Dear Investor:

The Catalyst/Millburn Hedge Strategy Fund (MBXIX) returned +2.06% in February compared to +3.21% for the S&P 500 TR Index. Over the past year, MBXIX is up +10.12%, while the S&P 500 TR Index is up +4.68%. For the three- year period ending 2/28/2019, the Fund is in the top 4% of its Morningstar Multi-alternative category based on total returns and is rated 5 stars by Morningstar out of 277 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 February as profits from long equity ETF positions and modest gains from trading equity, energy, interest rate, and soft and other agricultural commodity futures outdistanced small losses from trading currency forwards and metal futures. Continuing uncertainties concerning global growth, BREXIT, and U.S.-China trade and technology frictions coincided with relatively small portfolio positions during the month even as global central banks shifted toward more neutral policy stances. The hurried and unsuccessful Trump-Kim Summit, the India-Pakistan flare-up, and President Trump’s simmering U.S. domestic political conflicts also clouded the outlook.

In recent speeches and comments, several Federal Reserve (Fed) Governors reiterated Fed Chairman Powell’s and the FOMC’s pledge to take a “patient” approach to future policy changes. This more neutral monetary policy pivot has been reflected by most developed and developing country central banks during February. Against this background, global equity markets extended the rally that began late last year. Consequently, long equity ETF trades, a short VIX futures position, and long positions in Chinese, Hong Kong, Korean, Japanese, Canadian, NASDAQ, S&P 500, Spanish, Swedish, and Italian futures indices were profitable. Meanwhile, short positions in German, Dutch, South African, and in the U.S. Dow-Jones and S&P Mid-Cap indices produced partially offsetting losses. Trading of emerging market and Australian equity indices was also slightly unprofitable.

Energy prices were again supported by the OPEC+ production cuts that were running above target in early 2019 and by tightening sanctions on Venezuela and Iran. As a result, long Brent crude oil, RBOB gasoline, heating oil, and London gas oil positions were profitable. A short WTI crude trade posted a loss. A short U.S. natural gas trade was also slightly unprofitable as extreme cold winter weather brought on by the “polar vortex” boosted prices.

Short corn, wheat, and coffee trades were each slightly profitable.

In the wake of slower global growth, declines in actual inflation in the U.S. and Canada, Europe, and China, and a pivot from tightening to neutrality among major central banks, trading of fixed income futures was mixed and only slightly profitable. U.S. and Canadian interest rates drifted higher and short positions in 2-, 5- and 10-year government bond futures were profitable. On the other hand, a long position in short-term eurodollar futures was unprofitable. Outside North America, long positions in Australian and Japanese bond futures were profitable, while long positions in Italian and German interest rate futures were unprofitable.

The U.S. dollar traded in a narrow band, rising about 1.5% early on and retracing lower thereafter. Short dollar positions versus the Brazilian real, Russian ruble, Turkish lira, and Korean won, and long dollar trades relative to the Australian dollar, New Zealand dollar, British pound, and euro were each slightly unprofitable. Meanwhile, short Swedish krona and Norwegian kroner positions versus the dollar provided partially offsetting gains.

Trading of metal futures was unprofitable as the small losses from short gold and copper positions outpaced the small profit from a short silver trade.

Estimated Gross Profit & Loss by Sector as of 2/28/2019

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.

©2019 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.

4550-NLD-4/12/2019