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Factsheet Q1 2012

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Fund Commentary Q1 2012

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About the global macro strategy

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Altegris Macro Strategy Fund

Our specialized research and investment process uncovers what we believe are the best alternative managers in the world. Meet some of these professionals accessed by this Fund now:

Scott Ramsey

Denali Asset Management

Manager

Overview

Performance

Christopher Brodie

Krom River Investment Management

Manager

Overview

Performance

Joe Zhou, Ph.D.

Ortus Capital Management

Manager

Overview

Performance

Warren Naphtal

P/E Investments

Manager

Overview

Performance

Key Points to Know:

Actively managed, dynamic portfolio; not a passive index fund
Aims to achieve absolute returns from income and capital appreciation, regardless of the direction of the securities market
Access to the typically flexible and unrestrictive nature of the global macro strategy

HOLDINGS
FACTS
PERFORMANCE
OBJECTIVES
MATERIALS

Macro Strategy Securities Exposure

(as of 03/31/2012)¹

Securities holdings²	Manager & program	Allocation³	Program performance⁴
Denali Class	Denali Asset Management Learn more	35%	Performance
Krom Class	Krom River Investment Management Learn more	25%	Performance
Ortus Class	Ortus Capital Management Learn more	25%	Performance
P/E Class	P/E Investments Learn more	15%	Performance

The portfolio holdings, investment strategies, and allocation are presented to illustrate examples of the securities that the Fund intends to buy and the diversity of areas in which the Fund may invest, and may not be representative of the Fund’s current or future investments. The holdings do not include money market and fixed income instruments. Portfolio holdings are subject to change and should not be considered investment advice. The Fund also holds fixed income securities, cash, and cash equivalents, which are excluded from the allocation of net assets shown above.

1. Fund holdings are classes of the Global Macro Strategies Fund Limited.

2. Exposures are subject to change at any time. The percentage of net assets excludes fixed income securities, cash and cash equivalents. The Fund invests in each of the above through a wholly-owned subsidiary with the aim of providing aggregate exposure to the holdings selected by Altegris Advisors as if 100% of the Fund’s Net Assets were invested in the selected holdings. Reference to the specific holdings should not be construed as a recommendation by the Fund or its Advisers.

3. As a percentage of global macro strategy allocation, excludes cash, cash equivalents and fixed income securities.

4. Managers report Program Performance information in accordance with applicable National Futures Association and CFTC Regulations. None of the Managers identified above take any responsibility for the accuracy or completeness of the contents of the Program Performance information reported (except as otherwise may be stated), for any representations made herein, or for the performance of the Fund. Each Manager disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred directly or indirectly by any person that may arise from any reliance on the Program Performance accessible from this site.

The Trust, on behalf of the Fund, has filed with the National Futures Association a notice claiming an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act, as amended, and the rules of the Commodity Futures Trading Commission promulgated there under, with respect to the Fund’s operation. Accordingly, the Fund is not subject to registration or regulation as a commodity pool operator.

Other Important Information

Of course, there is no guarantee that any investment will achieve its objectives, generate profits or avoid losses.

0339-NLD-030512

Long or Short Positions

The ability to go long or short gives managers the opportunity to potentially profit from both positive and negative developments.

Multiple Asset Classes

Global macro managers have the ability to gain exposure to four major asset classes: stocks, bonds, currencies, commodities.

Global Markets

Global macro managers typically utilize a top-down approach that analyzes fundamental and macroeconomic data to predict market movements across multiple global markets.

See the Glossary for term definitions.

Fund NAV & AUM

[As of May 17, 2012]

Fund facts

	Class A*	Class C	Class I	Class N
Symbol	MCRAX	MCRCX	MCRIX	MCRNX
Inception	6/1/11	10/20/11	6/1/11	6/1/11
Investment Minimum	$2,500	$5,000	$1,000,000	$2,500
Subsequent Investment	$250	$250	$500	$250
Gross Expense Ratio	1.99%	2.74%	1.74%	1.99%
Net Expense Ratio	1.95%	2.70%	1.70%	1.95%

The Fund’s adviser has contractually agreed to reduce fees and absorb expenses of the Fund until at least October 31, 2012. This agreement may be terminated by the Fund’s Board of Trustees on 60 days written notice to the adviser.

*The maximum sales charge for Class A Shares is 5.75%. Class A Share investors may be eligible for a reduction in sales charges. See Prospectus for more information.

The Fund will execute its Global Macro strategies, in part, by investing up to 25% of its total assets in a wholly-owned and controlled subsidiary (the "Subsidiary"). The Subsidiary will invest the majority of its assets in Underlying Funds, swap contracts and structured notes and other investments intended to serve as margin or collateral for swap positions. However, the Fund may also make Global Macro investments outside of the Subsidiary. The Subsidiary is subject to the same investment restrictions as the Fund, when viewed on a consolidated basis with the Fund.

0161-NLD-1/27/2012

Historical performance & NAV

*The maximum sales charge for Class A shares is 5.75%. Class A share investors may be eligible for a reduction in sales charges. See Prospectus for more information.

(1) Represents the percentage increase/decrease in the net asset value from the prior trading day.

(2) Performance for periods less than one year is not annualized.

(3) Inception date for Class A, Class N and Class I was June 1,2011; inception date for Class C was October 20, 2011.

The total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements, is 1.99% for Class A, 2.74% for Class C, 1.74% for Class I, and 1.99% for Class N.

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. The Fund’s investment advisor has contractually agreed to reduce its fees and/or absorb expenses of the fund, at least until October 31, 2012, to ensure that the net annual fund operating expenses will not exceed 1.95% for Class A, 2.70% for Class C, 1.70% for Class I, and 1.95% for Class N, subject to possible recoupment from the Fund in future years. Please review the Fund’s Prospectus for more detail on the expense waiver. 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.

0339-NLD-030512

The Fund seeks absolute returns. To achieve its objectives, the Fund utilizes two principal strategies — global macro and fixed income.

Global macro strategy—Designed to achieve capital appreciation in the financial and commodities futures markets.
Fixed income strategy—Designed to generate interest income and capital appreciation with the objective to diversify the returns under the Global Macro strategies.

Investment adviser

Altegris Advisors, L.L.C.
Investment Adviser Portfolio Managers

Jon Sundt, President & CEO

View bio

Matt Osborne, Executive Vice President

View bio

Allen Cheng, Chief Investment Officer

View bio

Investment sub-adviser

J.P. Morgan Investment Management Inc.
Investment Sub-Adviser Portfolio Manager

John Tobin, Managing Director

Other Important Information

Of course, there is no guarantee that any investment will achieve its objectives, generate profits or avoid losses.

0161-NLD-1/27/2012

Please Click Here to Request Materials.

Altegris Macro Strategy Fund

Fund documents
Monthly Performance Update	DOWNLOAD PDF
Quarterly Fact Sheet	DOWNLOAD PDF
Quarterly Fund Commentary	DOWNLOAD PDF
Altegris Family of Mutual Funds	DOWNLOAD PDF
Prospectus	DOWNLOAD PDF
SAI	DOWNLOAD PDF
Semi-Annual Report (SAR)	DOWNLOAD PDF
Distributions	DOWNLOAD PDF
Educational materials
Guide to Global Macro	DOWNLOAD PDF
White paper: Global Macro: The Ultimate ‘Go-Anywhere’ Mandate	DOWNLOAD PDF
Forms & applications
Regular Application	DOWNLOAD PDF
IRA Application	DOWNLOAD PDF
Simple IRA Application	DOWNLOAD PDF
IRA Transfer of Assets	DOWNLOAD PDF
IRA Custodial Agreement/Disclosure Statement	DOWNLOAD PDF
Roth IRA Custodial Agreement/Disclosure Statement	DOWNLOAD PDF
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When opportunity knocks, some funds can’t listen. What’s the alternative?	DOWNLOAD PDF
Media
Altegris CEO Jon Sundt on Bloomberg	Go Now
Altegris CEO Jon Sundt on Fox Business	Go Now
Barron's: Hedge Fund Clones Aren't Exact Matches	Go Now

0161-NLD-1/27/2012

Altegris Advisors LLC is an SEC-registered investment adviser that advises alternative strategy mutual funds that may pursue investment returns through a combination of managed futures, fixed income and/or other investment strategies.

Investors should carefully consider the investment objectives, risks, charges and expenses of the Fund or Funds described herein. This and other important information about a Fund is contained in a Fund’s Prospectus, which can be obtained by calling (888) 524-9441. The Prospectus should be read carefully before investing. Funds are distributed by Northern Lights Distributors, LLC member FINRA. Altegris Advisors, J.P. Morgan Investment Management, DoubleLine Capital LP, and Northern Lights Distributors are not affiliated.

MUTUAL FUNDS INVOLVE RISK INCLUDING POSSIBLE LOSS OF PRINCIPAL.

The funds are “non-diversified” for purposes of the Investment Company Act of 1940, which means that the funds may invest in fewer securities at any one time than a diversified fund. When the funds invest in fixed income securities or derivatives, the value of your investment in the fund will fluctuate inversely with changes in interest rates. In general, the market price of debt securities with longer maturities will increase or decrease more in response to changes in interest rates than shorter-term securities. Other risk factors include credit risk and prepayment risk. These risks could affect the value of a particular investment by the fund(s) possibly causing the fund's share price and total return to be reduced and fluctuate more than other types of investments. To respond to adverse market, economic, political or other conditions, the fund(s) may invest 100% of its total assets, without limitation, in high-quality short-term debt securities and money market instruments. The fund's indirect and direct exposure to foreign currencies subjects the Fund to the risk that those currencies will decline in value relative to the U.S. Dollar, or, in the case of short positions, that the U.S. Dollar will decline in value relative to the currency that the fund is short. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates and the imposition of currency controls or other global political developments. In addition, the funds may incur currency conversion transaction costs.

The fund(s) will invest a percentage of its assets in derivatives, such as futures and options contracts. The use of such derivatives may expose the fund(s) to additional risks that it would not be subject to if it invested directly in the securities and commodities underlying those derivatives. The fund(s) may experience losses that exceed losses experienced by funds that do not use futures contracts and options. There may be an imperfect correlation between the changes in market value of the securities held by the fund(s) and the prices of futures and options on futures. Although futures contracts are generally liquid instruments, under certain market conditions there may not always be a liquid secondary market for a futures contract. As a result, the fund(s) may be unable to close out its futures contracts at a time which is advantageous. Trading restrictions or limitations may be imposed by an exchange, and government regulations may restrict trading in futures contracts and options. Because option premiums paid or received by the Fund are small in relation to the market value of the investments underlying the options, buying and selling put and call options can be more speculative than investing directly in securities. Over-the-counter transactions are subject to little, if any, regulation and may be subject to the risk of counterparty default. A portion of the fund's assets may be used to trade OTC commodity interest contracts, such as forward contracts, option contracts in foreign currencies and other commodities, or swaps or spot contracts. A substantial portion of the trades of the programs are expected to take place on markets or exchanges outside the United States. Some foreign markets present additional risk, including foreign exchange risk, because they are not subject to the same degree of regulation as their U.S. counterparts. Trading on foreign exchanges is subject to the risks presented by exchange controls, expropriation, increased tax burdens and exposure to local economic declines and political instability. An adverse development with respect to any of these variables could reduce the profit or increase the loss earned on trades in the affected international markets. The fund(s) may employ leverage and may invest in leveraged instruments. The more the fund(s) invests in leveraged instruments, the more this leverage will magnify any losses on those investments; share value will be more volatile than if leverage was not used. The fund(s) may take short positions, directly and indirectly through its Subsidiary, in derivatives. If a derivative in which the funds have short positions increases in price, the Underlying Pool may have to cover its short position at a higher price than the short sale price, resulting in a loss.

Structured notes involve leverage risk, tracking risk and issuer default risk. Taxation Risk involves investing in commodities indirectly through the fund’s subsidiary, through which the funds will obtain exposure to the commodities markets within the federal tax requirements that apply to the fund(s). However because the subsidiaries are controlled foreign corporations, any income received from such investments in Underlying Pools will be passed through to the fund(s) as ordinary income, which may be taxed at less favorable rates than capital gains. Underlying Pools in which the subsidiaries invest will retain investment managers and be subject to investment advisory and other expenses which are indirectly paid by the funds. As a result, the cost of investing in the funds may be higher than other mutual funds that invest directly in stocks and bonds. Each Underlying Pool will pay management fees, brokerage commissions, operating expenses and performance based fees to each manager it retains. Performance based fees will be paid without regard to the performance of any other managers retained or to the overall profitability of the Underlying Pool. Underlying Pools are subject to specific risks, depending on the nature of the managers they retain. There is no guarantee that any of the trading strategies used by the managers retained by an Underlying Pool will be profitable or avoid losses.

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Altegris Alternatives Allocator

Invest in an Altegris Mutual Fund

FINANCIAL PROFESSIONALS

INDIVIDUAL INVESTORS

Altegris Macro Strategy Fund

Our specialized research and investment process uncovers what we believe are the best alternative managers in the world. Meet some of these professionals accessed by this Fund now:

Denali Asset Management

Macro Strategy Securities Exposure

Krom River Investment Management

Macro Strategy Securities Exposure

23+ years of experience in commodity markets Co-founder of the Armajaro Commodity Fund In 2006, founded Krom River

Ortus Capital Management

Macro Strategy Securities Exposure

P/E Investments

Macro Strategy Securities Exposure

Key Points to Know:

Actively managed, dynamic portfolio; not a passive index fund

Aims to achieve absolute returns from income and capital appreciation, regardless of the direction of the securities market

Access to the typically flexible and unrestrictive nature of the global macro strategy

Macro Strategy Securities Exposure

Denali Asset Management

Krom River Investment Management

Ortus Capital Management

P/E Investments

Other Important Information

Long or Short Positions

Multiple Asset Classes

Global Markets

Fund NAV & AUM

Fund facts

Historical performance & NAV

Investment adviser

Investment sub-adviser

Other Important Information

Altegris Macro Strategy Fund

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23+ years of experience in commodity markets

Co-founder of the Armajaro Commodity Fund

In 2006, founded Krom River