How the Catalyst/Millburn Hedge Strategy Fund (MBXIX) Has Remained Strong During the Autumn Chill

September 2025

If the weather (and markets) cool in the fall, the Catalyst/Millburn Hedge Strategy Fund (MBXIX) has the potential to stay warm.

Every year, the fall season brings a cooling effect across the United States, but the temperature may not be the only thing that gets brought down. In general, September and October have been historically weak and volatile months for the S&P 500 TR Index, which has the potential to drag the market down from summer highs. During these months, MBXIX has historically provided relatively stable returns when the S&P 500 TR lags, and has generally kept pace during positive periods.

When Markets Struggle: MBXIX During the S&P 500’s Negative Fall Seasons

It’s no secret that a few months of negative performance can tempt investors to deviate from their long-term strategies, but MBXIX has the potential to help you and your clients stay invested through some of the market’s most difficult periods.

Year	S&P 500 TR Sep–Dec Return	MBXIX Sep–Dec Return
2000	-12.69%	9.14%
2002	-3.35%	1.59%
2008	-28.90%	2.54%
2018	-13.03%	-3.86%
2022	-2.35%	4.02%

Source: Bloomberg L.P. & Catalyst Capital Advisors LLC. During MBXIX’s negative fall seasons (2003, 2011, 2018, 2023), the Fund had an average return of -2.23%.
During these same years, the S&P 500 TR had an average return of 2.07%.

Data as of quarter end: 2025-06-30T00:00:00

Share Class	1 Month	3 Months	6 Months	YTD	1 Year	3 Years Annualized	5 Years Annualized	10 Years Annualized	Since Inception Annualized
Class I	3.42%	2.33%	0.52%	0.52%	-0.14%	5.85%	10.66%	8.25%	10.12%
Class A	3.39%	2.27%	0.42%	0.42%	-0.38%	5.60%	10.39%	N/A	7.92%
Class C	3.30%	2.07%	0.03%	0.03%	-1.14%	4.80%	9.56%	N/A	7.10%
Class C-1	3.33%	2.09%	0.03%	0.03%	-1.12%	4.81%	N/A	N/A	10.03%
Class A w/Sales Load	-2.54%	-3.61%	-5.36%	-5.36%	-6.11%	3.53%	9.09%	N/A	7.24%

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.

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.).

Investments in mutual funds involve risks. The Fund’s maximum sales charge for Class “A” shares is 5.75%. 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 or visit www.CatalystMF.com. Total operating expenses for the A, C, and I share classes are 2.28%, 3.03%, and 2.03%, respectively.

ML 3 Month T-Bill Index is used to represent the short-term U.S. Government bond market. R-squared is a measure of the relationship between a portfolio and its benchmark. S&P 500 Total Return Index is used to represent the U.S. large-cap stock market.

Past performance is not a guarantee of future results.

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. Neither Catalyst Capital Advisors LLC nor Millburn Ridgefield LLC are affiliated with Northern Lights Distributors, LLC.

Important Risk Considerations

Investing in the Fund carries certain risks. The Fund will invest a percentage of its assets in derivatives, such as futures, forwards 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, forwards, 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 or group of securities 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 leveraging 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.

The Fund acquired all of the assets and liabilities of Millburn Hedge Fund, L.P. (the “Predecessor Fund”) in a tax free reorganization on December 28, 2015 (the “Reorganization”). In connection with the Reorganization, shares of the Predecessor Fund were exchanged for Class I shares of the Fund. Performance shown before December 28, 2015 is for the Predecessor Fund. 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. The Fund’s Sub-Adviser was the investment manager of the Predecessor 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 Investment Company Act of 1940, as amended, or the Internal Revenue Code of 1986, as amended, 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. The Fund’s fees and expenses are expected to be higher than those of the Predecessor Fund; therefore, if the Fund’s expenses were applied to the Predecessor Fund’s performance, the performance would have been lower. Performance of the Predecessor Fund is not an indicator of future results.

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