PERFORMANCE

(Performance as of 9/30/2016)

MANAGED FUTURES STRATEGY FUND Monthly Portfolio Update And Commentary September 2016

$ 554,600,684

Assets as of September 30, 2016

HOW TO INVEST Visit longboardmutualfunds.com Call us at 800.290.8319 The Longboard Managed Futures Strategy Fund – WAVIX received 4 stars out of 126 Managed Futures funds for the 3-year period ending 9/30/16, based on risk-adjusted returns.

CLASS

A (NAV)

A (MAX LOAD) **

I (NAV) *

1M

1.40%

-4.41%

1.39%

3M

0.18%

-5.57%

0.27%

YTD

-2.08%

-7.74%

-1.88%

1Y 9/30/16

-4.49%

-10.00%

-4.23%

2Y 9/30/16

8.29%

5.14%

8.55%

3Y 9/30/16

10.35%

8.20%

10.63%

SINCE INCEP 9/30/16

5.38%

3.62%

5.42%

*INCEPTION DATE: 6/27/12 **INCEPTION DATE: 3/22/13

The Total Annual Fund Operating Expenses for the Longboard Managed Futures Strategy Fund class A and I are 3.12% and 2.87% respectively. The maximum sales charge for Class A (Max Load) shares is 5.75%. The performance data quoted here represents past performance. 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. Past performance is no guarantee of future results. For performance information current to the most recent month-end, please call toll-free 855-294-7540 or visit our website, www. longboardmutualfunds.com. There is no guarantee that any investment will achieve its objectives, generate positive returns, or avoid losses.

RECAP

OUTLOOK

The fund returned +1.39% in September, due to profitable trends in global equities, commodities and currencies that were partially offset by modest losses in fixed income. Investors entered September on guard for a potential rate hike from the U.S. Federal Reserve (Fed). Hawkish comments from Boston Fed President Eric Rosengren sparked a 400-point intraday decline in the Dow Jones Index. This move was quickly reversed the next trading day, following Fed Governor Lael Brainard’s speech containing a dovish rebuttal. Ultimately, the Fed left rates unchanged, sparking gains in risk assets towards the end of the month.

Despite the slowing economic data and cautious outlook from the Federal Reserve, U.S. equities ended September near record highs, driven by continued accommodative monetary policy. The divergence between slower growth and earnings against elevated stock prices continues to challenge active fund managers, with a majority currently underperforming their benchmarks. Going forward, we believe both the bulls and bears could make plausible cases for the next direction in risk assets. The bulls continue pointing to a lack of viable investment alternatives to equities in a low interest rate world, bolstered by continued monetary accommodation. Underperforming, underinvested active managers could provide a catalyst for the next leg higher in risk assets if these managers increase their market exposure to catch up with benchmarks towards year-end. The bears point towards elevated valuations combined with lackluster fundamental growth prospects. In any event, we believe investors can avoid relying upon shorter term market movements by maintaining a long-term asset allocation strategy that contains exposure to unique risk and return drivers.

In their revised economic outlook, the Fed marked down its forecast for 2016 economic growth, from 2% to 1.8%. The Fed also reduced its forward guidance to just three rate hikes through 2017 – down from five at the June meeting. August economic data released during the month confirmed this slow growth outlook. Weak data points included declines in retail sales, disappointing industrial production and a contraction in manufacturing. Furthermore, consensus analyst expectations for corporate earnings growth have now flipped from positive to negative for the upcoming Q3 reporting period.

PERFORMANCE ATTRIBUTION BY ASSET CLASS

September 2016

-0.2%

-0.1%

■ EQUITIES

0%

0.1%

0.2%

■ FIXED INCOME

0.3%

0.4%

0.5%

■ CURRENCIES

0.6%

0.7%

0.8%

■ COMMODITIES

Past results are not necessarily indicative of future results. There is no guarantee that any investment will achieve its goals and generate profits or avoid losses. The returns shown are presented as a percentage of overall fund performance attributed to the named asset class. Holdings are subject to change at any time and should not be considered investment advice.

COMMENTARY » EQUITIES 0.05%

» FIXED INCOME -0.13% Sovereign bonds sold off in various regions around the globe in September. The U.S. yield curve steepened as long rates in the U.S. increased alongside rising risk-on sentiment. Australian bonds saw their largest losing streak since 2015, in response to stronger economic data that reduced expectations for further easing from the Reserve Bank of Australia. European bonds strengthened late in the month from safe haven demand in light of systemic risk concerns emanating from European investment banks.

We closed short positions in the Euro STOXX 50 and the Spanish IBEX 35 indices, and opened new long positions in the S&P TSX 60 and MSCI Taiwan indices. This month’s changes caused the fund’s equities portfolio to transition from net short to net long equities. We are now long U.S. and several European equities, and short Japanese and Italian equities.

The lack of long-term trend developments in fixed income markets caused the fund to maintain its current portfolio throughout September. The current portfolio contains diversified long exposure to uptrends in Japanese, European, U.S. and Australian government bond markets.

» CURRENCIES 0.75% The British pound came under renewed pressure in September, approaching its lowest levels since 1985. The weakness accelerated in response to the hardline stance taken by Theresa May with regards to Brexit proceedings, including her push for a quicker and more decisive break with the European Union. The Australian dollar rallied alongside rising interest rates, which followed betterthan-expected economic data. The euro continued to consolidate into a progressively narrower range, and the Japanese yen modestly appreciated in line with its current uptrend.

» COMMODITIES 0.73% In September, commodities continued to show signs of a potential transition from deflation to inflation. Soft commodities, metals and energy products strengthened due to unique fundamental forces in each market. Energy rallied in response to a preliminary OPEC agreement to cut production at the cartel’s next meeting in November. Soft commodities benefited from shortages created by the harsh El Niño weather pattern. Cattle and grains remained in downtrends due to favorable weather conditions in North America, and historically high inventory levels from previous over investment.

We made no major changes in the fund’s currency exposure during the month due to the lack of long-term trend developments. Going forward, the portfolio remains mostly neutral with respect to the U.S. dollar, net long the Japanese yen and short the British pound.

We opened new long positions in zinc, lead, coffee and Malaysian palm oil, and a new short position in cocoa. We closed a previous long position in soybean meal and a previous short position in Gasoil. These new positions increased the fund’s net commodities exposure to nearly market neutral. Gross commodities exposure ranks highest among the four asset classes.

Risk-on sentiment fueled further gains in global equities during the month, led once again by U.S. markets. Investors shifted from the defensive, dividend-yielding sectors into the more cyclical and higher growth areas of the market. Specifically, we saw a rotation from utilities and consumer staples into technology, industrials and energy stocks. Later in the month, concerns regarding potential systemic issues related to Deutsche Bank’s derivative exposure sparked volatility in financial stocks that rippled across global risk assets.

PORTFOLIO

Risk Allocation By Asset Class as of September 2016

20+224018

FIXED INCOME

EQUITIES

20.06%

18.00%

22.23%

39.71%

CURRENCIES

COMMODITIES

» EQUITIES 20.06%

» FIXED INCOME



LARGEST HOLDINGS

POSITION

% OF RISK1



LARGEST HOLDINGS

POSITION



S&P 500 Index E-Mini

Long

2.61%



Nasdaq 100 Index E-Mini Long

2.38%



30-Year German Bond (Buxl)

Long

1.97%



10-Year German Bond (Bund)

Long

1.97%

 Ultra U.S. Treasury Bond Futures

Long

1.74%

S&P Mid-Cap 400 Index E-Mini

Long

2.37%

18.00% % OF RISK11

» CURRENCIES 22.23%

» COMMODITIES 39.71%



LARGEST HOLDINGS

POSITION

% OF RISK1



LARGEST HOLDINGS

POSITION



British Pound / Australian Dollar

Short

2.73%



Lean Hogs

Short

3.49%



Brazilian Real / U.S. Dollar

Long

2.55%



London White Sugar

Long

2.75%



Wheat (Kansas City)

Short

2.67%



Euro / B  ritish Pound

Long

2.15%

% OF RISK1



1

 he % of Risk is the estimated maximum equity a position could lose, divided by the estimated aggregate equity currently at risk of loss across all T positions in the portfolio. Portfolio holdings are subject to change at any time and should not be considered investment advice. There is no assurance that the identified level of risk will occur or be maintained as risk cannot be predicted with certainty.

HIGHLIGHTS Contributors

Detractors

» Equities: Long the Nasdaq 100

» Equities: Short the Euro STOXX 50

» Commodities: Long sugar and short lean hogs

» Commodities: Short copper and crude oil

» Currencies: Long the euro and Australian dollar

» Currencies: Short the Australian dollar against

against the British pound

» Fixed income: Long German government bonds

the Japanese yen

» Fixed income: Long Australian government bonds

GLOSSARY Commodity Market

Long

A physical or virtual marketplace for buying, selling, and trading raw or primary product such as natural resources, agricultural products, and livestock.

Buying an asset such as a stock, commodity or currency with the expectation that the asset will rise in value.

Forward Contract A non-standardized contract between two parties to buy or sell a specified asset of specified quantity with delivery and payment occurring on a specified date. Futures Contract A standardized contract between two parties to buy or sell a specified asset of standardized quantity and quality with delivery and payment occurring on a specified date.

Risk Allocation The estimated maximum equity a position could lose, divided by the estimated aggregate equity currently at risk of loss across all positions in the portfolio. Short Selling an asset such as a stock, commodity or currency, with the expectation that the asset will decrease in value. Long-Term Holding periods averaging greater than one year.

Managed Futures Mutual Fund Index Member

Morningstar is an independent provider of financial information. Morningstar performance rankings are based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a fund’s monthly performance (including the effects of sales charges, loads and redemption fees), placing more emphasis on downward variation and rewarding consistent performance. The top 10%, the next 22.5%, 35%, 22.5% and bottom 10% receive 5, 4, 3, 2 or 1 star, respectively. The Overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five- and ten-year (if applicable) Morningstar Rating metrics. PROSPECTUS OFFERING DISCLOSURE Investors should carefully consider the investment objectives, risks, charges and expenses of the Longboard Managed Futures Strategy Fund. This and other important information about the Fund is contained in the prospectus, which can be obtained at http://www.longboardmutualfunds.com or by calling 855-294-7540. The prospectus should be read carefully before investing. The Longboard Managed Futures Strategy Fund is distributed by Northern Lights Distributors, LLC, a FINRA/SIPC member. Longboard Asset Management, LLC, is not affiliated with Northern Lights Distributors, LLC. MUTUAL FUND RISK DISCLOSURE Mutual funds involve risk including possible loss of principal. The fund will invest a percentage of its assets in derivatives, such as commodities, futures and options

contracts. The use of such derivatives and the resulting high portfolio turnover may expose the fund to additional risks that it would not be subject to, if it invested directly in the securities and commodities underlying those derivatives. The fund may experience losses that exceed those experienced by funds that do not use futures contracts, options and commodities. Changes in interest rates and the liquidity of certain investments could affect the fund’s overall performance. The fund is non-diversified and as a result, changes in the value of a single security may have significant effect on the fund’s value. Other risks include credit risks and investments in fixed income securities, structured notes, asset-backed securities and foreign investments. Furthermore, the use of short positions and leveraging can magnify the potential for gain or loss and amplify the effects of market volatility on the fund’s share price. The fund is subject to regulatory change and tax risks. Changes to current regulation or taxation rules could increase costs associated with an investment in the Fund. SG CTA Mutual Fund Index: An index that tracks the performance of ‘40 Act mutual funds pursuing managed futures strategies. The Index includes the 10 largest single-manager CTA Mutual Funds, including funds employing both systematic and discretionary management styles. Index values are based on performance of the institutional share classes with dividends reinvested. 6647-NLD-10/10/2016