Factsheet Q1 2014
Fund Commentary Q1 2014
John Mauldin Article
The Next Evolution in Managed Futures
View All Materials
Invest in an Altegris Mutual Fund
Matt Osborne
Matt Osborne
Altegris Advisors
Co-Portfolio
Manager
>
>

Altegris Futures Evolution Strategy Fund

An evolutionary approach to managed futures which combines a focus on trend following with active fixed income management, sub-advised by DoubleLine Capital.

David Harding
David Harding
Winton Capital Management
Futures Manager
>
>
>
Stanley Fink
Stanley Fink
ISAM
Futures Manager
>
>
>
Jeffrey Gundlach
Jeffrey Gundlach
DoubleLine Capital LP
Sub-Adviser
>
>
>

The Altegris Futures Evolution Strategy Fund, an actively managed mutual fund, seeks to achieve long-term capital appreciation primarily through investments that capture returns related to trends in the commodity and financial futures markets, as well as through active fixed income management. The Fund aims to achieve its goal by accessing returns of a concentrated group of trend-following managed futures investment managers as well as through an allocation of Fund assets to a fixed income strategy sub-adviser.

Regarding its managed futures strategy, the Fund will invest up to 25% of its total assets in a wholly-owned subsidiary, which in turn invests the majority of its assets in a portfolio of investments selected by an experienced portfolio management team at Altegris Advisors. These include investments in a combination of (1) securities of one or more commodity futures trading companies (e.g., underlying pools), (2) swaps, notes or similar derivatives structured to provide exposure to and the returns of managed futures strategies, and (3) investments intended to serve as collateral for such derivative positions (collectively, “managed futures investments”). These investments are selected with the aim of providing aggregate exposure to the managed futures sub-strategies and programs of the managers listed in the chart below, as if between 100% and 125% of the Fund’s net assets were invested in those programs.

Managed Futures Strategy Exposure

(as of 03/31/2014)1
Manager & Program Exposure2 Program Performance3

Winton Capital Management
Diversified Trading Program

82%

ISAM
Systematic Program

18%

The Fund’s access to managers and the percentage exposures to the specific managed futures strategies and programs listed above are presented to illustrate examples of the diversity of managers and programs 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, but which is described below.

1. The managed futures investments selected by Altegris Advisors to gain the exposure to the managed futures managers, strategies and programs as listed in the Managed Futures Strategy Exposure table 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 Strategy Exposure table.

3. Managers report Program Performance information in accordance with applicable NFA 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 or any other information about the Manager accessible from this site.

4. The adviser anticipates it will, under normal circumstances, allocate some portion of the Fund's assets to each of the sub-adviser's sub-strategies at any given time. The Fund invests in fixed income securities of any credit quality or maturity. The Fund may invest in fixed income-related futures, options and swaps as substitutes for fixed income securities and to hedge interest rate and default risk. The amount allocated to either the Core Fixed Income or the Low Duration sub strategy may be between 0% and 100% of amounts allocated to the Fixed Income strategy. The amount allocated to the Opportunistic Income sub-strategy is anticipated to generally range from 0% to 30% of amounts allocated to the Fixed Income strategy.

Lower-quality fixed income securities, known as "high yield", present greater risk than bonds of higher quality, including an increased risk of default. An economic downturn or period of rising interest rates could adversely affect the market for these bonds and reduce the Fund's ability to sell its bonds. The lack of a liquid market for these bonds could decrease the Fund's share price. Asset Backed Securities are sensitive to overall economic conditions and are subject to prepayment risk, which may lower their value, and credit risk because the underlying loan borrowers may default. There is a risk that issuers and counterparties will not make payments on securities and other investments held by the Fund, resulting in losses to the Fund. In addition, the credit quality of securities held by the Fund may be lowered if an issuer's financial condition changes. The value of fixed income securities typically falls when an issuer's credit quality declines and may even become worthless if an issuer defaults. Typically, a rise in interest rates causes a decline in the value of fixed income securities. The value of securities issued by a REIT may be affected by changes in the value of the underlying property owned by the REITs and the value of mortgage REITs may be affected by the quality of loan assets. Investment in REITs involves risks similar to those associated with investing in small capitalization companies, and REITs (especially mortgage REITs) are subject to interest rate risks.

5. The sub-adviser is not responsible for any representations made herein or for the performance of the Fund, 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 information about the sub-adviser accessible from this site

The CFTC recently adopted rule changes for which mandatory compliance by the Fund is anticipated to be required at some point during 2013. Compliance with these rule changes, when mandated, will subject the Fund to regulation as a commodity pool and result in certain additional disclosure obligations. In preparation for compliance with these rule changes, the Fund’s adviser has already registered with the CFTC, and become a member of the NFA, in the capacities as a commodity pool operator (CPO) and commodity trading advisor (CTA) of the Fund.

Other Important Information

Of course, there is no guarantee that any investment will achieve its objectives, generate profits or avoid losses. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

1065-NLD-4/29/2013

Reasons to Invest

  • The potential for positive absolute returns in rising and falling markets
  • Ability to gain global exposure to four major asset classes: stocks, bonds, currencies and commodities
  • Low historical correlation to traditional markets, providing potential for increased portfolio diversification
  • Access to experienced managed futures and fixed income managers with a history of trading through multiple market cycles
  • Experienced portfolio management team, with the ability to hire and fire managers
  • Methodical manager selection, coupled with rigorous ongoing due diligence

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

See the Glossary for term definitions.

Fund NAV & AUM


Fund Facts

Class A*Class CClass IClass N
SymbolEVOAXEVOCXEVOIXEVONX
Inception10/31/1102/16/1210/31/1110/31/11
Investment Minimum$2,500$5,000$1,000,000$2,500
Subsequent Investment$250$250$250$250
Gross Expense Ratio2.06%2.81%1.81%2.06%
Net Expense Ratio1.94%2.69%1.69%1.94%
Expense Cap1.94%2.69%1.69%1.94%

The Fund’s adviser has contractually agreed to reduce its fees and to reimburse expenses of the Fund until at least January 31, 2015, 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. 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.

0427-NLD-1/29/2014

HISTORICAL RETURNS & 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 I and Class N was October 31, 2011. Inception date for Class C was February 16, 2012.

The total annual fund operating expense ratio, gross of any fee waivers or expense reimbursements, is 2.06% for Class A, 2.81% for Class C, 1.81% for Class I and 2.06% for Class N.

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, 2015, to ensure that total annual Fund operating expenses 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. Results shown reflect the waiver, without whcih the results would 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.

0427-NLD-1/29/2014

The Fund seeks to achieve long-term capital appreciation.

Managed futures strategy — Designed to achieve capital appreciation in the financial and commodities futures markets. The Fund may allocate up to 25% to securities that access managed futures, and attempt to maintain exposure to managed futures strategies as if between 100%-125% of the Fund’s net assets were invested in managed futures strategies.

Fixed income strategy Designed to generate interest income and capital appreciation through various sub-strategies including “core fixed income”, “low duration”, and “opportunistic income”.

We believe the key differentiator of the Altegris Futures Evolution Strategy Fund is the fixed income allocation. Assets of the Fund not directed by the adviser to investments in managed futures investments will be allocated to investments in fixed income strategies by the sub-adviser, DoubleLine Capital LP. This active fixed income approach has the ability to invest in securities of varying quality or maturity.

Investment adviser

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

Sub-adviser

DoubleLine Capital LP

Sub-Adviser Portfolio Manager

Jeffrey E. Gundlach, Chief Executive Officer

  • Leading expert on fixed income investment and asset allocation
  • Former TCW Chief Investment Officer and head of fixed income activities
  • Graduate of Dartmouth College (summa cum laude) with BA in Mathematics and Philosophy
  • Attended Yale University as PhD candidate in Mathematics
  • Morningstar’s Fixed Income Manager of the Year (winner in 2006, nominated multiple years)
  • Morningstar’s Fixed Income Manager of the Decade nomination (2009)
  • SmartMoney Power 30 and one of seventeen most influential people by The Mutual Fund Wire
  • Fund Leader of the Year (2010) by Fund Action and one of Fortune Magazine’s Investor’s Guide “Mutual Fund All Stars”

Other Important Information

Of course, there is no guarantee that any investment will achieve its objectives, generate profits or avoid losses. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

The Fund utilizes two principal strategies: managed futures and fixed income. The Fund will invest up to 25% of its total assets in a wholly-owned subsidiary, which in turn invests the majority of its assets in a portfolio of investments in a combination of (1) securities of one or more commodity futures trading companies (e.g., underlying pools), (2) swaps, notes or similar derivatives structured to provide exposure to and the returns of managed futures strategies, and (3) investments intended to serve as collateral for such derivative positions (collectively, “managed futures investments”). These investments are selected with the aim of providing aggregate exposure to the managed futures sub-strategies and programs of the managers listed in the chart below, as if between 100% and 125% of the Fund’s net assets were invested in those programs. The remainder of the Fund’s net assets will be invested in actively managed fixed income strategies managed by the sub-adviser. However, to stay flexible and to respond to various changes in market conditions, the allocation ranges to each strategy may be higher or lower. For additional information see the Prospectus.

Lower-quality fixed income securities, known as "high yield", present greater risk than bonds of higher quality, including an increased risk of default. An economic downturn or period of rising interest rates could adversely affect the market for these bonds and reduce the Fund's ability to sell its bonds. The lack of a liquid market for these bonds could decrease the Fund's share price. Asset Backed Securities are sensitive to overall economic conditions and are subject to prepayment risk, which may lower their value, and credit risk because the underlying loan borrowers may default. There is a risk that issuers and counterparties will not make payments on securities and other investments held by the Fund, resulting in losses to the Fund. In addition, the credit quality of securities held by the Fund may be lowered if an issuer's financial condition changes. The value of fixed income securities typically falls when an issuer's credit quality declines and may even become worthless if an issuer defaults. Typically, a rise in interest rates causes a decline in the value of fixed income securities. The value of securities issued by a REIT may be affected by changes in the value of the underlying property owned by the REITs and the value of mortgage REITs may be affected by the quality of loan assets. Investment in REITs involves risks similar to those associated with investing in small capitalization companies, and REITs (especially mortgage REITs) are subject to interest rate risks.

3096-NLD-12/18/2013

Altegris Futures Evolution Strategy Fund

Fund documents
Monthly Performance Update
Quarterly Fact Sheet
Quarterly Fund Commentary
Guide to Futures Evolution Strategy Fund (EVOAX)
Altegris Family of Mutual Funds
Prospectus
SAI
Annual Report
Semi-Annual Report (SAR)
XBRL
Manager conversations
Manager Video: Winton Managed Futures Sub-strategy
Manager Conversations: Winton Managed Futures Sub-strategy
Manager Video: ISAM Managed Futures Sub-strategy
Manager Conversations: ISAM Managed Futures Sub-strategy
Manager Video: DoubleLine Fixed Income Sub-strategy
Manager Conversations: DoubleLine Fixed Income Sub-strategy
Educational materials
Whitepaper: Managed Futures: Is the Trend Your Friend?
Forms & applications
Regular Application
IRA Application
Simple IRA Application
IRA Transfer of Assets
IRA Custodial Agreement/Disclosure Statement
Roth IRA Custodial Agreement/Disclosure Statement
Advertisements
Managed futures just took a “giant step” forward.
Managed futures just took a “giant step” forward. (Digital)
Media
John Mauldin Article: The Next Evolution in Managed Futures (06/12)
Barron's: Hedge Fund Clones Aren't Exact Matches (01/12)
1065-NLD-4/29/2013

Dividends [Schedule: Monthly]

Record Date Ex‑Date Payable Date Reinvestment
Price (NAV)
Dividend
per Share
03/14/2014 03/17/2014 03/17/2014 $9.70 $0.0030
02/14/2014 02/18/2014 02/18/2014 $9.64 $0.0061
01/14/2014 01/15/2014 01/15/2014 $9.70 $0.0040
12/12/2013 12/13/2013 12/16/2013 $9.49 $0.0704
11/14/2013 11/15/2013 11/15/2013 $9.60 $0.0090
09/13/2013 09/16/2013 09/16/2013 $9.27 $0.0067
08/14/2013 08/15/2013 08/15/2013 $9.16 $0.0027
07/12/2013 07/15/2013 07/15/2013 $9.49 $0.0040
12/12/2012 12/13/2012 12/14/2012 $9.73 $0.0053
11/14/2012 11/15/2012 11/15/2012 $9.50 $0.0024
10/12/2012 10/15/2012 10/15/2012 $9.73 $0.0020
09/14/2012 09/17/2012 09/17/2012 $9.77 $0.0021


Capital Gains [Schedule: Annually]

Record Date Ex‑Date Payable Date Reinvestment
Price (NAV)
Short‑Term Long‑Term
12/12/2012 12/13/2012 12/14/2012 $9.73 $0.0192 N/A

Fund distributions will vary depending upon market conditions and number of shares outstanding. All dates and distributions are subject to board approval. Past distributions are no guarantee of future distributions or performance results.

This information is not intended to cover the complexities of a shareholder's individual tax situation. Because tax laws vary among states, you should consult your tax advisor about the specific rules in the state(s) in which you pay income taxes.

Performance quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than performance data shown. Investment return and principal will fluctuate, so that shares, when redeemed, may be worth more or less than their original cost. For performance information current to the most recent month end, please call (888) 524-9441.

Record date is the date by which a shareholder must own fund shares to receive the distribution. Ex-date is the date on which a shareholder who purchases fund shares will not be eligible to receive the distribution. Payable date is the date on which a shareholder is paid the distribution.

0946-NLD-3/27/2014