the quarter, while investors who held less exposure to the energy sector likely fared better. Bond yields in sovereign fixed income fell over the period, predominantly due to slower economic growth outside of the U.S. In currencies, countries whose economies rely on oil revenues suffered the most. Russia, in particular, watched the Ruble collapse, while Putin continued his belligerent stance with the U.S. This could lead to some significant geopolitical volatility if it continues. In the meantime, the Bank of Japan continued to print Japanese yen and the euro remained weak on Mario Draghi’s pledge to stimulate inflation.

Fund Performance For Q4 2014, the Fund’s Class A (at NAV), Class C, Class I and Class N shares returned 13.11%, 12.96%, 13.27% and 13.13%, respectively, while the Altegris 40 Index®, the MSCI World Index, the BofA Merrill Lynch 3 Month T-Bill Index and the S&P 500 TR Index returned 9.40% (estimated), 0.66%, 0.00% and 4.93%, respectively. On a year-to-date basis, the Fund’s Class A (at NAV), Class C, Class I and Class N shares returned 25.99%, 24.98%, 26.29% and 25.92%, respectively, while the Altegris 40 Index®, the MSCI World Index, the BofA Merrill Lynch 3 Month T-Bill Index and the S&P 500 TR Index returned 15.75% (estimated), 2.93%, 0.03% and 13.69%, respectively.

Portfolio Performance Review The Fund had another strong quarter as more and more trends showed persistence on the heels of increased market volatility and the downtrend of oil futures prices. Net short positions in energy contracts provided the largest positive contribution to performance, with gains in both Brent and WTI Crude as well as in

Gas and Gas Oil futures. Gains were also made from long USD (and thereby short other currencies including the yen and euro) and longer-dated bond positions as global bond yields fell throughout most of the quarter. Notable winners were in short Japanese yen positions, after the Bank of Japan’s stimulus plan was announced, and long U.S. 10 Year Notes. The Fund experienced some losses — most of which was in net short grains futures - as corn, in particular, rallied on increased export demand. Positions in stock index futures also detracted from performance, some from long positions in the EuroStoxx index in December and some from a variety of short stock index contracts. Looking at the year in aggregate, energy again dominated performance, bested only by long fixed income positioning — both short- and long-dated. Currency positions in the yen and euro also added to gains. Similar to the fourth quarter, grains and stock index futures generated moderate losses for the year. On the whole, it was a great year for the Fund as trends across sectors emerged, persisted, and were capitalized upon, while at the same time, DoubleLine Capital added positive attribution during the year through adept positioning across the fixed income markets.

Manager Performance Review We discussed last quarter how ISAM was a meaningful underperformer over the last two years as its models are “quickerturning” (e.g., likely to build a position in emerging trends faster than its peers) and biased towards commodity futures, which had exhibited few sustained trends — until recently. Despite its smaller exposure within the Fund, ISAM again significantly contributed to performance for the quarter. The vast majority of ISAM’s gains came from short energy futures, followed by long, long-dated fixed income and short FX positioning. Quarterly losses in short grains, long softs and long and short stock index futures were more than offset by the gains in the other sectors. Moreover, the manager has the highest return profile of all managers tracked in the Altegris 40 Index for 2014. Winton posted a strong quarterly return and was the top contributor to the Fund’s performance. Short energy, long USD versus the yen and euro, and long, long-dated fixed income led the way, and were followed closely by short precious metals and long, shorterdated fixed income. Losses were minimal in livestock, softs and base metals. Despite the negative attention to managed futures in

Bank of America Merrill Lynch high-yield index

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This commentary reflects the views of the portfolio managers through December 31, 2014. The managers’ views are subject to change as market and other conditions warrant. This commentary is provided for informational purposes only and should not be construed as investment advice. No forecasts are guaranteed. There is no guarantee that any investment will achieve its objectives, generate profits or avoid losses. TRUSTED ALTERNATIVES. INTELLIGENT INVESTING.®

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MARKET + PORTFOLIO COMMENTARY › ALTEGRIS FUTURES EVOLUTION STRATEGY FUND Q4.2014

the post-2008 environment, Winton has performed as one would expect of this industry bellwether over this difficult period. In fact, the manager has only two losing years since inception (2009 and 2012). Winton recently discussed how managing a portfolio is a balancing act between risk and performance. Their track record to date has indeed demonstrated that their attention to risk has not been at the expense of returns.

the past several years fared very well — but did not provide the uncorrelated return stream so many investors expect from managed futures. The potential to profit from the decline of oil or central bank policy divergence via foreign exchange (FX) positioning is a hallmark of diversified managed futures strategies that does not rely on the strength of the U.S. equity market for profit.

DoubleLine performed well for the quarter, as its Opportunistic Income strategy again posted the largest gain for the period with an overweight to agency and non-agency mortgages. Jeffrey Gundlach continues to manage DoubleLine’s assets with precision amid uncertain fixed income markets, and DoubleLine generated positive returns across all sectors on both quarter and year-to-date bases.

Diversification by style, allocation, timing and emphasis matters the most in uncertain markets. This is particularly true as it relates to the dispersed performance around the world, economically and geopolitically. We are seeing trends not only emerge but persist. It’s our belief that expert managed futures managers, including Winton and ISAM, have the systems — the antennae, if you will — to catch these trends early and play both sides of the markets. While this doesn’t guarantee success, it does put these managers in position to try to profit from these trends. Further, if there is diversity among market trends, these managers have the opportunity to catch that diversity. It has been our experience that managed futures have benefited greatly from Moore’s Law2, and the premier managers — really the ones who invest significantly in ongoing research — are continually perfecting the models that help them try to stay ahead of general markets and also pick up on those trends early. With commodities, currencies, and, ultimately, interest rates likely to show divergent trends, managed futures may turn out to be the best way to benefit in this post U.S. QE environment. Thus far, this has been the case for the Altegris Futures Evolution Strategy Fund, which has been one of the top performers of its peer group while exhibiting 0.16 daily correlation to the S&P 500 TR index since inception. The Fund earned a 5-star Overall Morningstar rating for Class I shares as well as a 4-star Overall rating for Class A, Class A-Load Waived, and Class N shares out of 78 managed futures funds as of 12/31/20143.

Portfolio Allocations Managed futures portfolio allocations as of quarter end were unchanged from the end of Q3 2014 with access to futures managers as follows: Winton: 80%, ISAM: 20%. As of quarter-end in the fixed income portfolio, allocations to the three sub-strategies were 40% to the Low Duration strategy, 30% to the Core Fixed Income strategy, and 30% to the Opportunistic Income strategy. Over the last 18 months, the primary shift within the fixed income portfolio has been to reduce portfolio duration while seeking to increase portfolio yield, and the recent increased allocations to the Low Duration and Opportunistic Income strategies further achieve this portfolio objective.

Portfolio Positioning Performance for the quarter and the year of 2014 speaks to why diversification is needed in a managed futures strategy. Strategies that were biased toward domestic stock indices over

Morningstar ratings measure risk-adjusted returns. The Overall Morningstar Rating™ for a fund is derived from a weighted average of the performance figures associated with its 3-, 5-, and 10-year (if applicable) rating metrics. Past performance is no guarantee of future results. For the most recent month end performance, please visit http://altegris.com/evoax/#Performance. 2

Moore’s Law relates to technology and how it improves at an exponential rate.

For the period ended December 31, 2014, Morningstar rated this Fund’s Class A, A-Load Waived, I and N shares for the overall and three year-period. Class I shares received 5 stars and Class A, Class A-Load Waived, and Class N shares received 4 stars for the overall and 3-year periods, respectively, among 78 Managed Futures Funds rated by Morningstar. Performance reflects applicable fee waivers and reimbursements without which, the returns would be reduced and ratings could be lower. The Fund may have experienced negative returns over the time periods rated.

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MARKET + PORTFOLIO COMMENTARY › ALTEGRIS FUTURES EVOLUTION STRATEGY FUND Q4.2014

Fund Objective The Fund seeks to achieve long-term capital appreciation.

Managed Futures Manager Exposure1 Exposure2

Winton

ISAM

80%

20%

The Fund’s access to managers and the percentage exposures to each listed above are presented to illustrate examples of the diversity of managers accessed by the Fund through its managed futures investments, but may not be representative of the Fund’s past, or its future, access and exposure to managed futures managers, sub-strategies and programs. It should not be considered a recommendation or investment advice. With respect to the remainder of Fund assets not invested in managed futures investments via a wholly-owned subsidiary, the Fund pursues a fixed income strategy managed by the Fixed Income Sub-adviser, DoubleLine Capital, L.P., which is not reflected in the table above. 1 The managed futures investments selected by Altegris Advisors to gain exposure to the managed futures managers, strategies and programs are subject to change at any time, and any such change may alter the Fund’s access and percentage exposures to each such manager, strategy and program. Although the Fund currently pursues its managed futures strategy by investing up to 25% of its total assets in a wholly-owned subsidiary, the Fund may also make managed futures investments directly, outside of such subsidiary. 2 As a percentage of the Fund’s managed futures strategy allocation. The Fund’s holdings of cash, cash equivalents and fixed income securities pursuant to its fixed income strategy are excluded from percentage exposures listed in the Managed Futures Manager Exposure table.

Index Descriptions An investor cannot invest directly in an index. Moreover, indices do not reflect commissions or fees that may be charged to an investment product based on the index, which may materially affect the performance data presented. Global Equity. MSCI World Index is a free float-adjusted market capitalization weighted index that measures equity market performance of 24 developed market country indices. Treasury Bills. BofA Merrill Lynch 3-month T-Bill Index is an unmanaged index that measures returns of three-month Treasury Bills. Managed Futures. The Altegris 40 Index® tracks the performance of the 40 leading managed futures programs, by ending monthly equity (assets) for the previous month, as reported to Altegris. The Altegris 40 Index represents the dollar-weighted average performance of those 40 programs. The Index started in July 2000; data is available back to 1990. US Stocks. The S&P 500 Total Return Index is the total return version of S&P 500 index. The S&P 500 index is unmanaged and is generally representative of certain portions of the U.S. equity markets. For the S&P 500 Total Return Index, dividends are reinvested on a daily basis and the base date for the index is January 4, 1988. All regular cash dividends are assumed reinvested in the S&P 500 index on the ex-date. Special cash dividends trigger a price adjustment in the price return index.

Representative Index

Characteristics

Key Risks

Global Equity

MSCI World Index

Measures equity market performance of 24 developed markets

Market risk. Prices may decline. Country / regional risk. World events may adversely affect values.

Treasury Bills

BofA Merrill Lynch 3-month T-Bill Index

Short-term debt obligations of the US government with a 3-month maturity

Interest rate risk. Value will decline if interest rates rise.

Managed Futures

Altegris 40 Index®

40 top AUM managed futures programs, monthly, as reported to Altegris

Market risk. Prices may decline. Leverage risk. Volatility and risk of loss may magnify with use of leverage. Country / regional risk. World events may adversely affect values.

US Stocks

S&P 500 Total Return (TR) Index

500 US stocks; Weighted towards large capitalizations

Stock market risk. Stock prices may decline. Country / regional risk. World events may adversely affect values.

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MARKET + PORTFOLIO COMMENTARY › ALTEGRIS FUTURES EVOLUTION STRATEGY FUND Q4.2014

Risks and Important Considerations Investors should carefully consider the investment objectives, risks, charges and expenses of the Altegris Futures Evolution Strategy Fund. This and other important information about a Fund is contained in the Fund’s Prospectus, which can be obtained by calling (888) 5249441. The Prospectus should be read carefully before investing. Funds are distributed by Northern Lights Distributors, LLC, member FINRA. Altegris Advisors and Northern Lights Distributors, LLC are not affiliated. MUTUAL FUNDS INVOLVE RISK INCLUDING POSSIBLE LOSS OF PRINCIPAL The value of fixed income securities, including preferred stock, will typically fall when interest rates rise. Additionally, fixed income securities are subject to credit risk, which refers to an issuer’s ability to make interest and principal payments when due, and risk of default. Asset or mortgagebacked securities are subject to prepayment risk. Below investment grade and lower quality high yield or junk bonds present heightened credit risk, liquidity risk, and potential for default. Investing in defaulted or distressed securities is considered speculative. REITs are subject to market, sector and interest rate risk. Investing in commodity futures markets subjects the Fund to volatility as commodity futures prices are influenced by unfavorable weather, geologic and environmental factors, regulatory changes and restrictions. Trading on foreign exchanges and foreign investments including exposure to foreign currencies, involve risks not typically associated with U.S. investments, including fluctuations in foreign currency values, adverse social and economic developments, less liquidity, greater volatility, less developed or inefficient trading markets, political instability and differing auditing and legal standards. These risks are magnified in emerging markets The use of derivatives such as futures, swaps, structured notes, and options contracts expose the Fund to additional risks such as leverage risk, tracking risk and counterparty default risk that it may not be subject to if it invested directly in the underlying securities. Although futures contracts are generally liquid, under certain market conditions there may not always be a liquid secondary market. Option positions held may expire worthless and cause a loss. The use of leverage can increase share price volatility and magnify gains or losses, as well as cause the Fund to incur additional expenses. The Fund may engage in short selling and short position derivative activities which are considered speculative and involve significant financial risk. Short positions profit from a decline in price so the Fund may incur a loss on a short position if the price increases. The potential for loss in shorting is unlimited. Shorting may also result in higher transaction costs which reduce return. Investing in commodities through a controlled foreign corporation Subsidiary involves taxation and regulatory risk. Where applicable, income received from commodities-related investments will be passed through to the Fund as ordinary income, which may be taxed at less favorable rates than capital gains. Changes in applicable foreign and domestic laws could result in the inability of the Fund and/or Subsidiary to operate. Underlying Pools in which the Subsidiary invests will pay management fees, commissions, operating expenses and performance based fees to each manager it retains. As a result, the cost of investing in the Fund may be higher than a mutual fund that invests directly in securities. There is no guarantee that any of the trading strategies used by the managers retained will be successful. The adviser’s judgments about the investment expertise of each manager accessed may prove to be inaccurate and may not produce the desired results. The Fund is “non-diversified” for purposes of the Investment Company Act of 1940, and therefore, may invest more than 5% of total assets in the securities of one or more issuers. As a result, performance may be more sensitive to any single adverse market, economic, or regulatory occurrence than a diversified fund.

Altegris Advisors Altegris Advisors, LLC is a CFTC-registered commodity pool operator, commodity trading advisor, NFA member, and SEC-registered investment adviser that advises alternative strategy mutual funds that may pursue investment returns through a combination of managed futures, global macro, long/short equity, long/short fixed income and/or other investment strategies. 734387_012015 | 1042-NLD-1/20/2015

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