Dear Investor:

We are pleased to announce that the Catalyst/Millburn Hedge Strategy Fund (MBXIX) was the #1 fund in the Morningstar Multialternative category based on total returns for the three-year period ending December 31, 2018. The Fund was also rated 5 stars by Morningstar out of 290 funds in the Morningstar Multialternative category based on 3-year risk-adjusted returns for the period ending 12/31/2018.

The Catalyst/Millburn Hedge Strategy Fund (MBXIX) held up well in the December, dropping only -3.23% versus the S&P 500 TR Index decline of -9.03%. As a result, MBXIX ended 2018 with a -2.16% return versus -4.38% for the S&P 500 TR Index.

After a strong 2016 (+17.99%) and 2017 (+13.97%), the Fund experienced a relatively severe drawdown in early 2018 and was down -10.28% YTD as of 02/09/2018. The Fund recovered strongly and was well into positive territory by August. Since August, the S&P 500 TR Index dropped -13.03%, and MBXIX outpaced the S&P 500 TR Index with a return of -3.86% for the same period.

The Fund’s historically quick drawdown recoveries, including 2018’s drawdown, and the performance during prolonged periods of equity market turmoil highlight the potential benefits of staying the course and understanding that drawdowns are an inherent part of the strategy. 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 unprofitable in December after another month of heightened price volatility in which market participants continued to deal with global monetary policy changes, trade tensions, oil market supply and demand uncertainties, slowing global growth, geopolitical concerns, and political turmoil in Washington. Losses from long equity ETF positions and, to a lesser extent, from trading metal futures, interest rate futures, and currency forwards outdistanced profits from short positions in energy and equity futures. Trading of soft and agricultural commodities was essentially flat.

Crude oil and crude product prices plunged further during the month with Brent crude declining from $62 per barrel on December 1 to about $50 per barrel on December 24. The price did rebound to near $54 per barrel before month end, particularly after reports that progress was being made in the U.S.-China trade talks. Still, with Saudi Arabia, Russia, and the U.S. producing near record levels in recent months—each above 11mb/d, and with signs that global growth and hence energy demand were slowing, not even the announcement in early December that the OPEC+ group would re-impose production cuts in 2019 arrested the price declines. Consequently, short positions in Brent crude, WTI crude, RBOB gasoline, heating oil, and London gas oil were profitable.

Once again, equity prices were depressed by worries about tighter monetary conditions globally—heightened by another Federal Reserve (Fed) rate increase, slowing global growth, U.S.-China trade tensions, political, and economic squabbles in Europe, plunging oil prices, and the threat of increased regulation of the technology sector. Long ETF positions, especially in U.S. small- and mid-caps, posted large losses. In addition, long positions in U.K. and NASDAQ index futures and trading the CBOE VIX index futures were unprofitable. On the other hand, short futures positions in small-cap U.S., European, Chinese, Hong Kong, Taiwanese, and Korean equity indices posted partially offsetting profits. A long Osaka Nikkei trade was also profitable during a short covering rally late in December.

Short gold and silver positions were unprofitable and were reduced as a slightly weaker dollar and global uncertainties aided prices of precious metals.

Slowing global growth, political and economic tensions in Europe, and collapsing oil prices underpinned a rally in government fixed income markets. Indications that the Fed might raise rates at a less aggressive pace in 2019 also supported demand for developed country government paper, even though the Fed did announce on December 19 a further ¼ point increase in official rates and a continued steady balance sheet reduction. Long positions in German, Italian, Japanese, and Australian note and bond futures were profitable. Trading of U.S. long bond futures was also profitable. However, fractionally larger losses were sustained on short positions in U.S. 2-, 5-, and 10-year note futures and in short-term eurodollar futures, which were reduced subsequently.

The U.S. dollar, which had strengthened in a halting manner from mid-April through October, was range-bound during November and weakened slightly in December. Long dollar trades versus the Japanese yen and Swiss franc–perhaps safer safe havens than the dollar–were unprofitable. A long dollar/short Mexican peso trade was unprofitable as the incoming Mexican government soothed investor concerns with the appointment of rather orthodox economic policy advisers. Long dollar positions against the euro, Swedish krona, pound sterling, and Brazilian real were also marginally unprofitable. Conversely, long dollar trades against the currencies of Canada, Australia, New Zealand, Russia, and Norway produced partially offsetting profits as commodity currencies felt the weight of slowing growth and collapsing energy prices. A long Turkish lira trade was profitable due to high Turkish interest rates and easing political tensions.

Estimated Gross Profit & Loss by Sector as of 12/31/2018

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.

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