PERFORMANCE

(Performance as of 8/31/2016)

MANAGED FUTURES STRATEGY FUND Monthly Portfolio Update And Commentary August 2016

CLASS

A (NAV)

A (MAX LOAD) **

I (NAV)

1M

-2.02%

-7.69%

-2.00%

3M

7.33%

1.14%

7.46%

YTD

-3.43%

-9.02%

-3.23%

1Y 6/30/16

-1.97%

-7.64%

-1.73%

2Y 6/30/16

9.60%

6.38%

9.87%

3Y 6/30/16

9.65%

7.52%

9.89%

SINCE INCEP 6/30/16

5.75%

3.85%

5.70%

SINCE INCEP 8/31/16

5.09%

3.29%

5.18%

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

$ 567,708,265 Assets as of August 31, 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 119 Managed Futures funds for the 3-year period ending 6/30/16, based on risk-adjusted returns.

The Total Annual Fund Operating Expenses for the Longboard Managed Futures Strategy Fund class A and I are 3.24% and 2.99% 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 lost -2.00% in August, due to countertrend price movements in each of our four asset classes. Reversing this year’s earlier theme, equities delivered low volatility gains while bonds suffered rising volatility and their first monthly loss of the year (as measured by the U.S. Barclays Aggregate Bond Index). Central bankers attempted to commandeer market sentiment once again in August, led by U.S. Federal Reserve (Fed) members presenting a hawkish tone at the annual Jackson Hole gathering. The rhetoric fueled a reversal higher in U.S. yields and the dollar. Sovereign bond yields also rose across Europe and Asia.

Despite elevated volatility in fixed income, currency and commodity markets, equities remain quiet. The S&P 500 moved less than 1% during each trading day in August, and less than 0.75% for 17 straight trading days. This degree of volatility compression hasn’t occurred since at least 1970, and given the abundance of upcoming catalysts, markets could be setting up for an interesting September. Potential market movers include the political rhetoric surrounding the first U.S. presidential debates, a highly-anticipated OPEC meeting, and the Fed’s September interest rate decision.

The same dynamics driving interest rates showed up in currency and commodity markets. The U.S. dollar and British pound rose alongside rising yields in each country. Commodities came under pressure from the strengthening dollar, with the exception of energy markets that rallied in response to OPEC members talking up a potential production freeze at the upcoming September meeting.

Weak jobs and manufacturing data released after Jackson Hole generated a rally in risk assets, indicating a potential “bad news is good news” dynamic. However, failure to raise rates could widen the growing credibility gap for the Fed, creating potential unintended downside risk. At the same time, we can’t discount the possibility that markets could cheer a rate hike with gains in risk assets. This upside scenario is especially plausible given the large number of currently underperforming active managers, who may feel pressured to increase their market exposure in order to catch up with benchmarks towards year end. In any event, the environment will likely remain challenging, and we believe that maintaining a disciplined long-term investment plan is likely to be as important as ever.

PERFORMANCE ATTRIBUTION BY ASSET CLASS

August 2016

-0.9%

-0.8%

■ EQUITIES

-0.7%

-0.6%

-0.5%

■ FIXED INCOME

-0.4%

-0.3%

-0.2%

■ CURRENCIES

-0.1%

0%

0.1%

■ 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 -0.04% Global equities were mostly flat in August, with the exception of outperformance in Chinese markets. British equities also outperformed, boosted by positive economic data showing impressive resiliency following the “Brexit.” Underneath the calm surface of U.S. indices, individual stocks painted a different picture of diverging fundamentals and spiking volatility. Biotech stocks sold off in response to political posturing on drug prices, and weakness across stocks like Target, Lowe’s, Dollar General and Campbell’s Soup indicated potential macroeconomic weakness among U.S. consumers. The prospect of higher rates sent financials higher, and highdividend telecom and utility sectors lower.

» FIXED INCOME -0.88% Rising yields across the U.S., Europe and Japan caused losses for the fund’s long exposure to government bonds in the United States, Britain and Japan. Rates rallied for unique reasons in each region, with positive economic data sending British 10-year gilt yields surging to 75 basis points off the record low 50 basis point yields reached just weeks earlier. Japanese yields rose due to concerns about potential limits to the Bank of Japan’s (BOJ) government bond purchase program, given that the BOJ’s current ownership is beginning to crowd out private investors. The repricing of interest rate expectations from Fed commentary caused the reversal in U.S. bond markets.

We closed short positions in the French CAC 40 and the Chinese Hang Seng H-share indices, and opened a new long position in the UK’s FTSE 100. Net exposure grew closer to market neutral, with long positions in the United States and United Kingdom balancing against short positions in the rest of Europe and Japan.

Despite this month’s volatility in fixed income markets, the current long-term uptrends remain in place across the globe. No major changes were made in the fund’s fixed income portfolio, but risk exposure declined modestly in response to this month’s adverse price movements.

» CURRENCIES -0.29% The U.S. dollar weakened in response to softer than expected CPI inflation data early in the month. These losses reversed sharply on the back of hawkish comments from Janet Yellen and Stanley Fisher at the Jackson Hole symposium. The British pound and Japanese yen both traded in wide ranges, with little net progress achieved from the start of the month to the end. The Reserve Bank of New Zealand cut rates to a record low 2%, yet the currency remained unfazed, as the historically low interest rate remains among the highest in the developed world.

» COMMODITIES -0.79% Grains and precious metals reversed against previous uptrends in August, while energy markets reversed against former downtrends. Crude oil rallied by more than 20%, transitioning from bull to bear market in just 16 trading days. Analysts attributed the sharp reversal to the combination of record short positioning and OPEC members floating the possibility of a production cut early in the month. The rally came amid steady builds in gasoline inventories throughout August, which historically has been a time of inventory drawdowns during the peak summer driving season. Soft commodities remained mixed, with gains in coffee and sugar juxtaposed against losses in cocoa, cotton and lumber.

We opened a new long Australian dollar position against the Canadian dollar, increasing gross exposure modestly during August. Going into September, the fund’s currency exposure remains mostly neutral with respect to the U.S. dollar, net long the Japanese yen and short the British pound.

We added a new long position in platinum and new short positions in lean hogs. We closed short positions in several energy markets, including Brent crude oil, heating oil and natural gas. These changes brought the portfolio’s gross commodities exposure down, and shifted net exposure to less short.

PORTFOLIO

Risk Allocation By Asset Class as of August 2016

17+253523

FIXED INCOME

EQUITIES

17.20%

24.78%

23.24%

34.78%

CURRENCIES

» EQUITIES 17.20%

» FIXED INCOME

24.78%



LARGEST HOLDINGS

POSITION



% OF RISK1



S&P 500 Index E-Mini

Long

2.86%

S&P Mid-Cap 400 Index E-Mini

Ultra U.S. Treasury Bond Futures

Long

2.90%

Long

2.27%

Dow Jones Industrial Index E-Mini



10-Year German Bond (Bund)

Long

2.83%

Long

2.24%

30-Year German Bond (Buxl)

Long

2.67%

% OF RISK1

TOTAL 7.86%

LARGEST HOLDINGS

POSITION

TOTAL 8.40%

» CURRENCIES 23.24%

» COMMODITIES 34.78%



LARGEST HOLDINGS

POSITION

% OF RISK1



LARGEST HOLDINGS

POSITION



Brazilian Real / U.S. Dollar

Long

2.59%



Wheat (Kansas City)

Short

3.45%



British Pound / Australian Dollar

Short

2.45%



EUX (ECX) Carbon Dioxide Emissions Short

3.02%



Euro / B  ritish Pound

Short

2.45%



Tin Monthly Prompt

3.00%

TOTAL 7.49%

1

COMMODITIES

Long

TOTAL

% OF RISK1

9.47%

 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: Short CBOE volatility index and long

» EQUITIES: Short Spanish equities

U.S. equities

» FIXED INCOME: Long 3-year Australian government bonds

» CURRENCIES: Long the Brazilian real against the U.S. dollar

» COMMODITIES: Long cocoa and short corn

» COMMODITIES: Short crude oil and gasoline » CURRENCIES: Long the Australian dollar against the Canadian dollar

» FIXED INCOME: Long 2- and 5-year U.S. treasuries

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. 3687-NLD-9/9/2016