united states
securities and exchange commission
washington, d.c. 20549

form n-csr

certified shareholder report of registered management
investment companies

Investment Company Act file number 811-21720

 

Northern Lights Fund Trust

(Exact name of registrant as specified in charter)

 

225 Pictoria Drive, Ste 450, Cincinnati, OH 45246

(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company

1209 Orange Street Wilmington, DE 19801

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 631-470-2633

 

Date of fiscal year end: 10/31

 

Date of reporting period: 4/30/22

 

Item 1. Reports to Stockholders.

 

(COVER PAGE)

 

 

Navigator® Equity Hedged Fund
K. Sean Clark, CFA — Chief Investment Officer
 

It was a rough six months for the markets with a lot of headwinds. There is a lot of uncertainty in the markets pertaining to the threat of the highest inflation in 40 years, economic stagflation, geopolitical tensions, the Federal Reserve tightening and eventually shrinking their balance sheet. On March 16th the Federal Reserve began their first rate hike cycle since 2019. The Fed is taking a more hawkish tone on future rate hikes and balance sheet roll off.

 

Given all of the worries facing investors, the markets have been very volatile. During the 6-month period ending April 30th, the S&P 500 declined 9.65%, the small cap Russell 2000 Index declined 18.40%, and international markets as represented by the MSCI ACWI ex-US Index declined 11.87%. Fixed income provided no place to hide. The Bloomberg Barclays Aggregate Bond Index sank 9.47%, it’s largest quarterly decline since 1980. The Bloomberg Barclays 7-10 Year US Treasury Index declined 9.82%, and the Bloomberg Barclays US Corporate High Yield Index lost 7.41%.

 

Attribution

 

For the semi-annual period ended April 30, 2022 the Navigator Equity Hedged Fund (the “Fund”) Institutional Shares declined 13.13% compared to an 11.30% loss in the MSCI World Index and a 1.56% loss for the HF X Equity Hedged Index.

 

The Fund overweighted U.S versus International for the quarter, which was a net positive contributor to performance as geopolitical issues weighed on Europe and COVID reemerged in China.

 

Material and Energy exposures were the largest positive contributors to performance, while International Value and Regional Banks were the largest detractors.

 

Value’s outperformance versus growth was dramatic during the past 6-months. Large Value outperformed Large Growth by 15.25% was down 5.3% while the NASDAQ reached a bear market with a 20% decline.

 

Outlook

 

In our annual outlook we stated, “As we look toward 2022 and ponder what the year will hold for the markets and the economy, we think we are transitioning from a year of recovery in 2021 to a year of headwinds and mean reversion in 2022. We expect to see more volatility in 2022 than last year, with the potential for a 10-15% equity correction in the first half of the year.” So far that script has played out with the global equity and bonds markets under pressure.

1

 

We expect the markets to remain choppy over the near-term as they digest the Fed’s path of tightening monetary policy. While inflation is a massive concern, we think we may be nearing the point of peak inflation. The flattening and inversion of parts of the Treasury yield curve suggests lower economic growth in the future. We do not see a risk of immediate recession as some have called for. In fact, while parts of the curve have inverted, the difference between the 10-Year Treasury and 3-month T-bill yields, which is a more accurate recession gauge, has actually steepened to its highest since 2017.

 

Disclosures

 

Clark Capital Management Group, Inc. (Clark Capital) is an investment advisor registered with the United States Securities and Exchange Commission under the Investment Advisers Act of 1940, as amended. Registration does not imply a certain level of skill or training. More information about Clark Capital’s advisory services and fees can be found in its Form ADV which is available upon request.

 

The opinions expressed are those of the Clark Capital Management Group Investment Team. The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. There is no guarantee of the future performance of any Clark Capital investment portfolio. Nothing herein should be construed as a solicitation, recommendation or an offer to buy, sell or hold any securities, other investments or to adopt any investment strategy or strategies. For educational use only. This information is not intended to serve as investment advice. This material is not intended to be relied upon as a forecast or research. The investment or strategy discussed may not be suitable for all investors. Investors must make their own decisions based on their specific investment objectives and financial circumstances. Past performance does not guarantee future results.

 

This document may contain certain information that constitutes forward-looking statements which can be identified by the use of forward-looking terminology such as “may,” “expect,” “will,” “hope,” “forecast,” “intend,” “target,” “believe,” and/or comparable terminology (or the negative thereof). No assurance, representation, or warranty is made by any person that any of Clark Capital’s assumptions, expectations, objectives, and/or goals will be achieved. Nothing contained in this document may be relied upon as a guarantee, promise, assurance, or representation as to the future.

 

Beta is a measure of the volatility-or systematic risk-of a security or portfolio compared to the market as a whole.

 

The S&P 500 is a market-capitalization-weighted index of the 500 largest U.S. publicly traded companies. The index is widely regarded as the best gauge of large-cap U.S. equities.

 

The Russell 2000 index measures the performance of the 2,000 smaller companies that are included in the Russell 3000 Index, which itself is made up of nearly all U.S. stocks. The Russell 2000 is widely regarded as a bellwether of the U.S. economy because of its focus on smaller companies that focus on the U.S. market.

 

The MSCI All Country World Index (ACWI) is a market capitalization weighted index designed to provide a broad measure of equity-market performance throughout the world. The MSCI ACWI is maintained by Morgan Stanley Capital International (MSCI) and is comprised of stocks from 23 developed countries and 24 emerging markets.

 

The Bloomberg Barclays US Corporate High Yield Bond Index measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below.

 

The Bloomberg Barclays US Aggregate Bond Index, or the Agg, is a broad base, market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States.

2

 

The Bloomberg Barclays US Treasury: 7-10 Year Index measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury with 7-9.9999 years to maturity. Treasury bills are excluded by the maturity constraint but are part of a separate Short Treasury Index.

 

Past performance does not guarantee future returns. Investors should carefully consider the investment objectives, risks, charges and expenses of the Navigator Funds. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling 1-800-766-2264. The prospectus should be read carefully before investing. The Navigator® Funds are distributed by Northern Lights Distributors, LLC member FINRA/SIPC.

 

Clark Capital Management Group and Northern Lights Distributors LLC are not affiliated entities.

 

6555-NLD-06162022

3

 

Navigator® Tactical Fixed Income Fund
K. Sean Clark, CFA — Chief Investment Officer
 

It was a rough six months for the markets with a lot of headwinds. There is a lot of uncertainty in the markets pertaining to the threat of the highest inflation in 40 years, economic stagflation, geopolitical tensions, the Federal Reserve tightening and eventually shrinking their balance sheet. On March 16th the Federal Reserve began their first rate hike cycle since 2019. The Fed is taking a more hawkish tone on future rate hikes and balance sheet roll off.

 

Given all of the worries facing investors, the markets have been very volatile. During the 6-month period ending April 30th, the S&P 500 declined 9.66%, the small cap Russell 2000 Index declined 18.40%, and international markets as represented by the MSCI ACWI ex-US Index declined 11.87%. Fixed income provided no place to hide. The Bloomberg Barclays Aggregate Bond Index sank 9.47%, it’s largest quarterly decline since 1980. The Bloomberg Barclays 7-10 Year US Treasury Index declined 9.82%, and the Bloomberg Barclays US Corporate High Yield Index lost 7.41%.

 

Attribution

 

For the semi-annual period ending April 30, 2022 the Navigator Tactical Fixed Income Fund institutional shares (the “Fund”) lost 3.85% compared to a 7.41% loss for the Bloomberg Barclays US Corporate High Yield Index and a 9.47% loss for the Bloomberg Barclays US Aggregate Bond Index. It was a challenging period for fixed income as interest rates trended higher.

 

The primary driver of the Fund’s return over time is its macro allocations that are driven by our relative strength credit-based risk management models. That remained the case during the 6-month period as the alpha generated was due in large part to the Fund’s defensive position of allocating half of the strategy into cash equivalents on January 31, 2022.

 

On a relative basis credit held up better than duration. High yield outperformed other fixed income sectors such as investment grade corporate debt and treasuries as its lower duration proved to be a defensive quality. The move lower in fixed income has been rates driven move. As evidenced by CCC rated bonds outperforming broad high yield, investment grade corporate debt, and treasuries.

 

Outlook

 

In our annual outlook we stated, “As we look toward 2022 and ponder what the year will hold for the markets and the economy, we think we are transitioning from a year of recovery in 2021

4

 

to a year of headwinds and mean reversion in 2022. We expect to see more volatility in 2022 than last year, with the potential for a 10-15% equity correction in the first half of the year.” So far that script has played out with the global equity and bonds markets under pressure.

 

We expect the markets to remain choppy over the near-term as they digest the Fed’s path of tightening monetary policy. While Inflation is a massive concern, we think we may be nearing the point of peak inflation. The flattening and inversion of parts of the Treasury yield curve suggests lower economic growth in the future. We do not see a risk of immediate recession as some have called for. In fact, while parts of the curve have inverted, the difference between the 10-Year Treasury and 3-month T-bill yields, which is a more accurate recession gauge, has actually steepened to its highest since 2017.

 

Disclosures

 

Clark Capital Management Group, Inc. (Clark Capital) is an investment advisor registered with the United States Securities and Exchange Commission under the Investment Advisers Act of 1940, as amended. Registration does not imply a certain level of skill or training. More information about Clark Capital’s advisory services and fees can be found in its Form ADV which is available upon request.

 

The opinions expressed are those of the Clark Capital Management Group Investment Team. The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. There is no guarantee of the future performance of any Clark Capital investment portfolio. Nothing herein should be construed as a solicitation, recommendation or an offer to buy, sell or hold any securities, other investments or to adopt any investment strategy or strategies. For educational use only. This information is not intended to serve as investment advice. This material is not intended to be relied upon as a forecast or research. The investment or strategy discussed may not be suitable for all investors. Investors must make their own decisions based on their specific investment objectives and financial circumstances. Past performance does not guarantee future results.

 

This document may contain certain information that constitutes forward-looking statements which can be identified by the use of forward-looking terminology such as “may,” “expect,” “will,” “hope,” “forecast,” “intend,” “target,” “believe,” and/or comparable terminology (or the negative thereof). No assurance, representation, or warranty is made by any person that any of Clark Capital’s assumptions, expectations, objectives, and/or goals will be achieved. Nothing contained in this document may be relied upon as a guarantee, promise, assurance, or representation as to the future.

 

Fixed income securities are subject to certain risks including, but not limited to: interest rate (changes in interest rates may cause a decline in market value or an investment), credit, prepayment, call (some bonds allow the issuer to call a bond for redemption before it matures), and extension (principal repayments may not occur as quickly as anticipated, causing the expected maturity of a security to increase).

 

Non-investment-grade debt securities (high-yield/junk bonds) may be subject to greater market fluctuations, risk of default or loss of income and principal than higher-rated securities.

 

An obligation rated ‘CCC’ is currently vulnerable to nonpayment, and is dependent upon favorable business, financial, and economic conditions for the obligor to meets its financial commitment on the obligation. In the event of adverse business, financial, or economic conditions, the obligor is not likely to have the capacity to meet its financial commitment on the obligation.

 

Alpha: a measure of the difference between a portfolio’s actual returns and its expected performance, given its level of risk as measured by beta. A positive alpha figure indicates the portfolio has performed better than its beta would predict. In contrast, a negative alpha indicates the portfolio has underperformed, given the expectations established by beta. Alpha is calculated by taking the excess average monthly return of the investment over the risk free rate and subtracting beta times the excess average monthly return of the benchmark over the risk free rate.

5

 

The S&P 500 is a market-capitalization-weighted index of the 500 largest U.S. publicly traded companies. The index is widely regarded as the best gauge of large-cap U.S. equities.

 

The Russell 2000 index measures the performance of the 2,000 smaller companies that are included in the Russell 3000 Index, which itself is made up of nearly all U.S. stocks. The Russell 2000 is widely regarded as a bellwether of the U.S. economy because of its focus on smaller companies that focus on the U.S. market.

 

The MSCI All Country World Index (ACWI) is a market capitalization weighted index designed to provide a broad measure of equity-market performance throughout the world. The MSCI ACWI is maintained by Morgan Stanley Capital International (MSCI) and is comprised of stocks from 23 developed countries and 24 emerging markets.

 

The Bloomberg Barclays US Corporate High Yield Bond Index measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below.

 

The Bloomberg Barclays US Aggregate Bond Index, or the Agg, is a broad base, market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States.

 

The Bloomberg Barclays US Treasury: 7-10 Year Index measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury with 7-9.9999 years to maturity. Treasury bills are excluded by the maturity constraint but are part of a separate Short Treasury Index.

 

Past performance does not guarantee future returns. Investors should carefully consider the investment objectives, risks, charges and expenses of the Navigator Funds. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling 1-800-766-2264. The prospectus should be read carefully before investing. The Navigator® Funds are distributed by Northern Lights Distributors, LLC member INRA/SIPC.

 

Clark Capital Management Group and Northern Lights Distributors LLC are not affiliated entities.

 

6556-NLD-06162022

6

 

Navigator® Tactical Investment Grade Bond Fund
K. Sean Clark, CFA — Chief Investment Officer
 

It was a rough six months for the markets with a lot of headwinds. There is a lot of uncertainty in the markets pertaining to the threat of the highest inflation in 40 years, economic stagflation, geopolitical tensions, the Federal Reserve tightening and eventually shrinking their balance sheet. On March 16th the Federal Reserve began their first rate hike cycle since 2019. The Fed is taking a more hawkish tone on future rate hikes and balance sheet roll off.

 

Given all of the worries facing investors, the markets have been very volatile. During the 6-month period ending April 30, 2022, the S&P 500 declined 9.66%, the small cap Russell 2000 Index declined 18.40%, and international markets as represented by the MSCI ACWI ex-US Index declined 11.87%. Fixed income provided no place to hide. The Bloomberg Barclays Aggregate Bond Index sank 9.47%, its largest quarterly decline since 1980. The Bloomberg Barclays 7-10 Year US Treasury Index declined 9.82%, and the Bloomberg Barclays US Corporate High Yield Index lost 7.41%.

 

Attribution

 

For the semi-annual period ended April 30, 2022 the Navigator Tactical Investment Grade Bond Fund (the “Fund”) institutional shares declined 6.34% compared to a 9.47% loss in the Bloomberg Barclays U.S. Aggregate Bond Index.

 

The Fund’s alpha is driven by the Credit Risk Management models that determine its allocation. When risk-on the Fund will invest in BBB rated corporate bonds, when risk-off the Fund will invest in U.S. Treasuries or -bills.

 

The Fund’s alpha during the quarter was largely driven by the strategy allocating to the safety of cash equivalents as interest rates rose and bond prices tumbled.

 

The Federal Reserve’s narrative shifted to an expected three rate hikes in 2022 to as many as nine 0.25% equivalent hikes in 2022. The shifting rate expectations resulted in a bond market rout, and the worst quarter for the Aggregate Bond Index since 1980.

 

Outlook

 

In our annual outlook we stated, “As we look toward 2022 and ponder what the year will hold for the markets and the economy, we think we are transitioning from a year of recovery in 2021 to a year of headwinds and mean reversion in 2022. We expect to see more volatility in 2022 than last year, with the potential for a 10-15% equity correction in the first half of the year.” So far that script has played out with the global equity and bonds markets under pressure.

7

 

We expect the markets to remain choppy over the near-term as they digest the Fed’s path of tightening monetary policy. While Inflation is a massive concern, we think we may be nearing the point of peak inflation. The flattening and inversion of parts of the Treasury yield curve suggests lower economic growth in the future. We do not see a risk of immediate recession as some have called for. In fact, while parts of the curve have inverted, the difference between the 10-Year Treasury and 3-month T-bill yields, which is a more accurate recession gauge, has actually steepened to its highest since 2017.

 

Disclosures

 

Clark Capital Management Group, Inc. (Clark Capital) is an investment advisor registered with the United States Securities and Exchange Commission under the Investment Advisers Act of 1940, as amended. Registration does not imply a certain level of skill or training. More information about Clark Capital’s advisory services and fees can be found in its Form ADV which is available upon request.

 

The opinions expressed are those of the Clark Capital Management Group Investment Team. The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. There is no guarantee of the future performance of any Clark Capital investment portfolio. Nothing herein should be construed as a solicitation, recommendation or an offer to buy, sell or hold any securities, other investments or to adopt any investment strategy or strategies. For educational use only. This information is not intended to serve as investment advice. This material is not intended to be relied upon as a forecast or research. The investment or strategy discussed may not be suitable for all investors. Investors must make their own decisions based on their specific investment objectives and financial circumstances. Past performance does not guarantee future results.

 

This document may contain certain information that constitutes forward-looking statements which can be identified by the use of forward-looking terminology such as “may,” “expect,” “will,” “hope,” “forecast,” “intend,” “target,” “believe,” and/or comparable terminology (or the negative thereof). No assurance, representation, or warranty is made by any person that any of Clark Capital’s assumptions, expectations, objectives, and/or goals will be achieved. Nothing contained in this document may be relied upon as a guarantee, promise, assurance, or representation as to the future.

 

Fixed income securities are subject to certain risks including, but not limited to: interest rate (changes in interest rates may cause a decline in market value or an investment), credit, prepayment, call (some bonds allow the issuer to call a bond for redemption before it matures), and extension (principal repayments may not occur as quickly as anticipated, causing the expected maturity of a security to increase).

 

An obligor rated ‘BBB’ has adequate capacity to meet its financial commitments. However, it faces major ongoing uncertainties and exposure to adverse business, financial, or economic conditions which could lead to the obligor’s inadequate capacity to meet its financial commitments.

 

Alpha: a measure of the difference between a portfolio’s actual returns and its expected performance, given its level of risk as measured by beta. A positive alpha figure indicates the portfolio has performed better than its beta would predict. In contrast, a negative alpha indicates the portfolio has underperformed, given the expectations established by beta. Alpha is calculated by taking the excess average monthly return of the investment over the risk free rate and subtracting beta times the excess average monthly return of the benchmark over the risk free rate.

 

The S&P 500 is a market-capitalization-weighted index of the 500 largest U.S. publicly traded companies. The index is widely regarded as the best gauge of large-cap U.S. equities.

 

The Russell 2000 index measures the performance of the 2,000 smaller companies that are included in the Russell 3000 Index, which itself is made up of nearly all U.S. stocks. The Russell 2000 is widely regarded as a bellwether of the U.S. economy because of its focus on smaller companies that focus on the U.S. market.

 

The MSCI All Country World Index (ACWI) is a market capitalization weighted index designed to provide a broad measure of equity-market performance throughout the world. The MSCI ACWI is maintained by Morgan Stanley Capital International (MSCI) and is comprised of stocks from 23 developed countries and 24 emerging markets.

8

 

The Bloomberg Barclays US Corporate High Yield Bond Index measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below.

 

The Bloomberg Barclays US Aggregate Bond Index, or the Agg, is a broad base, market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States.

 

The Bloomberg Barclays US Treasury: 7-10 Year Index measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury with 7-9.9999 years to maturity. Treasury bills are excluded by the maturity constraint but are part of a separate Short Treasury Index.

 

Past performance does not guarantee future returns. Investors should carefully consider the investment objectives, risks, charges and expenses of the Navigator Funds. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling 1-800-766-2264. The prospectus should be read carefully before investing. The Navigator® Funds are distributed by Northern Lights Distributors, LLC member FINRA/SIPC.

 

Clark Capital Management Group and Northern Lights Distributors LLC are not affiliated entities.

 

6557-NLD-06162022

9

 

Navigator® Tactical U.S. Allocation Fund
K. Sean Clark, CFA — Chief Investment Officer
 

It was a rough six months for the markets with a lot of headwinds. There is a lot of uncertainty in the markets pertaining to the threat of the highest inflation in 40 years, economic stagflation, geopolitical tensions, the Federal Reserve tightening and eventually shrinking their balance sheet. On March 16th the Federal Reserve began their first rate hike cycle since 2019. The Fed is taking a more hawkish tone on future rate hikes and balance sheet roll off.

 

Given all of the worries facing investors, the markets have been very volatile. During the 6-month period ending April 30, 2022, the S&P 500 declined 9.66%, the small cap Russell 2000 Index declined 18.40%, and international markets as represented by the MSCI ACWI ex-US Index declined 11.87%. Fixed income provided no place to hide. The Bloomberg Barclays Aggregate Bond Index sank 9.47%, it’s largest quarterly decline since 1980. The Bloomberg Barclays 7-10 Year US Treasury Index declined 9.82%, and the Bloomberg Barclays US Corporate High Yield Index lost 7.41%.

 

Attribution

 

For the semi-annual period ended April 30, 2022 the Navigator Tactical U.S. Allocation Fund (the “Fund”) institutional shares declined 7.13% compared to a 9.65% loss in the S&P 500 Index.

 

The Fund’s alpha is driven by the Credit Risk Management models that determine its allocation. When risk-on the Fund will invest in U.S. Equities, when risk-off the Fund will invest in U.S. Treasuries or -bills.

 

The Fund’s allocation shifted from risk on to defensive on January 31, 2022, when it allocated half of the portfolio into cash and cash equivalents. It remained in a 50% risk on / 50% risk off through the remainder of the period.

 

Outlook

 

In our annual outlook we stated, “As we look toward 2022 and ponder what the year will hold for the markets and the economy, we think we are transitioning from a year of recovery in 2021 to a year of headwinds and mean reversion in 2022. We expect to see more volatility in 2022 than last year, with the potential for a 10-15% equity correction in the first half of the year.” So far that script has played out with the global equity and bonds markets under pressure.

 

We expect the markets to remain choppy over the near-term as they digest the Fed’s path of tightening monetary policy. While Inflation is a massive concern, we think we may be nearing the point of peak inflation. The flattening and inversion of parts of the Treasury yield curve suggests lower economic growth in the future. We do not see a risk of immediate recession as some have called for. In fact, while parts of the curve have inverted, the difference between the

10

 

10-Year Treasury and 3-month T-bill yields, which is a more accurate recession gauge, has actually steepened to its highest since 2017.

 

Disclosures

 

Clark Capital Management Group, Inc. (Clark Capital) is an investment advisor registered with the United States Securities and Exchange Commission under the Investment Advisers Act of 1940, as amended. Registration does not imply a certain level of skill or training. More information about Clark Capital’s advisory services and fees can be found in its Form ADV which is available upon request.

 

The opinions expressed are those of the Clark Capital Management Group Investment Team. The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. There is no guarantee of the future performance of any Clark Capital investment portfolio. Nothing herein should be construed as a solicitation, recommendation or an offer to buy, sell or hold any securities, other investments or to adopt any investment strategy or strategies. For educational use only. This information is not intended to serve as investment advice. This material is not intended to be relied upon as a forecast or research. The investment or strategy discussed may not be suitable for all investors. Investors must make their own decisions based on their specific investment objectives and financial circumstances. Past performance does not guarantee future results.

 

This document may contain certain information that constitutes forward-looking statements which can be identified by the use of forward-looking terminology such as “may,” “expect,” “will,” “hope,” “forecast,” “intend,” “target,” “believe,” and/or comparable terminology (or the negative thereof). No assurance, representation, or warranty is made by any person that any of Clark Capital’s assumptions, expectations, objectives, and/or goals will be achieved. Nothing contained in this document may be relied upon as a guarantee, promise, assurance, or representation as to the future.

 

Fixed income securities are subject to certain risks including, but not limited to: interest rate (changes in interest rates may cause a decline in market value or an investment), credit, prepayment, call (some bonds allow the issuer to call a bond for redemption before it matures), and extension (principal repayments may not occur as quickly as anticipated, causing the expected maturity of a security to increase).

 

The S&P 500 is a market-capitalization-weighted index of the 500 largest U.S. publicly traded companies. The index is widely regarded as the best gauge of large-cap U.S. equities.

 

The Russell 2000 index measures the performance of the 2,000 smaller companies that are included in the Russell 3000 Index, which itself is made up of nearly all U.S. stocks. The Russell 2000 is widely regarded as a bellwether of the U.S. economy because of its focus on smaller companies that focus on the U.S. market.

 

The MSCI All Country World Index (ACWI) is a market capitalization weighted index designed to provide a broad measure of equity-market performance throughout the world. The MSCI ACWI is maintained by Morgan Stanley Capital International (MSCI) and is comprised of stocks from 23 developed countries and 24 emerging markets.

 

The Bloomberg Barclays US Corporate High Yield Bond Index measures the USD-denominated, high yield, fixed-rate corporate bond market. Securities are classified as high yield if the middle rating of Moody’s, Fitch and S&P is Ba1/BB+/BB+ or below.

 

The Bloomberg Barclays US Aggregate Bond Index, or the Agg, is a broad base, market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States.

 

The Bloomberg Barclays US Treasury: 7-10 Year Index measures US dollar-denominated, fixed-rate, nominal debt issued by the US Treasury with 7-9.9999 years to maturity. Treasury bills are excluded by the maturity constraint but are part of a separate Short Treasury Index.

 

Past performance does not guarantee future returns. Investors should carefully consider the investment objectives, risks, charges and expenses of the Navigator Funds. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling 1-800-766-2264. The prospectus should be read carefully before investing. The Navigator® Funds are distributed by Northern Lights Distributors, LLC member FINRA/SIPC.

 

Clark Capital Management Group and Northern Lights Distributors LLC are not affiliated entities.

 

6559-NLD-06162022

11

 

Navigator Ultra Short Bond Fund
Robert S. Bennett, Jr. – Senior Portfolio Manager
April 30, 2022
 

For the semi-annual period ended April 30, 2022, the Navigator Ultra Short Bond Fund (“the Fund”) Class I shares returned -0.44%, compared to the Bloomberg Barclays U.S Bellwethers 1 Year Index return of -0.78%. The Fund was fully invested in a mix of fixed and floating rate short-term debt during the period with a duration shorter than the benchmark, which contributed to its outperformance verse the benchmark.

 

The Federal Reserve communicated a path of reducing its asset purchases once its goals were met. In the fourth quarter of 2021 and first quarter of 2022 it not only reduced its asset purchases, but the Fed also painted the picture of shrinking their balance sheet. The market was pricing in a 25-basis point increase in federal funds target range for the March 2022 meeting and the Fed did just that by raising the target range from 25 basis points to 50 basis points. The upper bound increased from 25 basis points to 50 basis points and the lower bound moved from 0 basis points to 25 basis points. The groundwork has been set for continued increases and the market is pricing in multiple hikes for the remainder of 2022. We will continue to monitor the short-term markets and invest accordingly as the Federal Reserve embarks on reaching their goals while fighting off the headwinds ahead.

 

Disclosures

 

Clark Capital Management Group, Inc. (Clark Capital) is an investment advisor registered with the United States Securities and Exchange Commission under the Investment Advisers Act of 1940, as amended. Registration does not imply a certain level of skill or training. More information about Clark Capital’s advisory services and fees can be found in its Form ADV which is available upon request.

 

The opinions expressed are those of the Clark Capital Management Group Investment Team. The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. There is no guarantee of the future performance of any Clark Capital investment portfolio. Nothing herein should be construed as a solicitation, recommendation or an offer to buy, sell or hold any securities, other investments or to adopt any investment strategy or strategies. For educational use only. This information is not intended to serve as investment advice. This material is not intended to be relied upon as a forecast or research. The investment or strategy discussed may not be suitable for all investors. Investors must make their own decisions based on their specific investment objectives and financial circumstances. Past performance does not guarantee future results.

 

This document may contain certain information that constitutes forward-looking statements which can be identified by the use of forward-looking terminology such as “may,” “expect,” “will,” “hope,” “forecast,” “intend,” “target,” “believe,” and/or comparable terminology (or the negative thereof). No assurance, representation, or warranty is made by any person that any of Clark Capital’s assumptions, expectations, objectives, and/or goals will be achieved. Nothing contained in this document may be relied upon as a guarantee, promise, assurance, or representation as to the future.

 

Fixed income securities are subject to certain risks including, but not limited to: interest rate (changes in interest rates may cause a decline in market value or an investment), credit, prepayment, call (some bonds allow the issuer to call a bond for redemption before it matures), and extension (principal repayments may not occur as quickly as anticipated, causing the expected maturity of a security to increase).

 

The Bloomberg Barclays US Treasury Bellweathers 1 Year Index measures the performance of U.S. Treasury securities that have a remaining maturity of at least one (1) year and less than three (3) years.

12

 

Past performance does not guarantee future returns. Investors should carefully consider the investment objectives, risks, charges and expenses of the Navigator Funds. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling 1-800-766-2264. The prospectus should be read carefully before investing. The Navigator® Funds are distributed by Northern Lights Distributors, LLC member FINRA/SIPC.

 

Clark Capital Management Group and Northern Lights Distributors LLC are not affiliated entities.

 

6560-NLD-06162022

13

 

Navigator Equity Hedged Fund
PORTFOLIO REVIEW (Unaudited)
 

The Fund’s performance figures for the periods ended April 30, 2022 compared to its benchmarks:

 

         Annualized
   Six Months  One Year  Five Year  Since Inception* 
Navigator Equity Hedged Fund:            
Class A  (13.19)%  (13.35)%  5.54%  2.70%
Class A with load of 5.50%  (17.95)%  (18.09)%  4.35%  2.19%
Class C  (13.46)%  (14.00)%  4.74%  1.93%
Class I  (13.13)%  (13.17)%  5.79%  2.96%
MSCI World Index  (11.30)%  (3.52)%  10.17%  9.25%
HFRX Equity Hedge Index  (1.56)%  3.91%  4.14%  1.61%

 

 
*Fund commenced operations on December 28, 2010.

 

The “MSCI World Index” is a free float-adjusted market capitalization index that is designed to measure global developed market equity performance consisting of 23 developed market country indices. Investors cannot invest directly in an index or benchmark.

 

The HFRX Equity Hedge Index is designed to be representative of equity hedge strategies which maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. The referenced index is shown for general market comparisons and is not meant to represent the Fund. Investors cannot invest directly in an index or benchmark; unmanaged index returns do not reflect any fees, expenses or sales charges.

 

The performance data quoted is historical. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate. An investor’s shares, when redeemed, may be worth more or less than the original cost. Total return is calculated assuming reinvestment of all dividends and distributions. Total returns would have been lower had the advisor not waived its fees and reimbursed a portion of the Fund’s expenses. The chart does not reflect the deduction of taxes that a shareholder would have to pay on Fund distributions or the redemption of the Fund shares. Per the fee table in the Fund’s February 28, 2022 prospectus, the total annual operating expenses before fee waivers are 2.14%, 2.89% and 1.89% for the Fund’s Class A, Class C and Class I shares, respectively. Class shares are subject to a maximum sales charge of 5.50% imposed on purchases. For performance information current to the most recent month-end, please call 1-877-766-2264.

 
 
PORTFOLIO COMPOSITION+ (Unaudited)
 
Exchange Traded Funds   78.8%  Collateral For Securities Loaned   7.7%
Equity Funds   78.8%  Options Purchased*   0.4%
        Short-Term Investments   13.1%
            100.0%
              
+Based on Schedule of Investments Market Value as of April 30, 2022. Please refer to the Fund’s Schedule of Investments in the report for a detailed listing of the Fund’s holdings.

 

*Options purchased percentage is netted with options written.

14

 

Navigator Tactical Fixed Income Fund
PORTFOLIO REVIEW (Unaudited)
 

The Fund’s performance figures for the periods ended April 30, 2022 compared to its benchmark:

 

         Annualized
   Six Months  One Year  Five Years  Since Inception* 
Navigator Tactical Fixed Income Fund:            
Class A  (3.97)%  (2.79)%  3.54%  4.11%
Class A with load of 3.75%  (7.61)%  (6.40)%  2.75%  3.62%
Class C  (4.33)%  (3.52)%  2.78%  3.36%
Class I  (3.85)%  (2.51)%  3.81%  4.39%
Bloomberg U.S. Corporate High Yield Bond Index  (7.41)%  (5.22)%  3.69%  4.14%

 

 
*Fund commenced operations on March 27, 2014.

 

The Bloomberg U.S. Corporate High Yield Bond Index is a market value-weighted index which covers the U.S. non-investment grade fixed-rate debt market. Investors cannot invest directly in an index or benchmark.

 

The performance data quoted is historical. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate. An investor’s shares, when redeemed, may be worth more or less than the original cost. Total return is calculated assuming reinvestment of all dividends and distributions. Total returns would have been lower had the advisor not waived its fees and reimbursed a portion of the Fund’s expenses. The chart does not reflect the deduction of taxes that a shareholder would have to pay on Fund distributions or the redemption of the Fund shares. Per the fee table in the Fund’s February 28, 2022 prospectus, the total annual operating expenses before fee waivers are 1.36%, 2.11% and 1.11% for the Fund’s Class A, Class C and Class I shares, respectively. Class A shares are subject to a maximum sales charge of 3.75% imposed on purchases. For performance information current to the most recent month-end, please call 1-877-766-2264.

 

 

PORTFOLIO COMPOSITION+ (Unaudited)
     
Corporate Bonds   37.6%
U.S. Government & Agencies   15.5%
Collateral for Securities Loaned   11.3%
Exchange Traded Funds   11.2%
Municipal Bonds   6.9%
Commercial Paper   5.1%
Open-End Fund   1.2%
Options Purchased *   0.2%
Short-Term Investments   11.0%
    100.0%
      
+Based on Schedule of Investments Market Value as of April 30, 2022. Please refer to the Fund’s Schedule of Investments in the report for a detailed listing of the Fund’s holdings.

 

*Options purchased percentage is netted with options written.

15

 

Navigator Tactical Investment Grade Bond Fund
PORTFOLIO REVIEW (Unaudited)
 

The Fund’s performance figures for the period ended April 30, 2022 compared to its benchmark:

 

   Six Months  Since Inception* 
 Navigator Tactical Investment Grade Bond Fund:      
Class I  (6.34)%  (7.40)%
 Bloomberg U.S. Aggregate Bond Index  (9.47)%  (10.28)%
       
 
*Fund commenced operations on August 31, 2021.

 

The Bloomberg U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate and mortgage-backed securities. Investors cannot invest directly in an index.

 

The performance data quoted is historical. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate. An investor’s shares, when redeemed, may be worth more or less than the original cost. Total return is calculated assuming reinvestment of all dividends and distributions. Total returns would have been lower had the advisor not waived its fees and reimbursed a portion of the Fund’s expenses. The chart does not reflect the deduction of taxes that a shareholder would have to pay on Fund distributions or the redemption of the Fund shares. Per the fee table in the Fund’s February 28, 2022 prospectus, the total annual operating expenses before fee waivers are 1.78% and 1.53% for the Fund’s Class A and Class I shares, respectively. Class A shares are subject to a maximum sales charge of 3.75% imposed on purchases. For performance information current to the most recent month-end, please call 1-877-766-2264.

 

 

PORTFOLIO COMPOSITION+ (Unaudited)
     
U.S. Government & Agencies   57.6%
Short - Term Investments   42.4%
    100.0%
      
+Based on Schedule of Investments Market Value as of April 30, 2022. Please refer to the Fund’s Schedule of Investments in the report for a detailed listing of the Fund’s holdings.

16

 

Navigator Tactical U.S. Allocation Fund
PORTFOLIO REVIEW (Unaudited)
 

The Fund’s performance figures for the period ended April 30, 2022 compared to its benchmark:

 

   Six Months  Since Inception* 
 Navigator Tactical U.S. Allocation Fund:      
Class I  (7.13)%  0.76%
 S&P 500 Total Return Index  (9.65)%  (1.54)%
       
*Fund commenced operations on June 11, 2021.

 

The S&P 500 Total Return Index is an unmanaged market capitalization-weighted index which is comprised of 500 of the largest U.S. domiciled companies and includes the reinvestment of all dividends. Investors cannot invest directly in an index or benchmark.

 

The performance data quoted is historical. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate. An investor’s shares, when redeemed, may be worth more or less than the original cost. Total return is calculated assuming reinvestment of all dividends and distributions. Total returns would have been lower had the advisor not waived its fees and reimbursed a portion of the Fund’s expenses. The chart does not reflect the deduction of taxes that a shareholder would have to pay on Fund distributions or the redemption of the Fund shares. Per the fee table in the Fund’s February 28, 2022 prospectus, the total annual operating expenses before fee waivers are 1.59% and 1.34% for the Fund’s Class and Class I shares, respectively. Class A shares are subject to a maximum sales charge of 3.75% imposed on purchases. For performance information current to the most recent month-end, please call 1-877-766-2264.

 

 

PORTFOLIO COMPOSITION+ (Unaudited)
     
Corporate Bonds   66.5%
Municipal Bonds   12.5%
Commercial Paper   6.0%
U.S. Government & Agencies   4.0%
Short-Term Investments   11.0%
    100.0%
      
+Based on Schedule of Investments Market Value as of April 30, 2022. Please refer to the Fund’s Schedule of Investments in the report for a detailed listing of the Fund’s holdings.

17

 

Navigator Ultra Short Bond Fund
PORTFOLIO REVIEW (Unaudited)
 

The Fund’s performance figures for the periods ended April 30, 2022 compared to its benchmark:

 

   Six Months  One Year  Three Year  Since Inception* 
 Navigator Ultra Short Bond Fund:            
Class A  (0.51)%  (0.57)%  1.36%  1.45%
Class A with load of 3.75%  (4.28)%  (4.34)%  0.08%  0.20%
Class I  (0.44)%  (0.40)%  1.02%  1.08%
 Bloomberg U.S. Treasury Bellwethers: 1 Year Index  (0.78)%  (0.78)%  1.00%  1.06%
             
*Fund commenced operations on March 21, 2019. Start of performance is March 25, 2019.

 

Bloomberg U.S. Treasury Bellwethers: 1 Year Index measures the performance of the U.S. government bond market and includes public obligations of the U.S. Treasury with a maturity of up to a year. Investors cannot invest directly in an index or benchmark.

 

The performance data quoted is historical. Past performance is no guarantee of future results. The investment return and principal value of an investment will fluctuate. An investor’s shares, when redeemed, may be worth more or less than the original cost. Total return is calculated assuming reinvestment of all dividends and distributions. Total returns would have been lower had the advisor not waived its fees and reimbursed a portion of the Fund’s expenses. The chart does not reflect the deduction of taxes that a shareholder would have to pay on Fund distributions or the redemption of the Fund shares. Per the fee table in the Fund’s February 28, 2022 prospectus, the total annual operating expenses are 0.96% and 0.71% for the Fund’s Class and Class I shares, respectively. Class A shares are subject to a maximum sales charge of 3.75% imposed on purchases. For performance information current to the most recent month-end, please call 1-877-766-2264.

 

 

PORTFOLIO COMPOSITION+ (Unaudited)
     
Corporate Bonds   79.1%
Municipal Bonds   17.2%
Commercial Paper   2.8%
Short-Term Investments   0.9%
    100.0%
      
+Based on Schedule of Investments Market Value as of April 30, 2022. Please refer to the Fund’s Schedule of Investments in the report for a detailed listing of the Fund’s holdings.

18

 

NAVIGATOR EQUITY HEDGED FUND
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022

 

Shares                 Fair Value 
     EXCHANGE-TRADED FUNDS — 83.5%      
     EQUITY - 83.5%                  
 59,442   Consumer Staples Select Sector SPDR Fund   $4,615,077 
 29,672   iShares Core High Dividend ETF    3,075,800 
 7,365   iShares Core S&P 500 ETF    3,045,869 
 39,095   iShares MSCI USA Min Vol Factor ETF    2,870,746 
 13,932   iShares US Aerospace & Defense ETF(e)    1,433,046 
 26,766   Schwab Fundamental U.S. Large Company Index ETF    1,477,483 
 27,925   SPDR S&P Metals & Mining ETF(e)    1,569,664 
 38,419   Utilities Select Sector SPDR Fund(e)    2,737,738 
 13,869   VanEck Agribusiness ETF(e)    1,367,206 
 15,493   Vanguard Energy ETF    1,630,638 
 10,584   Vanguard Health Care ETF(e)    2,534,656 
 81,184   Xtrackers MSCI EAFE Hedged Equity ETF(e)    3,004,620 
                      29,362,543 
                        
     TOTAL EXCHANGE-TRADED FUNDS (Cost $29,816,559)    29,362,543 
                        
     SHORT-TERM INVESTMENTS — 13.9%      
     MONEY MARKET FUNDS - 13.9%      
 893,983   Dreyfus Money Market Fund, Select Class, 0.01%(b)    893,983 
 3,990,016   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.21%(b)    3,990,016 
     TOTAL MONEY MARKET FUNDS (Cost $4,883,999)    4,883,999 
                        
     TOTAL SHORT-TERM INVESTMENTS (Cost $4,883,999)    4,883,999 
                        
Contracts(c)      Expiration Date  Exercise Price   Notional Value      
     INDEX OPTIONS PURCHASED(a) - 8.2%      
     CALL OPTIONS PURCHASED - 5.3%      
 2,000   CBOE Volatility Index  05/11/2022  $24.00   $6,680,000   $1,385,000 
 1,000   CBOE Volatility Index  05/18/2022   29.00    3,340,000    485,000 
     TOTAL CALL OPTIONS PURCHASED (Cost - $1,123,048)    1,870,000 

 

The accompanying notes are an integral part of these financial statements.

19

 

NAVIGATOR EQUITY HEDGED FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Contracts(c)      Expiration Date  Exercise Price   Notional Value   Fair Value 
     INDEX OPTIONS PURCHASED(a) - 8.2% (Continued)      
     PUT OPTIONS PURCHASED - 2.9%      
 86   S&P 500 Index  05/31/2022  $4,100   $35,534,598   $1,019,100 
     TOTAL PUT OPTIONS PURCHASED (Cost - $822,872)      
                        
     TOTAL INDEX OPTIONS PURCHASED (Cost - $1,945,920)    2,889,100 
                       
Shares                      
     COLLATERAL FOR SECURITIES LOANED — 8.7%      
 3,050,750   Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Shares, 0.32% (b),(d)    3,050,750 
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost - $3,050,750)      
                        
     TOTAL INVESTMENTS - 114.3% (Cost $39,697,228)   $40,186,392 
     CALL OPTIONS WRITTEN - (6.6)% (Proceeds - $1,392,140)    (2,318,000)
     PUT OPTIONS WRITTEN - (1.7)% (Proceeds - $483,382)    (605,010)
     LIABILITIES IN EXCESS OF OTHER ASSETS   (6.0)%    (2,114,342)
     NET ASSETS - 100.0%   $35,149,040 
                        
Contracts(c)                      
     INDEX OPTIONS(a) - (8.3)%      
     CALL OPTIONS WRITTEN - (6.6)%      
 2,000   CBOE Volatility Index  05/11/2022  $22   $6,680,000   $1,733,000 
 1,000   CBOE Volatility Index  05/18/2022   27    3,340,000    585,000 
     TOTAL CALL OPTIONS WRITTEN (Proceeds - $1,392,140)    2,318,000 
                        
     PUT OPTIONS WRITTEN - (1.7)%      
 86   S&P 500 Index  05/31/2022  $3,940   $35,534,598    605,010 
     TOTAL PUT OPTIONS WRITTEN (Proceeds - $483,382)      
                        
     TOTAL INDEX OPTIONS WRITTEN (Proceeds - $1,875,522)   $2,923,010 

 

CBOE- Chicago Board Options Exchange

 

EAFE- Europe, Australasia and Far East

 

ETF- Exchange-Traded Fund

 

MSCI- Morgan Stanley Capital International

 

SPDR- Standard & Poor’s Depositary Receipt

 

(a)Non-income producing security.

 

(b)Rate disclosed is the seven-day effective yield as of April 30, 2022.

 

(c)Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

 

(d)Security purchased with cash proceeds of securities lending collateral.

 

(e)All or a portion of the security is on loan. Total loaned securities had a value of $2,984,770 at April 30, 2022.

 

The accompanying notes are an integral part of these financial statements.

20

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022

 

Shares               Fair Value 
     EXCHANGE-TRADED FUNDS — 12.6%     
     FIXED INCOME - 12.6%     
 7,530,278   iShares iBoxx $ High Yield Corporate Bond ETF(g)  $591,352,731 
 3,721,555   SPDR Bloomberg High Yield Bond ETF(g)   363,260,984 
                  954,613,715 
                    
     TOTAL EXCHANGE-TRADED FUNDS (Cost $1,000,074,056)   954,613,715 
                    
     OPEN END FUNDS — 1.3%     
     FIXED INCOME - 0.7%     
 5,055,132   Navigator Ultra Short Bond Fund, Class I(e)   50,349,111 
                    
     MIXED ALLOCATION - 0.6%     
 5,423,020   Navigator Tactical US Allocation Fund, Class I(e)   50,379,854 
                    
     TOTAL OPEN END FUNDS (Cost $104,761,334)   100,728,965 
                    
Principal         Coupon Rate        
Amount ($)      Spread  (%)  Maturity     
     CORPORATE BONDS — 42.3%              
     ADVERTISING & MARKETING — 0.0%(a)              
 3,694,000   WPP Finance 2010    3.7500  09/19/24   3,692,736 
                    
     AEROSPACE & DEFENSE — 0.7%              
 23,000,000   Boeing Company     1.1670  02/04/23   22,702,602 
 5,596,000   Boeing Company     4.5080  05/01/23   5,649,891 
 2,000,000   Boeing Company     1.4330  02/04/24   1,923,847 
 19,250,000   Huntington Ingalls Industries, Inc.(c)     0.6700  08/16/23   18,630,551 
 1,000,000   Northrop Grumman Corporation     3.2500  08/01/23   1,003,599 
                  49,910,490 
     ASSET MANAGEMENT — 0.3%              
 22,000,000   Charles Schwab Corporation     0.7500  03/18/24   21,085,090 
 1,900,000   Eaton Vance Corporation     3.6250  06/15/23   1,916,487 
 3,086,000   Golub Capital BDC, Inc.     3.3750  04/15/24   3,031,738 
                  26,033,315 

 

The accompanying notes are an integral part of these financial statements.

21

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     AUTOMOTIVE — 2.1%              
 10,000,000   American Honda Finance Corporation     0.3500  04/20/23  $9,789,848 
 13,593,000   American Honda Finance Corporation     0.8750  07/07/23   13,316,413 
 2,900,000   Fiat Chrysler Automobiles N.V.     5.2500  04/15/23   2,952,606 
 5,335,000   Ford Motor Credit Company, LLC     4.2500  09/20/22   5,349,511 
 2,542,000   General Motors Company     5.4000  10/02/23   2,612,010 
 3,400,000   General Motors Financial Co Inc     3.5500  07/08/22   3,412,643 
 27,019,000   General Motors Financial Company, Inc.(d)  US0003M + 1.310%  2.3060  06/30/22   27,047,465 
 1,973,000   General Motors Financial Company, Inc.     1.7000  08/18/23   1,935,585 
 500,000   General Motors Financial Company, Inc.     1.2000  10/15/24   470,064 
 5,625,000   Hyundai Capital America(c)     3.2500  09/20/22   5,636,955 
 15,000,000   Hyundai Capital America(c)     0.8750  06/14/24   14,103,874 
 619,000   Toyota Motor Corporation     2.1570  07/02/22   618,781 
 2,000,000   Toyota Motor Corporation     0.6810  03/25/24   1,915,514 
 550,000   Toyota Motor Credit Corporation     0.4500  07/22/22   548,343 
 5,555,000   Toyota Motor Credit Corporation Series B     2.9000  03/30/23   5,576,661 
 60,000,000   Toyota Motor Credit Corporation(d)  SOFRRATE + 0.350%  0.6310  06/13/23   59,929,424 
 2,000,000   Toyota Motor Credit Corporation     0.5000  08/14/23   1,946,423 
 700,000   Toyota Motor Credit Corporation     0.4500  01/11/24   672,586 
 5,000,000   Toyota Motor Credit Corporation     0.5000  06/18/24   4,736,980 
                  162,571,686 
     BANKING — 5.4%              
 3,150,000   Australia & New Zealand Banking Group Ltd.     2.6250  05/19/22   3,151,151 
 1,200,000   Banco Santander S.A.     2.7060  06/27/24   1,178,386 
 4,000,000   Bank of America Corporation(d)  US0003M + 0.790%  3.0040  12/20/23   3,991,750 
 2,670,000   Bank of America Corporation(d)  US0003M + 0.970%  3.4580  03/15/25   2,648,187 
 5,000,000   Bank of America Corporation(d)  SOFRRATE + 0.690%  0.9760  04/22/25   4,729,015 
 15,000,000   Bank of Montreal(d)  SOFRINDX + 0.710%  0.9420  03/08/24   15,013,039 
 2,800,000   Bank of Nova Scotia     2.0000  11/15/22   2,799,729 
 1,041,000   Bank of Nova Scotia     1.9500  02/01/23   1,038,184 
 6,819,000   Bank of Nova Scotia     1.6250  05/01/23   6,745,381 
 5,000,000   Bank of Nova Scotia     0.7000  04/15/24   4,753,916 
 1,027,000   Barclays Bank plc     1.7000  05/12/22   1,027,209 
 2,000,000   Barclays plc MTN(d)  US0003M + 1.356%  4.3380  05/16/24   2,016,729 

 

The accompanying notes are an integral part of these financial statements.

22

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     BANKING — 5.4% (Continued)              
 45,019,000   BBVA USA     2.8750  06/29/22  $45,114,697 
 3,433,000   BPCE S.A.     4.0000  04/15/24   3,469,458 
 15,000,000   Canadian Imperial Bank of Commerce     0.4500  06/22/23   14,607,939 
 1,961,000   Canadian Imperial Bank of Commerce     0.9500  06/23/23   1,920,206 
 1,750,000   Citigroup, Inc.(d)  US0003M + 0.950%  2.8760  07/24/23   1,749,861 
 32,946,000   Citigroup, Inc.(d)  US0003M + 1.430%  1.9530  09/01/23   33,007,089 
 7,106,000   Citigroup, Inc.(d)  SOFRRATE + 0.686%  0.7760  10/30/24   6,806,289 
 3,630,000   Citigroup, Inc.(d)  SOFRRATE + 0.669%  0.9810  05/01/25   3,427,003 
 2,000,000   Cooperatieve Rabobank UA     2.7500  01/10/23   2,008,352 
 2,000,000   Cooperatieve Rabobank UA     0.3750  01/12/24   1,908,979 
 600,000   Credit Suisse A.G.     0.4950  02/02/24   571,441 
 600,000   Credit Suisse Group Funding Guernsey Ltd.     3.8000  09/15/22   603,681 
 2,580,000   Deutsche Bank A.G.(d)  US0003M + 1.190%  1.6490  11/16/22   2,589,699 
 2,200,000   Deutsche Bank A.G.     0.8980  05/28/24   2,079,384 
 800,000   HSBC Holdings plc     4.2500  03/14/24   805,262 
 5,000,000   Huntington National Bank     3.5500  10/06/23   5,031,732 
 1,400,000   JPMorgan Chase & Company     3.3750  05/01/23   1,408,824 
 8,518,000   JPMorgan Chase & Company(d)  US0003M + 1.230%  2.4140  10/24/23   8,547,550 
 3,700,000   JPMorgan Chase & Company(d)  SOFRRATE + 0.580%  0.6970  03/16/24   3,617,886 
 9,450,000   JPMorgan Chase & Company(d)  SOFRRATE + 1.455%  1.5140  06/01/24   9,304,241 
 1,420,000   JPMorgan Chase & Company(d)  US0003M + 0.890%  3.7970  07/23/24   1,427,098 
 1,100,000   JPMorgan Chase & Company(d)  SOFRRATE + 0.600%  0.6530  09/16/24   1,064,517 
 2,000,000   JPMorgan Chase & Company(d)  SOFRRATE + 0.420%  0.5630  02/16/25   1,897,443 
 1,880,000   JPMorgan Chase & Company(d)  US0003M + 1.155%  3.2200  03/01/25   1,865,563 
 1,300,000   JPMorgan Chase & Company(d)  SOFRRATE + 0.540%  0.8240  06/01/25   1,224,716 
 10,000,000   JPMorgan Chase & Company(d)  SOFRRATE + 0.580%  0.9690  06/23/25   9,420,309 
 2,511,000   KeyBank NA(d)  SOFRRATE + 0.320%  0.4330  06/14/24   2,440,101 
 4,400,000   Lloyds Banking Group plc     4.0500  08/16/23   4,444,146 
 2,583,000   Lloyds Banking Group plc(d)  H15T1Y + 0.550%  0.6950  05/11/24   2,508,426 
 30,000,000   Natwest Group plc(d)  US0003M + 1.470%  1.9760  05/15/23   29,996,847 

 

The accompanying notes are an integral part of these financial statements.

23

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     BANKING — 5.4% (Continued)              
 25,000,000   Natwest Group plc(d)  US0003M + 1.480%  3.4980  05/15/23  $25,001,604 
 7,160,000   Natwest Group plc     3.8750  09/12/23   7,186,987 
 600,000   Natwest Group plc     6.0000  12/19/23   616,782 
 1,684,000   PNC Bank NA     2.9500  01/30/23   1,691,128 
 2,000,000   PNC Financial Services Group, Inc     3.5000  01/23/24   2,013,883 
 5,000,000   Royal Bank of Canada     1.6000  04/17/23   4,958,179 
 3,705,000   Royal Bank of Canada     0.5000  10/26/23   3,579,507 
 2,000,000   Royal Bank of Canada     0.4250  01/19/24   1,919,226 
 1,583,000   Royal Bank of Canada     0.6500  07/29/24   1,489,562 
 5,750,000   Skandinaviska Enskilda Banken A.B.(c),(d)  US0003M + 0.645%  1.4480  12/12/22   5,766,844 
 11,000,000   Skandinaviska Enskilda Banken A.B.(d)     2.2000  12/12/22   10,989,584 
 15,422,000   Synchrony Bank     3.0000  06/15/22   15,428,776 
 2,000,000   Toronto-Dominion Bank     0.2500  01/06/23   1,975,185 
 500,000   Toronto-Dominion Bank     3.5000  07/19/23   504,260 
 1,743,000   Truist Bank(d)  US0003M + 0.735%  3.6890  08/02/24   1,759,825 
 4,000,000   Truist Financial Corporation     3.0500  06/20/22   4,003,103 
 5,476,000   Truist Financial Corporation     2.2000  03/16/23   5,468,637 
 2,000,000   US Bancorp     3.3750  02/05/24   2,009,232 
 39,500,000   Wells Fargo & Company(d)  US0003M + 1.230%  2.4690  10/31/23   39,658,813 
 2,000,000   Wells Fargo & Company     3.7500  01/24/24   2,015,093 
 2,285,000   Wells Fargo & Company Class MTN(d)  SOFRRATE + 1.600%  1.6540  06/02/24   2,247,228 
 10,000,000   Wells Fargo & Company     3.3000  09/09/24   9,970,416 
 2,000,000   Westpac Banking Corporation     2.7500  01/11/23   2,008,401 
                  406,223,670 
     BEVERAGES — 0.5%              
 5,233,000   Keurig Dr Pepper, Inc.     0.7500  03/15/24   4,994,501 
 29,300,000   Molson Coors Beverage Company     3.5000  05/01/22   29,300,000 
 2,000,000   PepsiCo, Inc.     0.4000  10/07/23   1,947,534 
                  36,242,035 
     BIOTECH & PHARMA — 1.8%              
 4,171,000   AbbVie, Inc.     3.2500  10/01/22   4,180,501 
 31,450,000   AbbVie, Inc.(d)  US0003M + 0.650%  1.1300  11/21/22   31,490,924 
 818,000   AbbVie, Inc.     2.3000  11/21/22   818,021 

 

The accompanying notes are an integral part of these financial statements.

24

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     BIOTECH & PHARMA — 1.8% (Continued)              
 2,600,000   AbbVie, Inc.     3.7500  11/14/23  $2,629,339 
 2,300,000   AbbVie, Inc.     3.8500  06/15/24   2,321,572 
 60,000,000   AstraZeneca plc     0.3000  05/26/23   58,591,100 
 22,967,000   Bausch Health Companies, Inc.(c)     6.1250  04/15/25   23,067,481 
 4,000,000   Bristol-Myers Squibb Company     0.5370  11/13/23   3,881,009 
 1,480,000   GlaxoSmithKline Capital plc     2.8750  06/01/22   1,480,000 
 2,000,000   GlaxoSmithKline Capital plc     0.5340  10/01/23   1,940,218 
 615,000   Merck & Company, Inc.     2.8000  05/18/23   617,125 
 1,470,000   Royalty Pharma plc     0.7500  09/02/23   1,423,618 
 500,000   Takeda Pharmaceutical Company Ltd.     4.4000  11/26/23   508,119 
                  132,949,027 
     BROKERAGE ASSETMANAGERS EXCHANGE — 0.1%              
 5,513,000   Blackstone Private Credit Fund(c)     1.7500  09/15/24   5,160,255 
                    
     CABLE & SATELLITE — 0.1%              
 1,200,000   Cequel Communications Holdings I, LLC / Cequel(c)     7.5000  04/01/28   1,110,000 
 1,385,000   Charter Communications Operating, LLC / Charter     4.4640  07/23/22   1,387,427 
 1,233,000   Comcast Corporation     3.7000  04/15/24   1,244,930 
 1,136,000   Time Warner Entertainment Company, L.P.     8.3750  03/15/23   1,187,618 
                  4,929,975 
     CHEMICALS — 0.1%              
 3,013,000   DuPont de Nemours, Inc.     4.2050  11/15/23   3,057,461 
 4,545,000   LYB International Finance BV     4.0000  07/15/23   4,591,435 
                  7,648,896 
     CONSTRUCTION MATERIALS — 0.4%              
 18,500,000   Carlisle Companies, Inc.     0.5500  09/01/23   17,876,786 
 10,000,000   Martin Marietta Materials, Inc.     0.6500  07/15/23   9,751,987 
                  27,628,773 
     DIVERSIFIED INDUSTRIALS — 0.0%(a)              
 3,082,000   Honeywell International, Inc.     0.4830  08/19/22   3,073,279 
                    
     E-COMMERCE DISCRETIONARY — 1.3%              
 26,490,000   Amazon.com, Inc.     0.2500  05/12/23   25,942,522 
 25,000,000   Amazon.com, Inc.     2.7300  04/13/24   24,994,819 

 

The accompanying notes are an integral part of these financial statements.

25

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     E-COMMERCE DISCRETIONARY — 1.3% (continued)              
 2,343,000   Amazon.com, Inc.     0.4500  05/12/24  $2,238,942 
 47,441,000   eBay, Inc.(d)  US0003M + 0.870%  2.1090  01/30/23   47,494,122 
                  100,670,405 
     ELECTRIC UTILITIES — 1.7%              
 24,150,000   Dominion Energy, Inc.(d)  US0003M + 0.530%  1.3560  09/15/23   24,115,687 
 3,835,000   Emera US Finance, L.P.     0.8330  06/15/24   3,596,965 
 2,424,000   Entergy Corporation     4.0000  07/15/22   2,428,579 
 34,000,000   Florida Power & Light Company(d)  SOFRINDX + 0.380%  0.6630  01/12/24   33,879,419 
 49,000,000   NextEra Energy Capital Holdings, Inc.(d)  US0003M + 0.270%  0.7500  02/22/23   48,872,681 
 2,500,000   NextEra Energy Capital Holdings, Inc.     0.6500  03/01/23   2,461,863 
 700,000   Pacific Gas and Electric Company     1.7500  06/16/22   699,571 
 2,800,000   Pacific Gas and Electric Company     1.3670  03/10/23   2,760,615 
 4,191,000   Pacific Gas and Electric Company     4.2500  08/01/23   4,210,286 
 1,500,000   Public Service Company of Colorado     2.2500  09/15/22   1,500,629 
 2,000,000   Southern Company     0.6000  02/26/24   1,907,612 
                  126,433,907 
     ELECTRICAL EQUIPMENT — 0.4%              
 25,000,000   Siemens Financieringsmaatschappij N.V.(c)     0.4000  03/11/23   24,541,480 
 10,000,000   Siemens Financieringsmaatschappij N.V.(c)     0.6500  03/11/24   9,562,234 
                  34,103,714 
     ENTERTAINMENT CONTENT — 0.1%              
 1,000,000   Discovery Communications, LLC     2.9500  03/20/23   1,000,172 
 6,672,000   TWDC Enterprises 18 Corporation     2.3500  12/01/22   6,671,940 
                  7,672,112 
     FOOD — 1.0%              
 5,700,000   Conagra Brands, Inc.     3.2500  09/15/22   5,727,484 
 14,250,000   Conagra Brands, Inc.     0.5000  08/11/23   13,789,309 
 710,000   Hormel Foods Corporation     0.6500  06/03/24   677,583 
 54,335,000   McCormick & Co, Inc.     2.7000  08/15/22   54,385,552 
                  74,579,928 
     FORESTRY, PAPER & WOOD PRODUCTS — 0.0%(a)              
 2,420,000   Georgia-Pacific, LLC     8.0000  01/15/24   2,616,563 

 

The accompanying notes are an integral part of these financial statements.

26

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     GAS & WATER UTILITIES — 0.1%              
 2,700,000   Atmos Energy Corporation     0.6250  03/09/23  $2,654,186 
 3,325,000   ONE Gas, Inc.     0.8500  03/11/23   3,268,457 
                  5,922,643 
     HEALTH CARE FACILITIES & SERVICES — 1.9%              
 10,287,000   Aetna, Inc.     2.7500  11/15/22   10,305,820 
 30,802,000   AmerisourceBergen Corporation     0.7370  03/15/23   30,328,733 
 1,700,000   Anthem, Inc.     0.4500  03/15/23   1,670,881 
 5,000,000   Beth Israel Lahey Health, Inc.     2.2200  07/01/28   4,475,025 
 7,000,000   Beth Israel Lahey Health, Inc.     3.0800  07/01/51   5,446,111 
 21,178,000   Cardinal Health, Inc.(d)  US0003M + 0.770%  1.5960  06/15/22   21,190,267 
 531,000   Cigna Corporation     3.0500  11/30/22   533,660 
 15,462,000   Cigna Corporation(d)  US0003M + 0.890%  1.9340  07/15/23   15,548,773 
 2,500,000   Cigna Corporation     3.7500  07/15/23   2,521,849 
 2,000,000   Cigna Corporation     0.6130  03/15/24   1,907,795 
 12,942,000   Humana, Inc.     3.1500  12/01/22   12,987,949 
 23,605,000   Humana, Inc.     0.6500  08/03/23   22,924,392 
 6,055,000   Laboratory Corp of America Holdings     3.2500  09/01/24   6,023,207 
 4,830,000   UnitedHealth Group, Inc.     3.3500  07/15/22   4,841,253 
                  140,705,715 
     INDUSTRIAL SUPPORT SERVICES — 0.3%              
 20,000,000   Triton Container International Ltd.(c)     0.8000  08/01/23   19,268,453 
                    
     INSTITUTIONAL FINANCIAL SERVICES — 4.8%              
 2,000,000   Bank of New York Mellon Corporation     2.9500  01/29/23   2,010,971 
 7,400,000   Bank of New York Mellon Corporation     0.5000  04/26/24   7,041,705 
 2,000,000   Bank of New York Mellon Corporation     1.6000  04/24/25   1,899,844 
 14,000,000   Coinbase Global, Inc.(c)     3.3750  10/01/28   10,895,010 
 14,000,000   Coinbase Global, Inc.(c)     3.6250  10/01/31   10,403,610 
 2,000,000   Credit Suisse Group A.G.     3.8000  06/09/23   2,007,275 
 23,283,000   Goldman Sachs Group, Inc.     3.6250  01/22/23   23,469,214 
 4,450,000   Goldman Sachs Group, Inc.(d)  US0003M + 0.750%  1.2140  02/23/23   4,450,754 
 3,758,000   Goldman Sachs Group, Inc.     3.2000  02/23/23   3,773,181 
 14,900,000   Goldman Sachs Group, Inc.     0.5230  03/08/23   14,638,743 
 14,000,000   Goldman Sachs Group, Inc.(d)  US0003M + 1.053%  2.9080  06/05/23   13,997,862 

 

The accompanying notes are an integral part of these financial statements.

27

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     INSTITUTIONAL FINANCIAL SERVICES — 4.8% (Continued)              
 71,775,000   Goldman Sachs Group, Inc.(d)  US0003M + 0.990%  2.9050  07/24/23  $71,739,017 
 20,000,000   Goldman Sachs Group, Inc.(d)  SOFRRATE + 0.620%  0.8450  12/06/23   19,899,361 
 2,322,000   Goldman Sachs Group, Inc.     4.0000  03/03/24   2,345,086 
 7,000,000   Goldman Sachs Group, Inc.(d)  SOFRRATE + 0.572%  0.6730  03/08/24   6,830,902 
 1,285,000   Goldman Sachs Group, Inc.(d)  US0003M + 1.201%  3.2720  09/29/25   1,266,085 
 13,450,000   Intercontinental Exchange, Inc.     2.3500  09/15/22   13,483,761 
 25,000,000   JPMorgan Chase Financial Company, LLC     2.5000  05/01/23   24,924,170 
 14,878,000   Morgan Stanley     2.7500  05/19/22   14,887,283 
 784,000   Morgan Stanley     4.8750  11/01/22   794,733 
 2,025,000   Morgan Stanley     3.1250  01/23/23   2,034,684 
 64,730,000   Morgan Stanley     3.7500  02/25/23   65,252,776 
 4,000,000   Morgan Stanley MTN(d)  SOFRRATE + 0.455%  0.5290  01/25/24   3,918,247 
 1,785,000   Morgan Stanley(d)  SOFRRATE + 0.616%  0.7310  04/05/24   1,739,011 
 720,000   Morgan Stanley     3.8750  04/29/24   725,044 
 4,040,000   Morgan Stanley(d)  SOFRRATE + 0.509%  0.7910  01/22/25   3,839,977 
 3,219,000   Morgan Stanley(d)  SOFRRATE + 0.560%  1.1640  10/21/25   3,008,877 
 32,075,000   Nasdaq, Inc.     0.4450  12/21/22   31,641,181 
                  362,918,364 
     INSURANCE — 4.0%              
 38,000,000   AIG Global Funding(c)     0.4000  09/13/23   36,738,553 
 700,000   Allstate Corporation     3.1500  06/15/23   702,949 
 500,000   Aon plc     4.0000  11/27/23   504,702 
 17,000,000   Brighthouse Financial Global Funding(c)     0.6000  06/28/23   16,546,313 
 20,000,000   Equitable Financial Life Global Funding(c)     0.5000  04/06/23   19,601,133 
 25,000,000   Jackson Financial, Inc.(c)     1.1250  11/22/23   24,136,232 
 33,609,000   Met Tower Global Funding(c)     0.5500  07/13/22   33,543,136 
 25,000,000   Met Tower Global Funding(c),(d)  SOFRRATE + 0.550%  0.8290  01/17/23   25,024,258 
 14,500,000   Metropolitan Life Global Funding I MTN(c),(d)  SOFRRATE + 0.570%  0.8510  01/13/23   14,516,068 
 50,000,000   New York Life Global Funding(c)     0.6000  08/27/24   47,170,094 
 25,000,000   New York Life Global Funding(c),(d)  SOFRINDX + 0.610%  0.8820  04/21/25   25,011,197 

 

The accompanying notes are an integral part of these financial statements.

28

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     INSURANCE — 4.0% (Continued)              
 62,000,000   Northwestern Mutual Global Funding(c)     0.6000  03/25/24  $59,066,042 
                  302,560,677 
     LEISURE FACILITIES & SERVICES  — 0.8%              
 19,772,000   Hyatt Hotels Corporation     1.3000  10/01/23   19,223,932 
 29,366,000   Starbucks Corporation     2.7000  06/15/22   29,397,727 
 12,000,000   Starbucks Corporation(d)  SOFRINDX + 0.420%  0.6000  02/14/24   12,012,683 
                  60,634,342 
     MACHINERY — 0.5%              
 4,360,000   Caterpillar Financial Services Corporation     0.2500  03/01/23   4,289,018 
 2,028,000   Caterpillar Financial Services Corporation     0.4500  05/17/24   1,927,754 
 23,547,000   Eaton Corporation     2.7500  11/02/22   23,617,860 
 800,000   John Deere Capital Corporation     1.2000  04/06/23   791,725 
 2,000,000   John Deere Capital Corporation     0.7000  07/05/23   1,957,947 
 2,364,000   John Deere Capital Corporation     0.4000  10/10/23   2,288,182 
                  34,872,486 
     MEDICAL EQUIPMENT & DEVICES  — 1.5%              
 32,000,000   Illumina, Inc.     0.5500  03/23/23   31,412,670 
 40,500,000   PerkinElmer, Inc.     0.5500  09/15/23   39,236,998 
 33,250,000   Thermo Fisher Scientific, Inc.     0.7970  10/18/23   32,261,744 
 9,464,000   Thermo Fisher Scientific, Inc.     1.2150  10/18/24   8,987,675 
                  111,899,087 
     OIL & GAS PRODUCERS — 1.4%              
 2,270,000   BP Capital Markets America, Inc.     3.7900  02/06/24   2,291,530 
 600,000   Chevron USA, Inc.     0.3330  08/12/22   597,702 
 20,835,000   Chevron USA, Inc.(d)  US0003M + 0.110%  0.5050  08/12/22   20,835,250 
 9,000,000   Chevron USA, Inc.(d)  US0003M + 0.200%  0.5770  08/11/23   8,993,910 
 17,500,000   Enbridge, Inc.(d)  SOFRINDX + 0.630%  0.8190  02/16/24   17,526,276 
 2,000,000   Energy Transfer Operating, L.P.     4.2500  03/15/23   2,016,012 
 13,015,000   Exxon Mobil Corporation     1.5710  04/15/23   12,916,122 
 609,000   Exxon Mobil Corporation     3.1760  03/15/24   612,685 
 1,625,000   Kinder Morgan Energy Partners, L.P.     3.9500  09/01/22   1,626,308 
 16,930,000   Pioneer Natural Resources Company     0.5500  05/15/23   16,506,371 
 2,000,000   Shell International Finance BV     0.3750  09/15/23   1,941,096 

 

The accompanying notes are an integral part of these financial statements.

29

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     OIL & GAS PRODUCERS — 1.4% (Continued)              
 16,669,000   TransCanada PipeLines Ltd.     2.5000  08/01/22  $16,705,355 
 7,267,000   TransCanada PipeLines Ltd.     1.0000  10/12/24   6,830,233 
                  109,398,850 
     OIL & GAS SERVICES & EQUIPMENT —  0.1%              
 10,250,000   Schlumberger Investment S.A.(c)     2.4000  08/01/22   10,250,000 
                    
     REAL ESTATE INVESTMENT TRUSTS —   0.2%              
 500,000   Federal Realty Investment Trust     3.9500  01/15/24   503,435 
 14,325,000   Office Properties Income Trust     4.0000  07/15/22   14,336,691 
                  14,840,126 
     REAL ESTATE SERVICES — 0.5%              
 34,330,000   Jones Lang LaSalle, Inc.     4.4000  11/15/22   34,529,755 
                    
     RETAIL - CONSUMER STAPLES — 1.1%              
 19,000,000   7-Eleven, Inc.(c)     0.6250  02/10/23   18,676,173 
 34,461,000   Kroger Company     2.8000  08/01/22   34,498,314 
 21,712,000   Walgreen Company     3.1000  09/15/22   21,768,955 
 2,000,000   Walmart, Inc.     3.4000  06/26/23   2,022,734 
 3,662,000   Walmart, Inc.     3.3000  04/22/24   3,696,230 
                  80,662,406 
     SEMICONDUCTORS — 0.8%              
 3,300,000   Marvell Technology, Inc.     4.2000  06/22/23   3,332,451 
 4,695,000   Microchip Technology, Inc.     4.3330  06/01/23   4,747,898 
 7,000,000   Microchip Technology, Inc.     0.9720  02/15/24   6,678,537 
 25,000,000   NVIDIA Corporation     0.3090  06/15/23   24,404,629 
 2,292,000   QUALCOMM, Inc.     3.0000  05/20/22   2,294,184 
 20,345,000   Skyworks Solutions, Inc.     0.9000  06/01/23   19,846,901 
                  61,304,600 
     SOFTWARE — 2.4%              
 2,000,000   Microsoft Corporation     2.8750  02/06/24   2,003,959 
 107,948,000   Oracle Corporation     2.5000  05/15/22   107,984,083 
 50,000,000   Oracle Corporation     2.5000  10/15/22   50,036,175 
 5,280,000   Roper Technologies, Inc.     0.4500  08/15/22   5,253,379 

 

The accompanying notes are an integral part of these financial statements.

30

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     SOFTWARE — 2.4% (Continued)              
 19,758,000   VMware, Inc.     0.6000  08/15/23   $19,129,324 
                  184,406,920 
     SPECIALTY FINANCE — 2.9%              
 1,300,000   AerCap Ireland Capital DAC / AerCap Global     4.6250  07/01/22   1,304,268 
 4,000,000   AerCap Ireland Capital DAC / AerCap Global     4.5000  09/15/23   4,011,223 
 35,000,000   AerCap Ireland Capital DAC / AerCap Global     1.1500  10/29/23   33,435,965 
 28,993,000   Air Lease Corporation(d)  US0003M + 0.350%  1.1760  12/15/22   28,962,938 
 4,207,000   Air Lease Corporation MTN     0.7000  02/15/24   3,992,614 
 32,501,000   American Express Company     2.5000  08/01/22   32,557,077 
 2,000,000   American Express Company     3.4000  02/27/23   2,017,947 
 50,000,000   American Express Company     0.7500  11/03/23   48,554,791 
 35,000,000   American Express Company(b),(d)  SOFRINDX + 0.720%  0.0000  05/03/24   35,003,542 
 29,673,000   Capital One Financial Corporation(d)  US0003M + 0.720%  1.9590  01/30/23   29,646,866 
 600,000   Capital One Financial Corporation     3.2000  01/30/23   604,011 
 2,000,000   Capital One Financial Corporation     3.5000  06/15/23   2,012,869 
                  222,104,111 
     TECHNOLOGY HARDWARE — 0.2%              
 1,685,000   Apple, Inc.     1.7000  09/11/22   1,687,403 
 6,270,000   Apple, Inc.     2.4000  05/03/23   6,278,426 
 2,343,000   Apple, Inc.     2.8500  05/11/24   2,344,337 
 3,024,000   Telefonaktiebolaget LM Ericsson     4.1250  05/15/22   3,025,300 
                  13,335,466 
     TECHNOLOGY SERVICES — 0.6%              
 1,174,000   Fiserv, Inc.     3.5000  10/01/22   1,177,395 
 600,000   Fiserv, Inc.     3.8000  10/01/23   605,945 
 3,700,000   International Business Machines Corporation     2.8500  05/13/22   3,702,168 
 37,800,000   PayPal Holdings, Inc.     2.2000  09/26/22   37,874,990 
                  43,360,498 
     TELECOMMUNICATIONS — 0.5%              
 4,110,000   AT&T, Inc.     0.9000  03/25/24   3,951,220 
 7,259,000   AT&T, Inc.     3.0000  06/30/22   7,259,000 
 27,500,000   Sprint Communications, Inc.     6.0000  11/15/22   27,947,837 
                  39,158,057 

 

The accompanying notes are an integral part of these financial statements.

31

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 42.3% (Continued)              
     TOBACCO & CANNABIS — 0.9%              
 39,857,000   Altria Group, Inc.     2.8500  08/09/22  $39,947,026 
 9,500,000   Altria Group, Inc.     4.0000  01/31/24   9,626,519 
 14,495,000   BAT Capital Corporation(d)  US0003M + 0.880%  1.3860  08/15/22   14,504,541 
 4,648,000   BAT Capital Corporation     3.2220  08/15/24   4,589,631 
 900,000   Philip Morris International, Inc.     1.1250  05/01/23   886,314 
                  69,554,031 
     TRANSPORTATION & LOGISTICS — 0.2%              
 9,000,000   CSX Corporation     8.6250  05/15/22   9,021,427 
 6,500,000   Ryder System, Inc.     3.8750  12/01/23   6,534,811 
 969,000   United Parcel Service, Inc.     2.4500  10/01/22   971,682 
                  16,527,920 
     TRANSPORTATION EQUIPMENT — 0.6%              
 24,500,000   Daimler Trucks Finance North America, LLC(c),(d)  SOFRRATE + 0.500%  0.7710  06/14/23   24,464,052 
 25,000,000   Daimler Trucks Finance North America, LLC(c),(d)  SOFRRATE + 1.000%  1.2850  04/07/24   25,011,974 
                  49,476,026 
     TOTAL CORPORATE BONDS (Cost $3,256,752,465)      3,199,831,299 
                    
     MUNICIPAL BONDS — 7.7%              
     APPROPRIATION — 0.2%              
 9,000,000   Alabama Federal Aid Highway Finance Authority     0.2290  09/01/22   8,970,161 
 10,000,000   Maryland Stadium Authority     5.0000  05/01/46   10,952,325 
                  19,922,486 
     CITY — 0.6%              
 11,440,000   City & Companyunty of Denver CO     5.0000  08/01/31   13,493,265 
 11,785,000   City & Companyunty of Denver CO     5.0000  08/01/32   14,006,899 
 13,770,000   City of Boston MA     5.0000  11/01/31   16,381,440 
                  43,881,604 
     COMBINED UTILITIES — 0.5%              
 2,500,000   Intermountain Power Agency     5.0000  07/01/30   2,881,122 
 4,600,000   Intermountain Power Agency     5.0000  07/01/31   5,357,998 
 27,500,000   Long Island Power Authority     0.3590  03/01/23   27,065,335 
                  35,304,455 

 

The accompanying notes are an integral part of these financial statements.

32

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     MUNICIPAL BONDS — 7.7% (Continued)           
     COUNTY   0.8%           
 19,730,000   County of Prince George’s MD  5.0000  07/01/30  $23,058,453 
 19,700,000   County of Prince George’s MD  5.0000  07/01/31   23,266,249 
 10,345,000   Louisville/Jefferson County Metropolitan  5.0000  04/01/32   12,300,795 
               58,625,497 
     ECON & INDUST DEVELOPMENT — 0.1%           
 8,000,000   Chandler Industrial Development Authority  5.0000  06/01/49   8,359,753 
                 
     FAREBOX (MASS & RAPID TRANSIT) — 0.4%           
 29,500,000   Metropolitan Transportation Authority  5.0000  09/01/22   29,805,431 
                 
     HIGHER EDUCATION — 0.5%           
 29,000,000   Massachusetts Development Finance Agency  5.0000  11/15/32   35,174,431 
                 
     INCOME TAX FINANCING — 0.0%(a)           
 3,000,000   New York State Dormitory Authority  2.0090  03/15/23   2,991,152 
                 
     SALES TAX — 0.0%(a)           
 4,000,000   State of Illinois Sales Tax Revenue  5.0000  06/15/22   4,013,707 
                 
     SCHOOL DISTRICT — 0.4%           
 11,425,000   Los Angeles Community College District/CA  0.3260  08/01/22   11,404,456 
 18,020,000   Springdale School District No 50  4.0000  06/01/40   18,059,359 
               29,463,815 
     SINGLE-FAMILY HOUSING — 0.0%(a)           
 500,000   Colorado Housing and Finance Authority  0.5000  05/01/38   500,000 
                 
     STATE — 3.8%           
 28,750,000   State of California  5.0000  10/01/22   29,174,761 
 13,270,000   State of California  5.0000  11/01/30   15,321,565 
 11,500,000   State of California  5.0000  04/01/31   13,343,266 
 18,490,000   State of California  5.0000  09/01/31   21,551,798 
 49,485,000   State of California  5.0000  10/01/31   57,733,189 
 16,505,000   State of California  5.0000  04/01/32   19,313,747 
 28,490,000   State of California  5.0000  10/01/32   33,087,061 

 

The accompanying notes are an integral part of these financial statements.

33

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     MUNICIPAL BONDS — 7.7% (Continued)           
     STATE — 3.8% (Continued)           
 15,000,000   State of California  5.0000  03/01/33  $17,044,339 
 8,000,000   State of California  5.0000  04/01/35   8,889,700 
 10,575,000   State of Florida  5.0000  07/01/33   12,826,208 
 7,500,000   State of Hawaii  0.2470  08/01/22   7,484,525 
 5,865,000   State of Hawaii  0.2470  10/01/22   5,835,665 
 6,525,000   State of Illinois  5.0000  09/01/22   6,589,771 
 21,015,000   State of Maryland  5.0000  03/01/33   24,553,453 
 15,925,000   State of New Mexico  5.0000  03/01/23   16,333,094 
               289,082,142 
     TAX BACKED DISTRICT — 0.0%(a)           
 1,250,000   San Francisco Community College District  3.0000  06/15/22   1,253,020 
                 
     TOBACCO — 0.1%           
 2,750,000   Golden State Tobacco Securitization Corporation  0.5020  06/01/22   2,748,382 
 3,000,000   Golden State Tobacco Securitization Corporation  2.7460  06/01/34   2,606,555 
               5,354,937 
     TOLL ROADS, BRIDGES & TUNNELS — 0.3%           
 23,000,000   Foothill-Eastern Transportation Corridor Agency(b)  0.0000  01/01/28   19,507,968 
                 
     TOTAL MUNICIPAL BONDS (Cost $606,819,115)   583,240,398 
                 
     U.S. GOVERNMENT & AGENCIES — 17.4%           
     U.S. TREASURY BILLS — 17.2%           
 100,000,000   United States Cash Management Bill  0.1200  05/17/22   99,994,271 
 100,000,000   United States Cash Management Bill  0.4100  06/07/22   99,957,083 
 100,000,000   United States Cash Management Bill  0.4400  06/14/22   99,945,503 
 100,000,000   United States Cash Management Bill  0.5500  06/21/22   99,921,007 
 200,000,000   United States Cash Management Bill  0.6200  06/28/22   199,800,500 
 100,000,000   United States Treasury Bill  0.0500  05/05/22   99,999,257 
 100,000,000   United States Treasury Bill  0.4100  06/09/22   99,955,007 
 300,000,000   United States Treasury Bill  0.7200  07/07/22   299,598,843 
 100,000,000   United States Treasury Bill  0.8100  07/21/22   99,818,278 

 

The accompanying notes are an integral part of these financial statements.

34

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     U.S. GOVERNMENT & AGENCIES — 17.4% (Continued)     
     U.S. TREASURY BILLS — 17.2% (Continued)     
 100,000,000   United States Treasury Bill  0.9000  08/04/22  $99,763,477 
               1,298,753,226 
     U.S. TREASURY NOTES — 0.2%           
 20,000,000   United States Treasury Note  0.2500  08/31/25   18,321,094 
                 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $1,319,276,408)   1,317,074,320 
                 
     COMMERCIAL PAPER — 5.7%           
     COMMERCIAL PAPER - 5.7%           
 35,000,000   AT&T Incorporated  0.8500  05/18/22   34,985,315 
 50,000,000   Crown Castle International Corporation  1.2900  05/17/22   49,970,000 
 83,700,000   FMC Corporation  0.4900  05/02/22   83,697,751 
 59,000,000   FMC Corporation  1.3200  05/16/22   58,965,583 
 75,000,000   Fortune Brands Home  0.3800  05/02/22   74,998,438 
 23,500,000   Hilltop Securities Incorporated  0.5300  05/04/22   23,498,629 
 10,000,000   Hilltop Securities Incorporated  1.2600  05/11/22   9,996,194 
 9,500,000   Hilltop Securities Incorporated  1.4300  05/25/22   9,490,690 
 33,160,000   Jabil, Inc.  0.4600  05/02/22   33,159,171 
 55,000,000   Jabil, Inc.  0.8700  05/04/22   54,994,729 
               433,756,500 
                 
     TOTAL COMMERCIAL PAPER (Cost $433,763,748)   433,756,500 
                 
Shares               
     SHORT-TERM INVESTMENTS — 12.4%           
     MONEY MARKET FUNDS - 12.4%           
 274,313,145   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.21%(f)   274,313,145 
 125,000,000   Federated Hermes Institutional Prime Obligations, Institutional Class, 0.36%(f)   125,000,000 
 364,515,224   JPMorgan Prime Money Market Fund, Capital Class, 0.40%(f)   364,588,128 
 174,765,551   Morgan Stanley Institutional Liquidity Funds - Prime Portfolio, Institutional Class, 0.36%(f)   174,783,028 
     TOTAL MONEY MARKET FUNDS (Cost $938,747,207)   938,684,301 

 

The accompanying notes are an integral part of these financial statements.

35

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

                 Fair Value 
     SHORT-TERM INVESTMENTS — 12.4% (Continued)      
     MONEY MARKET FUNDS - 12.4% (Continued)      
     TOTAL SHORT-TERM INVESTMENTS (Cost $938,747,207)   $938,684,301 
                        
Contracts(i)      Expiration Date  Exercise Price   Notional Value      
     FUTURE OPTIONS PURCHASED(a) - 0.2%      
     PUT OPTIONS PURCHASED - 0.2%      
 800   S&P500 E-Mini Option Index  06/17/2022  $4,000   $330,554,400    4,790,000 
 200   S&P500 E-Mini Option Index  06/17/2022   4,100    82,638,600    1,550,000 
 1,046   S&P500 E-Mini Option Index  06/17/2022   4,150    432,199,878    9,178,650 
 100   S&P500 E-Mini Option Index  06/17/2022   4,200    41,319,300    988,750 
     TOTAL PUT OPTIONS PURCHASED (Cost - $7,735,675)    16,507,400 
                        
     TOTAL FUTURE OPTIONS PURCHASED (Cost - $7,735,675)    16,507,400 
                        
Shares                      
     COLLATERAL FOR SECURITIES LOANED   12.7%      
 960,589,688   Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Shares, 0.32% (f),(h)      
     TOTAL COLLATERAL FOR SECURITIES LOANED (Cost $960,589,688)    960,589,688 
                        
     TOTAL INVESTMENTS — 112.3% (Cost $8,628,519,696)   $8,505,026,586 
     LIABILITIES IN EXCESS OF OTHER ASSETS — (12.3)%    (932,513,705)
     NET ASSETS - 100.0%   $7,572,512,881 

 

OPEN FUTURES CONTRACTS
Number of          Notional   Unrealized 
Contracts   Open Long Futures Contracts  Expiration   Amount   (Depreciation) 
 3,860   CBOT 5 Year US Treasury Note   06/30/2022   $434,913,920   $(13,063,786)
 1,379   CME E-Mini Standard & Poor’s 500 Index Future   06/17/2022    284,591,125    (11,083,825)
     TOTAL FUTURES CONTRACTS            $(24,147,611)

 

OPEN FUTURES CONTRACTS
Number of          Notional   Unrealized 
Contracts   Open Short Futures Contracts  Expiration   Amount   Appreciation 
 39   CME Ultra Long-Term US Treasury Bond Future   06/21/2022   $6,257,082   $912,518 
 1,487   Ultra 10-Year US Treasury Note Futures   06/21/2022    191,823,000    12,662,908 
     TOTAL FUTURES CONTRACTS            $13,575,426 

 

The accompanying notes are an integral part of these financial statements.

36

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022
 
DAC- Designated Activity Company

 

ETF- Exchange-Traded Fund

 

LIBOR- London Interbank Offered Rate

 

LLC- Limited Liability Company

 

LP- Limited Partnership

 

LTD- Limited Company

 

MTN- Medium-Term Note

 

PLC- Public Limited Company

 

REIT- Real Estate Investment Trust

 

SOFR- Secured Overnight Financing Rate

 

SPDR- Standard & Poor’s Depositary Receipt

 

H15T1YUS Treasury Yield Curve Rate T Note Constant Maturity 1 Year

 

SOFRINDXSecured Overnight Financing Rate Index

 

SOFRRATEUnited States SOFR Secured Overnight Financing Rate

 

US0003MICE LIBOR USD 3 Month

 

(a)Non-income producing security.

 

(b)Zero coupon rate.

 

(c)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2022 the total market value of 144A securities is $538,891,556 or 7.1% of net assets.

 

(d)Variable rate security. Interest rate is as of April 30, 2022.

 

(e)Affiliated Security.

 

(f)Rate disclosed is the seven-day effective yield as of April 30, 2022.

 

(g)All or a portion of the security is on loan. Total loaned securities had a value of $940,436,616 at April 30, 2022.

 

(h)Security purchased with cash proceeds of securities lending collateral.

 

(i)Each option contract allows the Fund to purchase or sell 1 underlying futures contract or 100 shares of the underlying security.

 

OPEN CREDIT DEFAULT SWAP AGREEMENTS (1)

OPEN CREDIT DEFAULT SWAP AGREEMENTS - SELL PROTECTION (2)

 

      Termination  Interest Rate  Notional Value at       Upfront Premiums   Unrealized 
Reference Entity  Counterparty  Date  Payable  April 30, 2022   Value   Paid   (Depreciation) 
                          
CDX North American High Yield Series 35  GS  12/20/2025  5.00%  $356,800,000   $13,912,504   $23,203,109   $(9,290,605)
CDX North American High Yield Series 36  GS  6/20/2026  5.00%   397,900,000    15,084,168    31,785,653    (16,701,485)
CDX North American High Yield Series 38  GS  6/20/2027  5.00%   966,200,000    20,889,673    50,700,666    (29,810,993)
CDX North American High Yield Series 38  MS  6/20/2027  5.00%   98,100,000    2,120,966    5,758,347    (3,637,381)
                              
TOTAL OPEN CREDIT DEFAULT SWAP        $52,007,311   111,447,775   (59,440,464)

 

GS - Goldman Sachs

 

MS - Morgan Stanley

 

(1)For centrally cleared swaps, the notional amounts represent the maximum potential the Fund may pay/receive as a seller/buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the reference entity.

 

(2)For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value.

 

The accompanying notes are an integral part of these financial statements.

37

 

NAVIGATOR TACTICAL FIXED INCOME FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

INTEREST RATE SWAPS
      Notional            Upfront Premiums   Unrealized 
Counterparty  Termination Date  Amount  Fixed Rate  Floating Rate  Fair Value   Paid/(Received)   (Depreciation) 
                         
Bank Of America, National Association  3/25/2027  $25,000,000  1.990%  USD-SIFMA Municipal Swap Index  $(471,479)  $   $(471,479)
Bank Of America, National Association  4/5/2027  25,000,000  2.205%  USD-SIFMA Municipal Swap Index   (237,464)       (237,464)
Morgan Stanley Capital Services,LLC  3/21/2027  50,000,000  1.795%  USD-SIFMA Municipal Swap Index   (1,387,926)       (1,387,926)
Morgan Stanley Capital Services,LLC  3/23/2027  25,000,000  1.920%  USD-SIFMA Municipal Swap Index   (551,652)       (551,652)
                            
TOTAL OPEN INTEREST RATE SWAPS  $(2,648,521)  $   $(2,648,521)

 

SIFMA - Securities Industry and Financial Markets Association

 

The accompanying notes are an integral part of these financial statements.

38

 

NAVIGATOR TACTICAL INVESTMENT GRADE BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     U.S. GOVERNMENT & AGENCIES — 57.6%           
     U.S. TREASURY BILLS — 57.6%           
 50,000,000   United States Cash Management Bill  0.3100  05/31/22  $49,987,011 
 75,000,000   United States Treasury Bill  0.6800  06/30/22   74,914,573 
 75,000,000   United States Treasury Bill  0.7200  07/07/22   74,899,711 
 75,000,000   United States Treasury Bill  0.7700  07/14/22   74,882,288 
 100,000,000   United States Treasury Bill  0.9000  08/04/22   99,763,476 
 100,000,000   United States Treasury Bill  0.9600  08/11/22   99,730,946 
 100,000,000   United States Treasury Bill  0.9900  08/18/22   99,703,200 
 40,000,000   United States Treasury Bill  1.0700  09/15/22   39,838,689 
               613,719,894 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $613,907,394)         613,719,894 
                 
Shares               
     SHORT-TERM INVESTMENTS — 42.4%           
     MONEY MARKET FUNDS - 42.4%           
 401,082,340   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.21%(a)         401,082,340 
 50,000,000   Federated Hermes Institutional Prime Obligations, Institutional Class, 0.36%(a)         50,000,000 
     TOTAL MONEY MARKET FUNDS (Cost $451,082,340)         451,082,340 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost $451,082,340)         451,082,340 
                 
     TOTAL INVESTMENTS - 100.0% (Cost $1,064,989,734)        $1,064,802,234 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 0.0%         52,783 
     NET ASSETS - 100.0%        $1,064,855,017 

 

 

(a)Rate disclosed is the seven-day effective yield as of April 30, 2022.

 

The accompanying notes are an integral part of these financial statements.

39

 

NAVIGATOR TACTICAL U.S. ALLOCATION FUND
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 66.2%              
     AUTOMOTIVE — 5.9%              
 1,000,000   Ford Motor Credit Company, LLC     4.2500  09/20/22  $1,002,720 
 2,000,000   General Motors Financial Company, Inc.(a)  US0003M + 1.310%  2.3060  06/30/22   2,002,107 
                  3,004,827 
     BANKING — 4.0%              
 2,000,000   JPMorgan Chase & Company(a)  US0003M + 1.230%  2.4140  10/24/23   2,006,938 
                    
     BEVERAGES — 2.0%              
 1,000,000   Molson Coors Beverage Company     3.5000  05/01/22   1,000,000 
                    
     E-COMMERCE DISCRETIONARY — 3.2%              
 1,604,000   eBay, Inc.(a)  US0003M + 0.870%  2.1090  01/30/23   1,605,796 
                    
     FOOD — 4.0%              
 2,000,000   McCormick & Co, Inc.     2.7000  08/15/22   2,001,861 
                    
     HEALTH CARE FACILITIES & SERVICES — 10.5%              
 2,000,000   Cardinal Health, Inc.(a)  US0003M + 0.770%  1.5960  06/15/22   2,001,159 
 2,000,000   Cigna Corporation(a)  US0003M + 0.890%  1.9340  07/15/23   2,011,224 
 1,247,000   CVS Health Corporation     4.7500  12/01/22   1,259,004 
                  5,271,387 
     INSTITUTIONAL FINANCIAL SERVICES — 4.4%              
 2,249,000   Goldman Sachs Group, Inc.(a)  US0003M + 1.000%  2.1840  07/24/23   2,249,063 
                    
     LEISURE FACILITIES & SERVICES — 6.9%              
 1,000,000   Hyatt Hotels Corporation     1.3000  10/01/23   972,281 
 1,000,000   Starbucks Corporation     2.7000  06/15/22   1,001,080 
 1,500,000   Starbucks Corporation(a)  SOFRINDX + 0.420%  0.6000  02/14/24   1,501,585 
                  3,474,946 
     MEDICAL EQUIPMENT & DEVICES — 5.8%              
 2,000,000   PerkinElmer, Inc.     0.5500  09/15/23   1,937,630 
 1,000,000   Thermo Fisher Scientific, Inc.     0.7970  10/18/23   970,278 
                  2,907,908 
                    

The accompanying notes are an integral part of these financial statements.

40

 

NAVIGATOR TACTICAL U.S. ALLOCATION FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 66.2% (Continued)              
     OIL & GAS PRODUCERS — 4.0%              
 1,000,000   Chevron USA, Inc.(a)  US0003M + 0.200%  0.5770  08/11/23  $999,323 
 1,000,000   Enbridge, Inc.(a)  SOFRINDX + 0.630%  0.8190  02/16/24   1,001,502 
                  2,000,825 
     RETAIL - CONSUMER STAPLES — 2.0%              
 1,000,000   Kroger Company     2.8000  08/01/22   1,001,083 
                    
     SOFTWARE — 4.0%              
 2,000,000   Oracle Corporation     2.5000  05/15/22   2,000,669 
                    
     TECHNOLOGY HARDWARE — 5.5%              
 781,000   Apple, Inc.(a)  US0003M + 0.350%  0.7270  05/11/22   781,002 
 2,000,000   Telefonaktiebolaget LM Ericsson     4.1250  05/15/22   2,000,860 
                  2,781,862 
     TOBACCO & CANNABIS — 4.0%              
 2,000,000   Altria Group, Inc.     2.8500  08/09/22   2,004,517 
                    
     TOTAL CORPORATE BONDS (Cost $33,475,537)            33,311,682 
                    
     MUNICIPAL BONDS — 12.4%              
     FAREBOX (MASS & RAPID TRANSIT) — 2.0%              
 1,000,000   Metropolitan Transportation Authority     5.0000  09/01/22   1,010,353 
                    
     INCOME TAX FINANCING — 2.0%              
 1,000,000   New York State Dormitory Authority     2.0090  03/15/23   997,050 
                    
     MULTI-FAMILY HOUSING — 2.0%              
 1,000,000   New York City Housing Development Corporation     2.3240  01/01/23   998,428 
                    
     SALES TAX — 2.0%              
 1,000,000   State of Illinois Sales Tax Revenue     5.0000  06/15/22   1,003,427 
                    

The accompanying notes are an integral part of these financial statements.

41

 

NAVIGATOR TACTICAL U.S. ALLOCATION FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     MUNICIPAL BONDS — 12.4% (Continued)           
     STATE — 3.4%           
 1,750,000   State of Hawaii  0.2470  10/01/22  $1,741,247 
                 
     TOBACCO — 1.0%           
 500,000   Golden State Tobacco Securitization Corporation  0.5020  06/01/22   499,706 
                 
     TOTAL MUNICIPAL BONDS (Cost $6,264,849)         6,250,211 
                 
     U.S. GOVERNMENT & AGENCIES — 4.0%           
     U.S. TREASURY BILLS — 4.0%           
 2,000,000   United States Cash Management Bill  0.6200  06/28/22   1,998,005 
                 
     TOTAL U.S. GOVERNMENT & AGENCIES (Cost $1,998,461)         1,998,005 
                 
     COMMERCIAL PAPER — 5.9%           
     COMMERCIAL PAPER — 5.9%           
 1,000,000   FMC Corporation  1.3300  05/16/22   999,417 
 1,000,000   Hilltop Securities Incorporated  0.5300  05/04/22   999,941 
 1,000,000   Hilltop Securities Incorporated  1.4300  05/25/22   999,020 
               2,998,378 
                 
     TOTAL COMMERCIAL PAPER (Cost $2,998,378)         2,998,378 
                 
Shares               
     SHORT-TERM INVESTMENTS — 11.0%           
     MONEY MARKET FUNDS - 11.0%           
 3,523,489   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.21%(b)         3,523,489 
 2,000,000   Federated Hermes Institutional Prime Obligations, Institutional Class, 0.36%(b)         2,000,000 
     TOTAL MONEY MARKET FUNDS (Cost $5,523,489)         5,523,489 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost $5,523,489)         5,523,489 

 

The accompanying notes are an integral part of these financial statements.

42

 

NAVIGATOR TACTICAL U.S. ALLOCATION FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

      Fair Value 
     TOTAL INVESTMENTS - 99.5% (Cost $50,260,714)  $50,081,765 
     OTHER ASSETS IN EXCESS OF LIABILITIES- 0.5%   274,833 
     NET ASSETS - 100.0%  $50,356,598 
                       
OPEN FUTURES CONTRACTS 
Number of         Notional   Value and
Unrealized
 
Contracts   Open Long Futures Contracts  Expiration  Amount   (Depreciation) 
 121   CME E-Mini Standard & Poor’s 500 Index Future  06/17/2022  $24,971,375   $(1,083,895)
     TOTAL FUTURES CONTRACTS             

 

LLC– Limited Liability Company

 

SOFRINDXSecured Overnight Financing Rate Index

 

ICE LIBOR USD 3 Month ICE LIBOR USD 3 Month

 

US0003M LIBOR USD 3 Month

 

(a)Variable rate security; the rate shown represents the rate on April 30, 2022.

 

(b)Rate disclosed is the seven-day effective yield as of April 30, 2022.

 

 

The accompanying notes are an integral part of these financial statements.

43

 

NAVIGATOR ULTRA SHORT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 80.9%              
     AEROSPACE & DEFENSE — 5.1%              
 2,000,000   Boeing Company     1.1670  02/04/23  $1,974,139 
 750,000   Huntington Ingalls Industries, Inc.(c)     0.6700  08/16/23   725,866 
                  2,700,005 
     AUTOMOTIVE — 9.8%              
 1,000,000   Ford Motor Credit Company, LLC     4.2500  09/20/22   1,002,720 
 2,200,000   General Motors Financial Company, Inc.(c)  US0003M + 1.310%  2.3060  06/30/22   2,202,319 
 750,000   Hyundai Capital America(d)     3.2500  09/20/22   751,594 
 1,200,000   Nissan Motor Acceptance Company, LLC(c)     2.6500  07/13/22   1,199,956 
                  5,156,589 
     BANKING — 3.8%              
 1,000,000   Deutsche Bank A.G.(a)  US0003M + 1.190%  1.6490  11/16/22   1,003,760 
 1,000,000   Synchrony Bank     3.0000  06/15/22   1,000,439 
                  2,004,199 
     BEVERAGES — 2.8%              
 1,500,000   Molson Coors Beverage Company     3.5000  05/01/22   1,500,000 
                    
     CONSTRUCTION MATERIALS — 5.6%              
 1,500,000   Carlisle Companies, Inc.     3.7500  11/15/22   1,503,115 
 1,500,000   Carlisle Companies, Inc.     0.5500  09/01/23   1,449,469 
                  2,952,584 
     E-COMMERCE DISCRETIONARY — 5.7%              
 3,000,000   eBay, Inc.(a)  US0003M + 0.870%  2.1090  01/30/23   3,003,359 
                    
     ELECTRIC UTILITIES — 5.7%              
 1,000,000   Florida Power & Light Company(a)  SOFRINDX + 0.380%  0.6630  01/12/24   996,454 
 1,000,000   NextEra Energy Capital Holdings, Inc.(a)  US0003M + 0.270%  0.7500  02/22/23   997,402 
 1,000,000   TerraForm Power Operating, LLC(c)     4.2500  01/31/23   1,002,519 
                  2,996,375 
     FOOD — 1.4%              
 750,000   Conagra Brands, Inc.     0.5000  08/11/23   725,753 
                    
     INSTITUTIONAL FINANCIAL SERVICES — 4.7%              
 1,500,000   Goldman Sachs Group, Inc.(a)  US0003M + 0.750%  1.2140  02/23/23   1,500,254 

 

The accompanying notes are an integral part of these financial statements.

44

 

NAVIGATOR ULTRA SHORT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 80.9% (Continued)              
     INSTITUTIONAL FINANCIAL SERVICES — 4.7% (Continued)              
 1,000,000   JPMorgan Chase Financial Company, LLC     2.5000  05/01/23  $996,967 
                  2,497,221 
     LEISURE FACILITIES & SERVICES — 4.7%              
 1,000,000   Hyatt Hotels Corporation     1.3000  10/01/23   972,281 
 1,500,000   Starbucks Corporation(a)  SOFRINDX + 0.420%  0.6000  02/14/24   1,501,585 
                  2,473,866 
     MEDICAL EQUIPMENT & DEVICES — 3.2%              
 1,000,000   PerkinElmer, Inc.     0.5500  09/15/23   968,814 
 750,000   Thermo Fisher Scientific, Inc.     0.7970  10/18/23   727,709 
                  1,696,523 
     OIL & GAS PRODUCERS — 3.8%              
 1,500,000   Enbridge, Inc.(a)  SOFRINDX + 0.630%  0.8190  02/16/24   1,502,252 
 500,000   Pioneer Natural Resources Company     0.5500  05/15/23   487,489 
                  1,989,741 
     REAL ESTATE INVESTMENT TRUSTS — 2.8%              
 1,500,000   Office Properties Income Trust     4.0000  07/15/22   1,501,224 
                    
     REAL ESTATE SERVICES — 2.6%              
 1,350,000   Jones Lang LaSalle, Inc.     4.4000  11/15/22   1,357,855 
                    
     RETAIL - CONSUMER STAPLES — 3.8%              
 1,000,000   7-Eleven, Inc.(c)     0.6250  02/10/23   982,956 
 1,000,000   Kroger Company     2.8000  08/01/22   1,001,083 
                  1,984,039 
     SEMICONDUCTORS — 1.8%              
 1,000,000   Skyworks Solutions, Inc.     0.9000  06/01/23   975,517 
                    
     SOFTWARE — 2.3%              
 1,200,000   Oracle Corporation     2.5000  05/15/22   1,200,401 
                    
     SPECIALTY FINANCE — 3.8%              
 2,000,000   Air Lease Corporation(a)  US0003M + 0.350%  1.1760  12/15/22   1,997,926 

 

The accompanying notes are an integral part of these financial statements.

45

 

NAVIGATOR ULTRA SHORT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal         Coupon Rate       
Amount ($)      Spread  (%)  Maturity  Fair Value 
     CORPORATE BONDS — 80.9% (Continued)              
     TECHNOLOGY HARDWARE — 3.7%              
 1,923,000   Telefonaktiebolaget LM Ericsson     4.1250  05/15/22  $1,923,827 
                    
     TELECOMMUNICATIONS — 3.8%              
 1,000,000   AT&T, Inc.     3.0000  06/30/22   1,000,000 
 1,000,000   Sprint Communications, Inc.     6.0000  11/15/22   1,016,285 
                  2,016,285 
     TOTAL CORPORATE BONDS (Cost $42,982,260)            42,653,289 
                    
     MUNICIPAL BONDS — 17.6%              
     APPROPRIATION — 0.8%              
 425,000   City of Kansas City MO     2.7540  04/01/23   424,468 
                    
     COMBINED UTILITIES — 1.6%              
 850,000   City of San Antonio TX Electric & Gas Systems     2.4120  02/01/23   852,175 
                    
     FAREBOX (MASS & RAPID TRANSIT) — 1.4%              
 750,000   Metropolitan Transportation Authority     5.0000  09/01/22   757,765 
                    
     INCOME TAX FINANCING — 1.9%              
 1,000,000   New York State Dormitory Authority     2.0090  03/15/23   997,051 
                    
     MULTI-FAMILY HOUSING — 5.7%              
 3,000,000   New York City Housing Development Corporation     2.3240  01/01/23   2,995,282 
                    
     OTHER — 1.0%              
 500,000   Oregon State Lottery     2.4770  04/01/23   499,122 
                    
     SALES TAX — 1.9%              
 1,000,000   State of Illinois Sales Tax Revenue     5.0000  06/15/22   1,003,427 
                    
     SCHOOL DISTRICT — 1.9%              
 1,000,000   San Juan Unified School District     2.1800  08/01/22   1,000,009 

 

The accompanying notes are an integral part of these financial statements.

46

 

NAVIGATOR ULTRA SHORT BOND FUND
SCHEDULE OF INVESTMENTS (Unaudited) (Continued)
April 30, 2022

 

Principal      Coupon Rate       
Amount ($)      (%)  Maturity  Fair Value 
     MUNICIPAL BONDS — 17.6% (Continued)           
     TOBACCO — 1.4%           
 750,000   Golden State Tobacco Securitization Corporation  0.5020  06/01/22  $749,559 
                 
     TOTAL MUNICIPAL BONDS (Cost $9,287,228)         9,278,858 
                 
     COMMERCIAL PAPER — 2.8%           
     COMMERCIAL PAPER - 2.8%           
 500,000   Hilltop Securities Incorporated  0.5300  05/04/22   499,971 
 1,000,000   Hilltop Securities Incorporated  1.4300  05/25/22   999,020 
               1,498,991 
                 
     TOTAL COMMERCIAL PAPER (Cost $1,498,991)         1,498,991 
                 
Shares               
     SHORT-TERM INVESTMENTS — 1.0%           
     MONEY MARKET FUNDS - 1.0%           
                 
 512,220   Dreyfus Treasury Obligations Cash Management Fund, Institutional Class, 0.21%(b) (Cost $512,220)   512,220 
                 
     TOTAL INVESTMENTS - 102.3% (Cost $54,280,699)        $53,943,358 
     LIABILITIES IN EXCESS OF OTHER ASSETS - (2.3)%         (1,192,463)
     NET ASSETS - 100.0%        $52,750,895 
                 
LLC- Limited Liability Company

 

REIT- Real Estate Investment Trust

 

SOFRINDXSecured Overnight Financing Rate Index

 

US0003MICE LIBOR USD 3 Month

 

(a)Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets.

 

(b)Rate disclosed is the seven-day effective yield as of April 30, 2022.

 

 

(c)Security exempt from registration under Rule 144A or Section 4(2) of the Securities Act of 1933. The security may be resold in transactions exempt from registration, normally to qualified institutional buyers. As of April 30, 2022 the total market value of 144A securities is $13,054,008 or 24.7% of net assets.

 

The accompanying notes are an integral part of these financial statements.

47

 

Navigator Funds
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited)
April 30, 2022

 

   Navigator     
   Equity Hedged   Navigator Tactical 
   Fund   Fixed Income Fund 
Assets:          
Investments in Securities at Cost (including affiliated securities of $0 and $104,761,334, respectively)  $39,697,228   $8,628,519,696 
Investments in Securities at Value (including affiliated securities of $0 and $100,728,965, respectively)  $40,186,392 (a)  $8,505,026,586 (a)
Cash       4,562,553 
Deposits with Broker for Futures and Options Contracts with Goldman Sachs       11,378,447 
Deposits with Broker for Futures Contracts with Royal Bank of Canada       7,263,938 
Deposits with Broker for Option Contracts with Pershing   600,000    91,737 
Deposit with Broker for Swaps with Goldman Sachs       104,751,841 
Deposit with Broker for Swaps with Morgan Stanley       15,284,756 
Receivable for Fund Shares Sold   330,471    7,176,293 
Receivable for Securities Lending Income   5,807    1,428,534 
Dividends and Interest Receivable   563    18,380,177 
Receivable for Investments Sold       45,473,640 
Premiums Paid for Swap Contracts       111,447,774 
Unrealized Appreciation on Futures Contracts       13,575,426 
Prepaid Expenses and Other Assets   38,246    62,638 
Total Assets   41,161,479    8,845,904,340 
           
Liabilities:          
Collateral on Securities Loaned   3,050,750    960,589,688 
Option Contracts Written at Value (premiums received of $1,875,522 and $0, respectively)   2,923,010     
Payable to Related Parties   12,138    229,165 
Accrued Advisory Fees   7,802    4,926,200 
Payable for Fund Shares Redeemed   1,720    7,154,897 
Accrued Distribution Fees   522    37,866 
Unrealized Depreciation on Swap Contracts       62,088,985 
Payable for Securities Purchased       213,120,794 
Unrealized Depreciation on Futures Contracts       24,147,611 
Accrued Expenses and Other Liabilities   16,497    1,096,253 
Total Liabilities   6,012,439    1,273,391,459 
           
Net Assets  $35,149,040   $7,572,512,881 
           
Composition of Net Assets:          
At April 30, 2022, Net Assets consisted of:          
Paid-in-Capital  $38,975,701   $7,941,131,739 
Accumulated (Losses)   (3,826,661)   (368,618,858)
Net Assets  $35,149,040   $7,572,512,881 
           
Net Asset Value Per Share          
Class A Shares:          
Net Assets  $1,198,316   $61,670,352 
Shares of beneficial interest outstanding (unlimited shares of no par beneficial interest authorized)   134,867    6,201,434 
Net Asset Value (Net Assets ÷ Shares Outstanding) and Redemption Price Per Share  $8.89   $9.94 
Maximum Offering Price Per Share (Maximum sales charge of 5.50% and 3.75%, respectively)  $9.41   $10.33 
           
Class C Shares:          
Net Assets  $309,817   $30,441,137 
Shares of beneficial interest outstanding (unlimited shares of no par beneficial interest authorized)   37,984    3,064,937 
Net Asset Value (Net Assets ÷ Shares Outstanding), Offering and Redemption Price Per Share  $8.16   $9.93 
           
Class I Shares:          
Net Assets  $33,640,907   $7,480,401,392 
Shares of beneficial interest outstanding (unlimited shares of no par beneficial interest authorized)   3,814,186    751,696,645 
Net Asset Value (Net Assets ÷ Shares Outstanding), Offering and Redemption Price Per Share  $8.82   $9.95 
           
(a)Includes loaned securities with a value of $2,984,770 and $940,436,616, respectively.

 

The accompanying notes are an integral part of these financial statements.

48

 

Navigator Funds
STATEMENTS OF ASSETS AND LIABILITIES (Unaudited) (Continued)
April 30, 2022

 

   Navigator Tactical   Navigator   Navigator Ultra 
   Investment Grade   Tactical U.S.   Short Bond 
   Bond Fund   Allocation Fund   Fund 
Assets:               
Investments in Securities at Cost  $1,064,989,734   $50,260,714   $54,280,699 
Investments in Securities at Value  $1,064,802,234   $50,081,765   $53,943,358 
Cash       4,584    8,573 
Deposits with Broker for Future Contracts with Goldman Sachs   195,002    2,191,339     
Receivable for Fund Shares Sold   1,414,957         
Dividends and Interest Receivable   47,059    206,232    313,277 
Due from Investment Advisor           988 
Prepaid Expenses and Other Assets   127,021        8,791 
Total Assets   1,066,586,273    52,483,920    54,274,987 
                
Liabilities:               
Payable for Fund Shares Redeemed   948,892         
Accrued Advisory Fees   744,600    26,686     
Payable to Related Parties   22,634    5,414    12,896 
Payable for Securities Purchased       1,001,230    1,500,000 
Unrealized Depreciation on Futures Contracts       1,083,895     
Accrued Distribution Fees           2 
Accrued Expenses and Other Liabilities   15,130    10,097    11,194 
Total Liabilities   1,731,256    2,127,322    1,524,092 
                
Net Assets  $1,064,855,017   $50,356,598   $52,750,895 
                
Composition of Net Assets:               
At April 30, 2022, Net Assets consisted of:               
Paid-in-Capital  $1,088,407,168   $54,260,588   $53,083,555 
Accumulated (Losses)   (23,552,151)   (3,903,990)   (332,660)
Net Assets  $1,064,855,017   $50,356,598   $52,750,895 
                
Net Asset Value Per Share               
Class A Shares:               
Net Assets            $23,289 
Shares of beneficial interest outstanding (unlimited shares of no par beneficial interest authorized)             2,258 
Net Asset Value (Net Assets ÷ Shares Outstanding) and Redemption Price Per Share            $10.32 
Maximum Offering Price Per Share (Maximum sales charge of 3.75%)            $10.72 
                
Class I Shares:               
Net Assets  $1,064,855,017   $50,356,598   $52,727,606 
Shares of beneficial interest outstanding (unlimited shares of no par beneficial interest authorized)   115,239,192    5,423,021    5,291,428 
Net Asset Value (Net Assets ÷ Shares Outstanding), Offering and Redemption Price Per Share  $9.24   $9.29   $9.96 
                

The accompanying notes are an integral part of these financial statements.

49

 

Navigator Funds
STATEMENTS OF OPERATIONS (Unaudited)
For the Six Months Ended April 30, 2022

 

   Navigator Equity   Navigator Tactical 
   Hedged Fund   Fixed Income Fund 
Investment Income:          
Dividend Income (including income on affiliated securities of $0, and $1,782,629, respectively)  $189,568   $33,599,214 
Interest Income   955    17,020,902 
Securities Lending - net   43,722    10,553,523 
Total Investment Income   234,245    61,173,639 
           
Expenses:          
Investment Advisory Fees   134,894    34,054,054 
Distribution Fees:          
Class A   1,586    77,852 
Class C   1,610    154,526 
Registration & Filing Fees   34,712    188,439 
Administration Fees   31,049    630,969 
Third Party Administrative Servicing Fees   16,932    4,345,547 
Transfer Agent Fees   13,389    494,418 
Chief Compliance Officer Fees   12,178    70,307 
Audit Fees   8,431    9,917 
Legal Fees   7,664    7,935 
Trustees’ Fees   7,145    7,145 
Custody Fees   4,463    339,153 
Printing Expense   3,967    170,491 
Insurance Expense   1,542    49,236 
Interest Expense   627    74,670 
Miscellaneous Expenses   3,748    101,070 
Total Expenses   283,937    40,775,729 
Less: Expenses waived or fees reimbursed by Advisor for Affiliated Holdings       (633,923)
Less: Expenses waived or fees reimbursed by the Advisor   (82,371)    
Net Expenses   201,566    40,141,806 
Net Investment Income   32,679    21,031,833 
           
Net Realized and Unrealized Gain (Loss) on Investments:          
Net Realized Gain (Loss) on:          
Investments (including gain on affiliated securities of $0, and $2,668,723, respectively)   (2,882,281)   (68,311,454)
Securities Sold Short   (1,062,510)   232,151 
Futures Contracts       (9,304,762)
Swap Contracts       (23,512,684)
Options Purchased   (1,420,883)   (7,129,059)
Options Written   2,194,367    (2,598,931)
    (3,171,307)   (110,624,739)
           
Net Change in Unrealized Appreciation (Depreciation) on:          
Investments (including gain (loss) on affiliated securities of $0, and $(7,961,533), respectively)   (1,898,276)   (154,543,179)
Futures Contracts       (22,362,393)
Swap Contracts       (73,946,247)
Options Purchased   1,222,691    13,798,726 
Options Written   (1,246,456)   (376,002)
    (1,922,041)   (237,429,095)
           
Net Realized and Unrealized Loss on Investments   (5,093,348)   (348,053,834)
           
Net Decrease in Net Assets Resulting From Operations  $(5,060,669)  $(327,022,001)
           

The accompanying notes are an integral part of these financial statements.

50

 

Navigator Funds
STATEMENTS OF OPERATIONS (Unaudited) (Continued)
For the Six Months Ended April 30, 2022

 

   Navigator Tactical   Navigator Tactical     
   Investment Grade   U.S. Allocation   Navigator Ultra 
   Bond Fund   Fund   Short Bond Fund 
Investment Income:               
Dividend Income (including income on affiliated securities of $0, $0 and $0, respectively)  $71,562   $   $ 
Interest Income   2,001,069    147,848    256,872 
Securities Lending - net   1,199         
Total Investment Income   2,073,830    147,848    256,872 
                
Expenses:               
Investment Advisory Fees   1,256,480    224,762    78,899 
Distribution Fees:               
Class A           29 
Administration Fees   71,107    34,418    36,031 
Transfer Agent Fees   35,549    9,792    9,794 
Registration & Filing Fees   20,663    2,480    15,372 
Chief Compliance Officer Fees   12,237    12,193    12,201 
Printing Expense   11,013    1,820    1,364 
Audit Fees   10,384    9,979    8,927 
Custody Fees   8,629    3,006    5,455 
Legal Fees   7,763    8,029    7,776 
Trustees’ Fees   7,146    7,145    7,142 
Third Party Administrative Servicing Fees   1,984    1,710    1,984 
Insurance Expense   1,140    1,140    1,238 
Interest Expense       8,563     
Miscellaneous Expenses   9,564    4,388    1,984 
Total Expenses   1,453,659    329,425    188,196 
Less: Expenses waived or fees reimbursed/recaptured by the Advisor   25,482    (53,899)   (57,419)
Net Expenses   1,479,141    275,526    130,777 
Net Investment Income (Loss)   594,689    (127,678)   126,095 
                
Net Realized and Unrealized Gain (Loss) on Investments:               
Net Realized Gain (Loss) on:               
Investments   (23,606,642)   (36,304)   (41,999)
Futures Contracts   (301,470)   (724,752)    
Swap Contracts   29,427         
    (23,878,685)   (761,056)   (41,999)
                
Net Change in Unrealized Appreciation (Depreciation) on:               
Investments   436,045    (159,364)   (325,259)
Futures Contracts       (2,835,605)    
    436,045    (2,994,969)   (325,259)
                
Net Realized and Unrealized Loss on Investments   (23,442,640)   (3,756,025)   (367,258)
                
Net (Decrease) in Net Assets Resulting From Operations  $(22,847,951)  $(3,883,703)  $(241,163)
                

The accompanying notes are an integral part of these financial statements.

51

 

Navigator Funds
STATEMENTS OF CHANGES IN NET ASSETS

 

   Navigator Equity Hedged Fund 
   For the Six Months   For the Year 
   Ended   Ended 
   April 30, 2022   October 31, 2021 
   (Unaudited)     
Operations:          
Net Investment Income  $32,679   $103,853 
Net Realized Gain (Loss) on Investments, Securities Sold Short and Options   (3,171,307)   7,351,431 
Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short and Options   (1,922,041)   385,508 
Net Increase (Decrease) in Net Assets Resulting from Operations   (5,060,669)   7,840,792 
           
Distributions to Shareholders:          
Total Distributions Paid From Accumulated Earnings          
Class A   (176,688)   (2,658)
Class C   (47,058)    
Class I   (5,079,603)   (173,606)
Net Decrease in Net Assets Resulting from Distributions to Shareholders   (5,303,349)   (176,264)
           
Beneficial Interest Transactions:          
Proceeds from Shares Sold:          
Class A   656,924    315,375 
Class C   51,050    28,168 
Class I   6,226,722    12,920,212 
Distributions Reinvested:          
Class A   81,182    1,691 
Class C   47,058     
Class I   4,883,048    162,781 
Cost of Shares Redeemed:          
Class A   (309,465)   (150,998)
Class C   (24,684)   (59,736)
Class I   (4,287,753)   (8,298,154)
Net Increase in Net Assets Resulting from Shares of Beneficial Interest   7,324,082    4,919,339 
           
Increase (Decrease) in Net Assets   (3,039,936)   12,583,867 
           
Net Assets:          
Beginning of Period   38,188,976    25,605,109 
End of Period  $35,149,040   $38,188,976 
           
SHARE ACTIVITY          
Class A:          
Shares Sold   64,862    27,192 
Shares Reinvested   8,168    150 
Shares Redeemed   (32,436)   (13,817)
Net increase in shares of beneficial interest outstanding   40,594    13,525 
           
Class C:          
Shares Sold   5,868    2,514 
Shares Reinvested   5,148     
Shares Redeemed   (2,804)   (6,068)
Net increase (decrease) in shares of beneficial interest outstanding   8,212    (3,554)
           
Class I:          
Shares Sold   643,941    1,115,124 
Shares Reinvested   495,360    14,710 
Shares Redeemed   (437,173)   (745,046)
Net increase in shares of beneficial interest outstanding   702,128    384,788 
           

The accompanying notes are an integral part of these financial statements.

52

 

Navigator Funds
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Navigator Tactical Fixed Income Fund 
   For the Six Months   For the Year 
   Ended   Ended 
   April 30, 2022   October 31, 2021 
   (Unaudited)     
Operations:          
Net Investment Income  $21,031,833   $50,740,973 
Net Realized Gain (Loss) on Investments, Securities Sold Short, Futures Contracts, Swaps, and Options Written   (110,624,739)   457,657,115 
Net Change in Unrealized Appreciation (Depreciation) on Investments, Securities Sold Short, Futures Contracts, Swaps, and Options Written   (237,429,095)   95,951,166 
Net Increase (decrease) in Net Assets Resulting from Operations   (327,022,001)   604,349,254 
           
Distributions to Shareholders:          
Total Distributions Paid From Accumulated Earnings          
Class A   (3,350,049)   (4,101,075)
Class C   (1,539,963)   (1,072,367)
Class I   (461,736,965)   (413,227,929)
Net Decrease in Net Assets Resulting from Distributions to Shareholders   (466,626,977)   (418,401,371)
           
Beneficial Interest Transactions:          
Proceeds from Shares Sold:          
Class A   17,324,606    24,497,958 
Class C   5,744,878    15,707,145 
Class I   1,553,237,763    3,273,892,672 
Distributions Reinvested:          
Class A   3,279,786    4,014,632 
Class C   1,441,483    1,003,306 
Class I   423,009,503    358,270,357 
Cost of Shares Redeemed:          
Class A   (14,268,436)   (36,023,562)
Class C   (3,844,107)   (5,584,336)
Class I   (2,138,477,798)   (1,476,320,793)
Net Increase (Decrease) in Net Assets Resulting from Shares of Beneficial Interest   (152,552,322)   2,159,457,379 
           
Increase in Net Assets   (946,201,300)   2,345,405,262 
           
Net Assets:          
Beginning of Period   8,518,714,181    6,173,308,919 
End of Period  $7,572,512,881   $8,518,714,181 
           
SHARE ACTIVITY          
Class A:          
Shares Sold   1,662,122    2,245,030 
Shares Reinvested   315,072    375,949 
Shares Redeemed   (1,378,472)   (3,343,753)
Net increase (decrease) in shares of beneficial interest outstanding   598,722    (722,774)
           
Class C:          
Shares Sold   548,787    1,442,647 
Shares Reinvested   138,338    93,712 
Shares Redeemed   (373,609)   (513,099)
Net increase in shares of beneficial interest outstanding   313,516    1,023,260 
           
Class I:          
Shares Sold   149,228,816    300,852,865 
Shares Reinvested   40,592,264    33,530,321 
Shares Redeemed   (209,196,558)   (135,615,778)
Net increase (decrease) in shares of beneficial interest outstanding   (19,375,478)   198,767,408 
           

The accompanying notes are an integral part of these financial statements.

53

 

Navigator Funds
STATEMENT OF CHANGES IN NET ASSETS (Continued)

 

   Navigator Tactical Investment Grade Bond Fund 
   For the Six Months   For the Period* 
   Ended   Ended 
   April 30, 2022   October 31, 2021 
   (Unaudited)     
Operations:          
Net Investment Income  $594,689   $86,287 
Net Realized Gain (Loss) on Investments, Swaps and Futures Contracts   (23,878,685)     
Net Change in Unrealized Appreciation (Depreciation) on Investments   436,045    (623,545)
Net Decrease in Net Assets Resulting from Operations   (22,847,951)   (537,258)
           
Distributions to Shareholders:          
Total Distributions Paid From Accumulated Earnings          
Class l   (143,937)   (35,500)
Net Decrease in Net Assets Resulting from Distributions to Shareholders   (143,937)   (35,500)
           
Beneficial Interest Transactions:          
Proceeds from Shares Sold:          
Class I   1,156,947,602    50,000,010 
Distributions Reinvested:          
Class I   143,937    35,500 
Cost of Shares Redeemed:          
Class I   (118,707,386)    
Net Increase in Net Assets Resulting from Shares of Beneficial Interest   1,038,384,153    50,035,510 
           
Increase in Net Assets   1,015,392,265    49,462,752 
           
Net Assets:          
Beginning of Period   49,462,752     
End of Period  $1,064,855,017   $49,462,752 
           
SHARE ACTIVITY          
Class I:          
Shares Sold   122,874,184    5,000,001 
Shares Reinvested   14,748    3,593 
Shares Redeemed   (12,653,334)    
Net increase in shares of beneficial interest outstanding   110,235,598    5,003,594 
           
*For the period August 31, 2021 (commencement of operations) to October 31, 2021.

 

The accompanying notes are an integral part of these financial statements.

54

 

Navigator Funds
STATEMENT OF CHANGES IN NET ASSETS (Continued)

 

   Navigator Tactical U.S. Allocation Fund 
   For the Six Months   For the Period* 
   Ended   Ended 
   April 30, 2022   October 31, 2021 
   (Unaudited)     
Operations:          
Net Investment Loss  $(127,678)  $(137,909)
Net Realized Gain (Loss) on Investments and Futures   (761,056)   2,646,075 
Net Change in Unrealized Appreciation (Depreciation) on Investments and Futures   (2,994,969)   1,732,125 
Net Increase (Decrease) in Net Assets Resulting from Operations   (3,883,703)   4,240,291 
           
Distributions to Shareholders:          
Total Distributions Paid From Accumulated Earnings          
Class l   (4,272,501)    
Net Decrease in Net Assets Resulting from Distributions to Shareholders   (4,272,501)    
           
Beneficial Proceeds from Shares Sold:          
Class I       50,000,010 
Distributions Reinvested:          
Class I   4,272,501     
Net Increase in Net Assets Resulting from Shares of Beneficial Interest   4,272,501    50,000,010 
           
Increase in Net Assets   (3,883,703)   54,240,301 
           
Net Assets:          
Beginning of Period   54,240,301     
End of Period  $50,356,598   $54,240,301 
           
Class I:          
Shares Sold       5,000,001 
Shares Reinvested   423,020     
Net increase in shares of beneficial interest outstanding   423,020    5,000,001 
           
*For the period June 11, 2021 (commencement of operations) to October 31, 2021.

 

The accompanying notes are an integral part of these financial statements.

55

 

Navigator Funds
STATEMENTS OF CHANGES IN NET ASSETS (Continued)

 

   Navigator Ultra Short Bond Fund 
   For the Six Months   For the Year 
   Ended   Ended 
   April 30, 2022   October 31, 2021 
   (Unaudited)     
Operations:          
Net Investment Income  $126,095   $218,923 
Net Realized Gain on Investments   (41,999)   93,055 
Net Change in Unrealized Depreciation on Investments   (325,259)   (496)
Net Increase (decrease) in Net Assets Resulting from Operations   (241,163)   311,482 
           
Distributions to Shareholders:          
Total Distributions Paid From Accumulated Earnings          
Class A   (61)   (112)
Class I   (188,485)   (228,287)
Net Decrease in Net Assets Resulting from Distributions to Shareholders   (188,546)   (228,399)
           
Beneficial Interest Transactions:          
Proceeds from Shares Sold:          
Class A        
Class I   480,981    5,437,178 
Distributions Reinvested:          
Class A   61    112 
Class I   185,387    217,721 
Cost of Shares Redeemed:          
Class A   (61)   (57,400)
Class I   (670,691)   (6,309,365)
Net Decrease in Net Assets Resulting from Shares of Beneficial Interest   (4,323)   (711,754)
           
Decrease in Net Assets   (434,032)   (628,671)
           
Net Assets:          
Beginning of Period   53,184,927    53,813,598 
End of Period  $52,750,895   $53,184,927 
           
SHARE ACTIVITY          
Class A:          
Shares Sold        
Shares Reinvested   6    11 
Shares Redeemed   (6)   (5,514)
Net increase (decrease) in shares of beneficial interest outstanding       (5,503)
           
Class I:          
Shares Sold   47,980    540,512 
Shares Reinvested   18,541    21,672 
Shares Redeemed   (67,031)   (627,235)
Net decrease in shares of beneficial interest outstanding   (510)   (65,051)
           

The accompanying notes are an integral part of these financial statements.

56

 

Navigator Funds
FINANCIAL HIGHLIGHTS
 
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year presented.

 

   Navigator Equity Hedged Fund - Class A 
   For the   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   April 30, 2022   October 31, 2021   October 31, 2020   October 31, 2019   October 31, 2018*   September 30, 2018   September 30, 2017 
   (Unaudited)                         
Net Asset Value, Beginning of Period/Year  $11.88   $9.07   $8.32   $8.26   $8.93   $9.78   $8.83 
From Operations:                                   
Net investment income (loss) (a)(c)(d)   0.00 (e)   0.00 (e)   0.07    0.08    (0.01)   0.01    0.06 
Net gain (loss) from securities (both realized and unrealized)   (1.40)   2.84    0.75    0.08    (0.66)   0.39    0.97 
Total from operations   (1.40)   2.84    0.82    0.16    (0.67)   0.40    1.03 
Distributions to shareholders from:                                   
Net investment income       (0.03)   (0.07)   (0.10)       (0.01)   (0.08)
Net realized gains   (1.59)                    (1.24)    
Total distributions   (1.59)   (0.03)   (0.07)   (0.10)       (1.25)   (0.08)
                                    
Net Asset Value, End of Period/Year  $8.89   $11.88   $9.07   $8.32   $8.26   $8.93   $9.78 
                                    
Total Return (b)   (13.19)% (g)   31.38%   9.93%   2.03%   (7.50)% (g)   4.22%   11.68%
                                    
Ratios/Supplemental Data                                   
Net assets, end of period/year (in 000’s)  $1,198   $1,120   $732   $745   $773   $812   $11,465 
Ratio of expenses to average net assets,                                   
before waivers/reimbursement (c)   1.81% (f)   1.86%   1.75%   1.63%   1.59% (f)   1.48%   1.53%
net of waivers/reimbursement (c)   1.35% (f)   1.34%   1.32%   1.31%   1.33% (f)   1.31%   1.32%
Ratio of net investment income (loss) to average net assets (c)(d)   0.00% (f)   0.04%   0.77%   0.95%   (0.67)% (f)   0.11%   0.68%
Portfolio turnover rate   335% (g)   583%   498%   470%   33% (g)   490%   371%
                                    
   Navigator Equity Hedged Fund - Class C 
   For the   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   April 30, 2022   October 31, 2021   October 31, 2020   October 31, 2019   October 31, 2018*   September 30, 2018   September 30, 2017 
   (Unaudited)                         
Net Asset Value, Beginning of Period/Year  $11.07   $8.49   $7.81   $7.78   $8.42   $9.41   $8.48 
From Operations:                                   
Net investment income (loss) (a)(c)(d)   (0.04)   (0.07)   0.00 (e)   0.02    (0.01)   0.00 (e)   (0.01)
Net gain (loss) from securities (both realized and unrealized)   (1.28)   2.65    0.71    0.08    (0.63)   0.29    0.94 
Total from operations   (1.32)   2.58    0.71    0.10    (0.64)   0.29    0.93 
                                    
Distributions to shareholders from:                                   
Net Investment Income   (0.00) (h)       (0.03)   (0.07)       (0.04)    
Net realized gains   (1.59)                   (1.24)    
Total distributions   (1.59)       (0.03)   (0.07)       (1.28)    
                                    
Net Asset Value, End of Period/Year  $8.16   $11.07   $8.49   $7.81   $7.78   $8.42   $9.41 
                                    
Total Return (b)   (13.46)% (g)   30.39%   9.06%   1.38%   (7.60)% (g)   3.31%   10.97%
                                    
Ratios/Supplemental Data                                   
Net assets, end of period/year (in 000’s)  $310   $330   $283   $343   $446   $484   $506 
Ratio of expenses to average net assets,                                   
before waivers/reimbursement (c)   2.56% (f)   2.61%   2.50%   2.38%   2.34% (f)   2.27%   2.28%
net of waivers/reimbursement (c)   2.10% (f)   2.09%   2.07%   2.06%   2.08% (f)   2.06%   2.07%
Ratio of net investment income (loss) to average net assets (c)(d)   (0.81)% (f)   (0.67)%   0.02%   0.25%   (1.42)% (f)   0.01%   (0.07)%
Portfolio turnover rate   335% (g)   583%   498%   470%   33% (g)   490%   371%
                                    
 
*For the period October 1, 2018 to October 31, 2018.

 

(a)Per share amounts are calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any, and exclude any sales charges (loads).

 

(c)Does not include the expenses of the underlying investment companies in which the Fund invests.

 

(d)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(e)Per share amount represents less than $0.01 per share.

 

(f)Annualized.

 

(g)Not annualized.

 

(h)Per share amount represents less than $0.01 per share.

 

The accompanying notes are an integral part of these financial statements.

57

 

Navigator Funds
FINANCIAL HIGHLIGHTS
 
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year presented.

 

   Navigator Equity Hedged Fund - Class I 
   For the   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   April 30, 2022   October 31, 2021   October 31, 2020   October 31, 2019   October 31, 2018*   September 30, 2018   September 30, 2017 
   (Unaudited)                         
Net Asset Value, Beginning of Period/Year  $11.81   $9.02   $8.27   $8.19   $8.86   $9.84   $8.87 
From Operations:                                   
Net investment income (loss) (a)(c)(d)   0.01    0.04    0.09    0.10    (0.00) (g)   0.09    0.09 
Net gain (loss) from securities (both realized and unrealized)   (1.39)   2.81    0.75    0.09    (0.67)   0.31    0.97 
Total from operations   (1.38)   2.85    0.84    0.19    (0.67)   0.40    1.06 
Distributions to shareholders from:                                   
Net investment income   (0.02)   (0.06)   (0.09)   (0.11)       (0.14)   (0.09)
Net realized gains   (1.59)                   (1.24)    
Total distributions   (1.61)   (0.06)   (0.09)   (0.11)       (1.38)   (0.09)
                                    
Net Asset Value, End of Period/Year  $8.82   $11.81   $9.02   $8.27   $8.19   $8.86   $9.84 
                                    
Total Return (b)   (13.13)% (f)   31.66%   10.20%   2.44%   (7.56)% (f)   4.46%   12.04%
                                    
Ratios/Supplemental Data                                   
Net assets, end of period/year (in 000’s)  $33,641   $36,740   $24,590   $32,084   $36,413   $40,055   $32,151 
Ratio of expenses to average net assets,                                   
before waivers/reimbursement (c)   1.56% (e)   1.61%   1.50%   1.38%   1.34% (e)   1.27%   1.28%
net of waivers/reimbursement (c)   1.10% (e)   1.09%   1.07%   1.06%   1.08% (e)   1.06%   1.07%
Ratio of net investment income (loss) to average net assets (c)(d)   0.20% (e)   0.33%   1.02%   1.25%   (0.42)% (e)   1.02%   0.94%
Portfolio turnover rate   335% (f)   583%   498%   470%   33% (f)   490%   371%
                                    
 
*For the period October 1, 2018 to October 31, 2018.

 

(a)Per share amounts are calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any.

 

(c)Does not include the expenses of the underlying investment companies in which the Fund invests.

 

(d)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(e)Annualized.

 

(f)Not annualized.

 

(g)Per share amount represents less than $0.01 per share.

 

The accompanying notes are an integral part of these financial statements.

58

 

Navigator Funds
FINANCIAL HIGHLIGHTS
 
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year presented.

 

   Navigator Tactical Fixed Income Fund - Class A 
   For the   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   April 30, 2022   October 31, 2021   October 31, 2020   October 31, 2019   October 31, 2018*   September 30, 2018   September 30, 2017 
   (Unaudited)                         
Net Asset Value, Beginning of Period/Year  $10.92   $10.63   $10.24   $10.06   $10.20   $10.52   $10.42 
From Operations:                                   
Net investment income (a)   0.02    0.05    0.09    0.22    0.02    0.11    0.06 
Net gain (loss) from securities (both realized and unrealized)   (0.43)   0.88    0.41    0.21    (0.16)   0.18    0.65 
Total from operations   (0.41)   0.93    0.50    0.43    (0.14)   0.29    0.71 
                                    
Distributions to shareholders from:                                   
Net investment income   (0.08)   (0.18)   (0.11)   (0.24)       (0.43)   (0.35)
Net realized gains   (0.49)   (0.46)   (0.00) (g)   (0.01)       (0.18)   (0.26)
Total distributions   (0.57)   (0.64)   (0.11)   (0.25)       (0.61)   (0.61)
                                    
Net Asset Value, End of Period/Year  $9.94   $10.92   $10.63   $10.24   $10.06   $10.20   $10.52 
                                    
Total Return (b)   (3.97)% (d)   9.00%   4.95%   4.34%   (1.37)% (d)   2.82%   7.06%
                                    
Ratios/Supplemental Data                                   
Net assets, end of period/year (in 000’s)  $61,670   $61,196   $67,235   $56,467   $33,079   $35,743   $38,935 
Ratio of expenses to average net assets,                                   
before waivers/reimbursement (e)   1.21% (c)   1.22% (h)   1.24%   1.24%   1.21% (c)   1.25%   1.28%
net of waivers/reimbursement (e)   1.20% (c)   1.21%   1.23%   1.22%   1.20% (c)   1.24%   1.24%
Ratio of net investment income to average net assets (e)(f)   0.32% (c)   0.42%   0.84%   2.16%   2.05% (c)   1.08%   0.69%
Portfolio turnover rate   59% (d)   157%   197%   151%   15% (d)   148%   278%
                                    
   Navigator Tactical Fixed Income Fund - Class C 
   For the   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   April 30, 2022   October 31, 2021   October 31, 2020   October 31, 2019   October 31, 2018*   September 30, 2018   September 30, 2017 
   (Unaudited)                         
Net Asset Value, Beginning of Period/Year  $10.91   $10.62   $10.27   $10.09   $10.24   $10.53   $10.43 
From Operations:                                   
Net investment income (loss) (a)   (0.02)   (0.03)   0.01    0.14    0.01    0.03    (0.01)
Net gain (loss) from securities (both realized and unrealized)   (0.43)   0.89    0.41    0.22    (0.16)   0.18    0.65 
Total from operations   (0.45)   0.86    0.42    0.36    (0.15)   0.21    0.64 
                                    
Distributions to shareholders from:                                   
Net investment income   (0.04)   (0.11)   (0.07)   (0.17)       (0.32)   (0.28)
Net realized gains   (0.49)   (0.46)   (0.00) (g)   (0.01)       (0.18)   (0.26)
Total distributions   (0.53)   (0.57)   (0.07)   (0.18)       (0.50)   (0.54)
                                    
Net Asset Value, End of Period/Year  $9.93   $10.91   $10.62   $10.27   $10.09   $10.24   $10.53 
                                    
Total Return (b)   (4.33)% (d)   8.25%   4.15%   3.56%   (1.46)% (d)   2.06%   6.30%
                                    
Ratios/Supplemental Data                                   
Net assets, end of period/year (in 000’s)  $30,441   $30,016   $18,357   $13,494   $11,083   $11,002   $9,155 
Ratio of expenses to average net assets,                                   
before waivers/reimbursement (e)   1.96% (c)   1.97% (h)   1.99%   1.99%   1.96% (c)   2.00%   2.03%
net of waivers/reimbursement (e)   1.95% (c)   1.96%   1.98%   1.97%   1.96% (c)   1.99%   1.99%
Ratio of net investment income (loss) to average net assets (e)(f)   (0.44)% (c)   (0.26)%   0.08%   1.42%   1.27% (c)   0.33%   (0.09)%
Portfolio turnover rate   59% (d)   157%   197%   151%   15% (d)   148%   278%
                                    
 
*For the period October 1, 2018 to October 31, 2018.

 

(a)Per share amounts are calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any, and exclude any sales charges (loads).

 

(c)Annualized.

 

(d)Not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Fund invests.

 

(f)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(g)Per share amount represents less than $0.01 per share.

 

(h)Ratio includes less than 0.01% of the interest expenses.

 

The accompanying notes are an integral part of these financial statements.

59

 

Navigator Funds
FINANCIAL HIGHLIGHTS
 
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year presented.

 

   Navigator Tactical Fixed Income Fund - Class I 
   For the   For the   For the   For the   For the   For the   For the 
   Six Months Ended   Year Ended   Year Ended   Year Ended   Period Ended   Year Ended   Year Ended 
   April 30, 2022   October 31, 2021   October 31, 2020   October 31, 2019   October 31, 2018*   September 30, 2018   September 30, 2017 
   (Unaudited)                         
Net Asset Value, Beginning of Period/Year  $10.93   $10.64   $10.23   $10.06   $10.19   $10.54   $10.43 
From Operations:                                   
Net investment income (a)   0.03    0.07    0.11    0.24    0.02    0.15    0.09 
Net gain (loss) from securities (both realized and unrealized)   (0.43)   0.89    0.42    0.21    (0.15)   0.16    0.66 
Total from operations   (0.40)   0.96    0.53    0.45    (0.13)   0.31    0.75 
                                    
Distributions to shareholders from:                                   
Net investment income   (0.09)   (0.21)   (0.12)   (0.27)       (0.48)   (0.38)
Net realized gains   (0.49)   (0.46)   (0.00) (g)   (0.01)       (0.18)   (0.26)
Total distributions   (0.58)   (0.67)   (0.12)   (0.28)       (0.66)   (0.64)
                                    
Net Asset Value, End of Period/Year  $9.95   $10.93   $10.64   $10.23   $10.06   $10.19   $10.54 
                                    
Total Return (b)   (3.85)% (d)   9.29%   5.30%   4.48%   (1.28)% (d)   3.01%   7.42%
                                    
Ratios/Supplemental Data                                   
Net assets, end of period/year (in 000’s)  $7,480,401   $8,427,502   $6,087,718   $4,853,812   $3,559,071   $3,514,175   $829,872 
Ratio of expenses to average net assets,                                   
before waivers/reimbursement (e)   0.96% (c)   0.97% (h)   0.99%   0.99%   0.96% (c)   1.00%   1.04%
net of waivers/reimbursement (e)   0.95% (c)   0.96%   0.98%   0.97%   0.96% (c)   0.99%   0.99%
Ratio of net investment income to average net assets (e)(f)   0.50% (c)   0.69%   1.08%   2.41%   2.09% (c)   1.44%   0.86%
Portfolio turnover rate   59% (d)   157%   197%   151%   15% (d)   148%   278%
                                    
 
*For the period October 1, 2018 to October 31, 2018.

 

(a)Per share amounts are calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any.

 

(c)Annualized.

 

(d)Not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Fund invests.

 

(f)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(g)Per share amount represents less than $0.01 per share.

 

(h)Ratio includes less than 0.01% of the interest expenses.

 

The accompanying notes are an integral part of these financial statements.

60

 

Navigator Funds
FINANCIAL HIGHLIGHTS
 
The table below sets forth financial data for one share of beneficial interest outstanding throughout the period presented.

 

   Navigator Tactical Investment Grade Bond Fund - Class I 
   For the   For the 
   Six Months Ended   Period* 
   April 30, 2022   October 31, 2021 
   (Unaudited)     
Net Asset Value, Beginning of Period  $9.89   $10.00 
From Operations:          
Net investment income (a)(c)(d)   0.02    0.02 
Net loss from securities (both realized and unrealized)   (0.66)   (0.12)
Total from operations   (0.64)   (0.10)
           
Distributions to shareholders from:          
Net investment income   (0.01)   (0.01)
Net realized gains   (0.00) (g)    
Total distributions   (0.01)   (0.01)
           
Net Asset Value, End of Period  $9.24   $9.89 
           
Total Return (b)   (6.34)% (f)   (1.03)% (f)
           
Ratios/Supplemental Data          
Net assets, end of period (in 000’s)  $1,064,855   $49,463 
Ratio of expenses to average net assets,          
before waivers/reimbursement/recapture (c)   0.97% (e)   1.52% (e)
net of waivers/reimbursement/recapture (c)   0.98% (e)   1.01% (e)
Ratio of net investment income to average net assets (c)(d)   0.39% (e)   1.06% (e)
Portfolio turnover rate   727% (f)   0% (f)
           
 
*For the period August 31, 2021 (commencement of operations) to October 31, 2021.

 

(a)Per share amounts are calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any.

 

(c)Does not include the expenses of the underlying investment companies in which the Fund invests.

 

(d)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(e)Annualized.

 

(f)Not annualized.

 

(g)Per share amount represents less than $0.01 per share.

 

The accompanying notes are an integral part of these financial statements.

61

 

Navigator Funds
FINANCIAL HIGHLIGHTS
 
The table below sets forth financial data for one share of beneficial interest outstanding throughout the period presented.

 

   Navigator Tactical U.S. Allocation Fund - Class I 
   For the   For the 
   Six Months Ended   Period Ended* 
   April 30, 2022   October 31, 2021 
   (Unaudited)     
Net Asset Value, Beginning of Period  $10.85   $10.00 
From Operations:          
Net investment loss (a)(e)(g)   (0.02)   (0.03)
Net gain (loss) from securities (both realized and unrealized)   (0.69)   0.88 
Total from operations   (0.72)   0.85 
           
Distributions to shareholders from:          
Net realized gains   (0.85)    
Total distributions   (0.85)    
           
Net Asset Value, End of Period  $9.29   $10.85 
           
Total Return (b)   (7.13)% (d)   8.50% (d)
           
Ratios/Supplemental Data          
Net assets, end of period (in 000’s)  $50,357   $54,240 
Ratio of expenses to average net assets,          
before waivers/reimbursement (e)   1.25% (c)(f)   1.31% (c)(f)
net of waivers/reimbursement (e)   1.04% (c)(f)   1.04% (c)(f)
Ratio of net investment loss to average net assets (e)(g)   (0.48)% (c)(f)   (0.70)% (c)(f)
Portfolio turnover rate   4% (d)   8% (d)
           
 
*For the period June 11, 2021 (commencement of operations) to October 31, 2021.

 

(a)Per share amounts are calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any.

 

(c)Annualized.

 

(d)Not annualized.

 

(e)Does not include the expenses of the underlying investment companies in which the Fund invests.

 

(f)Includes interest expense of 0.03%.

 

(g)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

The accompanying notes are an integral part of these financial statements.

62

 

Navigator Funds
FINANCIAL HIGHLIGHTS
 
The table below sets forth financial data for one share of beneficial interest outstanding throughout each period/year presented.

 

   Navigator Ultra Short Bond Fund - Class A 
   For the Six Months Ended   For the Year Ended   For the Year Ended   For the Period* Ended 
   April 30, 2022   October 31, 2021   October 31, 2020   October 31, 2019 
   (Unaudited)             
Net Asset Value, Beginning of Period/Year  $10.40   $10.38   $10.24   $10.00 
From Operations:                    
Net investment income (a)   0.01    0.02    0.02    0.22 
Net gain (loss) from securities (both realized and unrealized)   (0.06)   0.02    0.21 (h)   0.02 
Total from operations   (0.05)   0.04    0.23    0.24 
                     
Distributions to shareholders from:                    
Net investment income   (0.01)   (0.02)   (0.08)    
Net realized gains   (0.02)       (0.01)    
Total distributions   (0.03)   (0.02)   (0.09)    
                     
Net Asset Value, End of Period/Year  $10.32   $10.40   $10.38   $10.24 
                     
Total Return (b)   (0.51)% (f)   0.38%   2.23%   2.40% (f)
                     
Ratios/Supplemental Data                    
Net assets, end of period/year (in 000’s)  $23   $23   $81   $102 (g)
Ratio of expenses to average net assets,                    
before waivers/reimbursement (c)   0.96% (e)   0.96%   0.89%   0.81% (e)
net of waivers/reimbursement (c)   0.75% (e)   0.80%   0.80%   0.80% (e)
Ratio of net investment income to average net assets (c)(d)   0.22% (e)   0.19%   0.19%   3.48% (e)
Portfolio turnover rate   6% (f)   145%   29%   62% (f)
                     
   Navigator Ultra Short Bond Fund - Class I 
   For the Six Months Ended   For the Year Ended   For the Year Ended   For the Period* Ended 
   April 30, 2022   October 31, 2021   October 31, 2020   October 31, 2019 
   (Unaudited)             
Net Asset Value, Beginning of Period/Year  $10.05   $10.03   $10.04   $10.00 
From Operations:                    
Net investment income (a)   0.02    0.04    0.14    0.15 
Net gain (loss) from securities (both realized and unrealized)   (0.07)   0.02    0.03 (h)   0.01 
Total from operations   (0.05)   0.06    0.17    0.16 
                     
Distributions to shareholders from:                    
Net investment income   (0.02)   (0.04)   (0.17)   (0.12)
Net realized gains   (0.02)       (0.01)    
Total distributions   (0.04)   (0.04)   (0.18)   (0.12)
                     
Net Asset Value, End of Period/Year  $9.96   $10.05   $10.03   $10.04 
                     
Total Return (b)   (0.44)% (f)   0.63%   1.67%   1.62% (f)
                     
Ratios/Supplemental Data                    
Net assets, end of period/year (in 000’s)  $52,728   $53,161   $53,733   $83,171 
Ratio of expenses to average net assets,                    
before waivers/reimbursement/recapture (c)   0.72% (e)   0.71%   0.64%   0.56% (e)
net of waivers/reimbursement/recapture (c)   0.50% (e)   0.55%   0.55%   0.55% (e)
Ratio of net investment income to average net assets (c)(d)   0.48% (e)   0.41%   1.37%   2.43% (e)
Portfolio turnover rate   6% (f)   145%   29%   62% (f)
                     
 
*Inception date of Class A and Class I shares is March 21, 2019. Start of performance is March 25, 2019.

 

(a)Per share amounts are calculated using the average shares method, which more appropriately presents the per share data for the period.

 

(b)Total returns are historical in nature and assume changes in share price, reinvestment of dividends and capital gains distributions, if any, and exclude any sales charges (loads).

 

(c)Does not include the expenses of the underlying investment companies in which the Fund invests.

 

(d)Recognition of net investment income (loss) by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

 

(e)Annualized.

 

(f)Not annualized.

 

(g)Amount is actual; not presented in thousands.

 

(h)Net realized and unrealized gain on investments per share are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with aggregate gains (losses) in the Statements of Operations due to the share transactions for the period.

 

The accompanying notes are an integral part of these financial statements.

63

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited)
April 30, 2022

 

1.ORGANIZATION

 

Navigator Equity Hedged Fund (“Equity Fund”), Navigator Tactical Fixed Income Fund (“Tactical Fund”), Navigator Tactical Investment Grade Bond Fund (“Bond Fund”) Navigator Tactical U.S. Allocation Fund (“Allocation Fund”) and Navigator Ultra Short Bond Fund (“Ultra Fund”) are series of shares of beneficial interest of the Northern Lights Fund Trust (the “Trust”), a Delaware statutory trust organized on January 19, 2005 (the Equity Fund, Tactical Fund, Bond Fund, Allocation Fund and Ultra Fund are each a “Fund” and collectively the “Funds”). The Equity Fund, Tactical Fund, Bond Fund, Allocation Fund and Ultra Fund are each a diversified series of the Trust. The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Each Fund offers three classes of shares designated as Class A, Class C and Class I except the Ultra Fund which offers only Class A and Class I shares and the Bond Fund and the Allocation Fund which offer only Class I shares. Class A shares are offered at net asset value (“NAV”) plus a maximum sales charge of 5.50% for the Equity Fund and 3.75% for the Tactical Fund and Ultra Fund. Class C and Class I shares are offered at NAV. Each class represents an interest in the same assets of the Funds and classes are identical except for differences in their sales charge structures and ongoing service and distribution charges. The Funds’ income, expenses (other than class specific distribution fees) and realized and unrealized gains and losses are allocated proportionately each day based upon the relative net assets of each class. The primary investment objective of the Equity Fund, which commenced operations on December 28, 2010, is long-term capital appreciation. The primary investment objective of the Tactical Fund, which commenced operations on March 27, 2014, is to seek total return with a secondary goal of current income. The primary investment objective of the Bond Fund, which commenced operations on August 31, 2021, is to seek total return with a secondary goal of current income. The primary investment objective of the Allocation Fund, which commenced operations on June 11, 2021, is to seek long-term capital appreciation. The primary investment objective of the Ultra Fund, which commenced operations on March 21, 2019, is current income consistent with the preservation of capital.

 

2.SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

 

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 “Financial Services Investment Companies” including FASB Accounting Standards Update (“ASU”) 2013-08.

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price (“NOCP”). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Futures and future options are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation. Options contracts listed on a securities exchange or board of trade for which market quotations are readily available shall be valued at the last quoted sales price or, in the absence of a sale, at the mean between the current bid and ask prices on the day of valuation. Option contracts not listed on a securities exchange or board of trade for which over-the-counter market quotations are readily available shall be valued at the mean between the current bid and ask prices on the day of valuation. Index options shall be valued at the mean between the current bid and ask prices on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust’s Board of Trustees (the “Board”) based on methods that include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. The independent pricing service does not distinguish between smaller-sized bond positions known as “odd lots” and larger institutional-sized bond positions known as “round lots”. The Funds may fair value a particular bond if the advisor does not believe that the round lot value provided by the independent pricing service reflects fair value of the Funds’ holding. Short-term debt

64

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

obligations, having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Investments in open-end investment companies are valued at NAV. Swaps are valued through an independent pricing service or at fair value based upon the daily price reporting based on the underlying index or asset.

 

A Fund may hold securities, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued using the “fair value” procedures approved by the Board. The Board has delegated execution of these procedures to a fair value committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor. The committee may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board has also engaged a third party valuation firm to attend valuation meetings held by the Trust, review minutes of such meetings and report to the Board on a quarterly basis. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 

Fair Valuation Process – As noted above, the fair value committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) advisor. The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source), (ii) securities for which, in the judgment of the advisor, the prices or values available do not represent the fair value of the instrument. Factors which may cause the advisor to make such a judgment include, but are not limited to, the following: only a bid price or an ask price is available; the spread between bid and ask prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) since the closing prices were established on the principal exchange on which they are traded, but prior to a Fund’s calculation of its net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private investments or non-traded securities are valued via inputs from the advisor based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the advisor is unable to obtain a current bid from such independent dealers or other independent parties, the fair value committee shall determine the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Funds’ holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

 

The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Funds have the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

65

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of April 30, 2022 for the Funds’ assets and liabilities measured at fair value:

 

Equity Fund 
                 
Assets**  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $29,362,543   $   $   $29,362,543 
Short-Term Investments   4,883,999            4,883,999 
Index Options Purchased       2,889,100        2,889,100 
Collateral For Securities Loaned   3,050,750            3,050,750 
Total  $37,297,292   $2,889,100   $   $40,186,392 
                     
Liabilities**  Level 1   Level 2   Level 3   Total 
Options Written  $   $2,923,010   $   $2,923,010 
Total  $   $2,923,010   $   $2,923,010 
                     
Tactical Fund 
                 
Assets**  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $954,613,715   $   $   $954,613,715 
Open-End Funds   100,728,965            100,728,965 
Corporate Bonds       3,199,831,299        3,199,831,299 
Municipal Bonds       583,240,398        583,240,398 
U.S. Government & Agencies       1,317,074,320        1,317,074,320 
Commercial Paper       433,756,500        433,756,500 
Short-Term Investments   938,684,301            938,684,301 
Options Purchased       16,507,400        16,507,400 
Collateral for Securities Loaned   960,589,688            960,589,688 
Total  $2,954,616,669   $5,550,409,917   $   $8,505,026,586 
                     
Futures Contracts*  $13,575,426   $   $   $13,575,426 
Total  $13,575,426   $   $   $13,575,426 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts*  $24,147,611   $   $   $24,147,611 
Open Swap Contracts^       62,088,985       $62,088,985 
Total  $24,147,611   $62,088,985   $   $86,236,596 
                     
Bond Fund 
                 
Assets**  Level 1   Level 2   Level 3   Total 
U.S. Government & Agencies  $   $613,719,894   $   $613,719,894 
Short-Term Investments   451,082,340            451,082,340 
Total  $451,082,340   $613,719,894   $   $1,064,802,234 

66

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

Allocation Fund                
                 
Assets**  Level 1   Level 2   Level 3   Total 
Corporate Bonds  $   $33,311,682   $   $33,311,682 
Municipal Bonds       6,250,211        6,250,211 
U.S. Government & Agencies       1,998,005        1,998,005 
Commercial Paper       2,998,378        2,998,378 
Short-Term Investments   5,523,489            5,523,489 
Total  $5,523,489   $44,558,276   $   $50,081,765 
                     
Liabilities                    
Futures Contracts*  $1,083,895   $   $   $1,083,895 
Total  $1,083,895   $   $   $1,083,895 
                     
Ultra Fund                
                 
Assets**  Level 1   Level 2   Level 3   Total 
Corporate Bonds  $   $42,653,289   $   $42,653,289 
Municipal Bonds       9,278,858        9,278,858 
Commercial Paper       1,498,991        1,498,991 
Short-Term Investments   512,220            512,220 
Total  $512,220   $53,431,138   $   $53,943,358 

 

The Funds did not hold any Level 3 securities during the year/period.

 

*Includes cumulative unrealized gain (loss) on futures contracts open at April 30, 2022.

 

**Refer to the Schedule of Investments for industry, geographic, or other classifications.

 

^The amounts shown for swaps are unrealized appreciation/depreciation.

 

Valuation of Fund of Funds – The Funds may invest in portfolios of open-end or closed-end investment companies (the “underlying funds”). Underlying funds that are open-end investment companies are valued at their respective NAVs as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the boards of the underlying funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the NAV per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change.

 

Security Transactions and Investment Income – Investment security transactions are accounted for on a trade date basis. Cost is determined and gains and losses are based upon the highest cost method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.

 

Exchange Traded Funds – The Funds may invest in exchange traded funds (“ETFs”). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the potential lack of liquidity of an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

 

Short Sales – A “short sale” is a transaction in which a Fund sells a security it does not own but has borrowed in anticipation that the market price of that security will decline. The Fund is obligated to replace the security borrowed by purchasing it on the open market at a later date. If the price of the security sold short increases between the time of the short sale and the time the Fund replaces the borrowed security, the Fund will incur a loss which could potentially be unlimited in size. Conversely, if the price declines, the Fund will realize a gain, limited to the price at which the Fund sold the security short.

67

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

Swap Agreements – The Funds are subject to equity price risk and/or interest rate risk in the normal course of pursuing their respective investment objectives. The Funds may hold fixed-rate bonds, the value of which may decrease if interest rates rise, and equities which are subject to equity price risk. The Funds may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency) or credit risk. These would be two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments.

 

Credit Default Swaps -– Credit default swaps (“CDS”) are typically two-party (bilateral) financial contracts that transfer credit exposure between the two parties. One party to a CDS (referred to as the credit protection “buyer”) receives credit protection or sheds credit risk, whereas the other party to a CDS (referred to as the credit protection “seller”) is selling credit protection or taking on credit risk. The seller typically receives pre-determined periodic payments from the other party. These payments are in consideration for agreeing to make compensating specific payments to the buyer should a negative credit event occur, such as (1) bankruptcy or (2) failure to pay interest or principal on a reference debt instrument, with respect to a specified issuer or one of the reference issuers in a CDS portfolio. In general, CDS may be used by the Funds to obtain credit risk exposure similar to that of a direct investment in high yield bonds. The amounts to be exchanged or “swapped” between parties are calculated with respect to the notional amount. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statements of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of the agreement are reflected as such on the Statements of Assets and Liabilities and may be referred to as premiums paid for swap contacts. liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statements of Operations. The maximum pay-outs for these contracts are limited to the notional amount of each swap. CDS may involve greater risks than if the Funds had invested in the referenced obligation directly and are subject to general market risk, liquidity risk, counterparty risk and credit risk.

 

ETF, Mutual Fund and Exchange Traded Note (“ETN”) Risk – ETFs, mutual funds and ETNs are subject to investment advisory or management and other expenses, which will be indirectly paid by each Fund. Each is subject to specific risks, depending on investment strategy. Also, each may be subject to leverage risk, which will magnify losses. ETNs are subject to default risks.

 

Market Risk – Overall market risks may also affect the value of the Fund. The market values of securities or other investments owned by the Fund will go up or down, sometimes rapidly or unpredictably. Factors such as economic growth and market conditions, interest rate levels, exchange rates and political events affect the securities markets. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments. Unexpected local, regional or global events and their aftermath, such as war; acts of terrorism; financial, political or social disruptions; natural, environmental or man-made disasters; the spread of infectious illnesses or other public health issues; recessions and depressions; or other tragedies, catastrophes and events could have a significant impact on the Fund and its investments and could result in increased premiums or discounts to the Fund’s net asset value, and may impair market liquidity, thereby increasing liquidity risk. Such events can cause investor fear and panic, which can adversely affect the economies of many companies, sectors, nations, regions and the market in general, in ways that cannot necessarily be foreseen. The Fund could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. In times of severe market disruptions you could lose your entire investment.

 

An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and subsequently spread globally. This coronavirus has resulted in, among other things, travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, significant disruptions to business operations, market closures, cancellations and restrictions, supply chain disruptions, lower consumer demand, and significant volatility and declines in global financial markets, as well as general concern and uncertainty. The impact of COVID-19 has adversely affected, and other infectious illness outbreaks that may arise in the future could adversely affect, the economies of many nations and the entire global economy, individual issuers and capital markets in ways

68

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.

 

Futures – The Tactical Fund and Allocation Fund are subject to interest rate risk in the normal course of pursuing its investment objectives. To help manage interest rate risk, the Tactical Fund and Allocation Fund may enter into futures contracts. Upon entering into a futures contract with a broker, the Tactical Fund and Allocation Fund are required to deposit in a segregated account a specified amount of cash or U.S. government securities which are classified as deposits with broker in the accompanying Statements of Assets and Liabilities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. Periodically, the Tactical Fund and Allocation Fund will receive from or pay to the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Tactical Fund recognizes a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities. With futures contracts, there is minimal counterparty credit risk to the Tactical Fund and Allocation Fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Futures contracts outstanding at period end are listed after the Tactical Fund’s and Allocation Fund’s Schedules of Investments.

 

Option Transactions – The Funds are subject to equity price and interest rate risk in the normal course of pursuing their investment objective and may purchase or sell options to help hedge against risk. When a Fund writes put and call options, an amount equal to the premium received is included in the Statements of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if the Funds enter into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. As writer of an option, the Funds have no control over whether the option will be exercised and, as a result, retain the market risk of an unfavorable change in the price of the security underlying the written option.

 

The Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in the Funds’ portfolios or to gain inverse exposure to market index. If such a decline occurs, the put options will permit the Funds to sell the securities underlying such options at the exercise price, or to close out the options at a profit. Call options are purchased to allow the Funds to enter a futures contract or purchase an exchange-traded note at a specified price. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by a Fund upon exercise of the option, and, unless the price of the underlying security, index, or future rises or declines sufficiently, the option may expire worthless to the Fund. In addition, in the event that the price of the security, index, or future in connection with which an option was purchased moves in a direction favorable to a Fund, the benefits realized by the Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to the Funds since these options are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default.

 

Repurchase Agreements – The Tactical Fund may purchase securities from financial institutions subject to the seller’s agreement to repurchase and the Tactical Fund’s agreement to resell the securities at par. The Advisor only enters into repurchase agreements with financial institutions that are primary dealers and deemed to be creditworthy by the Advisor in accordance with procedures adopted by the Board. Securities purchased subject to repurchase agreements are maintained with a custodian of the Fund and must have, at all times, an aggregate market value plus accrued interest greater than or equal to the repurchase price. If the market value of the underlying securities falls below 102% of the value of the repurchase price, the Fund will require the seller to deposit additional collateral by the next business day. In the event that the seller under the agreement defaults on its repurchase obligation or fails to deposit sufficient collateral, the Fund has the contractual right, subject to the requirements of applicable bankruptcy and insolvency laws, to sell the underlying securities and may claim any resulting loss from the seller.

69

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

The notional value of the derivative instruments outstanding as of April 30, 2022 as disclosed in the Schedule of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the year/period as disclosed below and within the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.

 

Offsetting of Financial Assets and Derivative Assets and Liabilities –

 

International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreements”) govern OTC financial derivative transactions entered into by the Tactical Fund and their counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreements. Any election to early terminate could be material to the financial statements. Additionally, the Tactical Fund and each derivative counterparty enter into a Credit Support Annex which becomes part of the ISDA Master Agreement. The Credit Support Annex governs the margin collateral arrangements between the Tactical Fund and the derivative counterparty.

 

Under an ISDA Master Agreement or similar agreement, the Funds typically may offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment (close-out netting) in the event of default or termination. In the event of a default by a counterparty, the return of collateral with market value in excess of the Funds net liability, held by the defaulting party, may be delayed or denied.

 

The Funds’ policy is to recognize a net asset or liability equal to the net appreciation (depreciation) of the derivative. The following tables show additional information regarding derivatives and the offsetting of assets and liabilities at April 30, 2022.

 

Equity Fund:

 

                  Gross Amounts Not Offset in the     
Assets                 Statements of Assets & Liabilities     
          Gross Amounts   Net Amounts             
          Offset in the   Presented in the       Cash     
      Gross Amounts   Statements of   Statements of   Financial   Collateral     
      of Recognized   Assets &   Assets &   Instruments   Pledged     
Description  Counterparty  Assets   Liabilities   Liabilities   Pledged (1)   /(Received) (2)   Net Amount 
Options Purchased  Pershing  $2,889,100   $   $2,889,100   $(2,923,010)  $   $(33,910)
Total     $2,889,100   $   $2,889,100   $(2,923,010)  $   $(33,910)
                                  
                  Gross Amounts Not Offset in the     
Liabilities:                 Statement of Assets & Liabilities     
          Gross Amounts   Net Amounts             
          Offset in the   Presented in the             
      Gross Amounts   Statement of   Statement of       Cash Collateral     
      of Recognized   Assets &   Assets &   Financial   Pledged/     
Description     Liabilities   Liabilities   Liabilities   Instruments (1)   (Received) (2)   Net Amount 
Options Written  Pershing  $2,923,010   $   $2,923,010   $(2,323,010)  $(600,000)  $ 
Securities Lending      3,050,750        3,050,750    (3,050,750)        
Total     $5,973,760   $   $5,973,760   $(5,373,760)  $(600,000)  $ 

 

(1)Included with investments in securities at value on the Statements of Assets of Liabilities. The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to a master netting agreement.

 

(2)The amount does not include excess collateral pledged by the counterparty. Detailed collateral amounts are presented in the Statements of Assets and Liabilities.

70

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

The effect of Derivative Instruments on the Statements of Assets and Liabilities as of April 30, 2022.

 

   Asset Derivatives  Liability Derivatives
Contract Type/              
Primary Risk Exposure  Balance Sheet Location  Value   Balance Sheet Location  Value 
Equity and Index Options  Options Contracts Purchased at Value  $2,889,100   Options Contracts Written at Value  $2,923,010 
      $2,889,100      $2,923,010 

 

The effect of Derivative Instruments on the Statements of Operations for the six months ended April 30, 2022.

 

          Change in Unrealized 
          Appreciation 
Contract Type/Primary Risk     Realized Gain (Loss) on   (Depreciation) on 
Exposure  Location of Gain or (Loss) on Derivatives  Derivatives   Derivatives 
Equity and Index Options  Net realized gain (loss) on options purchased / Net change in unrealized appreciation/(depreciation) on options purchased  $(1,420,883)  $1,222,691 
Equity and Index Options  Net realized gain (loss) on options written / Net change in unrealized appreciation/(depreciation) on options written   2,194,367    (1,246,456)
Total     $773,484   $(23,765)

  

Tactical Fund:

 

                  Gross Amounts Not Offset in the     
Assets:                 Statements of Assets & Liabilities     
          Gross                 
          Amounts                 
          Offset in the   Net Amounts             
      Gross Amounts of   Statements of   Presented in the   Financial   Cash Collateral     
   Counter  Recognized   Assets &   Statements of   Instruments   Pledged/     
Description  party  Assets   Liabilities   Assets & Liabilities   Pledged (1)   (Received)(2)   Net Amount 
Futures Contracts  GS  $2,236,258   $   $2,236,258   $(19,758,598)  $   $(17,522,340)
Futures Contracts  RBC   11,339,168        11,339,168    (4,389,013)       6,950,155 
Option Purchased  RBC   16,507,400        16,507,400            16,507,400 
Total     $30,082,826   $   $30,082,826   $(24,147,611)  $   $5,935,215 
                                  
                  Gross Amounts Not Offset in the     
Liabilities:                 Statements of Assets & Liabilities     
          Gross                 
          Amounts                 
          Offset in the   Net Amounts             
      Gross Amounts of   Statements of   Presented in the       Cash Collateral     
   Counter  Recognized   Assets &   Statements of   Financial   Pledged/     
Description  party  Liabilities   Liabilities   Assets & Liabilities   Instruments (1)   (Received)(2)   Net Amount 
Security Lending     $960,589,688   $   $960,589,688   $(960,589,688)  $   $ 
Futures Contracts  GS   19,758,598        19,758,598        (19,758,598)    
Futures Contracts  RBC   4,389,013        4,389,013        (4,389,013)    
Swap Contracts  GS   25,992,090        25,992,090            25,992,090 
Swap Contracts  MS   35,387,952        35,387,952            35,387,952 
Swap Contracts  BOA   708,943        708,943            708,943 
Total     $1,046,826,284   $   $1,010,729,389   $(960,589,688)  $(24,147,611)  $62,088,985 

 

GS - Goldman Sachs

 

MS - Morgan Stanley

 

RBC - Royal Bank of Canada

 

BOA - Bank Of America

 

(1)Included with investments in securities at value on the Statements of Assets of Liabilities. The amount of derivatives available for offset is limited to the amount of derivative assets and/or liabilities that are subject to a master netting agreement.

 

(2)The amount does not include excess collateral pledged by the counterparty. Detailed collateral amounts are presented in the Statements of Assets and Liabilities.

71

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

The effect of Derivative Instruments on the Statements of Assets and Liabilities as of April 30, 2022.

 

   Asset Derivatives  Liability Derivatives
Contract Type/              
Primary Risk Exposure  Balance Sheet Location  Value   Balance Sheet Location  Value 
Equity and Future Options  Investments in Securities at Value  $16,507,400   Option Contracts Written at Value  $ 
Futures contracts/Interest rate risk  Unrealized Appreciation on Futures Contracts   13,575,426   Unrealized Depreciation on Futures Contracts   13,063,786 
Futures contracts/Equity risk  Unrealized Appreciation on Futures Contracts      Unrealized Depreciation on Futures Contracts   11,083,825 
Credit default swaps/Credit risk  Unrealized Appreciation on Swap Contracts      Unrealized Depreciation on Swap Contracts   62,088,984 
      $30,082,826      $86,236,595 

 

The effect of Derivative Instruments on the Statements of Operations for the six months ended April 30, 2022.

 

          Change in Unrealized 
      Realized   Appreciation 
Contract Type/  Location of Gain or (Loss) On  Gain (Loss)   /(Depreciation) 
Primary Risk Exposure  Derivatives  on Derivatives   on Derivatives 
Credit default swaps/Credit risk  Net realized gain (loss) on swaps contracts/Net change in unrealized appreciation (depreciation) on swaps contracts  $(29,549,130)  $(71,297,726)
Total return swaps/interest rate risk  Net realized gain (loss) on swaps contracts/Net change in unrealized appreciation (depreciation) on swaps contracts   6,036,446    (2,648,521)
Futures contracts /Interest rate risk  Net realized gain (loss) on futures contracts/Net change in unrealized appreciation (depreciation) on futures contracts   (9,304,762)   (22,362,393)
Options Index/Equity rate risk  Net realized gain (loss) on options purchased/Net change in unrealized appreciation (depreciation) on options purchased   (7,129,059)   13,798,726 
Options Index/Equity rate risk  Net realized gain (loss) on options written / Net change unrealized appreciation/(depreciation) on options written   (2,598,931)   (376,002)
Total     $(42,545,436)  $(82,885,916)

 

Bond Fund:

 

The effect of Derivative Instruments on the Statements of Operations for the six months ended April 30, 2022.

 

          Change in Unrealized 
          Appreciation 
Contract Type/Primary Risk     Realized Gain (Loss) on   (Depreciation) on 
Exposure  Location of Gain or (Loss) on Derivatives  Derivatives   Derivatives 
Credit default swaps/Credit risk  Net realized gain (loss) on swaps contracts/Net change in unrealized appreciation (depreciation) on swaps contracts  $29,427   $ 
Futures contracts /Interest rate risk  Net realized gain (loss) on futures contracts/Net change in unrealized appreciation (depreciation) on future contracts   (301,470)    
Total     $(272,043)  $ 

72

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

Allocation Fund:

 

                  Gross Amounts Not Offset in the     
Liabilities:                 Statement of Assets & Liabilities     
              Net Amounts             
      Gross   Gross Amounts   Presented in             
      Amounts of   Offset in the   the Statements             
      Recognized   Statements of   of Assets &   Financial   Cash Collateral     
Description  Counterparty  Liabilities   Assets & Liabilities   Liabilities   Instruments (1)   Pledge/ (Received) (2)   Net Amount 
Futures contracts  GS  $1,083,895   $   $1,083,895   $   $(1,083,895)  $ 

 

GS - Goldman Sachs

 

The effect of Derivative Instruments on the Statements of Assets and Liabilities as of October 31, 2021.

 

   Asset Derivatives  Liability Derivatives
Contract Type/              
Primary Risk Exposure  Balance Sheet Location  Value   Balance Sheet Location  Value 
Futures contracts/Equity risk  Unrealized Appreciation on Futures Contracts  $   Unrealized Depreciation on Futures Contracts  $1,083,895 
      $      $1,083,895 

 

The effect of Derivative Instruments on the Statements of Operations for the six months ended April 30, 2022.

 

          Change in Unrealized 
          Appreciation 
Contract Type/Primary Risk     Realized Loss on   (Depreciation) on 
Exposure  Location of Gain or (Loss) on Derivatives  Derivatives   Derivatives 
Futures contracts /Equity risk  Net realized loss on futures contracts/Net change in unrealized appreciation (depreciation) on futures contracts  $(724,752)  $(2,835,605)
Total     $(724,752)  $(2,835,605)

 

Expenses – Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses, which are not readily identifiable to a specific fund, are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.

 

Federal Income Taxes – The Funds intend to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of their taxable income to their shareholders. Therefore, no provision for Federal income tax is required. The Funds recognize the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Funds’ tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years ended October 31, 2019 to October 31, 2021, or expected to be taken in the Funds’ October 31, 2022 year-end tax returns. The Funds have identified their major tax jurisdictions as U.S. federal, Ohio, Nebraska (for fiscal years prior to fiscal year ended October 31, 2019) and foreign jurisdictions where the Funds make significant investments. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

 

Distributions to Shareholders – Dividends from investment income are declared and paid quarterly for the Funds and are recorded on the ex-dividend date. The Funds will declare and pay net realized capital gains, if any, annually. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from GAAP. These “book/tax” differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their Federal tax-basis treatment; temporary differences do not require reclassification. These reclassifications have no effect on net assets, results from operations or NAV per share of the Funds.

73

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

Indemnification – The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Trust expects the risk of loss due to these warranties and indemnities to be remote.

 

3.INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES

 

Clark Capital Management Group, Inc. serves as the Funds’ investment advisor (the “Advisor”).

 

Pursuant to the investment advisory agreement (the “Advisory Agreement”) with the Trust on behalf of the Funds, the Advisor, under the oversight of the Board, directs the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. Under the terms of the Advisory Agreement, the Advisor receives monthly fees calculated daily and paid monthly at an annual rate of 0.75% of the average daily net assets of the Equity Fund, 0.85% of the average daily net assets of the Tactical Fund up to $4.5 billion, 0.80% of the of the average daily net assets of the Tactical Fund from $4.5 billion to $5.5 billion and 0.75% of the average daily net assets of the Tactical Fund above $5.5 billion, 0.85% of the average daily net assets of the Bond Fund and Allocation Fund and 0.30% of the average daily net assets of the Ultra Fund. For the six months ended April 30, 2022, the Advisor earned advisory fees of $134,894, $34,054,054, $1,256,480, $224,762 and $78,899 for the Equity Fund, Tactical Fund, Bond Fund, Allocation Fund and Ultra Fund, respectively.

 

Pursuant to an exemptive order, the Equity Fund invested a portion of its assets in the Navigator Sentry Managed Volatility Fund (through June 29, 2021) and the Tactical Fund invested a portion of its assets in the Bond Fund, Allocation Fund and Ultra Fund. The Advisor has agreed to waive its net advisory fee (after expense limitation agreement waiver) on the portion of the Equity Fund’s assets that are invested in the Sentry Fund and the Tactical Fund’s assets that are invested in the Bond Fund, Allocation Fund and Ultra Fund. For the six months ended April 30, 2022, the Equity Fund and Tactical Fund waived $0 and $633,923 respectively, in advisory fees pursuant to this agreement.

 

The Advisor has contractually agreed to waive all or part of its management fees and/or make payments to limit the Funds’ expenses (exclusive of any front-end or contingent deferred loads; brokerage fees and commissions; acquired fund fees and expenses; fees and expenses associated with investments in other collective investment vehicles or derivative instruments (including for example option and swap fees and expenses); borrowing costs (such as interest and dividend expense on securities sold short); taxes; expenses incurred in connection with any merger or reorganization; and extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the Advisor) at least until the expiration dates specified below and will not exceed the following levels of the average daily net assets attributable to each class of shares:

 

Fund  Class A  Class C  Class I  Expiration Date
Equity Fund  1.35%  2.10%  1.10%  1/31/2023
Bond Fund      1.01%  1/31/2023
Allocation Fund      1.01%  1/31/2023
Ultra Fund*  0.65%    0.40%  1/31/2023

 

*Prior to February 28, 2022, the expense limits for the Ultra Fund were 0.80% and 0.55% of the average daily net assets of Class A and Class I, respectively.

 

Waivers and expense payments may be recouped by the Advisor from the Funds, to the extent that overall expenses fall below the expense limitation amounts listed above, within three years of when the amounts were waived. During the six months ended April 30, 2022, the Advisor waived $82,371, $53,899 and $57,419 in fees from the Equity Fund, Allocation Fund and Ultra Fund, respectively, pursuant to its contractual agreement and recouped $25,482 of prior reimbursed expenses of the Bond Fund.

74

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

The following table shows the remaining waived expenses subject to potential recovery which expire in:

 

Fund  October 31, 2022   October 31, 2023   October 31, 2024   Total 
Equity Fund  $102,489   $125,632   $170,615   $ 398,736 
Bond Fund           16,168    16,168 
Allocation Fund           52,165    52,165 
Ultra Fund   8,732    54,704    88,375    151,811 

 

Distributor – The distributor of the Funds is Northern Lights Distributors, LLC (“NLD” or the “Distributor”). The Trust has adopted, on behalf of the Funds, the Trust’s Master Distribution and Shareholder Servicing Plans (the “Plans”) for Class A and Class C shares, respectively, pursuant to Rule 12b-1 under the 1940 Act, to pay for certain distribution activities and shareholder services. Under the Plans, the Funds may pay 0.25% per year of the average daily net assets of Class A shares and 1.00% of the average daily net assets of Class C shares for such distribution and shareholder service activities. For the six months ended April 30, 2022, the Equity Fund incurred distribution fees of $1,586 and $1,610 for Class A shares and Class C shares, respectively, the Tactical Fund incurred distribution fees of $77,852 and $154,526 for Class A shares and Class C shares and the Ultra Fund incurred distribution fees of $29 for Class A shares.

 

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. For the six months ended April 30, 2022, the Distributor received $26,811 in underwriting commissions for sales of Class A shares, of which $3,797 was retained by the principal underwriter or other affiliated broker-dealers.

 

In addition, certain affiliates of the Distributor provide services to the Funds as follows:

 

Ultimus Fund Solutions, LLC (“UFS”) – UFS, an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with UFS, the Funds pay UFS customary fees for providing administration, fund accounting and transfer agency services to the Funds. Certain officers of the Trust are also officers of UFS, and are not paid any fees directly by the Funds for serving in such capacities.

 

Northern Lights Compliance Services, LLC (“NLCS”) – NLCS, an affiliate of UFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Funds.

 

Blu Giant, LLC (“Blu Giant”) – Blu Giant, an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

 

4.INVESTMENT TRANSACTIONS

 

The cost of purchases and the proceeds from the sale of securities, other than short-term securities and U.S. Government securities, for the six months ended April 30, 2022, amounted to $107,261,130 and $106,044,377, respectively, for the Equity Fund; $4,996,126,887 and $3,829,275,214, respectively, and purchases and sales of U.S. Government Securities of $1,298,261,512 and $100,000,000, respectively, for the Tactical Fund; $741,697,518 and $750,319,700, respectively, for the Bond Fund, $21,096,151 and $1,750,755, respectively, for the Allocation Fund; and $40,682,237 and $3,006,020, respectively, for the Ultra Fund.

75

 

Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

5.AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS

 

The identified cost of investments in securities owned by each Fund for federal income tax purposes excluding futures and swaps, and its respective gross unrealized appreciation and depreciation at April 30, 2022, were as follows:

 

               Net Unrealized 
       Gross Unrealized   Gross Unrealized   Appreciation/ 
   Tax Cost   Appreciation   Depreciation   (Depreciation) 
Equity Fund  $37,893,212   $1,418,662   $(2,048,492)  $(629,830)
Tactical Fund   8,946,160,069    9,256,671    450,390,154    (441,133,483)
Bond Fund   1,064,990,106    3,893    (191,765)   (187,872)
Allocation Fund   50,260,714    3,756    (182,705)   (178,949)
Ultra Fund   54,280,699    7,715    (345,056)   (337,341)

 

6.DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL

 

The tax character of distributions paid during the years ended October 31, 2021 and October 31, 2020 was as follows:

 

For the year ended October 31, 2021: 
   Ordinary   Long-Term   Return of     
   Income   Capital Gains   Capital   Total 
Equity Fund  $180,336   $   $   $180,336 
Tactical Fund   227,210,430    191,190,941        418,401,371 
Bond Fund   35,500            35,500 
Allocation Fund                
Ultra Fund   228,399            228,399 
                     
For the year ended October 31, 2020: 
   Ordinary   Long-Term   Return of     
   Income   Capital Gains   Capital   Total 
Equity Fund  $339,369   $   $   $339,369 
Tactical Fund   62,463,693            62,463,693 
Bond Fund                
Allocation Fund                
Ultra Fund   1,169,444            1,169,444 

  

The difference between ordinary distributions paid from book and ordinary distributions paid from tax relates to allowable foreign tax credits of $4,072 for the fiscal year ended October 31, 2021 for the Equity Fund, which has been passed through to the Fund’s underlying shareholders and are deemed dividends for tax purposes.

 

As of October 31, 2021, the components of accumulated earnings/(deficit) on a tax basis were as follows:

 

   Undistributed   Undistributed   Post October Loss   Capital Loss   Other   Unrealized   Total 
   Ordinary   Long-Term   and   Carry   Book/Tax   Appreciation   Accumulated 
   Income   Capital Gains   Late Year Loss   Forwards   Differences   (Depreciation)   Earnings/(Deficits) 
Equity Fund  $5,245,146   $   $   $   $   $1,292,211   $6,537,357 
Tactical Fund   286,624,575    122,294,023            (342,452)   16,453,974    425,030,120 
Bond Fund   63,654                    (623,917)   (560,263)
Allocation Fund   1,633,664    2,638,135                (19,585)   4,252,214 
Ultra Fund   77,506    31,625                (12,082)   97,049 

   

The difference between book basis and tax basis undistributed net investment income, unrealized appreciation/(depreciation) and accumulated net realized gain/(loss) from investments is primarily attributable to the tax deferral of losses on wash sales, mark-to-market on open futures and options contracts, and tax adjustments for debt modifications. In addition, the amount listed under other book/tax differences for the Funds are primarily attributable to the tax deferral of losses on straddles.

 

At October 31, 2021, the Funds utilized capital loss carry forwards for federal income tax purposes as follows:

 

               Capital Loss 
               Carry Forward 
   Short-Term   Long-Term   Total   Utilized 
Equity Fund  $   $   $   $2,080,486 

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Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

Permanent book and tax differences, primarily attributable to non-deductible expenses, resulted in reclassifications for the year ended October 31, 2021 as follows:

 

   Paid     
   In   Accumulated 
   Capital   Earnings (Losses) 
Bond Fund  $(12,495)  $12,495 
Allocation Fund   (11,923)   11,923 

 

7.SECURITIES LENDING

 

The Funds have entered into a securities lending arrangement (the “Agreement”) with The Bank of New York Mellon (the “Lending Agent”). Under the terms of the Agreement, the Funds are authorized to loan securities to the Lending Agent. In exchange, the Funds receive cash and “non-cash” or “securities” collateral in the amount of at least 102% of the value of the securities loaned. The value of securities loaned is disclosed in a footnote on the Statements of Assets and Liabilities and on the Schedules of Investments. Securities lending income is disclosed in the Funds’ Statements of Operations. Although risk is mitigated by the collateral, the Funds could experience a delay in recovering their securities and possible loss of income or value if the Lending Agent fails to return the securities on loan. The Funds’ cash collateral received in securities lending transactions is invested in the Morgan Stanley Institutional Liquidity Funds Government Portfolio, as presented below. The Lending Agent retains the right to offset amounts payable to the Funds under the Agreement against amounts payable by the Lending Agent. Accordingly, the Agreement does not permit the Funds to enforce a netting arrangement.

 

As of April 30, 2022, the Equity Fund and Tactical Fund loaned securities which were collateralized by cash and other securities. The value of the securities on loan and the value of the related collateral were as follows:

 

Fund  Value of Securities Loaned   Value of Collateral* 
Equity Fund  $2,984,770   $3,050,750 
Tactical Fund   940,436,616    960,589,688 

 

*The Equity Fund and Tactical Fund received cash collateral of $3,050,750 and $960,589,688, respectively, which were subsequently invested in the Morgan Stanley Institutional Liquidity Funds Government Portfolio as reported in the Schedules of Investments .

 

Overnight and Continuous     
Equity Fund     
Morgan Stanley Institutional Liquidity Funds-Government Portfolio  $3,050,750 
      
Tactical Fund     
Morgan Stanley Institutional Liquidity Funds-Government Portfolio  $960,589,688 

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Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

  

8.INVESTMENT IN AFFILIATED COMPANIES

 

An affiliated company is a company in which a Fund has ownership of at least 5% of the voting securities or are affiliated through common management. Companies which are affiliates of the Equity Fund and Tactical Fund as of April 30, 2022 are noted in each Fund’s Schedule of Investments. Transactions during the six months ended April 30, 2022, with affiliated companies were as follows:

 

Tactical Fund

 

                   Change in             
   Value - Beginning of           Realized Gain /   Unrealized Gain /   Dividend   Value - End of     
Affiliated Holding  Year/Period   Purchases   Sales Proceeds   (Loss)   (Loss)   Income   Year/Period   Ending Shares 
Ultra Fund  $50,624,298   $178,853   $   $30,223   $(484,263)  $148,629   $50,349,111    5,055,132 
Bond Fund   49,485,536    48,965,937    (94,097,377)   (4,904,044)   549,948             
Allocation Fund   54,250,000    4,272,500            (8,142,646)   1,634,000    50,379,854    5,423,020 
   $154,359,834   $53,417,290   $(94,097,377)  $(4,873,821)  $(8,076,961)  $1,782,629   $100,728,965    10,478,152 

    

9.BENEFICIAL OWNERSHIP

 

The beneficial ownership, either directly or indirectly, of more than 25% of the voting securities of a fund creates presumption of control of the fund under section 2(a)(9) of the 1940 Act. As of April 30, 2022, National Financial Services LLC accounts holding Shares for the benefit of others, held approximately 28.42%, 57.71% and 44.81% of the Equity Fund, Tactical Fund and Bond Fund, respectively of the voting securities of the Fund. As of April 30, 2022, Pershing LLC, accounts holding shares for the benefit of others, held approximately 60.67% of the voting securities of the Equity Fund. As of April 30, 2022, Mac & Co. held approximately 95.49% and 100% of the Ultra Fund and Allocation Fund, respectively.

 

10.UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES

 

The following Fund currently invests a portion of its assets in the corresponding investment at April 30, 2022. The Fund may redeem its investment from the investment at any time if the Advisor determines that it is in the best interest of the Fund and its shareholders to do so. The performance of the Fund will be directly affected by the performance of the investment. The financial statements of the investment, including its schedule of investments, can be found at the Securities and Exchange Commission’s website www.sec.gov and should be read in conjunction with the Fund’s financial statements.

 

Fund  Investment  Percentage of Net Asset
Bond Fund  Dreyfus Treasury Obligations Cash Management Fund  37.7%

 

11.RECENT REGULATORY UPDATES

 

In March 2020, FASB issued ASU 2020-04, Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (’‘ASU 2020-04’’). The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management is currently evaluating the impact, if any of applying this ASU.

 

In October 2020, the Securities and Exchange Commission (the “SEC”) adopted new regulations governing the use of derivatives by registered investment companies (“Rule 18f-4”). The Funds will be required to comply with Rule 18f-4 by August 19, 2022. Once implemented, Rule 18f-4 will impose limits on the amount of derivatives a fund can enter into, eliminate the asset segregation framework currently used by funds to comply with Section 18 of the 1940 Act, treat derivatives as senior securities and require funds whose use of derivatives is more than a limited specified exposure amount to establish and maintain a comprehensive derivatives risk management program and appoint a derivatives risk manager. The Funds are currently evaluating the impact, if any, of this provision.

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Navigator Funds
NOTES TO FINANCIAL STATEMENTS (Unaudited) (Continued)
April 30, 2022

 

12.SUBSEQUENT EVENTS

 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

79

 

Navigator Funds
DISCLOSURE OF FUND EXPENSES (Unaudited)
April 30, 2022

 

As a shareholder of the Funds you incur two types of costs: (1) transaction costs (such as front-end loads) and (2) ongoing costs, including advisory fees, distribution and/or service (12b-1 fees) fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. Please note, the expenses shown in the tables are meant to highlight ongoing costs only and do not reflect any transactional costs.

 

This example is based on an investment of $1,000 invested for the period of time beginning November 1, 2021 and held through April 30, 2022.

 

Actual Expenses: The “Actual” columns in the table below provide information about actual account values and actual expenses. You may use the information below, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the table under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Examples for Comparison Purposes: The “Hypothetical” columns in the table below provide information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

 

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs such as front-end sales charges (loads). Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

                    
                 Hypothetical  
           Actual  (5% return before expenses)  
     Fund’s  Beginning  Ending  Expenses  Ending  Expenses  
     Annualized  Account Value  Account Value  Paid During  Account Value  Paid During  
  Class A  Expense Ratio  11/1/21  4/30/22  Period*  4/30/22  Period*  
  Navigator Equity Hedged Fund  1.35%  $1,000.00  $868.10  $6.25  $1,018.10  $6.76  
  Navigator Tactical Fixed Income Fund  1.20%  $1,000.00  $960.30  $5.83  $1,018.84  $6.01  
  Navigator Ultra Short Bond Fund  0.75%  $1,000.00  $994.90  $3.71  $1,021.08  $3.76  
                       
  Class C                    
  Navigator Equity Hedged Fund  2.10%  $1,000.00  $865.40  $9.71  $1,014.38  $10.49  
  Navigator Tactical Fixed Income Fund  1.95%  $1,000.00  $956.70  $9.46  $1,015.12  $9.74  
                       
  Class I                    
  Navigator Equity Hedged Fund  1.10%  $1,000.00  $868.70  $5.10  $1,019.34  $5.51  
  Navigator Tactical Fixed Income Fund  0.95%  $1,000.00  $961.50  $4.62  $1,020.08  $4.76  
  Navigator Tactical Investment Grade Bond Fund  0.98%  $1,000.00  $936.60  $4.71  $1,019.93  $4.91  
  Navigator Tactical U.S. Allocation Fund  1.04%  $1,000.00  $928.70  $4.97  $1,019.64  $5.21  
  Navigator Ultra Short Bond Fund  0.50%  $1,000.00  $995.60  $2.47  $1,022.32  $2.51  

 

*Expenses are equal to the average account value over the period, multiplied by the Funds’ annualized expense ratio, multiplied by the number of days in the period ended April 30, 2022 (181) divided by the number of days in the fiscal year (365).

80

 

Clark Capital Management Group, Inc. (Advisor to Navigator Equity Hedged Fund (“Navigator Equity”), Navigator Tactical Fixed Income Fund (“Navigator Tactical”) and Navigator Ultra Short Bond Fund (“Navigator Ultra”) *

 

In connection with the regular meeting held on June 22-24, 2021 of the Board of Trustees (the “Trustees” or the “Board”) of the Northern Lights Fund Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the re-approval of an investment advisory agreement (the “Advisory Agreement”) between Clark Capital Management Group, Inc. (“Advisor” or “Clark”) and the Trust, with respect to the Navigator Equity, Navigator Tactical and Navigator Ultra (each a “Fund” and collectively referred to as the “Navigator Funds). In considering the re-approval of the Advisory Agreement, the Board received materials specifically relating to the Advisory Agreement.

 

The Trustees were assisted by independent legal counsel throughout the Advisory Agreement review process. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Advisory Agreement.

 

Nature, Extent & Quality of Services.

 

The Board noted that Clark was founded in 1986 and had approximately $25 billion in assets under management. The Board considered that Clark provided multiple investment strategies across several asset classes either directly or through model portfolios. The Board reviewed the background information on Clark’s key personnel, noting their education and financial industry experience. The Board further noted that Clark maintained an emphasis on risk management and employed various risk management techniques to manage volatility. The Board discussed Clark’s methods to maintain compliance with each Navigator Fund’s investment limitations, noting Clark’s use of Excel spreadsheets linked to third party data. The Board discussed Clark’s broker-dealer selection process and noted the variety of factors used to select broker-dealers. The Board noted that Clark reported no material compliance or litigation issues since the last advisory agreement renewal. The Board noted with satisfaction that the Advisor has a robust organization and operational infrastructure with a philosophy to add value for shareholders. The Board concluded that Clark had the resources to continue to provide high quality service to each Navigator Fund and its respective shareholders.

 

Performance.

 

Navigator Equity. The Board discussed the Fund’s objective to seek long-term capital appreciation and its Morningstar category. The Board noted that the Fund outperformed its peer median and Morningstar category median, over the one-year, three-year and five-year periods. The Board observed that the Fund underperformed its peer median and Morningstar category median over the

81

 

since inception period, ranking last among its peers, but had a four-star Morningstar rating. It considered Clark’s explanation that the underperformance related to the Fund’s constant hedge, which caused it to lag the benchmark, and that none of the funds in its peer group utilized a similar strategy. The Board observed that the Fund’s delivered strong risk adjusted returns. The Board concluded that Clark had implemented the Fund’s strategy as designed.

 

Navigator Tactical. The Board discussed the Fund’s objective and Morningstar category. The Board noted that the Fund utilized long and short positions in fixed income securities and equity index futures to implement its strategy. The Board observed that the Fund outperformed its Morningstar category median and peer group median over all periods and while recent performance was less robust on a risk adjusted basis, it remained positive. The Board noted that the Fund maintained a 5-star rating from Morningstar and increased its assets by over $2 billion over the last year. The Board considered the Advisor’s assertion that the implementation of certain defensive positions caused the Fund to lag the benchmark over all periods. The Board concluded that Clark had done an excellent job implementing the Fund’s strategy to the benefit of shareholders.

 

Navigator Ultra. The Board discussed the Fund’s current objective and Morningstar category. The Board noted that the Fund had not yet received a Morningstar rating due to its limited history of operations. The Board observed that the Fund outperformed its Morningstar category median and peer group median over the one-year period and since inception periods and had underperformed the benchmark over the since inception period. The Board noted the Advisor’s rationale for the Fund’s positive performance being attributable to the portfolio manager’s opportunistic approach to investing in credit and good security selection. The Board concluded that Clark was managing the Fund in accordance with the strategy articulated in the Fund’s prospectus.

 

Fees and Expenses.

 

Navigator Equity. The Board reviewed the Fund’s peer group along with the Fund’s advisory fee of 0.75% and considered that it was lower than both the Morningstar category median and average as well as its peer group median and average. The Board further noted that the Fund’s advisory fee was lower than the advisory fee charged by the Advisor for managing a similar strategy. The Board noted that the Advisor experienced a loss in connection with its management of the Fund likely attributable to the size of the Fund. The discussed the Fund’s current expense limitation agreement and the Advisor’s willingness to discuss breakpoints in the future. The Board agreed that the advisory fee was not unreasonable.

 

Navigator Tactical. The Board reviewed the Fund’s maximum advisory fee of 0.85% (with breakpoints beginning at $4.5 billion) and noted that it was higher than both the Morningstar category median as well as the peer group median but was within the range of both comparable metrics. The Board further noted the Fund’s net expense ratio was higher than its peer group median and higher than its Morningstar category median but was within the range of both comparable metrics. The Board considered the Advisor’s assertion that the advisory fee was reasonable given the experience needed to manage the strategy of the Fund. The Board concluded that the advisory fee was not unreasonable.

82

 

Navigator Ultra. The Board discussed the Fund’s advisory fee of 0.30% and noted that it was slightly higher than the Morningstar category median and average, but below the peer group average and within the range of both comparable metrics. The Board further noted the Fund’s net expense ratio was higher than its peer and Morningstar category average and median but well below the high of both comparable metrics. The Board considered the Advisor’s assertion that the net expense ratio was higher given the limited operations of the Fund compared to the peer group. The Board discussed the current expense limitation agreement and the Advisor’s willingness to discuss breakpoints in the future. The Board agreed that the advisory fee was not unreasonable.

 

Economies of Scale.

 

The Board considered whether economies of scale had been reached with respect to the fees paid to Clark on behalf of the Navigator Funds. The Board noted that Clark had previously agreed to breakpoints in its advisory fee with respect to Navigator Tactical. After a further discussion, the Board concluded that current breakpoints for Navigator Tactical remained appropriate and in the best interests of shareholders and the absence of breakpoints for the remaining Navigator Funds was reasonable at current asset levels and would be considered as each Fund’s assets increased.

 

Profitability.

 

The Board reviewed the profitability analysis provided by Clark with respect to each Navigator Fund. The Board noted that Clark realized a loss for each Fund with the exception of Navigator Tactical. The Board discussed Clark’s profits from its relationship with Navigator Tactical and concluded that such profits were not excessive. In regard to each of the remaining Navigator Funds, the Board concluded that excessive profitability was not an issue at this time.

 

Conclusion.

 

Having requested and received such information from Clark as the Board believed to be reasonably necessary to evaluate the terms of the Advisory Agreement and as assisted by the advice of counsel, the Board concluded that renewal of the Advisory Agreement with Clark was in the best interests of the shareholders of each Fund.

 

*Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Navigator Funds.

83

 

Clark Capital Management Group, Inc. : Advisor to Navigator Tactical U.S. Allocation Fund (“Navigator Allocation”) and Navigator Tactical Investment Grade Bond Fund (“Navigator Investment”)*

 

In connection with the regular meeting held on December 16-17, 2020 of the Board of Trustees (the “Trustees” or the “Board”) of the Northern Lights Fund Trust (the “Trust”), including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, discussed the approval of an investment advisory agreement (the “Advisory Agreement”) between Clark Capital Management Group, Inc. (“Advisor” or “Clark Capital”) and the Trust, with respect to the Navigator Allocation and Navigator Investment Funds (each a “Fund” and collectively referred to as the (“New Navigator Funds). In considering the approval of the Advisory Agreement, the Board received materials specifically relating to the Advisory Agreement.

 

The Trustees were assisted by independent legal counsel throughout the Advisory Agreement review process. The Trustees relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Trustees were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching his conclusions with respect to the Advisory Agreement.

 

Nature, Extent and Quality of Services. The Trustees noted that the Advisor was founded in 1986 and managed approximately $20 billion in assets and partnered with financial advisors to provide personalized investment plans to clients across various investment strategies using model portfolios. They reviewed the background information of the key investment personnel that would be responsible for servicing the New Navigator Funds, taking into consideration the team’s diverse financial industry experience. They considered the Advisor’s ongoing research and analysis of ETFs and mutual funds as potential investments. The Trustees considered that the Advisor would use a proprietary investment process to determine each New Navigator Fund’s sector allocations. The Trustees noted that the Advisor would monitor compliance with each New Navigator Fund’s investment restrictions using excel spreadsheets linked to a third-party service provider. They considered that the Advisor had a best execution committee to select broker-dealers based on a review and evaluation of several factors. The Trustees concluded that the Advisor had more than sufficient resources and robust portfolio management team capable of providing quality service to the New Navigator Funds.

 

Performance. The Trustees reviewed the investment objective of each New Navigator Fund and its anticipated Morningstar category. They reviewed performance of another comparable open-end fund managed by the portfolio management team at Clark Capital and agreed that performance of the fund compared reasonably to the benchmark index. The Trustees discussed the back-tested data provided by Clark Capital, noting that each New Navigator Fund outperformed their anticipated benchmarks for the three-year, five-year, ten-year, and since inceptions periods. They acknowledged the limitations of back-tested performance data, noting that (i) in generating the data, no market risk was involved because no actual trading was done; (ii) because the data was created with the benefit of hindsight, it may be difficult to account for all factors that would have

84

 

affected Clark Capital’s decision-making process; (iii) assumptions used to generate the data may not be indicative of current or future market conditions and (iv) due to the benefit of hindsight, back-tested performance tends to show favorable results. The Trustees also considered each Fund’s hypothetical Sharpe ratio and noted that each Fund’s Sharpe ratio indicated that each Fund had the ability to provide reasonable, risk adjusted returns. The Trustees discussed Clark Capital’s use of allocation models produced by research providers. After discussion, the Trustees concluded that the Advisor had the potential to provide satisfactory performance to each New Navigator Fund.

 

Fees and Expenses. The Trustees reviewed the proposed advisory fee of each of the New Navigator Funds as compared to its custom Morningstar category and peer group. They considered the proposed advisory fee for each New Navigator Fund was 0.85%, which decreased to 0.80% on a Fund’s assets above $4.5 billion and decreased to 0.75% on a Fund’s assets above $5.5 billion. They noted that Navigator Allocation’s maximum advisory fee of 0.85% was lower than the peer group median and average and category median. With respect to Navigator Investment, the Trustees noted that the maximum advisory fee of 0.85% was higher than the category average and median and peer group average and median but in line with the peer group. The Trustees considered the Advisor’s assertion that the fees were reasonable given the use of complex securities and derivatives requiring a significant amount of portfolio management, expertise and compliance resources and concluded the proposed fees were not unreasonable.

 

Profitability. The Trustees reviewed the profit analysis provided by Clark Capital. They noted that because each New Navigator Fund had not yet commenced operations, the profitability analysis provided was an estimate based on projected asset growth over the first 24 months of operations. They further noted that the Advisor projected making a profit in connection with each Fund if estimated asset levels were achieved, and that the estimated profit levels of the two Funds varied greatly due to projections on asset levels. They reasoned that based on the information provided by the Advisor, the estimated profitability was not excessive.

 

Economies of Scale. The Trustees considered whether economies of scale would likely be realized by Clark Capital during the initial term of the proposed advisory agreement. They noted that Clark Capital had agreed to contractual breakpoints that would benefit each Fund’s shareholders when assets exceeded certain levels. After discussion, it was the consensus of the Trustees that the proposed breakpoints were appropriate

 

Conclusion. Having requested and received such information from the Advisor as the Trustees believed to be reasonably necessary to evaluate the terms of the advisory agreement, and as assisted by the advice of counsel, the Trustees concluded that approval of the Advisory Agreement was in the best interests of future shareholders of each New Navigator Fund.

 

*Due to the timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the New Navigator Funds.

85

 

PRIVACY NOTICE

 

Northern Lights Fund Trust

 

Rev. April 2021

 

FACTS WHAT DOES NORTHERN LIGHTS FUND TRUST DO WITH YOUR PERSONAL INFORMATION?

 

Why? Financial companies choose how they share your personal information.  Federal law gives consumers the right to limit some, but not all sharing.  Federal law also requires us to tell you how we collect, share, and protect your personal information.  Please read this notice carefully to understand what we do.

 

What?

The types of personal information we collect and share depends on the product or service that you have with us. This information can include:

 

●         Social Security number and wire transfer instructions

 

●         account transactions and transaction history

 

●         investment experience and purchase history

 

When you are no longer our customer, we continue to share your information as described in this notice.

 

How? All financial companies need to share customers’ personal information to run their everyday business.  In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons Northern Lights Fund Trust chooses to share; and whether you can limit this sharing.

 

Reasons we can share your
personal
information:
Does Northern Lights Fund Trust
share information?
Can you limit this sharing?
For our everyday business purposes - such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus. YES NO
For our marketing purposes - to offer our products and services to you. NO We don’t share
For joint marketing with other financial companies. NO We don’t share
For our affiliates’ everyday business purposes - information about your transactions and records. NO We don’t share
For our affiliates’ everyday business purposes - information about your credit worthiness. NO We don’t share
For nonaffiliates to market to you NO We don’t share

 

QUESTIONS?   Call 1-631-490-4300

86

 

PRIVACY NOTICE

 

Northern Lights Fund Trust

 

Page 2  

 

What we do:

 

How does Northern Lights Fund Trust protect my personal information?

To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.

 

Our service providers are held accountable for adhering to strict policies and procedures to prevent any misuse of your nonpublic personal information.

 

How does Northern Lights Fund Trust collect my personal information?

We collect your personal information, for example, when you

●     open an account or deposit money

 

●     direct us to buy securities or direct us to sell your securities

 

●     seek advice about your investments

 

We also collect your personal information from others, such as credit bureaus, affiliates, or other companies.

 

Why can’t I limit all sharing?

Federal law gives you the right to limit only:

●     sharing for affiliates’ everyday business purposes – information about your creditworthiness.

 

●     affiliates from using your information to market to you.

 

●     sharing for nonaffiliates to market to you.

 

State laws and individual companies may give you additional rights to limit sharing.

 

Definitions
Affiliates

Companies related by common ownership or control. They can be financial and nonfinancial companies.

 

●     Northern Lights Fund Trust does not share with our affiliates.

Nonaffiliates

Companies not related by common ownership or control. They can be financial and nonfinancial companies.

 

●     Northern Lights Fund Trust does not share with nonaffiliates so they can market to you.

Joint marketing

A formal agreement between nonaffiliated financial companies that together market financial products or services to you.

 

●     Northern Lights Fund Trust doesn’t jointly market.

87

 

Investment Advisor

Clark Capital Management Group, Inc.

1650 Market Street, 53rd Floor

Philadelphia, PA 19103

 

Administrator

Ultimus Fund Solutions LLC

225 Pictoria Drive, Suite 450

Cincinnati, OH 45246

 

 

 

How to Obtain Proxy Voting Information

 

Information regarding how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30th as well as a description of the policies and procedures that the Funds use to determine how to vote proxies is available without charge, upon request, by calling 1-877-766-2264 or by referring to the Securities and Exchange Commission’s (“SEC”) website DRAFT at http://www.sec.gov.

 

How to Obtain 1st and 3rd Fiscal Quarter Portfolio Holdings

 

The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT, within sixty days after the end of the period. Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. The information on Form N-PORT is available without charge, upon request, by calling 1-877-766-2264.

 

Investor Information: 1-877-766-2264

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

NAVIGATOR-SAR22

 

 

(b) Not applicable.

 

Item 2. Code of Ethics. Not applicable.

 

Item 3. Audit Committee Financial Expert. Not applicable.

 

Item 4. Principal Accountant Fees and Services. Not applicable.

 

Item 5. Audit Committee of Listed Companies. Not applicable to open-end investment companies.

 

Item 6. Schedule of Investments. Schedule of investments in securities of unaffiliated issuers is included under Item 1.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Funds. Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies. Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Funds. Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders. None

 

 

Item 11. Controls and Procedures.

 

(a)       Based on an evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of filing date of this Form N-CSR, the principal executive officer and principal financial officer of the Registrant have concluded that the disclosure controls and procedures of the Registrant are reasonably designed to ensure that the information required in filings on Form N-CSR is recorded, processed, summarized, and reported by the filing date, including that information required to be disclosed is accumulated and communicated to the Registrant’s management, including the Registrant’s principal executive officer and principal financial officer, as appropriate to allow timely decisions regarding required disclosure.

 

(b)       There were no significant changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s last fiscal half-year that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. Not applicable.

 

Item 13. Exhibits.

 

(a)(1) Not applicable.

 

(a)(2) Certifications required by Section 302 of the Sarbanes-Oxley Act of 2002 (and Item 11(a)(2) of Form N-CSR) are filed herewith.

 

(a)(3) Not applicable for open-end investment companies.

 

(b)       Certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 (and Item 11(b) of Form N-CSR) are filed herewith.

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Northern Lights Fund Trust

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, President/Principal Executive Officer

 

Date 7/5/22

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)

/s/ Kevin E. Wolf

Kevin E. Wolf, President/Principal Executive Officer

 

Date 7/5/22

 

 

By (Signature and Title)

/s/ Jim Colantino

Jim Colantino, Treasurer/Principal Financial Officer

 

Date 7/5/22


CERTIFICATIONS

 

I, Kevin E. Wolf, certify that:

 

1.       I have reviewed this report on Form N-CSR of Navigator Funds (series of Northern Lights Fund Trust);

 

2.       Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.       Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.       The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a)       designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)       designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)       evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.       The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

 

a)       all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b)       any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

 

 

Date: 7/5/22  /s/ Kevin E. Wolf
   Kevin E. Wolf
   Principal Executive Officer/President

 

 

 

 

 

 

I, Jim Colantino, certify that:

 

1.       I have reviewed this report on Form N-CSR of Navigator Funds (series of Northern Lights Fund Trust);

 

2.       Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.       Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.       The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

a)       designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

b)       designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c)       evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

d)       disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.       The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

 

a)       all significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and

b)       any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

 

Date: 7/5/22  /s/ Jim Colantino
   Jim Colantino
   Principal Financial Officer/Treasurer


certification

Kevin E. Wolf, President/Principal Executive Officer, and Jim Colantino, Treasurer/Principal Financial Officer of Northern Lights Fund Trust (the “Registrant”), each certify to the best of his knowledge that:

1.       The Registrant’s periodic report on Form N-CSR for the period ended March 31, 2022 (the “Form N-CSR”) fully complies with the requirements of Sections 15(d) of the Securities Exchange Act of 1934, as amended; and

2.       The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

Chief Executive Officer  Chief Financial Officer
Northern Lights Fund Trust III  Northern Lights Fund Trust III
    
    
/s/ Kevin E. Wolf  /s/ Jim Colantino
Kevin E. Wolf  Jim Colantino
Date: 7/5/22  Date: 7/5/22

 

 

A signed original of this written statement required by Section 906 of the Sarbanes-Oxley Act of 2002 has been provided to Northern Lights Funds Trust and will be retained by Northern Lights Fund Trust III and furnished to the Securities and Exchange Commission (the “Commission”) or its staff upon request.

 

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.