Dear Investor:

The Catalyst/Millburn Hedge Strategy Fund (MBXIX) returned +3.40% in January compared to +8.01% for the S&P 500 TR Index. Over the past year, MBXIX is up +1.29% while the S&P 500 TR Index is down -2.31%. For the threeyear period ending 1/31/2019, the Fund is in the top 3% of its Morningstar Multi-alternative category based on total returns and is rated 5 stars by Morningstar out of 278 funds based on risk-adjusted returns.

Because the strategy seeks to offer returns that are not correlated directly to equities, we encourage investors to evaluate MBXIX over a multi-year period. When looking at rolling 36-month periods, MBXIX has historically generated positive returns 99% of the time, versus only 74% for the S&P 500 TR Index, as of 12/31/2018.

Manager Commentary

The Fund was profitable in January as gains from long equity ETF positions and from long interest rate futures positions outpaced the losses from trading energy, stock index, and to a lesser extent, non-energy commodity futures and currency forwards.

Following the sharp selloff in global equities during the fourth quarter of 2018 and especially in December, equity prices rebounded from oversold levels during January despite persistent global growth concerns. A more dovish tone on monetary policy by the Federal Reserve late in the month solidified the rebound. Long equity ETF positions were broadly profitable. Long positions in emerging market and Hong Kong stock index futures also registered gains. On the other hand, short positions in European, Asian, and Canadian equity futures posted losses. Trading of the VIX index future was also unprofitable. Meanwhile, trading of U.S. equity futures was essentially flat as the gain from a long NASDAQ trade was offset by the losses from short positions in the Russell and S&P Midcap futures.

Indications of slowing growth globally, slackening inflation pressures in Europe, China, and the U.S. and persistent uncertainties around Brexit and U.S.-China trade negotiations supported demand for government fixed income investments. Consequently, long positions in German, French, Italian, Japanese, and Australian note and bond futures were profitable. Trading of U.S. interest rate futures was also fractionally profitable, especially from long positions late in the month.

Energy prices, which had plunged during the fourth quarter of 2018, continued a rebound that began after Christmas, and short energy futures positions were unprofitable. The previously announced OPEC+ production cut agreement together with concerns about Venezuelan and Iranian supplies underpinned the bounce and short covering rally. Short positions in Brent crude, WTI crude, RBOB gasoline, London gas oil, and heating oil were unprofitable and were reduced or reversed.

Dollar foreign exchange trading was volatile and range-bound during January, and results were mixed and slightly unprofitable. Long positions in the Brazilian real, Turkish lira, South African rand, and Mexican peso versus the U.S. dollar were profitable. All these countries have high interest rates and political situations that have improved in recent months following tumultuous events during much of 2018. On the other hand, long dollar positions versus the Australian dollar, Canadian dollar, Norwegian krone, Russian ruble, pound sterling, and Swiss franc posted more than offsetting losses. Many of these currencies have benefitted from the rebound in oil prices in January and from hopes that the U.S.-China trade talks will improve the global growth outlook. A long euro/short Norway trade was also marginally negative.

Trading of non-energy commodities was fractionally unprofitable. With commodity prices experiencing a broad rebound, short positions in copper, nickel, gold, silver, wheat, soybeans, sugar, coffee, and cotton registered small losses.

Estimated Gross Profit & Loss by Sector as of 1/31/2019

Estimates are provided for informational purposes only and do not reflect the net performance of the Fund.

The Fund’s maximum sales charge for Class “A” shares is 5.75%. Investments in mutual funds involve risks. Performance is historic and does not guarantee future results. Investment return and principal value will fluctuate with changing market conditions so that when redeemed, shares may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. To obtain the most recent month end performance information or the Fund’s prospectus please call the Fund, toll free at 1-866-447-4228. You can also obtain a prospectus at www.CatalystMF.com. Gross expense ratios for the fiscal year were 2.25%, 3.00% and 2.00% for Class A, C and I shares, respectively.

There is no assurance that the Fund will achieve its investment objective. You cannot invest directly in an index and unmanaged index returns do not reflect any fees, expenses or sales charges. Performance shown before December 28, 2015 is for the Fund’s Predecessor Fund (Millburn Hedge Fund, L.P.).

Important Risk Considerations:

Investors should carefully consider the investment objectives, risks, charges and expenses of the Catalyst Funds. This and other important information about the Fund is contained in the prospectus, which can be obtained by calling 866-447-4228 or at www.CatalystMF.com. The prospectus should be read carefully before investing. The Catalyst Funds are distributed by Northern Lights Distributors, LLC, member FINRA/SIPC. Catalyst Capital Advisors, LLC is not affiliated with Northern Lights Distributors, LLC.

Investing in the Fund carries certain risks. The Fund will invest a percentage of its assets in derivatives, such as futures and options contracts. The use of such derivatives and the resulting high portfolio turn-over may expose the Fund to additional risks that it would not be subject to if it invested directly in the securities and commodities underlying those derivatives. The Fund may experience losses that exceed those experienced by funds that do not use futures contracts, options and hedging strategies. Investing in commodities markets may subject the Fund to greater volatility than investments in traditional securities. Currency trading risks include market risk, credit risk and country risk. Foreign investing involves risks not typically associated with U.S. investments. Changes in interest rates and the liquidity of certain investments could affect the Fund’s overall performance. The Fund is non-diversified and as a result, changes in the value of a single security may have significant effect on the Fund’s value. Other risks include U.S. Government securities risks and investments in fixed income securities. Typically, a rise in interest rates causes a decline in the value of fixed income securities or derivatives owned by the Fund. Furthermore, the use of leverage can magnify the potential for gain or loss and amplify the effects of market volatility on the Fund’s share price. The Fund is subject to regulatory change and tax risks; changes to current rules could increase costs associated with an investment in the Fund. These factors may affect the value of your investment.

Performance shown before December 28, 2015 is for the Fund’s Predecessor Fund (Millburn Hedge Fund, L.P.). The prior performance is net of management fees and other expenses including the effect of the performance fee. The Predecessor Fund had an investment objective and strategies that were, in all material respects, the same as those of the Fund, and was managed in a manner that, in all material respects, complied with the investment guidelines and restrictions of the Fund. From its inception through December 28, 2015, the Predecessor Fund was not subject to certain investment restrictions, diversification requirements and other restrictions of the 1940 Act of the Code, which if they had been applicable, might have adversely affected its performance. In addition, the Predecessor Fund was not subject to sales loads that would have adversely affected performance. Performance of the predecessor fund is not an indicator of future results.

©2018 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

The Morningstar RatingTM for funds, or “star rating”, is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange-traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product’s monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The Morningstar Rating does not include any adjustment for sales loads. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. Morningstar Rating is for the I share class only; other classes may have different performance characteristics. Morningstar Percentile Rankings are based on the average annual total returns of the funds in the category for the periods stated and do not include any sales charges or redemption fees. The highest (or most favorable) percentile rank is 1 and the lowest (or least favorable) percentile rank is 100.

3162-NLD-2/15/2019